The Behaviour of Volatility and Options Pricing

The overall objective of the thesis is to understand volatility and to derive implications for options pricing with particular reference to the Nikkei 225 index, which has not been widely researched. Our brief survey shows us that the volatility models including the GARCH family can be applied for forecasting the volatility of the Nikkei 225 index daily returns. In addition, forecasting power of volatility is much stronger when using implied volatility rather than using historical volatility and the GARCH estimates. We observe the smile effect and term structure of implied volatility in the Nikkei 225 options market. From the perspective of the international linkage of the world major markets, both historical and implied volatilities spill over from one market to another. We can utilise those characteristics for two applications. One is that we can trade options by forecasting volatilities with volatility models. If our forecasts were higher than the implied volatility in the market, we would go short in some series of options with delta neutral hedging. If volatility has declined over the option period, we could capitalise the forecast with the option positions. Moreover, the information in the FTSE and S&P markets (historical and implied volatilities) is useful to forecast the Nikkei volatility, when we trade the Nikkei options. The other application is to evaluate option positions from the risk management point of view. Middle-office managers are concerned with profits and losses if the market and volatility move in a particular way. By using the information of smiles and term structures of implied volatilities, managers can evaluate their positions more accurately for risk management

Thermal Transport Imaging in the Quantum Hall Edge Channel

Research focused on heat transport in the quantum Hall (QH) edge channel has successfully addressed fundamental theoretical questions surrounding the QH physics. However, the picture of the edge channel is complicated by the phenomenon of energy dissipation out of the edge, and theories treating this dissipation are lacking. More experimental data is also needed to determine the coupling mechanism by which energy leaves the edge channel. We developed a method to map the heat transport in the QH edge to study the dissipation of heat. We locally heated the QH edge and locally detected the temperature increase while continuously varying the distance between heater and thermometer. We thereby obtained the thermal decay length of the edge state, which we found to depend on magnetic field strength

Point defect dynamics in bcc metals

We present an analysis of the time evolution of self-interstitial atom and vacancy (point defect) populations in pure bcc metals under constant irradiation flux conditions. Mean-field rate equations are developed in parallel to a kinetic Monte Carlo (kMC) model. When only considering the elementary processes of defect production, defect migration, recombination and absorption at sinks, the kMC model and rate equations are shown to be equivalent and the time evolution of the point defect populations is analyzed using simple scaling arguments. We show that the typically large mismatch of the rates of interstitial and vacancy migration in bcc metals can lead to a vacancy population that grows as the square root of time. The vacancy cluster size distribution under both irreversible and reversible attachment can be described by a simple exponential function. We also consider the effect of highly mobile interstitial clusters and apply the model with parameters appropriate for vanadium and $\alpha-$iron.Comment: to appear in Phys. Rev.

Advances and Analysis on Reducing Webpage Response Time with Effect of Edge Computing

Modern webpages consist of many rich objects dynamically produced by servers and client terminals at diverse locations, so we face an increase in web response time. To reduce the time, edge computing, in which dynamic objects are generated and delivered from edge nodes, is effective. For ISPs and CDN providers, it is desirable to estimate the effect of reducing the web response time when introducing edge computing. Therefore, in this paper, we derive a simple formula that estimates the lower bound of the reduction of the response time by modeling flows obtaining objects of webpages. We investigate the effect of edge computing in each webpage category, e.g., News and Sports, using data measured by browsing about 1,000 popular webpages from 12 locations in the world on PlanetLab

Covering problems in edge- and node-weighted graphs

This paper discusses the graph covering problem in which a set of edges in an edge- and node-weighted graph is chosen to satisfy some covering constraints while minimizing the sum of the weights. In this problem, because of the large integrality gap of a natural linear programming (LP) relaxation, LP rounding algorithms based on the relaxation yield poor performance. Here we propose a stronger LP relaxation for the graph covering problem. The proposed relaxation is applied to designing primal-dual algorithms for two fundamental graph covering problems: the prize-collecting edge dominating set problem and the multicut problem in trees. Our algorithms are an exact polynomial-time algorithm for the former problem, and a 2-approximation algorithm for the latter problem, respectively. These results match the currently known best results for purely edge-weighted graphs.Comment: To appear in SWAT 201

Dynamics of the fractional quantum Hall edge probed by stroboscope measurements of trions

By using observations from pump-probe stroboscopic confocal microscopy and spectroscopy, we demonstrate the dynamics of trions and the fractional quantum Hall edge on the order of $\sim1$ ps. The propagation of the quantum Hall edge state excited by a voltage pulse is detected as a temporal change in reflectance in the downstream edge probed by optical pulses synchronized with the voltage pulse. The temporal resolution of such stroboscopic pump-probe measurements is as fast as the duration time of the probe pulse ($\sim1$ ps). This ultra-fast stroboscope measurement enables us to distinguish between the normal mode of edge excitation, known as the edge magneto-plasmon or charge density wave, and other high-energy non-linear excitations. This is the only experimental method available to study the ultra-fast dynamics of quantum Hall edges, and makes it possible to derive the metric tensor $g_{\mu \nu}$ of the $(1+1)=2$-dimensional curved spacetime in quantum universe and black hole analogs implemented in the quantum Hall edge

Group Strategyproof Pareto-Stable Marriage with Indifferences via the Generalized Assignment Game

We study the variant of the stable marriage problem in which the preferences of the agents are allowed to include indifferences. We present a mechanism for producing Pareto-stable matchings in stable marriage markets with indifferences that is group strategyproof for one side of the market. Our key technique involves modeling the stable marriage market as a generalized assignment game. We also show that our mechanism can be implemented efficiently. These results can be extended to the college admissions problem with indifferences

Expression of transient receptor potential channel vanilloid (TRPV) 1–4, melastin (TRPM) 5 and 8, and ankyrin (TRPA1) in the normal and methimazole-treated mouse olfactory epithelium

Conclusion: It is suggested that TRPV1, 2, 3, and 4, TRPM5 and 8, and TRPA1 may play several roles in the olfactory epithelium (OE), contributing to olfactory chemosensation, olfactory adaptation, olfactory-trigeminal interaction, and OE fluid homeostasis. In patients with olfactory disturbance, TRPV1 and TRPM8 may be closely related to a high rate of recognition of curry and menthol odors, while TRPV2 may also play a crucial role in the regeneration of olfactory receptor neurons. Objective: Expression of TRPV1–4, TRPM5 and 8, and TRPA1 in the normal and methimazole-treated mouse OE was analyzed. Methods: The localization of TRPV1–4, TRPM5 and 8, and TRPA1 in the OE of normal and methimazole-treated CBA/J mice was investigated by immunohistochemistry. Results: Normal OE showed a positive immunofluorescent reaction to TRPV1–4, TRPM5 and 8, and TRPA1. In lamina propria, the nerve fibers displayed TRPV 1, 2, and 3, TRPM8 and TRPA1. In the pathological condition, the expression of TRPV3, TRPV4, TRPM5, and TRPA1 was markedly reduced and took a long time to recover. In contrast, expression of TRPM8 was scarcely affected, even in the pathological condition, while TRPV1 and TRPV2 showed early recovery following methimazole treatment