Local Volatility Calibration by Optimal Transport

The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion process that matches the known densities of an asset price at two different dates, while minimizing a chosen cost function. Inspired by the seminal work of Benamou and Brenier [1], we formulate the problem as a convex optimization problem, derive its dual formulation, and solve it numerically via an augmented Lagrangian method and the alternative direction method of multipliers (ADMM) algorithm. The solution effectively reconstructs the dynamic of the asset price between the two dates by recovering the optimal local volatility function, without requiring any time interpolation of the option prices

Advances in the LED Materials and Architectures fro Energy-Saving Solid State Lighting towards Lighting Revolution

Cataloged from PDF version of article.In this paper, we review the recent developments (in years 2010–2011) of energysaving solid-state lighting. The industry of white light-emitting diodes (LEDs) has made significant progress, and today, white LED market is increasing (mostly with increasing LED screen and LED TV sales). The so-called Blighting revolution[ has not yet really happened on a wide scale because of the lighting efficiency at a given ownership cost. Nevertheless, the rapid development of the white LEDs is expected to soon trigger and expand the revolution

An efficient non-Lambertian organic light-emitting diode using imprinted submicron-size zinc oxide pillar arrays

Cataloged from PDF version of article.We report phosphorescent organic light-emitting diodes with a substantially improved light outcoupling efficiency and a wider angular distribution through applying a layer of zinc oxide periodic nanopillar arrays by pattern replication in non-wetting templates technique. The devices exhibited the peak emission intensity at an emission angle of 40 degrees compared to 0 degrees for reference device using bare ITO-glass. The best device showed a peak luminance efficiency of 95.5 +/- 1.5 cd/ A at 0 degrees emission (external quantum efficiency-EQE of 38.5 +/- 0.1%, power efficiency of 127 +/- 1lm/W), compared to that of the reference device, which has a peak luminance efficiency of 68.0 +/- 1.4 cd/ A (EQE of 22.0 +/- 0.1%, power efficiency of 7261 lm/W). (C) 2013 American Institute of Physics

Status of the MODIS Level 1B Algorithms and Calibration Tables

The Moderate Resolution Imaging Spectroradiometer (MODIS) makes observations using 36 spectral bands with wavelengths from 0.41 to 14.4 m and nadir spatial resolutions of 0.25km, 0.5km, and 1km. It is currently operating onboard the NASA Earth Observing System (EOS) Terra and Aqua satellites, launched in December 1999 and May 2002, respectively. The MODIS Level 1B (L1B) program converts the sensor's on-orbit responses in digital numbers to radiometrically calibrated and geo-located data products for the duration of each mission. Its primary data products are top of the atmosphere (TOA) reflectance factors for the sensor's reflective solar bands (RSB) and TOA spectral radiances for the thermal emissive bands (TEB). The L1B algorithms perform the TEB calibration on a scan-by-scan basis using the sensor's response to the on-board blackbody (BB) and other parameters which are stored in Lookup Tables (LUTs). The RSB calibration coefficients are processed offline and regularly updated through LUTs. In this paper we provide a brief description of the MODIS L1B calibration algorithms and associated LUTs with emphasis on their recent improvements and updates developed for the MODIS collection 5 processing. We will also discuss sensor on-orbit calibration and performance issues that are critical to maintaining L1B data product quality, such as changes in the sensor's response versus scan-angle

A general T-matrix approach applied to two-body and three-body problems in cold atomic gases

We propose a systematic T-matrix approach to solve few-body problems with s-wave contact interactions in ultracold atomic gases. The problem is generally reduced to a matrix equation expanded by a set of orthogonal molecular states, describing external center-of-mass motions of pairs of interacting particles; while each matrix element is guaranteed to be finite by a proper renormalization for internal relative motions. This approach is able to incorporate various scattering problems and the calculations of related physical quantities in a single framework, and also provides a physically transparent way to understand the mechanism of resonance scattering. For applications, we study two-body effective scattering in 2D-3D mixed dimensions, where the resonance position and width are determined with high precision from only a few number of matrix elements. We also study three fermions in a (rotating) harmonic trap, where exotic scattering properties in terms of mass ratios and angular momenta are uniquely identified in the framework of T-matrix.Comment: 14 pages, 4 figure

Multi-objective improvement of software using co-evolution and smart seeding

Optimising non-functional properties of software is an important part of the implementation process. One such property is execution time, and compilers target a reduction in execution time using a variety of optimisation techniques. Compiler optimisation is not always able to produce semantically equivalent alternatives that improve execution times, even if such alternatives are known to exist. Often, this is due to the local nature of such optimisations. In this paper we present a novel framework for optimising existing software using a hybrid of evolutionary optimisation techniques. Given as input the implementation of a program or function, we use Genetic Programming to evolve a new semantically equivalent version, optimised to reduce execution time subject to a given probability distribution of inputs. We employ a co-evolved population of test cases to encourage the preservation of the program’s semantics, and exploit the original program through seeding of the population in order to focus the search. We carry out experiments to identify the important factors in maximising efficiency gains. Although in this work we have optimised execution time, other non-functional criteria could be optimised in a similar manner

On the triplet distribution and its effect on an improved phosphorescent organic light-emitting diode

Cataloged from PDF version of article.We reported phosphorescent organic light-emitting diodes with internal quantum efficiency near 100% with significantly reduced efficiency roll-off. It was found that the use of different hole transporting layer (HTL) affects the exciton distribution in the emission region significantly. Our best device reaches external quantum efficiency (EQE), current, and power efficiency of 22.8% +/- 0.1%, 78.6 +/- 0.2 cd/A, 85 +/- 2 lm/W, respectively, with half current of 158.2 mA/cm(2). This considerably outperforms the control device with N,N'-bis(naphthalen-1-yl)-N,N'-bis(phenyl)-benzidine (NPB) (HTL) and 4,4'-N,N'-dicarbazole-biphenyl (host) with maximum EQE, current and power efficiency of 19.1% +/- 0.1%, 65.6 +/- 0.3 cd/A, 67 +/- 2 lm/W, respectively, with half current of only 8.1 mA/cm(2). (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4749278

InGaN/GaN multiple-quantum-well light-emitting diodes with a grading InN composition suppressing the Auger recombination

Cataloged from PDF version of article.In conventional InGaN/GaN light-emitting diodes (LEDs), thin InGaN quantum wells are usually adopted to mitigate the quantum confined Stark effect (QCSE), caused due to strong polarization induced electric field, through spatially confining electrons and holes in small recombination volumes. However, this inevitably increases the carrier density in quantum wells, which in turn aggravates the Auger recombination, since the Auger recombination scales with the third power of the carrier density. As a result, the efficiency droop of the Auger recombination severely limits the LED performance. Here, we proposed and showed wide InGaN quantum wells with the InN composition linearly grading along the growth orientation in LED structures suppressing the Auger recombination and the QCSE simultaneously. Theoretically, the physical mechanisms behind the Auger recombination suppression are also revealed. The proposed LED structure has experimentally demonstrated significant improvement in optical output power and efficiency droop, proving to be an effective solution to this important problem of Auger recombination. (C) 2014 AIP Publishing LLC