Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate

This paper proposes an efficient option pricing model that incorporates stochastic interest rate (SIR), stochastic volatility (SV), and double exponential jump into the jump‐diffusion settings. The model comprehensively considers the leptokurtosis and heteroscedasticity of the underlying asset’s returns, rare events, and an SIR. Using the model, we deduce the pricing characteristic function and pricing formula of a European option. Then, we develop the Markov chain Monte Carlo method with latent variable to solve the problem of parameter estimation under the double exponential jump‐diffusion model with SIR and SV. For verification purposes, we conduct time efficiency analysis, goodness of fit analysis, and jump/drift term analysis of the proposed model. In addition, we compare the pricing accuracy of the proposed model with those of the Black–Scholes and the Kou (2002) models. The empirical results show that the proposed option pricing model has high time efficiency, and the goodness of fit and pricing accuracy are significantly higher than those of the other two models

Experimental realisation of Shor's quantum factoring algorithm using qubit recycling

Quantum computational algorithms exploit quantum mechanics to solve problems exponentially faster than the best classical algorithms. Shor's quantum algorithm for fast number factoring is a key example and the prime motivator in the international effort to realise a quantum computer. However, due to the substantial resource requirement, to date, there have been only four small-scale demonstrations. Here we address this resource demand and demonstrate a scalable version of Shor's algorithm in which the n qubit control register is replaced by a single qubit that is recycled n times: the total number of qubits is one third of that required in the standard protocol. Encoding the work register in higher-dimensional states, we implement a two-photon compiled algorithm to factor N=21. The algorithmic output is distinguishable from noise, in contrast to previous demonstrations. These results point to larger-scale implementations of Shor's algorithm by harnessing scalable resource reductions applicable to all physical architectures.Comment: 7 pages, 3 figure

New strategies for developing cardiovascular stent surfaces with novel functions (Review)

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Redox-Dependent Modulation of T-Type Ca2+ Channels in Sensory Neurons Contributes to Acute Anti-Nociceptive Effect of Substance P

Aims: Neuropeptide substance P (SP) is produced and released by a subset of peripheral sensory neurons that respond to tissue damage (nociceptors). SP exerts excitatory effects in the central nervous system, but peripheral SP actions are still poorly understood; therefore, here, we aimed at investigating these peripheral mechanisms. Results: SP acutely inhibited T-type voltage-gated Ca2+ channels in nociceptors. The effect was mediated by neurokinin 1 (NK1) receptor-induced stimulation of intracellular release of reactive oxygen species (ROS), as it can be prevented or reversed by the reducing agent dithiothreitol and mimicked by exogenous or endogenous ROS. This redox-mediated T-type Ca2+ channel inhibition operated through the modulation of CaV3.2 channel sensitivity to ambient zinc, as it can be prevented or reversed by zinc chelation and mimicked by exogenous zinc. Elimination of the zinc-binding site in CaV3.2 rendered the channel insensitive to SP-mediated inhibition. Importantly, peripherally applied SP significantly reduced bradykinin-induced nociception in rats in vivo; knock-down of CaV3.2 significantly reduced this anti-nociceptive effect. This atypical signaling cascade shared the initial steps with the SP-mediated augmentation of M-type K+ channels described earlier. Innovation: Our study established a mechanism underlying the peripheral anti-nociceptive effect of SP whereby this neuropeptide produces ROS-dependent inhibition of pro-algesic T-type Ca2+ current and concurrent enhancement of anti-algesic M-type K+ current. These findings will lead to a better understanding of mechanisms of endogenous analgesia. Conclusion: SP modulates T-type channel activity in nociceptors by a redox-dependent tuning of channel sensitivity to zinc; this novel modulatory pathway contributes to the peripheral anti-nociceptive effect of SP

Growth of Strongly Biaxially Aligned MgB2 Thin Films on Sapphire by Post-annealing of Amorphous Precursors

MgB2 thin films were cold-grown on sapphire substrates by pulsed laser deposition (PLD), followed by post-annealing in mixed, reducing gas, Mg-rich, Zr gettered, environments. The films had Tcs in the range 29 K to 34 K, Jcs (20K, H=0) in the range 30 kA/cm2 to 300 kA/cm2, and irreversibility fields at 20 K of 4 T to 6.2 T. An inverse correlation was found between Tc and irreversibility field. The films had grain sizes of 0.1-1 micron and a strong biaxial alignment was observed in the 950C annealed film.Comment: 12 Pages, 5 figures, submitted to Applied Physics Letter

Multiscale dynamics of charging and plating in graphite electrodes coupling operando microscopy and phase-field modelling

