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

Thyroid-specific transcription factors control Hex promoter activity

The homeobox-containing gene Hex is expressed in several cell types, including thyroid follicular cells, in which it regulates the transcription of tissue-specific genes. In this study the regulation of Hex promoter activity was investigated. Using co-transfection experiments, we demonstrated that the transcriptional activity of the Hex gene promoter in rat thyroid FRTL-5 cells is ∼10-fold greater than that observed in HeLa and NIH 3T3 cell lines (which do not normally express the Hex gene). To identify the molecular mechanisms underlying these differences, we evaluated the effect of the thyroid-specific transcription factor TTF-1 on the Hex promoter activity. TTF-1 produced 3-4-fold increases in the Hex promoter activity. Gel-retardation assays and mutagenesis experiments revealed the presence of functionally relevant TTF-1 binding sites in the Hex promoter region. These in vitro data may also have functional relevance in vivo, since a positive correlation between TTF-1 and Hex mRNAs was demonstrated in human thyroid tissues by means of RT-PCR analysis. The TTF-1 effect, however, is not sufficient to explain the difference in Hex promoter activity between FRTL-5 and cells that do not express the Hex gene. For this reason, we tested whether Hex protein is able to activate the Hex promoter. Indeed, co-transfection experiments indicate that Hex protein is able to increase the activity of its own promoter in HeLa cells ∼4-fold. TTF-1 and Hex effects are additive: when transfected together in HeLa cells, the Hex promoter activity is increased 6-7-fold. Thus, the contemporary presence of both TTF-1 and Hex could be sufficient to explain the higher transcriptional activity of the Hex promoter in thyroid cells with respect to cell lines that do not express the Hex gene. These findings demonstrate the existence of direct cross-regulation between thyroid-specific transcription factors

Decoherence in Ion Trap Quantum Computers

The {\it intrinsic} decoherence from vibrational coupling of the ions in the Cirac-Zoller quantum computer [Phys. Rev. Lett. {\bf 74}, 4091 (1995)] is considered. Starting from a state in which the vibrational modes are at a temperature $T$, and each ion is in a superposition of an excited and a ground state, an adiabatic approximation is used to find the inclusive probability $P(t)$ for the ions to evolve as they would without the vibrations, and for the vibrational modes to evolve into any final state. An analytic form is found for $P(t)$ at $T=0$, and the decoherence time is found for all $T$. The decoherence is found to be quite small, even for 1000 ions.Comment: 11 pages, no figures, uses revte

On the coincidence of system optimum and user equilibrium for a widely used family of cost functions

In a simple two-node, one origin-destination network with multiple links, we characterize the coincidence of system optimum, that minimizes the total cost of agents with user equilibrium, that equalizes the cost in each (used) link. If cost functions are, up to a constant, homogeneous of the same degree then the system optimum and the user equilibrium are the same if and only if the freeflows are costant. Some examples show that the hypotheses are not redundant

Codes for the Quantum Erasure Channel

The quantum erasure channel (QEC) is considered. Codes for the QEC have to correct for erasures, i. e., arbitrary errors at known positions. We show that four qubits are necessary and sufficient to encode one qubit and correct one erasure, in contrast to five qubits for unknown positions. Moreover, a family of quantum codes for the QEC, the quantum BCH codes, that can be efficiently decoded is introduced.Comment: 6 pages, RevTeX, no figures, submitted to Physical Review A, code extended to encode 2 qubits, references adde

Holonomic quantum computation with neutral atoms

We propose an all-geometric implementation of quantum computation using neutral atoms in cavity QED. We show how to perform generic single- and two-qubit gates, the latter by encoding a two-atom state onto a single, many-level atom. We compare different strategies to overcome limitations due to cavity imperfections.Comment: 14 pages, 9 figure

Effect of the Austempering Process on the Microstructure and Mechanical Properties of 27MnCrB5-2 Steel

AbstractThe effect of austempering parameters on the microstructure and mechanical properties of 27MnCrB5-2 steel has been investigated by means of: dilatometric, microstructural and fractographic analyses; tensile and Charpy V-notch (CVN) impact tests at room temperature and a low temperature.Microstructural analyses showed that upper bainite developed at a higher austempering temperature, while a mixed bainitic-martensitic microstructure formed at lower temperatures, with a different amount of bainite and martensite and a different size of bainite sheaf depending on the temperature. Tensile tests highlighted superior yield and tensile strengths (≈30%) for the mixed microstructure, with respect to both fully bainitic and Q&T microstructures, with only a low reduction in elongation to failure (≈10%). Impact tests confirmed that mixed microstructures have higher impact properties, at both room temperature and a low temperature