Robust pricing and hedging under trading restrictions and the emergence of local martingale models

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options are traded at certain maturities, and the forward price implied by these option prices may be strictly decreasing in time. In discrete time, when call options are traded, the short-selling restrictions ensure no arbitrage, and we show that classical duality holds between the smallest super-replication price and the supremum over expectations of the payoff over all supermartingale measures. More surprisingly in the case where the only vanilla options are put options, we show that there is a duality gap. Embedding the discrete time model into a continuous time setup, we make a connection with (strict) local-martingale models, and derive framework and results often seen in the literature on financial bubbles. This connection suggests a certain natural interpretation of many existing results in the literature on financial bubbles

Freeway Traffic Density and On-Ramp Queue Control via ILC Approach

A new queue length information fused iterative learning control approach (QLIF-ILC) is presented for freeway traffic ramp metering to achieve a better performance by utilizing the error information of the on-ramp queue length. The QLIF-ILC consists of two parts, where the iterative feedforward part updates the control input signal by learning from the past control data in previous trials, and the current feedback part utilizes the tracking error of the current learning iteration to stabilize the controlled plant. These two parts are combined in a complementary manner to enhance the robustness of the proposed QLIF-ILC. A systematic approach is developed to analyze the convergence and robustness of the proposed learning scheme. The simulation results are further given to demonstrate the effectiveness of the proposed QLIF-ILC

Pt nanowire growth induced by Pt nanoparticles in application of the cathodes for Polymer Electrolyte Membrane Fuel Cells (PEMFCs)

Improving cathode performance at a lower Pt loading is critical in commercial PEMFC applications. A novel Pt nanowire (Pt-NW) cathode was developed by in-situ growth of Pt nanowires in carbon matrix consisting Pt nanoparticles (Pt-NPs). Characterization of TEM and XRD shows that the pre-existing Pt-NPs from Pt/C affect Pt-NW morphology and crystallinity and Pt profile crossing the matrix thickness. The cathode with Pt-NP loading of 0.005 mgPt-NP cm−2 and total cathode Pt loading of 0.205 mgPt cm−2 has the specific current density of 89.56 A gPt−1 at 0.9 V, which is about 110% higher than that of 42.58 A gPt−1 of the commercial gas diffusion layer (GDE) with Pt loading of 0.40 mg cm−2. When cell voltage is below 0.48 V, the Pt-NW cathode has better performance than the commercial GDE. It is believed that the excellent performance of the Pt-NW cathode is attributed to Pt-NP induction, therefore producing unique Pt-NW structure and efficient Pt utilization. A Pt-NW growth mechanism was proposed that Pt precursor diffuses into the matrix consisting of pre-existent Pt-NPs by concentration driving, and Pt-NPs provide priority sites for platinum depositing at early stage and facilitate Pt-NW growth

Search for dark matter produced in association with bottom or top quarks in √s = 13 TeV pp collisions with the ATLAS detector

A search for weakly interacting massive particle dark matter produced in association with bottom or top quarks is presented. Final states containing third-generation quarks and miss- ing transverse momentum are considered. The analysis uses 36.1 fb−1 of proton–proton collision data recorded by the ATLAS experiment at √s = 13 TeV in 2015 and 2016. No significant excess of events above the estimated backgrounds is observed. The results are in- terpreted in the framework of simplified models of spin-0 dark-matter mediators. For colour- neutral spin-0 mediators produced in association with top quarks and decaying into a pair of dark-matter particles, mediator masses below 50 GeV are excluded assuming a dark-matter candidate mass of 1 GeV and unitary couplings. For scalar and pseudoscalar mediators produced in association with bottom quarks, the search sets limits on the production cross- section of 300 times the predicted rate for mediators with masses between 10 and 50 GeV and assuming a dark-matter mass of 1 GeV and unitary coupling. Constraints on colour- charged scalar simplified models are also presented. Assuming a dark-matter particle mass of 35 GeV, mediator particles with mass below 1.1 TeV are excluded for couplings yielding a dark-matter relic density consistent with measurements

A robust approach to pricing-hedging duality and related problems in mathematical finance

In this thesis, we pursue a robust approach to pricing and hedging problems in mathematical finance. The general goal of this approach is to develop a pricing and hedging theory, which is based mainly on the market information than on a specific probabilistic belief about the future evolution of the risky assets. Motivated by the notion of prediction set in Mykland (2003), we include in our framework modelling beliefs through a set of paths to be considered, e.g. super-replication of a contingent claim is required only for paths falling in the given set. Our framework thus interpolates between model--independent and model--specific settings and allows quantifying the impact of making assumptions or gaining information. The first part of the thesis is concerned with robust fundamental theorem of asset pricing, pricing--hedging duality and their applications in a discrete-time setting in which some underlying assets and options, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available for static trading. In the second part of the thesis, we consider the robust pricing--hedging duality problem with options in a continuous-time setting where underlying assets are assumed to have continuous paths. Our results include an "unconstrained" pricing--hedging duality, in the absence of options and beliefs, and a general but approximated pricing-hedging duality result. Moreover, when all put options are available for static hedging, the pricing problem is connected to the martingale optimal transport problem and our duality results in this thesis include the martingale optimal transport duality of Dolinsky and Soner (2013) and extend it to multiple maturities and multiple assets.</p