Option pricing models without probability: a rough paths approach

We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European options. The continuity properties of rough-paths allow us to generalise the so-called fundamental theorem of derivative trading, showing that a small misspecification of the model will yield only a small excess profit or loss of the replication strategy. Our hedging strategy is an enhanced version of classical delta hedging where we use volatility swaps to hedge the second order terms arising in rough-path integrals, resulting in improved robustness

Plasma 2020 - Intracluster Medium Plasmas

Galaxy clusters are the largest and most massive bound objects resulting from cosmic hierarchical structure formation. Baryons account for somewhat more than 10% of that mass, with roughly 90% of the baryonic matter distributed throughout the clusters as hot ($T>1$ keV), high-$\beta$, very weakly collisional plasma; the so-called "intracluster medium" (ICM). Cluster mergers, close gravitational encounters and accretion, along with violent feedback from galaxies and relativistic jets from active galactic nuclei, drive winds, gravity waves, turbulence and shocks within the ICM. Those dynamics, in turn, generate cluster-scale magnetic fields and accelerate and mediate the transport of high-energy charged particles. Kinetic-scale, collective plasma processes define the basic character and fundamental signatures of these ICM phenomena, which are observed primarily by X-ray and radio astronomers.Comment: 5 pages, 2 figures, submitted for the 2020 Decadal Assessment of Plasma Scienc

Non-Geometric Rough Paths on Manifolds

We provide a theory of manifold-valued rough paths of bounded 3 > p-variation, which we do not assume to be geometric. Rough paths are defined in charts, and coordinate-free (but connection-dependent) definitions of the rough integral of cotangent bundle-valued controlled paths, and of RDEs driven by a rough path valued in another manifold, are given. When the path is the realisation of semimartingale we recover the theory of It\^o integration and SDEs on manifolds [\'E89]. We proceed to present the extrinsic counterparts to our local formulae, and show how these extend the work in [CDL15] to the setting of non-geometric rough paths and controlled integrands more general than 1-forms. In the last section we turn to parallel transport and Cartan development: the lack of geometricity leads us to make the choice of a connection on the tangent bundle of the manifold TM, which figures in an It\^o correction term in the parallelism RDE; such connection, which is not needed in the geometric/Stratonovich setting, is required to satisfy properties which guarantee well-definedness, linearity, and optionally isometricity of parallel transport. We conclude by providing numerous examples, some accompanied by numerical simulations, which explore the additional subtleties introduced by our change in perspective

Studies of current collection configurations and sealing for tubular hybrid-DCFC

Direct Carbon Fuel Cells (DCFC) offer efficient conversion of coal or biomass derived carbons to electricity. A Hybrid Direct Carbon Fuel Cell (HDCFC) is a type of DCFCs that combines solid oxide cell geometry with a molten carbonate fuel cell electrode. This study focused on investigating different current collection configurations and sealant for tubular HDCFC concept. A HDCFC used a gadolinia doped ceria (GDC) or a YSZ as the electrolyte, in composites with NiO and LSM as the anode and the cathode, respectively. Three different current collection configurations of HDCFC were investigated by AC impedance in order to study the electrochemical phenomena that occur at the electrodes surface. The AC impedance results showed that both the surface area and the position of the current collector inside of the anode chamber affect drastically both the series resistance (Rs) and the polarisation resistance (Rp) values. The lowest total resistance (Rtot) was achieved on Configuration b with silver wire interwoven nickel mesh attached to the side of the anode wall by silver paste (Rtot = 2.98 Ω) and while the highest Rtot was achieved on the configuration c with silver wire interwoven nickel mesh inserted into the mixture of carbon and carbonate (Rtot = 149 Ω). The leak test carried out on several sealants demonstrated that composite sealants of Toku P-24 paste and an alumina silicate disc produced a low degree of leaks due to both the high resistance to the carbonate mixture and high density sealing after curing compared to the ceramabond.PostprintPeer reviewe

T1 reduction rate with Gd-EOB-DTPA determines liver function on both 1.5 T and 3 T MRI.

Magnetic resonance T1 mapping before and after Gd-EOB-DTPA administration allows quantification of the T1 reduction rate as a non-invasive surrogate marker of liver function. A major limitation of T1 relaxation time measurement is its dependency on MRI field strengths. Since T1 reduction rate is calculated as the relative shortening of T1 relaxation time before and after contrast administration, we hypothesized that the T1 reduction rate is comparable between 1.5 and 3 T. We thus compared liver T1 relaxation times between 1.5 and 3 T in a total of 243 consecutive patients (124, 1.5 T and 119, 3 T) between 09/2018 and 07/2019. T1 reduction rates were compared between patients with no cirrhosis and patients with cirrhosis Child-Pugh A-C. There was no significant difference of T1 reduction rate between 1.5 and 3 T in any patient group (p-value 0.126-0.861). On both 1.5 T and 3 T, T1 reduction rate allowed to differentiate between patients with no cirrhosis and patients with liver cirrhosis Child A-C (p < 0.001). T1 reduction rate showed a good performance to predict liver cirrhosis Child A (AUC = 0.83, p < 0.001), Child B (AUC = 0.83, p < 0.001) and Child C (AUC = 0.92, p < 0.001). In conclusion, T1 reduction rate allows to determine liver function on Gd-EOB-DTPA MRI with comparable values on 1.5 T and 3 T

Projectable Horava-Lifshitz gravity in a nutshell

Approximately one year ago Horava proposed a power-counting renormalizable theory of gravity which abandons local Lorentz invariance. The proposal has been received with growing interest and resulted in various different versions of Horava-Lifshitz gravity theories, involving a colourful potpourri of new terminology. In this proceedings contribution we first motivate and briefly overview the various different approaches, clarifying their differences and similarities. We then focus on a model referred to as projectable Horava-Lifshitz gravity and summarize the key results regarding its viability.Comment: 8 pages, no figures, to appear in the proceedings of First Mediterranean Conference on Classical and Quantum Gravity Conference (MCCQG), Kolymbari (Crete, Greece), September 14-18, 200

MDDPro: Model-Driven Dependability Provisioning in Enterprise Distributed Real-Time and Embedded Systems

Abstract Service oriented architecture (SOA) design principles are increasingly being adopted to develop distributed real-time and embedded (DRE) systems, such as avionics mission computing, due to the availability of real-time component middleware platforms. Traditional approaches to fault tolerance that rely on replication and recovery of a single server or a single host do not work in this paradigm since the fault management schemes must now account for the timely and simultaneous failover of groups of entities while improving system availability by minimizing the risk of simultaneous failures of replicated entities. This paper describes MDDPro, a model-driven dependability provisioning tool for DRE systems. MDDPro provides intuitive modeling abstractions to specify failover requirements of DRE systems at different granularities. MDDPro enables plugging in different replica placement algorithms to improve system availability. Finally, its generative capabilities automate the deployment and configuration of the DRE system on the underlying platforms