The phase separation dynamics in graphitic anodes significantly affects lithium plating propensity, which is the major degradation mechanism that impairs the safety and fast charge capabilities of automotive lithium-ion batteries. In this study, we present comprehensive investigation employing operando high-resolution optical microscopy combined with non-equilibrium thermodynamics implemented in a multi-dimensional (1D+1D to 3D) phase-field modeling framework to reveal the rate-dependent spatial dynamics of phase separation and plating in graphite electrodes. Here we visualize and provide mechanistic understanding of the multistage phase separation, plating, inter/intra-particle lithium exchange and plated lithium back-intercalation phenomena. A strong dependence of intra-particle lithiation heterogeneity on the particle size, shape, orientation, surface condition and C-rate at the particle level is observed, which leads to early onset of plating spatially resolved by a 3D image-based phase-field model. Moreover, we highlight the distinct relaxation processes at different state-of-charges (SOCs), wherein thermodynamically unstable graphite particles undergo a drastic intra-particle lithium redistribution and inter-particle lithium exchange at intermediate SOCs, whereas the electrode equilibrates much slower at low and high SOCs. These physics-based insights into the distinct SOC-dependent relaxation efficiency provide new perspective towards developing advanced fast charge protocols to suppress plating and shorten the constant voltage regime

Strain-induced partially flat band, helical snake states, and interface superconductivity in topological crystalline insulators

Topological crystalline insulators in IV-VI compounds host novel topological surface states consisting of multi-valley massless Dirac fermions at low energy. Here we show that strain generically acts as an effective gauge field on these Dirac fermions and creates pseudo-Landau orbitals without breaking time-reversal symmetry. We predict the realization of this phenomenon in IV-VI semiconductor heterostructures, due to a naturally occurring misfit dislocation array at the interface that produces a periodically varying strain field. Remarkably, the zero-energy Landau orbitals form a flat band in the vicinity of the Dirac point, and coexist with a network of snake states at higher energy. We propose that the high density of states of this flat band gives rise to interface superconductivity observed in IV-VI semiconductor multilayers at unusually high temperatures, with non-BCS behavior. Our work demonstrates a new route to altering macroscopic electronic properties to achieve a partially flat band, and paves the way for realizing novel correlated states of matter.Comment: Accepted by Nature Physic

Developmental changes in the role of different metalinguistic awareness skills in Chinese reading acquisition from preschool to third grade

Copyright @ 2014 Wei et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.The present study investigated the relationship between Chinese reading skills and metalinguistic awareness skills such as phonological, morphological, and orthographic awareness for 101 Preschool, 94 Grade-1, 98 Grade-2, and 98 Grade-3 children from two primary schools in Mainland China. The aim of the study was to examine how each of these metalinguistic awareness skills would exert their influence on the success of reading in Chinese with age. The results showed that all three metalinguistic awareness skills significantly predicted reading success. It further revealed that orthographic awareness played a dominant role in the early stages of reading acquisition, and its influence decreased with age, while the opposite was true for the contribution of morphological awareness. The results were in stark contrast with studies in English, where phonological awareness is typically shown as the single most potent metalinguistic awareness factor in literacy acquisition. In order to account for the current data, a three-stage model of reading acquisition in Chinese is discussed.National Natural Science Foundation of China and Knowledge Innovation Program of the Chinese Academy of Sciences

Hybrid Equation/Agent-Based Model of Ischemia-Induced Hyperemia and Pressure Ulcer Formation Predicts Greater Propensity to Ulcerate in Subjects with Spinal Cord Injury

Pressure ulcers are costly and life-threatening complications for people with spinal cord injury (SCI). People with SCI also exhibit differential blood flow properties in non-ulcerated skin. We hypothesized that a computer simulation of the pressure ulcer formation process, informed by data regarding skin blood flow and reactive hyperemia in response to pressure, could provide insights into the pathogenesis and effective treatment of post-SCI pressure ulcers. Agent-Based Models (ABM) are useful in settings such as pressure ulcers, in which spatial realism is important. Ordinary Differential Equation-based (ODE) models are useful when modeling physiological phenomena such as reactive hyperemia. Accordingly, we constructed a hybrid model that combines ODEs related to blood flow along with an ABM of skin injury, inflammation, and ulcer formation. The relationship between pressure and the course of ulcer formation, as well as several other important characteristic patterns of pressure ulcer formation, was demonstrated in this model. The ODE portion of this model was calibrated to data related to blood flow following experimental pressure responses in non-injured human subjects or to data from people with SCI. This model predicted a higher propensity to form ulcers in response to pressure in people with SCI vs. non-injured control subjects, and thus may serve as novel diagnostic platform for post-SCI ulcer formation. © 2013 Solovyev et al