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

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

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

Influences of Excluded Volume of Molecules on Signaling Processes on Biomembrane

We investigate the influences of the excluded volume of molecules on biochemical reaction processes on 2-dimensional surfaces using a model of signal transduction processes on biomembranes. We perform simulations of the 2-dimensional cell-based model, which describes the reactions and diffusion of the receptors, signaling proteins, target proteins, and crowders on the cell membrane. The signaling proteins are activated by receptors, and these activated signaling proteins activate target proteins that bind autonomously from the cytoplasm to the membrane, and unbind from the membrane if activated. If the target proteins bind frequently, the volume fraction of molecules on the membrane becomes so large that the excluded volume of the molecules for the reaction and diffusion dynamics cannot be negligible. We find that such excluded volume effects of the molecules induce non-trivial variations of the signal flow, defined as the activation frequency of target proteins, as follows. With an increase in the binding rate of target proteins, the signal flow varies by i) monotonically increasing; ii) increasing then decreasing in a bell-shaped curve; or iii) increasing, decreasing, then increasing in an S-shaped curve. We further demonstrate that the excluded volume of molecules influences the hierarchical molecular distributions throughout the reaction processes. In particular, when the system exhibits a large signal flow, the signaling proteins tend to surround the receptors to form receptor-signaling protein clusters, and the target proteins tend to become distributed around such clusters. To explain these phenomena, we analyze the stochastic model of the local motions of molecules around the receptor.Comment: 31 pages, 10 figure

Exploring Fitness and Edit Distance of Mutated Python Programs

Genetic Improvement (GI) is the process of using computational search techniques to improve existing software e.g. in terms of execution time, power consumption or correctness. As in most heuristic search algorithms, the search is guided by fitness with GI searching the space of program variants of the original software. The relationship between the program space and fitness is seldom simple and often quite difficult to analyse. This paper makes a preliminary analysis of GI’s fitness distance measure on program repair with three small Python programs. Each program undergoes incremental mutations while the change in fitness as measured by proportion of tests passed is monitored. We conclude that the fitnesses of these programs often does not change with single mutations and we also confirm the inherent discreteness of bug fixing fitness functions. Although our findings cannot be assumed to be general for other software they provide us with interesting directions for further investigation