Quadratic Hedging of Basis Risk

This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Follmer-Schweizer decomposition of a European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk-minimizing strategy. Furthermore, since the mean-variance tradeoff process is deterministic in our setup, the minimal martingale- and variance-optimal martingale measures coincide. Consequently, the mean-variance optimal strategy is easily constructed. Simple closed-form pricing and hedging formulae for put and call options are derived. Due to market incompleteness, these formulae depend on the drift parameters of the processes. By making a further equilibrium assumption, we derive an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested using Monte Carlo experiments, and are compared with recent results achieved using a utility maximization approach.Option hedging; incomplete markets; basis risk; local risk minimization; mean-variance hedging

Three undescribed pathogenic Phytophthora taxa from the south-west of Western Australia

The Phytophthora culture collection of the Vegetation Health Service of the Department of Environment and Conservation of Western Australia (WA) has been re-evaluated using DNA sequencing (Burgess et al., 2009). This has revealed many undescribed taxa previously classified as known morpho-species, one of which has recently been described as P. multivora (Scott et al., 2009). The aim of this study was to describe three of these taxa, all of which occur in WA native ecosystems. They were compared with both the morphological species to which they are most similar and their closest phylogenetic relatives. In addition, the pathogenicity of these taxa was assessed in glasshouse trials

Ecology of Tridacna in Palau

Species composition, distribution, standing crop biomass, spawning, and growth rate of Tridacnidae clams were studied in Palau, Western Caroline Islands. The population was composed of six species: Tridama gigas, T. derasa, T. squamosa, T. maxima, T. crocea, and Hippopus hippopus. In random transects, T. crocea was the most frequent and abundant, while T. derasa and T. gigas made up the largest proportion of the standing crop biomass. Spawning was induced artificially in T. squamosa by addition of macerated gonad from one individual to an aquarium containing other individuals, but larval development was not observed. The growth rate of tagged Tridacnidae was slow and further study will be required before an estimate of biomass production can be derived

Towards Quantum Gravity: A Framework for Probabilistic Theories with Non-Fixed Causal Structure

General relativity is a deterministic theory with non-fixed causal structure. Quantum theory is a probabilistic theory with fixed causal structure. In this paper we build a framework for probabilistic theories with non-fixed causal structure. This combines the radical elements of general relativity and quantum theory. The key idea in the construction is physical compression. A physical theory relates quantities. Thus, if we specify a sufficiently large set of quantities (this is the compressed set), we can calculate all the others. We apply three levels of physical compression. First, we apply it locally to quantities (actually probabilities) that might be measured in a particular region of spacetime. Then we consider composite regions. We find that there is a second level of physical compression for the composite region over and above the first level physical compression for the component regions. Each application of first and second level physical compression is quantified by a matrix. We find that these matrices themselves are related by the physical theory and can therefore be subject to compression. This is the third level of physical compression. This third level of physical compression gives rise to a new mathematical object which we call the causaloid. From the causaloid for a particular physical theory we can calculate verything the physical theory can calculate. This approach allows us to set up a framework for calculating probabilistic correlations in data without imposing a fixed causal structure (such as a background time). We show how to put quantum theory in this framework (thus providing a new formulation of this theory). We indicate how general relativity might be put into this framework and how the framework might be used to construct a theory of quantum gravity.Comment: 23 pages. For special issue of Journal of Physics A entitled "The quantum universe" in honour of Giancarlo Ghirard

Bohm's interpretation and maximally entangled states

Several no-go theorems showed the incompatibility between the locality assumption and quantum correlations obtained from maximally entangled spin states. We analyze these no-go theorems in the framework of Bohm's interpretation. The mechanism by which non-local correlations appear during the results of measurements performed on distant parts of entangled systems is explicitly put into evidence in terms of Bohmian trajectories. It is shown that a GHZ like contradiction of the type+1=-1 occurs for well-chosen initial positions of the Bohmian trajectories and that it is this essential non-classical feature that makes it possible to violate the locality condition.Comment: 18 page

Origin of the tetragonal-to-orthorhombic (nematic) phase transition in FeSe: a combined thermodynamic and NMR study

The nature of the tetragonal-to-orthorhombic structural transition at $T_s\approx90$ K in single crystalline FeSe is studied using shear-modulus, heat-capacity, magnetization and NMR measurements. The transition is shown to be accompanied by a large shear-modulus softening, which is practically identical to that of underdoped Ba(Fe,Co)$_2$As$_2$, suggesting very similar strength of the electron-lattice coupling. On the other hand, a spin-fluctuation contribution to the spin-lattice relaxation rate is only observed below $T_s$. This indicates that the structural, or "nematic", phase transition in FeSe is not driven by magnetic fluctuations

On the theory of magnetic field dependence of heat conductivity in dielectric in isotropic model

Phonon polarization in a magnetic field is analyzed in isotropic model. It is shown, that at presence of spin-phonon interaction phonon possess circular polari-zation which causes the appearance of heat flux component perpendicular both to temperature gradient and magnetic field.Comment: 5 pages, 0 figure