An Hilbert space approach for a class of arbitrage free implied volatilities models

We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price $T$ an $K$, to be arbitrage free. The arbitrage free conditions give a system of stochastic PDEs for the evolution of the implied volatility surface ${\hat\sigma}_t(T,K)$. We will focus on the family obtained fixing a strike $K$ and varying $T$. In order to give conditions to prove an existence-and-uniqueness result for the solution of the system it is here expressed in terms of the square root of the forward implied volatility and rewritten in an Hilbert space setting. The existence and the uniqueness for the (arbitrage free) evolution of the forward implied volatility, and then of the the implied volatility, among a class of models, are proved. Specific examples are also given.Comment: 21 page

Holistic facial composite systems: are they compatible with witness recall?

Facial composite systems offer a particular challenge to human-computer interaction as they must facilitate several cognitively complex tasks and also aid communication between the operator and the witness. This paper presents the findings from a survey conducted with UK police composite operators that explored some of the issues involved in composite construction. A particular emphasis was placed on the information that witnesses report and its compatibility with both the composite system interface and the underlying construction method used by the system

A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in a Field Theory of Forward Interest Rates

The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described using a field theory model, and a common measure is seen to be emerge naturally for such models. To elaborate how the martingale for the Libor belongs to the general class of numeraire for the forward interest rates, two other numeraire's are considered, namely the money market measure that makes the evolution of the zero coupon bonds a martingale, and the forward measure for which the forward bond price is a martingale. The price of an interest rate cap is computed for all three numeraires, and is shown to be numeraire invariant. Put-call parity is discussed in some detail and shown to emerge due to some non-trivial properties of the numeraires. Some properties of swaps, and their relation to caps and floors, are briefly discussed.Comment: 28 pages, 4 figure

Direct measurements of helium and hydrogen ion concentration and total ion density to an altitude of 940 kilometers

Measurement of ion concentration and total ion density in exosphere using mass spectrometer and electrostatic prob

The Michigan Supreme Court - An Analysis of Recent Decisions

It is the purpose of this comment to attempt to determine and evaluate just what the court\u27s role has been. Attention will be directed to selected areas of non-statutory and statutory law, with specific emphasis placed upon the areas of contributory negligence and workmen\u27s compensation

Observation of the Faraday effect via beam deflection in a longitudinal magnetic field

We report the observation of the magnetic field induced circular differential deflection of light at the interface of a Faraday medium. The difference in the angles of refraction or reflection between the two circular polarization components is a function of the magnetic field strength and the Verdet constant. The reported phenomena permit the observation of the Faraday effect not via polarization rotation in transmission, but via changes in the propagation direction in refraction or in reflection. An unpolarized light beam is predicted to split into its two circular polarization components. The light deflection arises within a few wavelengths at the interface and is therefore independent of pathlength

Cylindrical electrostatic probes employed on Alouette 2 and Explorer 31 satellites

Ionospheric electron temperature and density by cylindrical electrostatic probes aboard Explorer 31 and Alouette 2 satellite

A theoretical model of the ionosphere dynamics with interhemispheric coupling

Dynamic model for ionospheric plasma with interhemispheric couplin

Impact of prehospital care on outcomes in sepsis : a systematic review

Introduction: Sepsis is a common and potentially life-threatening response to an infection. International treatment guidelines for sepsis advocate that treatment be initiated at the earliest possible opportunity. It is not yet clear if very early intervention by ambulance clinicians prior to arrival at hospital leads to improved clinical outcomes among sepsis patients. Methoda: We systematically searched the electronic databases MEDLINE, EMBASE, CINAHL, the Cochrane Library and PubMed up to June 2015. In addition, subject experts were contacted. We adopted the GRADE (grading recommendations assessment, development and evaluation) methodology to conduct the review and follow PRISMA (Preferred Reporting Items for Systematic Reviews and Meta-Analyses) recommendations to report findings. Results: Nine studies met the eligibility criteria – one study was a randomized controlled trial while the remaining studies were observational in nature. There was considerable variation in the methodological approaches adopted and outcome measures reported across the studies. Because of these differences, the studies did not answer a unique research question and meta-analysis was not appropriate. A narrative approach to data synthesis was adopted. Conclusion: There is little robust evidence addressing the impact of prehospital interventions on outcomes in sepsis. That which is available is of low quality and indicates that prehospital interventions have limited impact on outcomes in sepsis beyond improving process outcomes and expediting the patient’s passage through the emergency care pathway. Evidence indicating that prehospital antibiotic therapy and fluid resuscitation improve patient outcomes is currently lacking. [West J Emerg Med. 2017;17(4)427-437.

The Seiberg-Witten Map for a Time-dependent Background

In this paper the Seiberg-Witten map for a time-dependent background related to a null-brane orbifold is studied. The commutation relations of the coordinates are linear, i.e. it is an example of the Lie algebra type. The equivalence map between the Kontsevich star product for this background and the Weyl-Moyal star product for a background with constant noncommutativity parameter is also studied.Comment: latex, 13 pages, references added and some misprints correcte