5,131 research outputs found
Utility based pricing of contingent claims
In a discrete setting, we develop a model for pricing a contingent claim. Since the presence of hedging opportunities influences the price of a contingent claim, first we introduce the optimal hedging strategy assuming a contingent claim has been issued: a strategy implemented by investing the budget plus the selling price is optimal if it maximizes the expected utility of the agent's revenue, which is the difference between the outcome of the hedging portfolio and the payoff of the claim. Next, we introduce the `reservation price' as a subjective valuation of a contingent claim. This is defined as the minimum price to be added to the initial budget that makes the issue of the claim more preferable than optimally investing in the available securities. We define the reservation price both for a short position (reservation selling price) and for a long position (reservation buying price) in the contingent claim. When the contingent claim is redundant, both the selling and the buying price collapse in the usual Arrow-Debreu price. We develop a numerical procedure to evaluate the reservation price and two applications are provided. Different utility functions are used and some qualitative properties of the reservation price are shown.Incomplete markets, reservation price, expected utility, optimization
Macroscopic electrostatic potentials and interactions in self-assembled molecular bilayers: the case of Newton black films
We propose a very simple but 'realistic' model of amphiphilic bilayers,simple
enough to be able to include a large number of molecules in the sample, but
nevertheless detailed enough to include molecular charge distributions,
flexible amphiphilic molecules and a reliable model of water. All these
parameters are essential in a nanoscopic scale study of intermolecular and long
range electrostatic interactions. We also propose a novel, simple and more
accurate macroscopic electrostatic field for model bilayers. This model goes
beyond the total dipole moment of the sample, which on a time average is zero
for this type of symmetrical samples, i. e., it includes higher order moments
of this macroscopic electric field. We show that by representing it with a
superposition of gaussians it can be 'analytically' integrated, and therefore
its calculation is easily implemented in a MD simulation (even in simulations
of non-symmetrical bi- or multi-layers). In this paper we test our model by
molecular dynamics simulations of Newton black films
Recent activities in the hyperspectral imaging network (Hyper-I-Net): A European consortium fostering imaging spectroscopy research
A discontinuous Galerkin method for the Vlasov-Poisson system
A discontinuous Galerkin method for approximating the Vlasov-Poisson system
of equations describing the time evolution of a collisionless plasma is
proposed. The method is mass conservative and, in the case that piecewise
constant functions are used as a basis, the method preserves the positivity of
the electron distribution function and weakly enforces continuity of the
electric field through mesh interfaces and boundary conditions. The performance
of the method is investigated by computing several examples and error estimates
associated system's approximation are stated. In particular, computed results
are benchmarked against established theoretical results for linear advection
and the phenomenon of linear Landau damping for both the Maxwell and Lorentz
distributions. Moreover, two nonlinear problems are considered: nonlinear
Landau damping and a version of the two-stream instability are computed. For
the latter, fine scale details of the resulting long-time BGK-like state are
presented. Conservation laws are examined and various comparisons to theory are
made. The results obtained demonstrate that the discontinuous Galerkin method
is a viable option for integrating the Vlasov-Poisson system.Comment: To appear in Journal for Computational Physics, 2011. 63 pages, 86
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Linear Theory of Electron-Plasma Waves at Arbitrary Collisionality
The dynamics of electron-plasma waves are described at arbitrary
collisionality by considering the full Coulomb collision operator. The
description is based on a Hermite-Laguerre decomposition of the velocity
dependence of the electron distribution function. The damping rate, frequency,
and eigenmode spectrum of electron-plasma waves are found as functions of the
collision frequency and wavelength. A comparison is made between the
collisionless Landau damping limit, the Lenard-Bernstein and Dougherty
collision operators, and the electron-ion collision operator, finding large
deviations in the damping rates and eigenmode spectra. A purely damped entropy
mode, characteristic of a plasma where pitch-angle scattering effects are
dominant with respect to collisionless effects, is shown to emerge numerically,
and its dispersion relation is analytically derived. It is shown that such a
mode is absent when simplified collision operators are used, and that
like-particle collisions strongly influence the damping rate of the entropy
mode.Comment: 23 pages, 10 figures, accepted for publication on Journal of Plasma
Physic
What exactly is public in a public good game? A lab-in-the field experiment
Are public good games really capturing individuals\u2019 willingness to contribute to real-life public goods? To answer this question, we conducted a
lab-in-the-field experiment with communities who own collective goods. In
our experiment, subjects voluntarily contribute to a common pool, which
can either be subdivided in individual vouchers, as in standard public good
games, or used to acquire collective goods, as it happens for real-life public
goods. We show that participants\u2019 contributions are larger when the voucher
is paid individually, suggesting that individuals\u2019 willingness to contribute to
public goods may be overestimated when based on results from laboratory
experiments
What exactly is public in a public good game? A lab-in-the field experiment
Are public good games really capturing individuals’ willingness to contribute to real-life public goods? To answer this question, we conducted a
lab-in-the-field experiment with communities who own collective goods. In
our experiment, subjects voluntarily contribute to a common pool, which
can either be subdivided in individual vouchers, as in standard public good
games, or used to acquire collective goods, as it happens for real-life public
goods. We show that participants’ contributions are larger when the voucher
is paid individually, suggesting that individuals’ willingness to contribute to
public goods may be overestimated when based on results from laboratory
experiments
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