Shapes of implied volatility with positive mass at zero

We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and the overall level of the smile. We further show that the behaviour at small strikes is uniquely determined by the mass of the atom up to high asymptotic order, under mild assumptions on the remaining distribution on the positive real line. We investigate the structural di erence with the no-mass-at-zero case, showing how one can{ theoretically{distinguish between mass at the origin and a heavy-left-tailed distribution. We numerically test our model-free results in stochastic models with absorption at the boundary, such as the CEV process, and in jump-to-default models. Note that while Lee's moment formula [ 25 ] tells that implied variance is at most asymptotically linear in log-strike, other celebrated results for exact smile asymptotics such as [ 3 , 17 ] do not apply in this setting{essentially due to the breakdown of Put-Call duality

Recent developments in X-ray diffraction/scattering computed tomography for materials science

X-ray diffraction/scattering computed tomography (XDS-CT) methods are a non-destructive class of chemical imaging techniques that have the capacity to provide reconstructions of sample cross-sections with spatially resolved chemical information. While X-ray diffraction CT (XRD-CT) is the most well-established method, recent advances in instrumentation and data reconstruction have seen greater use of related techniques like small angle X-ray scattering CT and pair distribution function CT. Additionally, the adoption of machine learning techniques for tomographic reconstruction and data analysis are fundamentally disrupting how XDS-CT data is processed. The following narrative review highlights recent developments and applications of XDS-CT with a focus on studies in the last five years. This article is part of the theme issue 'Exploring the length scales, timescales and chemistry of challenging materials (Part 2)'

Dark matter annihilation and the Galactic Centre Excess

We compare the surface brightness profile and morphology of the Galactic Centre Excess (GCE) identified in wide-angle γ-ray maps from the Fermi-Large Area Telescope (LAT) to dark matter annihilation predictions derived from high-resolution Λ cold dark matter magnetohydrodynamic simulations of galaxy formation. These simulations produce isolated, disc-dominated galaxies with structure, stellar populations, gas content, and stellar and halo masses comparable to those of the Milky Way. For a specific choice of annihilation cross-section, they agree well with the Fermi-LAT data over the full observed angular range, 1°-15°, whereas their dark-matter-only counterparts, lacking any compression of the inner halo by the gravitational effects of the baryons, fail to predict emission as centrally concentrated as observed. These results provide additional support to the hypothesis that the GCE is produced by annihilating dark matter. If, however, it is produced by a different mechanism, they imply a strong upper limit on annihilation rates, which can be translated into upper limits on the expected γ-ray flux not only from the inner Galaxy, but also from any substructure, with or without stars, in the Galactic halo

Removing multiple outliers and single-crystal artefacts from X-ray diffraction computed tomography data

This paper reports a simple but effective filtering approach to deal with single-crystal artefacts in X-ray diffraction computed tomography (XRD-CT). In XRD-CT, large crystallites can produce spots on top of the powder diffraction rings, which, after azimuthal integration and tomographic reconstruction, lead to line/streak artefacts in the tomograms. In the simple approach presented here, the polar transform is taken of collected two-dimensional diffraction patterns followed by directional median/mean filtering prior to integration. Reconstruction of one-dimensional diffraction projection data sets treated in such a way leads to a very significant improvement in reconstructed image quality for systems that exhibit powder spottiness arising from large crystallites. This approach is not computationally heavy which is an important consideration with big data sets such as is the case with XRD-CT. The method should have application to two-dimensional X-ray diffraction data in general where such spottiness arises

Interlaced X-ray diffraction computed tomography

An X-ray diffraction computed tomography data-collection strategy that allows, post experiment, a choice between temporal and spatial resolution is reported. This strategy enables time-resolved studies on comparatively short timescales, or alternatively allows for improved spatial resolution if the system under study, or components within it, appear to be unchanging. The application of the method for studying an Mn–Na–W/SiO2 fixed-bed reactor in situ is demonstrated. Additionally, the opportunities to improve the data-collection strategy further, enabling post-collection tuning between statistical, temporal and spatial resolutions, are discussed. In principle, the interlaced scanning approach can also be applied to other pencil-beam tomographic techniques, like X-ray fluorescence computed tomography, X-ray absorption fine structure computed tomography, pair distribution function computed tomography and tomographic scanning transmission X-ray microscopy

