Utility based pricing and hedging of jump diffusion processes with a view to applications

We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and essential risk aversion independence. We suggest to solve these by a re-interpretation of the framework. This leads to the notion of an implied drift. We also present a heuristic derivation of the marginal indifference price and the marginal optimal hedge that might be useful in numerical computations.Comment: 23 pages, v2: publishe

The New Transiting Planet OGLE-TR-56b: Orbit and Atmosphere

Motivated by the identification of the very close-in extrasolar giant planet OGLE-TR-56b, we explore the implications of its existence on problems of tidal dissipation, planet migration, and atmospheric stability. The small orbit of OGLE-TR-56b makes the planet an interesting test particle case for tidal dissipation in stellar convection zones. We show that it favors prescriptions of suppressed convective eddy viscosity. Precise timing of the transits of OGLE-TR-56b might place interesting constraints on stellar convection theory, if orbital period change is detected in the near future.Comment: 12 pages, 1 figure, submitted to ApJ

Seismic tests for solar models with tachocline mixing

We have computed accurate 1-D solar models including both a macroscopic mixing process in the solar tachocline as well as up-to-date microscopic physical ingredients. Using sound speed and density profiles inferred through primary inversion of the solar oscillation frequencies coupled with the equation of thermal equilibrium, we have extracted the temperature and hydrogen abundance profiles. These inferred quantities place strong constraints on our theoretical models in terms of the extent and strength of our macroscopic mixing, on the photospheric heavy elements abundance, on the nuclear reaction rates such as $S_{11}$ and $S_{34}$ and on the efficiency of the microscopic diffusion. We find a good overall agreement between the seismic Sun and our models if we introduce a macroscopic mixing in the tachocline and allow for variation within their uncertainties of the main physical ingredients. From our study we deduce that the solar hydrogen abundance at the solar age is $X_{\rm inv}=0.732\pm 0.001$ and that based on the $^9$Be photospheric depletion, the maximum extent of mixing in the tachocline is 5% of the solar radius. The nuclear reaction rate for the fundamental $pp$ reaction is found to be $S_{11}(0)=4.06\pm 0.07$ $10^{-25}$ MeV barns, i.e., 1.5% higher than the present theoretical determination. The predicted solar neutrino fluxes are discussed in the light of the new SNO/SuperKamiokande results.Comment: 16 pages, 12 figures, A&A in press (1) JILA, University of Colorado, Boulder, CO 80309-0440, USA, (2) LUTH, Observatoire de Paris-Meudon, 92195 Meudon, France, (3) Tata Institute of Fundamental Research, Homi Bhabha road, Mumbai 400005, India, (4) Department of Physics, University of Mumbai, Mumbai 400098, Indi

Infrared cutoffs and the adiabatic limit in noncommutative spacetime

We discuss appropriate infrared cutoffs and their adiabatic limit for field theories on the noncommutative Minkowski space in the Yang-Feldman formalism. In order to do this, we consider a mass term as interaction term. We show that an infrared cutoff can be defined quite analogously to the commutative case and that the adiabatic limit of the two-point function exists and coincides with the expectation, to all orders.Comment: 19 page

A Robust Measure of Tidal Circularization in Coeval Binary Populations: The solar-type spectroscopic Binary Population in The Open Cluster M35

We present a new homogeneous sample of 32 spectroscopic binary orbits in the young (~ 150 Myr) main-sequence open cluster M35. The distribution of orbital eccentricity vs. orbital period (e-log(P)) displays a distinct transition from eccentric to circular orbits at an orbital period of ~ 10 days. The transition is due to tidal circularization of the closest binaries. The population of binary orbits in M35 provide a significantly improved constraint on the rate of tidal circularization at an age of 150 Myr. We propose a new and more robust diagnostic of the degree of tidal circularization in a binary population based on a functional fit to the e-log(P) distribution. We call this new measure the tidal circularization period. The tidal circularization period of a binary population represents the orbital period at which a binary orbit with the most frequent initial orbital eccentricity circularizes (defined as e = 0.01) at the age of the population. We determine the tidal circularizationperiod for M35 as well as for 7 additional binary populations spanning ages from the pre main-sequence (~ 3 Myr) to late main-sequence (~ 10 Gyr), and use Monte Carlo error analysis to determine the uncertainties on the derived circularization periods. We conclude that current theories of tidal circularization cannot account for the distribution of tidal circularization periods with population age.Comment: 37 pages, 9 figures, to be published in The Astrophysical Journal, February 200

Influence of strain on anisotropic thermoelectric transport of Bi2_2Te3_3 and Sb2_2Te3_3

On the basis of detailed first-principles calculations and semi-classical Boltzmann transport, the anisotropic thermoelectric transport properties of Bi$_2$Te$_3$ and Sb$_2$Te$_3$ under strain were investigated. It was found that due to compensation effects of the strain dependent thermopower and electrical conductivity, the related powerfactor will decrease under applied in-plane strain for Bi$_2$Te$_3, while being stable for Sb$_2$Te$_3$. A clear preference for thermoelectric transport under hole-doping, as well as for the in-plane transport direction was found for both tellurides. In contrast to the electrical conductivity anisotropy, the anisotropy of the thermopower was almost robust under applied strain. The assumption of an anisotropic relaxation time for Bi$_2$Te$_3$ suggests, that already in the single crystalline system strong anisotropic scattering effects should play a role

Momentum-Resolved View of Electron-Phonon Coupling in Multilayer WSe2_2

We investigate the interactions of photoexcited carriers with lattice vibrations in thin films of the layered transition metal dichalcogenide (TMDC) WSe$_2$. Employing femtosecond electron diffraction with monocrystalline samples and first principle density functional theory calculations, we obtain a momentum-resolved picture of the energy-transfer from excited electrons to phonons. The measured momentum-dependent phonon population dynamics are compared to first principle calculations of the phonon linewidth and can be rationalized in terms of electronic phase-space arguments. The relaxation of excited states in the conduction band is dominated by intervalley scattering between $\Sigma$ valleys and the emission of zone-boundary phonons. Transiently, the momentum-dependent electron-phonon coupling leads to a non-thermal phonon distribution, which, on longer timescales, relaxes to a thermal distribution via electron-phonon and phonon-phonon collisions. Our results constitute a basis for monitoring and predicting out of equilibrium electrical and thermal transport properties for nanoscale applications of TMDCs