Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound

Some extremal functions in Fourier analysis, III

We obtain the best approximation in $L^1(\R)$, by entire functions of exponential type, for a class of even functions that includes $e^{-\lambda|x|}$, where $\lambda >0$, $\log |x|$ and $|x|^{\alpha}$, where $-1 < \alpha < 1$. We also give periodic versions of these results where the approximating functions are trigonometric polynomials of bounded degree.Comment: 26 pages. Submitte

Deterministic delivery of externally cold and precisely positioned single molecular ions

We present the preparation and deterministic delivery of a selectable number of externally cold molecular ions. A laser cooled ensemble of Mg^+ ions subsequently confined in several linear Paul traps inter-connected via a quadrupole guide serves as a cold bath for a single or up to a few hundred molecular ions. Sympathetic cooling embeds the molecular ions in the crystalline structure. MgH^+ ions, that serve as a model system for a large variety of other possible molecular ions, are cooled down close to the Doppler limit and are positioned with an accuracy of one micrometer. After the production process, severely compromising the vacuum conditions, the molecular ion is efficiently transfered into nearly background-free environment. The transfer of a molecular ion between different traps as well as the control of the molecular ions in the traps is demonstrated. Schemes, optimized for the transfer of a specific number of ions, are realized and their efficiencies are evaluated. This versatile source applicable for broad charge-to-mass ratios of externally cold and precisely positioned molecular ions can serve as a container-free target preparation device well suited for diffraction or spectroscopic measurements on individual molecular ions at high repetition rates (kHz).Comment: 11 pages, 8 figure

Operator renewal theory and mixing rates for dynamical systems with infinite measure

We develop a theory of operator renewal sequences in the context of infinite ergodic theory. For large classes of dynamical systems preserving an infinite measure, we determine the asymptotic behaviour of iterates $L^n$ of the transfer operator. This was previously an intractable problem. Examples of systems covered by our results include (i) parabolic rational maps of the complex plane and (ii) (not necessarily Markovian) nonuniformly expanding interval maps with indifferent fixed points. In addition, we give a particularly simple proof of pointwise dual ergodicity (asymptotic behaviour of $\sum_{j=1}^nL^j$) for the class of systems under consideration. In certain situations, including Pomeau-Manneville intermittency maps, we obtain higher order expansions for $L^n$ and rates of mixing. Also, we obtain error estimates in the associated Dynkin-Lamperti arcsine laws.Comment: Preprint, August 2010. Revised August 2011. After publication, a minor error was pointed out by Kautzsch et al, arXiv:1404.5857. The updated version includes minor corrections in Sections 10 and 11, and corresponding modifications of certain statements in Section 1. All main results are unaffected. In particular, Sections 2-9 are unchanged from the published versio

Solidification of Al-Sn-Cu based immiscible alloys under intense shearing

The official published version of the Article can be accessed from the link below - Copyright @ 2009 The Minerals, Metals & Materials Society and ASM InternationalThe growing importance of Al-Sn based alloys as materials for engineering applications necessitates the development of uniform microstructures with improved performance. Guided by the recently thermodynamically assessed Al-Sn-Cu system, two model immiscible alloys, Al-45Sn-10Cu and Al-20Sn-10Cu, were selected to investigate the effects of intensive melt shearing provided by the novel melt conditioning by advanced shear technology (MCAST) unit on the uniform dispersion of the soft Sn phase in a hard Al matrix. Our experimental results have confirmed that intensive melt shearing is an effective way to achieve fine and uniform dispersion of the soft phase without macro-demixing, and that such dispersed microstructure can be further refined in alloys with precipitation of the primary Al phase prior to the demixing reaction. In addition, it was found that melt shearing at 200 rpm and 60 seconds will be adequate to produce fine and uniform dispersion of the Sn phase, and that higher shearing speed and prolonged shearing time can only achieve minor further refinement.This work is funded by the EPSRC and DT

Integrability of Type II Superstrings on Ramond-Ramond Backgrounds in Various Dimensions

We consider type II superstrings on AdS backgrounds with Ramond-Ramond flux in various dimensions. We realize the backgrounds as supercosets and analyze explicitly two classes of models: non-critical superstrings on AdS_{2d} and critical superstrings on AdS_p\times S^p\times CY. We work both in the Green--Schwarz and in the pure spinor formalisms. We construct a one-parameter family of flat currents (a Lax connection) leading to an infinite number of conserved non-local charges, which imply the classical integrability of both sigma-models. In the pure spinor formulation, we use the BRST symmetry to prove the quantum integrability of the sigma-model. We discuss how classical \kappa-symmetry implies one-loop conformal invariance. We consider the addition of space-filling D-branes to the pure spinor formalism.Comment: LaTeX2e, 56 pages, 1 figure, JHEP style; v2: references added, typos fixed in some equations; v3: typos fixed to match the published versio

High-precision determination of transition amplitudes of principal transitions in Cs from van der Waals coefficient C_6

A method for determination of atomic dipole matrix elements of principal transitions from the value of dispersion coefficient C_6 of molecular potentials correlating to two ground-state atoms is proposed. The method is illustrated on atomic Cs using C_6 deduced from high-resolution Feshbach spectroscopy. The following reduced matrix elements are determined < 6S_{1/2} || D || 6P_{1/2} > =4.5028(60) |e| a0 and =6.3373(84) |e| a0 (a0= 0.529177 \times 10^{-8} cm.) These matrix elements are consistent with the results of the most accurate direct lifetime measurements and have a similar uncertainty. It is argued that the uncertainty can be considerably reduced as the coefficient C_6 is constrained further.Comment: 4 pages; 3 fig

Generic properties of a quasi-one dimensional classical Wigner crystal

We studied the structural, dynamical properties and melting of a quasi-one-dimensional system of charged particles, interacting through a screened Coulomb potential. The ground state energy was calculated and, depending on the density and the screening length, the system crystallizes in a number of chains. As a function of the density (or the confining potential), the ground state configurations and the structural transitions between them were analyzed both by analytical and Monte Carlo calculations. The system exhibits a rich phase diagram at zero temperature with continuous and discontinuous structural transitions. We calculated the normal modes of the Wigner crystal and the magneto-phonons when an external constant magnetic field $B$ is applied. At finite temperature the melting of the system was studied via Monte Carlo simulations using the $modified$ $Lindemann$ $criterion$ (MLC). The melting temperature as a function of the density was obtained for different screening parameters. Reentrant melting as a function of the density was found as well as evidence of directional dependent melting. The single chain regime exhibits anomalous melting temperatures according to the MLC and as a check we study the pair correlation function at different densities and different temperatures, formulating a different criterion. Possible connection with recent theoretical and experimental results are discussed and experiments are proposed.Comment: 13 pages text, 21 picture