Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type

We study the valuation of American-type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001). We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condition

Liquidity Risk, Price Impacts and the Replication Problem

We extend a linear version of the liquidity risk model of Cetin et al. (2004) to allow for price impacts. We show that the impact of a market order on prices depends on the size of the transaction and the level of liquidity. We obtain a simple characterization of self-financing trading strategies and a sufficient condition for no arbitrage. We consider a stochastic volatility model in which the volatility is partly correlated with the liquidity process and show that, with the use of variance swaps, contingent claims whose payoffs depend on the value of the asset can be approximately replicated in this setting. The replicating costs of such payoffs are obtained from the solutions of BSDEs with quadratic growth and analytical properties of these solutions are investigated

Coherent population trapping of a single nuclear spin under ambient conditions

Coherent control of quantum systems has far-reaching implications in quantum engineering. In this context, coherent population trapping (CPT) involving dark resonances has played a prominent role, leading to a wealth of major applications including laser cooling of atoms and molecules, optical magnetometry, light storage and highly precise atomic clocks. Extending CPT methods to individual solid-state quantum systems has been only achieved in cryogenic environments for electron spin impurities and superconducting circuits. Here, we demonstrate efficient CPT of a single nuclear spin in a room temperature solid. To this end, we make use of a three-level system with a $\Lambda$-configuration in the microwave domain, which consists of nuclear spin states addressed through their hyperfine coupling to the electron spin of a single nitrogen-vacancy defect in diamond. Dark state pumping requires a relaxation mechanism which, in atomic systems, is simply provided by spontaneous emission. In this work, the relaxation process is externally controlled through incoherent optical pumping and separated in time from consecutive coherent microwave excitations of the nuclear spin $\Lambda$-system. Such a pumping scheme with controlled relaxation allows us (i) to monitor the sequential accumulation of population into the dark state and (ii) to reach a new regime of CPT dynamics for which periodic arrays of dark resonances can be observed, owing to multiple constructive interferences. This work offers new prospects for quantum state preparation, information storage in hybrid quantum systems and metrology.Comment: 13 pages including supplementary information, links to figures correcte

Coherent population trapping of a single nuclear spin under ambient conditions

Coherent control of quantum systems has far-reaching implications in quantum engineering. In this context, coherent population trapping (CPT) involving dark resonances has played a prominent role, leading to a wealth of major applications including laser cooling of atoms and molecules, optical magnetometry, light storage and highly precise atomic clocks. Extending CPT methods to individual solid-state quantum systems has been only achieved in cryogenic environments for electron spin impurities and superconducting circuits. Here, we demonstrate efficient CPT of a single nuclear spin in a room temperature solid. To this end, we make use of a three-level system with a $\Lambda$-configuration in the microwave domain, which consists of nuclear spin states addressed through their hyperfine coupling to the electron spin of a single nitrogen-vacancy defect in diamond. Dark state pumping requires a relaxation mechanism which, in atomic systems, is simply provided by spontaneous emission. In this work, the relaxation process is externally controlled through incoherent optical pumping and separated in time from consecutive coherent microwave excitations of the nuclear spin $\Lambda$-system. Such a pumping scheme with controlled relaxation allows us (i) to monitor the sequential accumulation of population into the dark state and (ii) to reach a new regime of CPT dynamics for which periodic arrays of dark resonances can be observed, owing to multiple constructive interferences. This work offers new prospects for quantum state preparation, information storage in hybrid quantum systems and metrology.Comment: 13 pages including supplementary information, links to figures correcte

Magnetometry with nitrogen-vacancy defects in diamond

The isolated electronic spin system of the Nitrogen-Vacancy (NV) centre in diamond offers unique possibilities to be employed as a nanoscale sensor for detection and imaging of weak magnetic fields. Magnetic imaging with nanometric resolution and field detection capabilities in the nanotesla range are enabled by the atomic-size and exceptionally long spin-coherence times of this naturally occurring defect. The exciting perspectives that ensue from these characteristics have triggered vivid experimental activities in the emerging field of "NV magnetometry". It is the purpose of this article to review the recent progress in high-sensitivity nanoscale NV magnetometry, generate an overview of the most pertinent results of the last years and highlight perspectives for future developments. We will present the physical principles that allow for magnetic field detection with NV centres and discuss first applications of NV magnetometers that have been demonstrated in the context of nano magnetism, mesoscopic physics and the life sciences.Comment: Review article, 28 pages, 16 figure