No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. (2002), Kabanov and al. (2003) and Schachermayer (2004) to the case where bid-ask spreads are not known with certainty. In the "no-friction" case, we retrieve the result of Kabanov and Stricker (2003)

Bond markets where prices are driven by a general marked point process

We investigate the term structure for the case when interest rates are allowed to be driven by a general marked point process as well as by a Wiener process. Developing a theory which allows for measure-valued trading portfolios we study existence and uniqueness of a martingale measure, as well as completeness of the bond market. We also give sufficient conditions for the existence of an affine term structure. Developing the appropriate forward measures we give formulas for interest rate derivatives.Term structure of interest rates; arbitrage; bond markets; interest rates; martingales; jump processes; completeness; affine term structure

Practical cryptographic strategies in the post-quantum era

We review new frontiers in information security technologies in communications and distributed storage technologies with the use of classical, quantum, hybrid classical-quantum, and post-quantum cryptography. We analyze the current state-of-the-art, critical characteristics, development trends, and limitations of these techniques for application in enterprise information protection systems. An approach concerning the selection of practical encryption technologies for enterprises with branched communication networks is introduced.Comment: 5 pages, 2 figures; review pape

Pricing and hedging game options in currency models with proportional transaction costs

The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option

Dynamics of broken symmetry nodal and anti-nodal excitations in Bi_{2} Sr_{2} CaCu_{2} O_{8+\delta} probed by polarized femtosecond spectroscopy

The dynamics of excitations with different symmetry is investigated in the superconducting (SC) and normal state of the high-temperature superconductor Bi$_{2}$Sr$_{2}$CaCu$_{2}$O$_{8+\delta}$ (Bi2212) using optical pump-probe (Pp) experiments with different light polarizations at different doping levels. The observation of distinct selection rules for SC excitations, present in A$_{{\rm 1g}}$ and B$_{{\rm 1g}}$ symmetries, and for the PG excitations, present in A$_{{\rm 1g}}$ and B$_{{\rm 2g}}$ symmetries, by the probe and absence of any dependence on the pump beam polarization leads to the unequivocal conclusion of the existence of a spontaneous spatial symmetry breaking in the pseudogap (PG) state

Combination quantum oscillations in canonical single-band Fermi liquids

Chemical potential oscillations mix individual-band frequencies of the de Haas-van Alphen (dHvA) and Shubnikov-de Haas (SdH) magneto-oscillations in canonical low-dimensional multi-band Fermi liquids. We predict a similar mixing in canonical single-band Fermi liquids, which Fermi-surfaces have two or more extremal cross-sections. Combination harmonics are analysed using a single-band almost two-dimensional energy spectrum. We outline some experimental conditions allowing for resolution of combination harmonics

On convergence of attainability sets for controlled two-scale stochastic linear systems

A limit of attainability sets is found for a linear two-scale stochastic system for the case when the diffusion coefficient of the fast variable is of order ε1/2. The attainability set is defined as the set of distributions of attainable terminal values of solutions of stochastic differential equations. As a corollary we calculate a limit of the optimal value of the terminal cost in the stochastic Mayer problem

Disentanglement of the electronic and lattice parts of the order parameter in a 1D Charge Density Wave system probed by femtosecond spectroscopy

We report on the high resolution studies of the temperature (T) dependence of the q=0 phonon spectrum in the quasi one-dimensional charge density wave (CDW) compound K0.3MoO3 utilizing time-resolved optical spectroscopy. Numerous modes that appear below Tc show pronounced T-dependences of their amplitudes, frequencies and dampings. Utilizing the time-dependent Ginzburg-Landau theory we show that these modes result from linear coupling of the electronic part of the order parameter to the 2kF phonons, while the (electronic) CDW amplitude mode is overdamped.Comment: 4 pages, 3 figures + supplementary material, accepted for publication in Phys. Rev. Let