An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes

This paper extends the singular Fourier–Padé (SFP) method proposed by Chan [Singular Fourier–Padé series expansion of European option prices. Quant. Finance, 2018, 18, 1149–1171] for pricing/hedging early-exercise options–Bermudan, American and discrete-monitored barrier options–under a Lévy process. The current SFP method is incorporated with the Filon–Clenshaw–Curtis (FCC) rules invented by Domínguez et al. [Stability and error estimates for Filon–Clenshaw–Curtis rules for highly oscillatory integrals. IMA J. Numer. Anal., 2011, 31, 1253–1280], and we call the new method SFP–FCC. The main purpose of using the SFP–FCC method is to require a small number of terms to yield fast error convergence and to formulate option pricing and option Greek curves rather than individual prices/Greek values. We also numerically show that the SFP–FCC method can retain a global spectral convergence rate in option pricing and hedging when the risk-free probability density function is piecewise smooth. Moreover, the computational complexity of the method is O((L−1)(N+1)( Ñ log Ñ)) with N, a (small) number of complex Fourier series terms, Ñ, a number of Chebyshev series terms and L, the number of early-exercise/monitoring dates. Finally, we compare the accuracy and computational time of our method with those of existing techniques in numerical experiments

Lepton Flavor Violation in the SUSY-GUT Models with Lopsided Mass Matrix

The tiny neutrino masses measured in the neutrino oscillation experiments can be naturally explained by the supersymmetric see-saw mechanism. If the supersymmetry breaking is mediated by gravity, the see-saw models may predict observable lepton flavor violating effects. In this work, we investigate the lepton flavor violating process $\mu\to e\gamma$ in the kind of neutrino mass models based on the idea of the ``lopsided'' form of the charged lepton mass matrix. The constraints set by the muon anomalous magnetic moment are taken into account. We find the present models generally predict a much larger branching ratio of $\mu\to e\gamma$ than the experimental limit. Conversely, this process may give strong constraint on the lepton flavor structure. Following this constraint we then find a new kind of the charged lepton mass matrix. The feature of the structure is that both the elements between the 2-3 and 1-3 generations are ``lopsided''. This structure produces a very small 1-3 mixing and a large 1-2 mixing in the charged lepton sector, which naturally leads to small $Br(\mu\to e\gamma)$ and the LMA solution for the solar neutrino problem.Comment: 24 pages, 8 figure

Double Inflation in Supergravity and the Large Scale Structure

The cosmological implication of a double inflation model with hybrid + new inflations in supergravity is studied. The hybrid inflation drives an inflaton for new inflation close to the origin through supergravity effects and new inflation naturally occurs. If the total e-fold number of new inflation is smaller than $\sim 60$, both inflations produce cosmologically relevant density fluctuations. Both cluster abundances and galaxy distributions provide strong constraints on the parameters in the double inflation model assuming $\Omega_0=1$ standard cold dark matter scenario. The future satellite experiments to measure the angular power spectrum of the cosmic microwave background will make a precise determination of the model parameters possible.Comment: 19 pages (RevTeX file

Effective String Theory of Vortices and Regge Trajectories

Starting from a field theory containing classical vortex solutions, we obtain an effective string theory of these vortices as a path integral over the two transverse degrees of freedom of the string. We carry out a semiclassical expansion of this effective theory, and use it to obtain corrections to Regge trajectories due to string fluctuations.Comment: 27 pages, revtex, 3 figures, corrected an error with the cutoff in appendix E (was previously D), added more discussion of Fig. 3, moved some material in section 9 to a new appendi

Structural, electronic, and magneto-optical properties of YVO3_3

Optical and magneto-optical properties of YVO$_3$ single crystal were studied in FIR, visible, and UV regions. Two structural phase transitions at 75 K and 200 K were observed and established to be of the first and second order, respectively. The lattice has an orthorhombic $Pbnm$ symmetry both above 200 K as well as below 75 K, and is found to be dimerized monoclinic $Pb11$ in between. We identify YVO$_3$ as a Mott-Hubbard insulator with the optical gap of 1.6 eV. The electronic excitations in the visible spectrum are determined by three $d$-bands at 1.8, 2.4, and 3.3 eV, followed by the charge-transfer transitions at about 4 eV. The observed structure is in good agreement with LSDA+$U$ band structure calculations. By using ligand field considerations, we assigned these bands to the transitions to the $^4A_{2g}$, $^2E_{g} + ^2T_{1g}$, and $^2T_{2g}$ states. The strong temperature dependence of these bands is in agreement with the formation of orbital order. Despite the small net magnetic moment of 0.01 $\mu_B$ per vanadium, the Kerr effect of the order of $0.01^\circ$ was observed for all three $d$-bands in the magnetically ordered phase $T_{\text{N\'eel}}<116 K$. A surprisingly strong enhancement of the Kerr effect was found below 75 K, reaching a maximum of $0.1^\circ$. The effect is ascribed to the non-vanishing net orbital magnetic moment.Comment: Submitted to Phys. Rev.

Product-Group Unification in Type IIB String Thoery

The product-group unification is a model of unified theories, in which masslessness of the two Higgs doublets and absence of dimension-five proton decay are guaranteed by a symmetry. It is based on SU(5) x U(N) (N=2,3) gauge group. It is known that various features of the model are explained naturally, when it is embedded in a brane world. This article describes an idea of how to accommodate all the particles of the model in Type IIB brane world. The GUT-breaking sector is realized by a D3--D7 system, and chiral quarks and leptons arise from intersection of D7-branes. The D-brane configuration can be a geometric realization of the non-parallel family structure of quarks and leptons, an idea proposed to explain the large mixing angles observed in the neutrino oscillation. The tri-linear interaction of the next-to-minimal supersymmetric standard model is obtained naturally in some cases.Comment: 33 pages, 5 figure

CVIT expert consensus document on primary percutaneous coronary intervention (PCI) for acute myocardial infarction (AMI) in 2018

While primary percutaneous coronary intervention (PCI) has significantly contributed to improve the mortality in patients with ST segment elevation myocardial infarction even in cardiogenic shock, primary PCI is a standard of care in most of Japanese institutions. Whereas there are high numbers of available facilities providing primary PCI in Japan, there are no clear guidelines focusing on procedural aspect of the standardized care. Whilst updated guidelines for the management of acute myocardial infarction were recently published by European Society of Cardiology, the following major changes are indicated; (1) radial access and drug-eluting stent over bare metal stent were recommended as Class I indication, and (2) complete revascularization before hospital discharge (either immediate or staged) is now considered as Class IIa recommendation. Although the primary PCI is consistently recommended in recent and previous guidelines, the device lag from Europe, the frequent usage of coronary imaging modalities in Japan, and the difference in available medical therapy or mechanical support may prevent direct application of European guidelines to Japanese population. The Task Force on Primary Percutaneous Coronary Intervention of the Japanese Association of Cardiovascular Intervention and Therapeutics (CVIT) has now proposed the expert consensus document for the management of acute myocardial infarction focusing on procedural aspect of primary PCI