How Filaments are Woven into the Cosmic Web

Observations indicate galaxies are distributed in a filament-dominated web-like structure. Numerical experiments at high and low redshift of viable structure formation theories also show filament-dominance. We present a simple quantitative explanation of why this is so, showing that the final-state web is actually present in embryonic form in the overdensity pattern of the initial fluctuations, with nonlinear dynamics just sharpening the image. The web is largely defined by the position and primordial tidal fields of rare events in the medium, with the strongest filaments between nearby clusters whose tidal tensors are nearly aligned. Applications of the cosmic web theory to observations include probing cluster-cluster bridges by weak gravitational lensing, X-rays, and the Sunyaev-Zeldovich effect and probing high redshift galaxy-galaxy bridges by low column density Lyman alpha absorption lines.Comment: 9 pages, gzipped uuencoded postscript file, 4 figures in separate files. The text + figures are also available from anonymous ftp site: ftp://ftp.cita.utoronto.ca/ftp/cita/bond/bkp_natur

Baryonic effects on the detectability of annihilation radiation from dark matter subhaloes around the Milky Way

We use six, high-resolution Λ-cold dark matter (ΛCDM) simulations of galaxy formation to study how emission from dark matter annihilation is affected by baryonic processes. These simulations produce isolated, disc-dominated galaxies with structure, stellar populations, and stellar and halo masses comparable to those of the Milky Way. They resolve dark matter structures with mass above ∼106 M⊙ and are each available in both full-physics and dark-matter-only versions. In the full-physics case, formation of the stellar galaxy enhances annihilation radiation from the dominant smooth component of the galactic halo by a factor of 3, and its central concentration increases substantially. In contrast, subhalo fluxes are reduced by almost an order of magnitude, partly because of changes in internal structure, partly because of increased tidal effects; they drop relative to the flux from the smooth halo by 1.5 orders of magnitude. The expected flux from the brightest Milky Way subhalo is four orders of magnitude below that from the smooth halo, making it very unlikely that any subhalo will be detected before robust detection of the inner Galaxy. We use recent simulations of halo structure across the full ΛCDM mass range to extrapolate to the smallest (Earth-mass) subhaloes, concluding, in contrast to earlier work, that the total annihilation flux from Milky Way subhaloes will be less than that from the smooth halo, as viewed both from the Sun and by a distant observer. Fermi-Large Area Telescope may marginally resolve annihilation radiation from the very brightest subhaloes, which, typically, will contain stars

X-ray physico-chemical imaging during activation of cobalt-based Fischer-Tropsch synthesis catalysts

The imaging of catalysts and other functional materials under reaction conditions has advanced significantly in recent years. The combination of the computed tomography (CT) approach with methods such as X-ray diffraction (XRD), X-ray fluorescence (XRF) and X-ray absorption near-edge spectroscopy (XANES) now enables local chemical and physical state information to be extracted from within the interiors of intact materials which are, by accident or design, inhomogeneous. In this work, we follow the phase evolution during the initial reduction step(s) to form Co metal, for Co-containing particles employed as Fischer–Tropsch synthesis (FTS) catalysts; firstly, working at small length scales (approx. micrometre spatial resolution), a combination of sample size and density allows for transmission of comparatively low energy signals enabling the recording of ‘multimodal’ tomography, i.e. simultaneous XRF–CT, XANES–CT and XRD–CT. Subsequently, we show high-energy XRD–CT can be employed to reveal extent of reduction and uniformity of crystallite size on millimetre-sized TiO2 trilobes. In both studies, the CoO phase is seen to persist or else evolve under particular operating conditions and we speculate as to why this is observed

Non-BBN Constraints On The Key Cosmological Parameters

Since the baryon-to-photon ratio "eta" is in some doubt at present, we ignore the constraints on eta from big bang nucleosynthesis (BBN) and fit the three key cosmological parameters (h, Omega_M, eta) to four other observational constraints: Hubble parameter, age of the universe, cluster gas (baryon) fraction, and effective shape parameter "Gamma". We consider open and flat CDM models and flat "Lambda"-CDM models, testing goodness of fit and drawing confidence regions by the Delta-chi^2 method. CDM models with Omega_M = 1 (SCDM models) are accepted only because we allow a large error on h, permitting h < 0.5. Open CDM models are accepted only for Omega_M \gsim 0.4. Lambda-CDM models give similar results. In all of these models, large eta (\gsim 6) is favored strongly over small eta, supporting reports of low deuterium abundances on some QSO lines of sight, and suggesting that observational determinations of primordial 4He may be contaminated by systematic errors. Only if we drop the crucial Gamma constraint are much lower values of Omega_M and eta permitted.Comment: 12 pages, Kluwer Latex, 2 Postscript figures, to appear in the proceedings of the ISSI Workshop, "The Primordial Nuclei and Their Galactic Evolution" (Bern, May 6-10, 1997), ed. N. Prantzos, M. Tosi, and R. von Steiger (Kluwer, Dordrecht