Maximum Entropy Distributions Inferred from Option Portfolios on an Asset

We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly. We give a simple and robust algorithm for our method and compare our results to theirs. We present numerical results which show that our approach implies very realistic volatility surfaces even when calibrating only to at-the-money options. Finally, we apply our approach to options on the S&P 500 index.Comment: 23 pages, 5 figures, to appear in Finance and Stochastic

Double swivel toggle release

A pyrotechnic actuated structural release device is disclosed which is mechanically two fault tolerant for release. The device comprises a fastener plate and fastener body each attachable to one of a pair of structures to be joined. The fastener plate and the fastener body are fastened by a dual swivel toggle member. The toggle member is supported at one end on the fastener plate and mounted for universal pivotal movement thereon. Its other end is received in a central opening in the fastener body, and has a universally mounted retainer ring member. The toggle member is restrained by three retractable latching pins symmetrically disposed in equiangular spacing about the axis of the toggle member and positionable in latching engagement with the retainer ring member on the toggle member. Each pin is retractable by a pyrotechnic charge, the expanding gases of which are applied to a pressure receiving face on the latch pins to effect retraction from the ring member. While retraction of all three pins releases the ring member, the fastener is mechanically two fault tolerant since the failure of any single one or pair of the latch pins to retract results in an asymmetrical loading on the ring member and its dual pivotal movement ensures a release

Advanced dosimetry systems for the space transport and space station

Advanced dosimetry system concepts are described that will provide automated and instantaneous measurement of dose and particle spectra. Systems are proposed for measuring dose rate from cosmic radiation background to greater than 3600 rads/hr. Charged particle spectrometers, both internal and external to the spacecraft, are described for determining mixed field energy spectra and particle fluxes for both real time onboard and ground-based computer evaluation of the radiation hazard. Automated passive dosimetry systems consisting of thermoluminescent dosimeters and activation techniques are proposed for recording the dose levels for twelve or more crew members. This system will allow automatic onboard readout and data storage of the accumulated dose and can be transmitted to ground after readout or data records recovered with each crew rotation

Crystallization of Carbon Oxygen Mixtures in White Dwarf Stars

We determine the phase diagram for dense carbon/ oxygen mixtures in White Dwarf (WD) star interiors using molecular dynamics simulations involving liquid and solid phases. Our phase diagram agrees well with predictions from Ogata et al. and Medin and Cumming and gives lower melting temperatures than Segretain et al. Observations of WD crystallization in the globular cluster NGC 6397 by Winget et al. suggest that the melting temperature of WD cores is close to that for pure carbon. If this is true, our phase diagram implies that the central oxygen abundance in these stars is less than about 60%. This constraint, along with assumptions about convection in stellar evolution models, limits the effective S factor for the $^{12}$C($\alpha,\gamma$)$^{16}$O reaction to S_{300} <= 170 keV barns.Comment: 4 pages, 2 figures, Phys. Rev. Lett. in pres

Constraining the Location of Microlensing Objects by using the Finite Source Effect in EAGLE events

We propose a new method to constrain the location of microlensing objects using EAGLE (Extremely Amplified Gravitational LEnsing) events. We have estimated the rate of EAGLE events by taking the finite-source effect in to account. We found that the EAGLE event rate for using a 1-m class telescope w hose limiting magnitude is $V \sim 21$ is the same as or higher than that of the ordinary microlensing events which have been found to date. We have also found that the fraction of transit EAGLE events is large enough to detect: between $4 \sim 80$ depending on the lens location. Since the lens proper motion can be measured for a transit event, one can distinguish whether the lens is a MACHO (MAssive Compact Halo Object) in our hal o or one of the known stars in the Large Magellanic Cloud (LMC) from the proper motion measurement for each transit EAGLE event. Moreover, we show that the fraction of transit EAGLEs in all EAGLE events signif icantly depends on the lensing locations: the transit EAGLE fraction for the sel f-lensing case is $2 \sim 15$ times larger than that for halo MACHOs. Thus, one can constrain the location of lens objects by the statistics of the tr ansit events fraction. We show that we can reasonably expect $0 \sim 6$ transit events out of 21 EAGLE events in 3 years. We can also constrain the lens population properties at a gre ater than 99% confidence level depending on the number of transit events de tected. We also present the duration of EAGLE events, and show how an hourly ob servational mode is more suitable for an EAGLE event search program.Comment: 18 pages, 4 figures, accepted for publication in Ap

A Climatology of Tropospheric Zonal-Mean Water Vapor Fields and Fluxes in Isentropic Coordinates

Based on reanalysis data for the years 1980–2001 from the European Centre for Medium-Range Weather Forecasts (ERA-40 data), a climatology of tropospheric zonal-mean water vapor fields and fluxes in isentropic coordinates is presented. In the extratropical free troposphere, eddy fluxes dominate the meridional flux of specific humidity along isentropes. At all levels, isentropic eddy fluxes transport water vapor from the deep Tropics through the subtropics into the extratropics. Isentropic eddy fluxes of specific humidity diverge near the surface and in the tropical and subtropical free troposphere; they converge in the extratropical free troposphere. Isentropic mean advective fluxes of specific humidity play a secondary role in the meridional water vapor transport in the free troposphere; however, they dominate the meridional flux of specific humidity near the surface, where they transport water vapor equatorward and, in the solstice seasons, across the equator. Cross-isentropic mean advective fluxes of specific humidity are especially important in the Hadley circulation, in whose ascending branches they moisten and in whose descending branches they dry the free troposphere. Near the minima of zonal-mean relative humidity in the subtropical free troposphere, the divergence of the cross-isentropic mean advective flux of specific humidity in the descending branches of the Hadley circulation is the dominant divergence in the mean specific humidity balance; it is primarily balanced by convergence of cross-isentropic turbulent fluxes that transport water vapor from the surface upward. Although there are significant isentropic eddy fluxes of specific humidity through the region of the subtropical relative humidity minima, their divergence near the minima is generally small compared with the divergence of cross-isentropic mean advective fluxes, implying that moistening by eddy transport from the Tropics into the region of the minima approximately balances drying by eddy transport into the extratropics. That drying by cross-isentropic mean subsidence near the subtropical relative humidity minima is primarily balanced by moistening by upward turbulent fluxes of specific humidity, likely in convective clouds, suggests cloud dynamics may play a central role in controlling the relative humidity of the subtropical free troposphere