Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model

A simple approach to determining the Gaussian kernel that constitutes the backbone of the multi-factor Heston model is proposed based on a suitable expansion in powers of volatilities of volatilities. This analysis provides Black-Scholes-like formulas for pricing European vanilla options, allowing for accurate approximations of the option prices under the multi-factor Heston model up to volatilities of volatilities on the order of 50%. The analysis also leads to a simple formula for the implied volatility showing that changes in the convexity of the volatility smile are due only to price skewness, and an easy formula to reproduce volatility indices via the realized volatility. Interestingly, the variance of the Gaussian kernel is equal to the variance of the continuously compounded return in the case of the Heston model. The empirical analyses presented assess the potential of our approach to capture market distortions while adequately forecasting the dynamics of the VIX index

Micro-Structured Ferromagnetic Tubes for Spin Wave Excitation

Micron scale ferromagnetic tubes placed on the ends of ferromagnetic CoTaZr spin waveguides are explored in order to enhance the excitation of Backward Volume Magnetostatic Spin Waves. The tubes produce a closed magnetic circuit about the signal line of the coplanar waveguide and are, at the same time, magnetically contiguous with the spin waveguide. This results in a 10 fold increase in spin wave amplitude. However, the tube geometry distorts the magnetic field near the spin waveguide and relatively high biasing magnetic fields are required to establish well defined spin waves. Only the lowest (uniform) spin wave mode is excited.Comment: 3 pages, 3 figure

A ssDNA Aptamer That Blocks the Function of the Anti-FLAG M2 Antibody

Using SELEX (systematic evolution of ligands by exponential enrichment), we serendipitously discovered a ssDNA aptamer that binds selectively to the anti-FLAG M2 antibody. The aptamer consisted of two motifs (CCTTA and TGTCTWCC) separated by 2-3 bases, and the elimination of one or the other motif abrogated binding. The DNA aptamer and FLAG peptide competed for binding to the antigen-binding pocket of the M2 antibody. In addition, the aptamer eluted FLAG-tagged proteins from the antibody, suggesting a commercial application in protein purification. These findings demonstrate the feasibility of using SELEX to develop ssDNA aptamers that block the function of a specific antibody, a capability that could lead to the development of novel therapeutic modalities for patients with systemic lupus erythematosus, rheumatoid arthritis, and other autoimmune diseases

First Evidence of Circumstellar Disks around Blue Straggler Stars

We present an analysis of optical HST/STIS and HST/FOS spectroscopy of 6 blue stragglers found in the globular clusters M3, NGC6752 and NGC6397. These stars are a subsample of a set of ~50 blue stragglers and stars above the main sequence turn-off in four globular clusters which will be presented in an forthcoming paper. All but the 6 stars presented here can be well fitted with non-LTE model atmospheres. The 6 misfits, on the other hand, possess Balmer jumps which are too large for the effective temperatures implied by their Paschen continua. We find that our data for these stars are consistent with models only if we account for extra absorption of stellar Balmer photons by an ionized circumstellar disk. Column densities of HI and CaII are derived as are the the disks' thicknesses. This is the first time that a circumstellar disk is detected around blue stragglers. The presence of magnetically-locked disks attached to the stars has been suggested as a mechanism to lose the large angular momentum imparted by the collision event at the birth of these stars. The disks implied by our study might not be massive enough to constitute such an angular momentum sink, but they could be the leftovers of once larger disks.Comment: Accepted by ApJ Letters 10 pages, 2 figure

Lagrangian Structure Functions in Turbulence: A Quantitative Comparison between Experiment and Direct Numerical Simulation

A detailed comparison between data from experimental measurements and numerical simulations of Lagrangian velocity structure functions in turbulence is presented. By integrating information from experiments and numerics, a quantitative understanding of the velocity scaling properties over a wide range of time scales and Reynolds numbers is achieved. The local scaling properties of the Lagrangian velocity increments for the experimental and numerical data are in good quantitative agreement for all time lags. The degree of intermittency changes when measured close to the Kolmogorov time scales or at larger time lags. This study resolves apparent disagreements between experiment and numerics.Comment: 13 RevTeX pages (2 columns) + 8 figures include

Do Complexity Measures of Frontal EEG Distinguish Loss of Consciousness in Geriatric Patients Under Anesthesia?

While geriatric patients have a high likelihood of requiring anesthesia, they carry an increased risk for adverse cognitive outcomes from its use. Previous work suggests this could be mitigated by better intraoperative monitoring using indexes defined by several processed electroencephalogram (EEG) measures. Unfortunately, inconsistencies between patients and anesthetic agents in current analysis techniques have limited the adoption of EEG as standard of care. In attempts to identify new analyses that discriminate clinically-relevant anesthesia timepoints, we tested 1/f frequency scaling as well as measures of complexity from nonlinear dynamics. Specifically, we tested whether analyses that characterize time-delayed embeddings, correlation dimension (CD), phase-space geometric analysis, and multiscale entropy (MSE) capture loss-of-consciousness changes in EEG activity. We performed these analyses on EEG activity collected from a traditionally hard-to-monitor patient population: geriatric patients on beta-adrenergic blockade who were anesthetized using a combination of fentanyl and propofol. We compared these analyses to traditional frequency-derived measures to test how well they discriminated EEG states before and after loss of response to verbal stimuli. We found spectral changes similar to those reported previously during loss of response. We also found significant changes in 1/f frequency scaling. Additionally, we found that our phase-space geometric characterization of time-delayed embeddings showed significant differences before and after loss of response, as did measures of MSE. Our results suggest that our new spectral and complexity measures are capable of capturing subtle differences in EEG activity with anesthesia administration-differences which future work may reveal to improve geriatric patient monitoring

Interaction of Supernova Ejecta with Nearby Protoplanetary Disks

The early Solar System contained short-lived radionuclides such as 60Fe (t1/2 = 1.5 Myr) whose most likely source was a nearby supernova. Previous models of Solar System formation considered a supernova shock that triggered the collapse of the Sun's nascent molecular cloud. We advocate an alternative hypothesis, that the Solar System's protoplanetary disk had already formed when a very close (< 1 pc) supernova injected radioactive material directly into the disk. We conduct the first numerical simulations designed to answer two questions related to this hypothesis: will the disk be destroyed by such a close supernova; and will any of the ejecta be mixed into the disk? Our simulations demonstrate that the disk does not absorb enough momentum from the shock to escape the protostar to which it is bound. Only low amounts (< 1%) of mass loss occur, due to stripping by Kelvin-Helmholtz instabilities across the top of the disk, which also mix into the disk about 1% of the intercepted ejecta. These low efficiencies of destruction and injectation are due to the fact that the high disk pressures prevent the ejecta from penetrating far into the disk before stalling. Injection of gas-phase ejecta is too inefficient to be consistent with the abundances of radionuclides inferred from meteorites. On the other hand, the radionuclides found in meteorites would have condensed into dust grains in the supernova ejecta, and we argue that such grains will be injected directly into the disk with nearly 100% efficiency. The meteoritic abundances of the short-lived radionuclides such as 60Fe therefore are consistent with injection of grains condensed from the ejecta of a nearby (< 1 pc) supernova, into an already-formed protoplanetary disk.Comment: 57 pages, 16 figure