Optimal quantization for the pricing of swing options

In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.Comment: 27

Linearized force constants method for lattice dynamics in mixed semiconductors

A simple and accurate method of calculating phonon spectra in mixed semiconductors alloys, on the basis of preliminarily (from first principles) relaxed atomic structure, is proposed and tested for (Zn,Be)Se and (Ga,In)As solid solutions. The method uses an observation that the interatomic force constants, calculated ab initio for a number of microscopic configurations in the systems cited, show a clear linear variation of the main (diagonal) values of the interatomic force constants with the corresponding bond length. We formulate simple rules about how to recover the individual 3x3 subblocks of the force constants matrix in their local (bonds-related) coordinate systems and how to transform them into a global (crystal cell-related) coordinate system. Test calculations done for 64-atom supercells representing different concentrations of (Zn,Be)Se and (Ga,In)As show that the phonon frequencies and compositions of eigenvectors are faithfully reproduced in a linearized force constants calculation, as compared to true ab initio calculations.Comment: to appear in the proceedings of the Phonons2007 conference (Paris, July 2007

Suppressing magnetization exchange effects in stimulated-echo diffusion experiments

AbstractExchange of nuclear magnetization between spin pools, either by chemical exchange or by cross-relaxation or both, has a significant influence on the signal attenuation in stimulated-echo-type pulsed field gradient experiments. Hence, in such cases the obtained molecular self-diffusion coefficients can carry a large systematic error. We propose a modified stimulated echo pulse sequence that contains T2-filters during the z-magnetization store period. We demonstrate, using a common theoretical description for chemical exchange and cross-relaxation, that these filters suppress the effects of exchange on the diffusional decay in that frequent case where one of the participating spin pools is immobile and exhibits a short T2. We demonstrate the performance of this experiment in an agarose/water gel. We posit that this new experiment has advantages over other approaches hitherto used, such as that consisting of measuring separately the magnetization exchange rate, if suitable by Goldman–Shen type experiments, and then correcting for exchange effects within the framework of a two-site exchange model. We also propose experiments based on selective decoupling and applicable in systems with no large T2 difference between the different spin pools

Lattice dynamics of mixed semiconductors (Be,Zn)Se from first-principles calculations

Vibration properties of Zn(1-x)Be(x)Se, a mixed II-VI semiconductor haracterized by a high contrast in elastic properties of its pure constituents, ZnSe and BeSe, are simulated by first-principles calculations of electronic structure, lattice relaxation and frozen phonons. The calculations within the local density approximation has been done with the Siesta method, using norm-conserving pseudopotentials and localized basis functions; the benchmark calculations for pure endsystems were moreover done also by all-electron WIEN2k code. An immediate motivation for the study was to analyze, at the microscopic level, the appearance of anomalous phonon modes early detected in Raman spectra in the intermediate region (20 to 80%) of ZnBe concentration. This was early discussed on the basis of a percolation phenomenon, i.e., the result of the formation of wall-to-wall --Be--Se-- chains throughout the crystal. The presence of such chains was explicitly allowed in our simulation and indeed brought about a softening and splitting off of particular modes, in accordance with experimental observation, due to a relative elongation of Be--Se bonds along the chain as compared to those involving isolated Be atoms. The variation of force constants with interatomic distances shows common trends in relative independence on the short-range order.Comment: 11 pages, 10 figures, to be published in Phys. Rev.

An Algebraic Formula for Two Loop Renormalization of Scalar Quantum Field Theory

We give a general formula for the two-loop renormalization counterterms of a scalar quantum field theory with interactions containing up to two derivatives, which extends 't Hooft's one-loop result. We show that factorizable topologies do not contribute to the renormalization group equations. The results will be combined with the geometric method in a subsequent paper to obtain the renormalization group equations for the scalar sector of effective field theories (EFT) to two-loop order.Comment: 25 pages, 8 figure

Two Loop Renormalization of Scalar Theories using a Geometric Approach

We derive a general formula for two-loop counterterms in Effective Field Theories (EFTs) using a geometric approach. This formula allows the two-loop results of our previous paper to be applied to a wide range of theories. The two-loop results hold for loop graphs in EFTs where the interaction vertices contain operators of arbitrarily high dimension, but at most two derivatives. We also extend our previous one-loop result to include operators with an arbitrary number of derivatives, as long as there is at most one derivative acting on each field. The final result for the two-loop counterterms is written in terms of geometric quantities such as the Riemann curvature tensor of the scalar manifold and its covariant derivatives. As applications of our results, we give the two-loop counterterms and renormalization group equations for the O(n) EFT to dimension six, the scalar sector of the Standard Model Effective Field Theory (SMEFT) to dimension six, and chiral perturbation theory to order $p^6$.Comment: ChPT results to O($p^6$) now agree with Bijnens, Colangelo, and Ecker, hep-ph/990733

The predictive value of psychological assessment of candidates for gastric bypass: A medical chart review

Background and Objectives: Guidelines for bariatric surgery demand a psychological evaluation of applicants. The aim of this study was to evaluate if the presence of "psychological risk factors" predicts postoperative weight loss after gastric bypass. Methods: Medical records of obese women who underwent bariatric surgery between 2000 and 2004 were reviewed. Psychological assessment consisted of a one-hour semi-structured interview, summarized in a written report. Anthropometric assessment at baseline and 6,12,18 and 24 months after surgery included body weight, height and body mass index. Results: The mean BMI of included patients (N = 92) was 46.2 + 6,3 kg/m2 (range 38.4 - 69.7). Based on the psychological assessment, 27% (N = 25) of the patients were classified as having "psychological risk factors" and 28% (N = 26) were diagnosed with a psychiatric diagnosis, most often major depression. Two years after gastric bypass, 16% of patients with "psychological risk factors" achieved an excellent result (%EWL > 75) versus 39% of those without (p < 0.05). About 1 out of 4 patients was in postoperative psychiatric treatment, but only half of them were identified as having "psychological risk factors" at baseline. Weight loss of patients initiating a psychiatric treatment only after surgery was less than of patients who continued psychiatric treatment already initiated before surgery (55.7 + 14.8 versus 66.5 + 14.2 %EWL). Conclusions: A single semi-structured psychological interview may identify patients who are at risk for diminished postoperative weight loss; however, psychological assessment did not identify those patients who were in need of a psychiatric postoperative treatment