Arbitrage Bounds for Prices of Weighted Variance Swaps

We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce them. We find that market quotes for variance swaps are surprisingly close to the model-free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi-infinite linear programming which we solve in detail. The upper bound is explicit. We work in a model-independent and probability-free setup. In particular we use and extend F\"ollmer's pathwise stochastic calculus. Appropriate notions of arbitrage and admissibility are introduced. This allows us to establish the usual hedging relation between the variance swap and the 'log contract' and similar connections for weighted variance swaps. Our results take form of a FTAP: we show that the absence of (weak) arbitrage is equivalent to the existence of a classical model which reproduces the observed prices via risk-neutral expectations of discounted payoffs.Comment: 25 pages, 4 figure

Toward Microstate Counting Beyond Large N in Localization and the Dual One-loop Quantum Supergravity

The topologically twisted index for ABJM theory with gauge group $U(N)_k \times U(N)_{-k}$ has recently been shown, in the large-$N$ limit, to reproduce the Bekenstein-Hawking entropy of certain magnetically charged asymptotically AdS$_4$ black holes. We numerically study the index beyond the large-$N$ limit and provide evidence that it contains a subleading logarithmic term of the form $-1/2\log N$. On the holographic side, this term naturally arises from a one-loop computation. However, we find that the contribution coming from the near horizon states does not reproduce the field theory answer. We give some possible reasons for this apparent discrepancy.Comment: 17 pages, 2 figures, discussion improve

Extreme events and event size fluctuations in biased random walks on networks

Random walk on discrete lattice models is important to understand various types of transport processes. The extreme events, defined as exceedences of the flux of walkers above a prescribed threshold, have been studied recently in the context of complex networks. This was motivated by the occurrence of rare events such as traffic jams, floods, and power black-outs which take place on networks. In this work, we study extreme events in a generalized random walk model in which the walk is preferentially biased by the network topology. The walkers preferentially choose to hop toward the hubs or small degree nodes. In this setting, we show that extremely large fluctuations in event-sizes are possible on small degree nodes when the walkers are biased toward the hubs. In particular, we obtain the distribution of event-sizes on the network. Further, the probability for the occurrence of extreme events on any node in the network depends on its 'generalized strength', a measure of the ability of a node to attract walkers. The 'generalized strength' is a function of the degree of the node and that of its nearest neighbors. We obtain analytical and simulation results for the probability of occurrence of extreme events on the nodes of a network using a generalized random walk model. The result reveals that the nodes with a larger value of 'generalized strength', on average, display lower probability for the occurrence of extreme events compared to the nodes with lower values of 'generalized strength'

Compiling Esterel into Static Discrete-Event Code

Executing concurrent specifications on sequential hardware is important for both simulation of systems that are eventually implemented on concurrent hardware and for those most conveniently described as a set of concurrent processes. As with most forms of simulation, this is easy to do correctly but difficult to do efficiently. Solutions such as preemptive operating systems and discrete-event simulators present significant overhead. In this paper, we present a technique for compiling the concurrent language Esterel into very efficient C code. Our technique minimizes runtime overhead by making most scheduling decisions at compile time and using a very simple linked-list-based event queue at runtime. While these techniques work particularly well for Esterel with its high-level concurrent semantics, the same technique could also be applied to efficiently execute other concurrent specifications

Sexual Behavior, Pregnancy, and Schooling Among Young People in Urban South Africa

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/74879/1/j.1728-4465.2008.00180.x.pd

Spectra of certain holographic ABJM Wilson loops in higher rank representations

The holographic configurations dual to Wilson loops in higher rank representations in the ABJM theory are described by branes with electric flux along their world volumes. In particular, D2 and D6 branes with electric flux play a central role as potential dual to totally symmetric and totally antisymmetric representations, respectively. We compute the spectra of excitations of these brane configurations in both, the bosonic and fermionic sectors. We highlight a number of aspects that distinguish these configurations from their D3 and D5 cousins including new peculiar mixing terms in the fluctuations. We neatly organize the spectrum of fluctuations into the corresponding supermultiplets

Effect of diagonal path on the physical properties of compact and conventional ring yarn

Effect of diagonal path on the physical properties of compact and conventional ring yarns has been investigated. The compact and conventional ring yarns have been spun using three completely different paths in the ring frame, like normal path, right diagonal path and left diagonal path. The yarn spun by the left diagonal path has an additional advantage over the other two paths for both conventional ring yarn and compact yarn in terms of yarn hairiness, yarn evenness, tenacity, elongation and breaking force

A Study of Electrocardiographic Changes in Patients with Chronic Kidney Disease

BACKGROUND AND OBJECTIVES: Cardiovascular disease (CVD) is the leading cause of morbidity and mortality in patients with Chronic kidney disease (CKD). The mortality due to cardiovascular disease is 15-30 times higher in dialysis patients. Our aim is to study Electrocardiographic changes in patients with CKD. MATERIALS AND METHODS: 75 consecutive patients of CKD admitted in Thanjavur Medical College Hospital were taken up for the study. Patients were evaluated with history, general examination, systemic examination, Blood investigations, ECG, etc., RESULTS: In our study changes in ECG among CKD patients constituted to around 71% of the study population. The commonest ECG finding was Left ventricular hypertrophy constituting to 29% of study population. Ischemic changes in ECG were found to be in 23%, Conduction disturbances were found to be in 17%, Left atrial enlargement in ECG was found in 12%, Hyperkalemic ECG changes were found in 12% of our study population. The overall changes in ECG significantly (p value <0.05) correlated with the increasing age & presence of dyslipidaemia. The ischemic changes in ECG correlated significantly (p value < 0.05) with the low HDL and high Triglyceride levels. CONCLUSION: CVD poses a major threat to patients with CKD. In the context of CKD aim of evaluating CVD is warranted. The changes in ECG of patients with CKD can aid in detection of CVD and should be carried out in all patients with CKD

Anti-Depressant Activity of Zizyphus xylopyrus

The present study was undertaken to investigate the effect of ethanolic extract (ext.), ethyl acetate (EA) fractions and precipitate fraction (ppt.) of total ethanolic extract of Zizyphus xylopyrus on depression in rats. In the present study, the antidepressant effect of Zizyphus xylopyrus was examined using two behavioral models, the forced swimming test (FST) in rats and tail suspension test (TST) in rats.Ethanolic extract when administered at an acute dose of 50 mg/kg of body weight (P&lt;0.01) reduced the immobility time by 10 and 15 seconds as compared to the immobility time of control in both the screening models. Similarly EA reduced latter by 30 and 35 secs. The ppt. fraction showed the best activity, reducing the immobility time by 50 and 60 secs. in both the tests. These results showed that after standard i.e. Imipramine HCl (30 mg/kg), the ppt. fraction is potent amongst all the studied drugsThe present study clearly demonstrated that Zizyphus xylopyrus exerts an antidepressant effect in these two behavioral models. It may be due to present of flavonoids.Keywords: Zizyphus xylopyrus, Flavanoides, forced swimming test, tail suspension test