1,183 research outputs found

    Stress corrosion cracking of copper-manganese alloys-effect of some chemical variables

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    OCCURRENCE of stress corrosion cracking in binary copper-manganese alloys in the presence of ammonia has been first reported by Lahiri1 where it has also been observed that Mattsson's solution2 comprising CuSO4, 5H2O and (NH4)2SO4 and ammonia, a very aggressive medium for stress corrosion cracking of brass, is very much effective in producing ready cracking in copper-manganese alloys. Coppermanganese system provides a wide range of solid solution; in this respect it is comparable to the copperzinc system, the stress corrosion studies of which have been carried out extensively. A few recent papers3'4'5 deal with the elect-rochemical aspects of stress corrosion cracking of alpha brass in Mattsson's solution. In this context it will be of interest to study the behaviour of homogeneous copper-manganese alloys under the variable conditions of Matt-sson's solution to get an insight into the mechanism of stress corrosion cracking

    Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

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    We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound

    Eroding market stability by proliferation of financial instruments

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    We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and complete. In the simple market of interacting traders discussed here, the proliferation of financial instruments erodes systemic stability and it drives the market to a critical state characterized by large susceptibility, strong fluctuations and enhanced correlations among risks. This suggests that the hypothesis of APT may not be compatible with a stable market dynamics. In this perspective, market stability acquires the properties of a common good, which suggests that appropriate measures should be introduced in derivative markets, to preserve stability.Comment: 26 pages, 8 figure

    Non-relativistic metrics from back-reacting fermions

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    It has recently been pointed out that under certain circumstances the back-reaction of charged, massive Dirac fermions causes important modifications to AdS_2 spacetimes arising as the near horizon geometry of extremal black holes. In a WKB approximation, the modified geometry becomes a non-relativistic Lifshitz spacetime. In three dimensions, it is known that integrating out charged, massive fermions gives rise to gravitational and Maxwell Chern-Simons terms. We show that Schrodinger (warped AdS_3) spacetimes exist as solutions to a gravitational and Maxwell Chern-Simons theory with a cosmological constant. Motivated by this, we look for warped AdS_3 or Schrodinger metrics as exact solutions to a fully back-reacted theory containing Dirac fermions in three and four dimensions. We work out the dynamical exponent in terms of the fermion mass and generalize this result to arbitrary dimensions.Comment: 26 pages, v2: typos corrected, references added, minor change

    Entangled Dilaton Dyons

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    Einstein-Maxwell theory coupled to a dilaton is known to give rise to extremal solutions with hyperscaling violation. We study the behaviour of these solutions in the presence of a small magnetic field. We find that in a region of parameter space the magnetic field is relevant in the infra-red and completely changes the behaviour of the solution which now flows to an AdS2×R2AdS_2\times R^2 attractor. As a result there is an extensive ground state entropy and the entanglement entropy of a sufficiently big region on the boundary grows like the volume. In particular, this happens for values of parameters at which the purely electric theory has an entanglement entropy growing with the area, AA, like Alog(A)A \log(A) which is believed to be a characteristic feature of a Fermi surface. Some other thermodynamic properties are also analysed and a more detailed characterisation of the entanglement entropy is also carried out in the presence of a magnetic field. Other regions of parameter space not described by the AdS2×R2AdS_2\times R^2 end point are also discussed.Comment: Some comments regarding comparison with weakly coupled Fermi liquid changed, typos corrected and caption of a figure modifie

    Systemic Risk and Default Clustering for Large Financial Systems

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    As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the distribution in large systems and study quantities such as the loss distribution in large portfolios. Large deviations analysis allow us to study the tail of the loss distribution and to identify pathways to default clustering. Sensitivity analysis allows to understand the most likely ways in which different effects, such as contagion and systematic risks, combine to lead to large default rates. Such results could give useful insights into how to optimally safeguard against such events.Comment: in Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015

    Origin of ferromagnetic response in diluted magnetic semiconductors and oxides

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    This paper reviews the present understanding of the origin of ferromagnetic response of diluted magnetic semiconductors and diluted magnetic oxides as well as in some nominally magnetically undoped materials. It is argued that these systems can be grouped into four classes. To the first belong composite materials in which precipitations of a known ferromagnetic, ferrimagnetic or antiferromagnetic compound account for magnetic characteristics at high temperatures. The second class forms alloys showing chemical nano-scale phase separation into the regions with small and large concentrations of the magnetic constituent. To the third class belong (Ga,Mn)As, heavily doped p-(Zn,Mn)Te, and related semiconductors. In these solid solutions the theory built on p-d Zener's model of hole-mediated ferromagnetism and on either the Kohn-Luttinger kp theory or the multi-orbital tight-binding approach describes qualitatively, and often quantitatively many relevant properties. Finally, in a number of carrier-doped DMS and DMO a competition between long-range ferromagnetic and short-range antiferromagnetic interactions and/or the proximity of the localisation boundary lead to an electronic nano-scale phase separation.Comment: review, 19 pages, 4 figure
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