Fast Quantization of Stochastic Volatility Models

Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is usually performed using stochastic methods, e.g., Lloyd's algorithm or Competitive Learning Vector Quantization. In this paper, a new algorithm is proposed that allows RMQ to be applied to two-factor stochastic volatility models, which retains the efficiency of gradient-descent techniques. By margining over potential realizations of the volatility process, a significant decrease in computational effort is achieved when compared to current quantization methods. Additionally, techniques for modelling the correct zero-boundary behaviour are used to allow the new algorithm to be applied to cases where the previous methods would fail. The proposed technique is illustrated for European options on the Heston and Stein-Stein models, while a more thorough application is considered in the case of the popular SABR model, where various exotic options are also priced

Collisions of low-energy antiprotons with molecular hydrogen: ionization, excitation and stopping power

A time-dependent coupled-channel approach was used to calculate ionization, excitation, and energy-loss cross sections as well as energy spectra for antiproton and proton collisions with molecular hydrogen for impact energies 8 keV < E < 4000 keV.Comment: 4 pages, 4 figures, conference LEAP0

Nucleation and Growth of GaN/AlN Quantum Dots

We study the nucleation of GaN islands grown by plasma-assisted molecular-beam epitaxy on AlN(0001) in a Stranski-Krastanov mode. In particular, we assess the variation of their height and density as a function of GaN coverage. We show that the GaN growth passes four stages: initially, the growth is layer-by-layer; subsequently, two-dimensional precursor islands form, which transform into genuine three-dimensional islands. During the latter stage, island height and density increase with GaN coverage until the density saturates. During further GaN growth, the density remains constant and a bimodal height distribution appears. The variation of island height and density as a function of substrate temperature is discussed in the framework of an equilibrium model for Stranski-Krastanov growth.Comment: Submitted to PRB, 10 pages, 15 figure

Are Marine Protected Areas in the Turks and Caicos Islands ecologically or economically valuable?

Marine Protected Areas (MPAs) are often advocated by ecologists as a method of conserving valuable fish stocks while ensuring the integrity of ecological processes in the face of increasing anthropogenic disturbance. In the Turks and Caicos Islands there is little evidence that current MPAs are ecologically beneficial but there are indications that boundary changes may enhance queen conch and finfish production. Implementing boundary changes usually requires political will and, hence, quantifiable economic benefits. Assessing the value of reef fish is particularly important because they are potentially valuable for consumptive and nonconsumptive purposes. We demonstrate the nonconsumptive economic value of increased Nassau grouper size and abundance to the dive tourism industry through a paired comparison conjoint survey of visiting divers. Our results suggest that accounting for the non-consumptive economic value of increased Nassau grouper abundance and size may have a large impact on the economic viability of ecologically functional MPAs

Comparison of quantum mechanical and classical trajectory calculations of cross sections for ion-atom impact ionization of negative - and positive -ions for heavy ion fusion applications

Stripping cross sections in nitrogen have been calculated using the classical trajectory approximation and the Born approximation of quantum mechanics for the outer shell electrons of 3.2GeV I$^{-}$ and Cs$^{+}$ ions. A large difference in cross section, up to a factor of six, calculated in quantum mechanics and classical mechanics, has been obtained. Because at such high velocities the Born approximation is well validated, the classical trajectory approach fails to correctly predict the stripping cross sections at high energies for electron orbitals with low ionization potential.Comment: submitted to Phys. Rev.

Radially restricted linear energy transfer for high-energy protons: A new analytical approach

Radially restricted linear energy transfer (LET) is a basic physical parameter relevant to radiation biology and radiation protection. In this report a convenient method is presented for the analytical computation of this quantity without the need for complicated simulation. The method uses the energy-re-stricted LETL, as recently redefined in a 1993 ICRU draft document and supplements it by a relatively simple term that represents the energy of fast rays lost within distancer from the track core. The method provides a better fit than other models and is valid over the entire range of radial distance from track center to the maximum radial distance traveled by the most energetic secondary electrons.L r computed by this approach differs only a few percent from the values Contribution to the international symposium on heavy ions research: space, radiation protection and therapy, 21–24 March 1994, Sophia-Antipolis, Franc

Drag Reduction by Polymers in Wall Bounded Turbulence

We address the mechanism of drag reduction by polymers in turbulent wall bounded flows. On the basis of the equations of fluid mechanics we present a quantitative derivation of the "maximum drag reduction (MDR) asymptote" which is the maximum drag reduction attained by polymers. Based on Newtonian information only we prove the existence of drag reduction, and with one experimental parameter we reach a quantitative agreement with the experimental measurements.Comment: 4 pages, 1 fig., included, PRL, submitte