Options on realized variance and convex orders

Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk-neutral densities are said to be increasing in the convex order. For Leacutevy processes, such prices decrease with maturity. A time series analysis of squared log returns on the S&P 500 index also reveals such a decrease. If options are priced to a slightly increasing level of acceptability, then the resulting risk-neutral densities can be increasing in the convex order. Calibrated stochastic volatility models yield possibilities in both directions. Finally, we consider modeling strategies guaranteeing an increase in convex order for the normalized quadratic variation. These strategies model instantaneous variance as a normalized exponential of a Leacutevy process. Simulation studies suggest that other transformations may also deliver an increase in the convex order

The fine structure of asset returns: an empirical investigation

We investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, we allow for jump components displaying finite or infinite activity and variation. Empirical investigations of time series indicate that index dynamics are devoid of a diffusion component, which may be present in the dynamics of individual stocks. This leads to the conjecture, confirmed on options data, that the risk-neutral process should be free of a diffusion component. We conclude that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation

An investigation into grid patching techniques

In the past decade significant advances were made using flow field methods in the calculation of external transonic flows over aerodynamic configurations. It is now possible to calculate inviscid transonic flow over three dimensional configurations by solving the potential equation. However, with the exception of the transonic small disturbance methods which have the advantage of a simple cartesian grid, the configurations over which it is possible to calculate such flows are relatively simple. The major reason for this is the difficulty of producing compatibility between grid generation and flow equation solutions. The main programs in use, use essentially analytic transformations for prescribed configurations and, as such, are not easy to extend. While there is work in progress to extend this type of system to a limited extent, the long term effort is directed towards a more general approach. This approach should not be restricted to producing grid systems in isolation but rather a consideration of the overall problem of flow field solution

Evolution of a Primordial Black Hole Population

We reconsider in this work the effects of an energy absorption term in the evolution of primordial black holes (hereafter PBHs) in the several epochs of the Universe. A critical mass is introduced as a boundary between the accreting and evaporating regimes of the PBHs. We show that the growth of PBHs is negligible in the Radiation-dominated Era due to scarcity of energy density supply from the expanding background, in agreement with a previous analysis by Carr and Hawking, but that nevertheless the absorption term is large enough for black holes above the critical mass to preclude their evaporation until the universe has cooled sufficiently. The effects of PBH motion are also discussed: the Doppler effect may give rise to energy accretion in black-holes with large peculiar motions relative to background. We discuss how cosmological constraints are modified by the introduction of the critical mass since that PBHs above it do not disturb the CMBR. We show that there is a large range of admissible masses for PBHs above the critical mass but well below the cosmological horizon. Finally we outline a minimal kinetic formalism, solved in some limiting cases, to deal with more complicated cases of PBH populationsComment: RevTex file, 8 pp., 3 .ps figures available upon request from [email protected]

Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion

On a multi-assets Black-Scholes economy, we introduce a class of barrier options. In this model we apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the semi-static hedge.Comment: Asia-Pacific Financial Markets, online firs

Generating ring currents, solitons, and svortices by stirring a Bose-Einstein condensate in a toroidal trap

We propose a simple stirring experiment to generate quantized ring currents and solitary excitations in Bose-Einstein condensates in a toroidal trap geometry. Simulations of the 3D Gross-Pitaevskii equation show that pure ring current states can be generated efficiently by adiabatic manipulation of the condensate, which can be realized on experimental time scales. This is illustrated by simulated generation of a ring current with winding number two. While solitons can be generated in quasi-1D tori, we show the even more robust generation of hybrid, solitonic vortices (svortices) in a regime of wider confinement. Svortices are vortices confined to essentially one-dimensional dynamics, which obey a similar phase-offset--velocity relationship as solitons. Marking the transition between solitons and vortices, svortices are a distinct class of symmetry-breaking stationary and uniformly rotating excited solutions of the 2D and 3D Gross-Pitaevskii equation in a toroidal trapping potential. Svortices should be observable in dilute-gas experiments.Comment: 8 pages, 4 figures; accepted for publication in J. Phys. B (Letters

Patients with Essential thrombocythaemia have an increased prevalence of antiphospholipid antibodies which may be associated with thrombosis

A significant proportion of patients with Essential Thrombocythaemia (ET) have thrombotic complications which have an important impact upon the quality, and duration of their life. We performed a retrospective cross sectional study of the prevalence of antiphospholipid antibodies (APA) in 68 ET patients. Compared to 200 elderly controls (> 50 years) there was a significant increase in anticardiolipin IgM (p < 0.0001) and anti β2 glycoprotein I (anti-β2GPI) IgM (p < 0.0001) antibodies in ET. Thrombosis occurred in 10/20 with APA and 12/48 without, p = 0.04, relative risk 2.0 (95% confidence intervals 1.03-3.86); these patients did not differ in terms of other clinical features. The prevalence of thrombosis in patients with dual APA (6/7) was significant when compared to those with single APA (p = 0.02) and the remaining patients (p < 0.0002). Also anti-β2GPI IgM antibodies either alone, or in combination with another APA, were associated with thrombosis (p = 0.02). These results suggest that the prevalence of APA in ET and their influence upon thrombotic risk merit investigation in a larger study

Localized Asymmetric Atomic Matter Waves in Two-Component Bose-Einstein Condensates Coupled with Two Photon Microwave Field

We investigate localized atomic matter waves in two-component Bose-Einstein condensates coupled by the two photon microwave field. Interestingly, the oscillations of localized atomic matter waves will gradually decay and finally become non-oscillating behavior even if existing coupling field. In particular, atom numbers occupied in two different hyperfine spin states will appear asymmetric occupations after some time evolution.Comment: 4 pages, 4 figure

Proceedings of the MECA Workshop on The Evoluation of the Martian Atmosphere

Topics addressed include: Mars' volatile budget; climatic implications of martian channels; bulk composition of Mars; accreted water inventory; evolution of CO2; dust storms; nonlinear frost albedo feedback on Mars; martian atmospheric evolution; effects of asteroidal and cometary impacts; and water exchange between the regolith and the atmosphere/cap system over obliquity timescales