Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory

Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et al.) considers fluctuations around this equilibrium state by introducing a relaxational dynamics with random noise for intermediate deviations called ``virtual'' arbitrage returns. In this work, the model is incorporated within a martingale pricing method for derivatives on securities (e.g. stocks) in incomplete markets using a mapping to option pricing theory with stochastic interest rates. Using a famous result by Merton and with some help from the path integral method, exact pricing formulas for European call and put options under the influence of virtual arbitrage returns (or intermediate deviations from economic equilibrium) are derived where only the final integration over initial arbitrage returns needs to be performed numerically. This result is complemented by a discussion of the hedging strategy associated to a derivative, which replicates the final payoff but turns out to be not self-financing in the real world, but self-financing {\it when summed over the derivative's remaining life time}. Numerical examples are given which underline the fact that an additional positive risk premium (with respect to the Black-Scholes values) is found reflecting extra hedging costs due to intermediate deviations from economic equilibrium.Comment: 21 pages, 4 figures, to appear in EPJ B, major changes (title, abstract, main text

Whole genome sequencing and microsatellite analysis of the Plasmodium falciparum E5 NF54 strain show that the var, rifin and stevor gene families follow Mendelian inheritance

Background: Plasmodium falciparum exhibits a high degree of inter-isolate genetic diversity in its variant surface antigen (VSA) families: P. falciparum erythrocyte membrane protein 1, repetitive interspersed family (RIFIN) and subtelomeric variable open reading frame (STEVOR). The role of recombination for the generation of this diversity is a subject of ongoing research. Here the genome of E5, a sibling of the 3D7 genome strain is presented. Short and long read whole genome sequencing (WGS) techniques (Ilumina, Pacific Bioscience) and a set of 84 microsatellites (MS) were employed to characterize the 3D7 and non-3D7 parts of the E5 genome. This is the first time that VSA genes in sibling parasites were analysed with long read sequencing technology. Results: Of the 5733 E5 genes only 278 genes, mostly var and rifin/stevor genes, had no orthologues in the 3D7 genome. WGS and MS analysis revealed that chromosomal crossovers occurred at a rate of 0–3 per chromosome. var, stevor and rifin genes were inherited within the respective non-3D7 or 3D7 chromosomal context. 54 of the 84 MS PCR fragments correctly identified the respective MS as 3D7- or non-3D7 and this correlated with var and rifin/stevor gene inheritance in the adjacent chromosomal regions. E5 had 61 var and 189 rifin/stevor genes. One large non-chromosomal recombination event resulted in a new var gene on chromosome 14. The remainder of the E5 3D7-type subtelomeric and central regions were identical to 3D7. Conclusions: The data show that the rifin/stevor and var gene families represent the most diverse compartments of the P. falciparum genome but that the majority of var genes are inherited without alterations within their respective parental chromosomal context. Furthermore, MS genotyping with 54 MS can successfully distinguish between two sibling progeny of a natural P. falciparum cross and thus can be used to investigate identity by descent in field isolates

Structures and IR/UV spectra of neutral and ionic phenol-Ar-n cluster isomers (n <= 4): competition between hydrogen bonding and stacking

Dieser Beitrag ist mit Zustimmung des Rechteinhabers aufgrund einer (DFG geförderten) Allianz- bzw. Nationallizenz frei zugänglich.This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.The structures, binding energies, and vibrational and electronic spectra of various isomers of neutral and ionic phenol–Arnclusters with n ≤ 4, PhOH(+)–Arn, are characterized by quantum chemical calculations. The properties in the neutral and ionic ground electronic states (S0, D0) are determined at the M06-2X/aug-cc-pVTZ level, whereas the S1 excited state of the neutral species is investigated at the CC2/aug-cc-pVDZ level. The Ar complexation shifts calculated for the S1 origin and the adiabatic ionisation potential, ΔS1 and ΔIP, sensitively depend on the Ar positions and thus the sequence of filling the first Ar solvation shell. The calculated shifts confirm empirical additivity rules for ΔS1 established recently from experimental spectra and enable thus a firm assignment of various S1 origins to their respective isomers. A similar additivity model is newly developed for ΔIP using the M06-2X data. The isomer assignment is further confirmed by Franck–Condon simulations of the intermolecular vibrational structure of the S1 ← S0 transitions. In neutral PhOH–Arn, dispersion dominates the attraction and π-bonding is more stable than H-bonding. The solvation sequence of the most stable isomers is derived as (10), (11), (30), and (31) for n ≤ 4, where (km) denotes isomers with k and m Ar ligands binding above and below the aromatic plane, respectively. The π interaction is somewhat stronger in the S1 state due to enhanced dispersion forces. Similarly, the H-bond strength increases in S1 due to the enhanced acidity of the OH proton. In the PhOH+–Arn cations, H-bonds are significantly stronger than π-bonds due to additional induction forces. Consequently, one favourable solvation sequence is derived as (H00), (H10), (H20), and (H30) for n ≤ 4, where (Hkm) denotes isomers with one H-bound ligand and k and m π-bonded Ar ligands above and below the aromatic plane, respectively. Another low-energy solvation motif for n = 2 is denoted (11)H and involves nonlinear bifurcated H-bonding to both equivalent Ar atoms in a C2v structure in which the OH group points toward the midpoint of an Ar2 dimer in a T-shaped fashion. This dimer core can also be further solvated by π-bonded ligands leading to the solvation sequence (H00), (11)H, (21)H, and (22) for n ≤ 4. The implications of the ionisation-induced π → H switch in the preferred interaction motif on the isomerisation and fragmentation processes of PhOH(+)–Arn are discussed in the light of the new structural and energetic cluster parameters

IMPRESA case study brief: Transition to organic production - The case of the Camargue in France

This case study focuses on the transition to organic farming in the French Camargue. A research programme was launched in the year 2000 with the objective of expanding organic farming in the territory and thus responding to the severe environmental problems, e.g. the pollution of the Rhône River. The main impacts of the research – additionally driven by external factors, especially economic ones – are the increase in the surface under organic rice (the main crop in the territory) as well as increased revenues at farm level. We hereby trace back the innovation pathway, describe the key influencing factors and draw general conclusions for research and innovation in EU agriculture

IMPRESA WP3: Case Study Report - Transition towards organic farming in the Camargue

In this report we assess the contribution, role, and impacts of the Science-Based Research and Innovation Program (ISRIP) on farmers’ transition to organic production in the Camargue. We have applied a qualitative method based on the Participatory Impact Pathway Analysis (PIPA) and complemented by other methods to adapt it to the requirements of an-ex-post evaluation (with Outcome Harvesting), to identify the role played by the different actors along the innovation pathway (with the Social Network Analysis), to validate the pathway links (with the Process tracing) and to identify the crucial components in the pathway (by asking counterfactual questions to stakeholders). We demonstrate that the research has played a limited role to support farmers’ transition to organic farming in the Camargue. Three main evidences were identified: (1) informal testing made by farmers on crop rotation were very important to help them to convert to organic farming; (2) economic factors were also important and even indispensable; and (3) the institutionalization of the supply chain for organic rice was seen as a crucial factor in the pathway