Robust hedging of digital double touch barrier options

In this dissertation, we present basic idea and key results for model-free pricing and hedging of digital double barrier options. Besides we extend this model to the market with non-zero interest rate by allowing some model-based trading. Moreover we apply this hedging strategies to Heston stochastic volatility model and compare its performances with that of delta hedging strategies in such setting. Finally we further interpret these numerical results to show the advantages and disadvantages of these two types of hedging strategies

Entropy stabilizes floppy crystals of mobile DNA-coated colloids

Grafting linkers with open ends of complementary single-stranded DNA makes a flexible tool to tune interactions between colloids,which facilitates the design of complex self-assembly structures. Recently, it has been proposed to coat colloids with mobile DNA linkers, which alleviates kinetic barriers without high-density grafting, and also allows the design of valency without patches.However, the self-assembly mechanism of this novel system is poorly understood.Using a combination of theory and simulation, we obtain phase diagrams forthe system in both two and three dimensional spaces, and find stable floppy squareand CsCl crystals when the binding strength is strong, even in the infinite bindingstrength limit. We demonstrate that these floppy phases are stabilized by vibrational entropy, and "floppy" modes play an important role in stabilizing the floppy phases for the infinite binding strength limit. This special entropic effect in the self-assembly of mobile DNA-coated colloids is very different from conventional molecular self-assembly, and it offers new axis to help design novel functional materials using mobile DNA-coated colloids.Comment: Accepted in Physical Review Letter

The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence

The expected signature is an analogue of the Laplace transform for rough paths. Chevyrev and Lyons showed that, under certain moment conditions, the expected signature determines the laws of signatures. Lyons and Ni posed the question of whether the expected signature of Brownian motion up to the exit time of a domain satisfies Chevyrev and Lyons' moment condition. We provide the first example where the answer is negative

Signature inversion for monotone paths

The aim of this article is to provide a simple sampling procedure to reconstruct any monotone path from its signature. For every N, we sample a lattice path of N steps with weights given by the coefficient of the corresponding word in the signature. We show that these weights on lattice paths satisfy the large deviations principle. In particular, this implies that the probability of picking up a "wrong" path is exponentially small in N. The argument relies on a probabilistic interpretation of the signature for monotone paths

Linker-mediated self-assembly of mobile DNA-coated colloids

Developing construction methods of materials tailored for given applications with absolute control over building block placement poses an immense challenge. DNA-coated colloids offer the possibility of realising programmable self-assembly, which, in principle, can assemble almost any structure in equilibrium, but remains challenging experimentally. Here, we propose an innovative system of linker-mediated mobile DNA-coated colloids (mDNACCs), in which mDNACCs are bridged by the free DNA linkers in solution, whose two single-stranded DNA tails can bind with specific single-stranded DNA receptors of complementary sequence coated on colloids. We formulate a mean-field theory efficiently calculating the effective interaction between mDNACCs, where the entropy of DNA linkers plays a nontrivial role. Particularly, when the binding between free DNA linkers in solution and the corresponding receptors on mDNACCs is strong, the linker-mediated colloidal interaction is determined by the linker entropy depending on the linker concentration