Derivatives Pricing in Incomplete Markets

In the paper the one-period (B, S) - market model with two securities is considered. In the introduction a replicating portfolio for the derivative security is obtained when the securities are primitive. In the second part we consider the situation where the stock price could have more than two values. We build an approximation of such a market using a fictive (B, S*) - market where the stock price could take only two values. In the third part the numerical illustration of the approximation is given

Optical models of the molecular atmosphere

The use of optical and laser methods for performing atmospheric investigations has stimulated the development of the optical models of the atmosphere. The principles of constructing the optical models of molecular atmosphere for radiation with different spectral composition (wideband, narrowband, and monochromatic) are considered in the case of linear and nonlinear absorptions. The example of the development of a system which provides for the modeling of the processes of optical-wave energy transfer in the atmosphere is presented. Its physical foundations, structure, programming software, and functioning were considered

The etiological structure of mass diseases with young gastro and respiratory syndrome

Etiology gastroenteritis and pneumonia animals studied complex, on the basis of epizootic, clinical, pathological data, bacteriological results, serology, hematology, immunobiochemical research method

On Lidar Sounding of the Atmosphere to Estimate Static and Dynamic Characteristics of Aerosol Inhomogeneities

1. A possible application of intensity fluctuations of a pulse light signal reflected by atmospheric aerosols is analyzed by the correlation method to evaluate static (medium sizes, shape) and dynamic (speed and direction of movement, lifetime) characteristics of aerosol inhomogeneities. The aerosol inhomogeneities are assumed to be expanded, pressed, disintegrated and originated constantly in accordance with random laws, the set of inhomogeneities as a whole traveling together with air masses and having predominant movement in wind direction. It is shown that the characteristics of aerosol inhomogeneities considered can be expressed by the coefficients of the correlation function expansion of the reflected signal fluctuation intensity in Tailor series. 2/ Correlation systems for evaluating static and dynamic characteristics of driving objects can be divided into two types according to the kind and quantity of used information: the systems with coordinates of the information removal "points" to be fixed in space, and the systems with a parallel simultaneous information removal at discrete moments of time. The systems for determination of wind direction considered in are the examples of the first type system. However, the operating information removal for two points is insufficient to estimate completely static and dynamic characteristics of inhomogenities, their quantity ought to be increased up to three of them for two-dimensional problem and up to four of them for three-dimensional problem as it is usually done in the ionospheric studies. The second type systems are used for the investigation of a medium shape and speed of the clouds according to photographs made from satellites. These systems are also used for solution of navigation problems. The use of optical quantum generators with a scanning beam is seen to increase greatly the working information removal in comparison with the first type systems. Nevertheless, scanning rate is not sufficient sometimes in order to consider a general picture of aerosol inhomogeneities to be stationary. In this connection the use of the systems of second type treatment becomes a matter of essential difficulty. 3. Aerosol inhomogeneities simulation has been carried out on the basis of the digital computer experiments with the aim of estimating static and dynamic characteristics of inhomogeneities by an optical beam in the atmosphere at different scanning procedures. The dependence of determination accuracy of these characteristics on the type of chosen laws of aerosol particle distribution in the atmosphere, the parameters of inhomogeneities geometry, their speed and the law of scanning have been obtained

Laser sounding of instantaneous and mean speed of wind using correlation method

The correlation methods for laser sounding of wind speed are based on mutual processing of lidar signals scattered from several spatially separated volumes at each altitude investigated. The time of atmospheric aerosol transport between the scattering volumes estimated by the position of maximum of the mutual correlation function is the measure of corresponding wind speed. In this case the distance between the scattering volumes (the measuring base), defining the time of aerosol movement through the measuring base also determines the lidar possibilities for measuring the instantaneous (during the time interval of several seconds) or the mean wind speed (some minutes). Based on the experimental investigations performed using two lidars, these possibilites are analyzed

Nernst-Ettingshausen effect in two-component electronic liquids

A simple model describing the Nernst-Ettingshausen effect (NEE) in two-component electronic liquids is formulated. The examples considered include graphite, where the normal and Dirac fermions coexist, superconductor in fluctuating regime, with coexisting Cooper pairs and normal electrons, and the inter-stellar plasma of electrons and protons. We give a general expression for the Nernst constant and show that the origin of a giant NEE is in the strong dependence of the chemical potential on temperature in all cases

Photo-Thermoelectric Effect at a Graphene Interface Junction

We investigate the optoelectronic response of a graphene interface junction, formed with bilayer and single-layer graphene, by photocurrent (PC) microscopy. We measure the polarity and amplitude of the PC while varying the Fermi level by tuning a gate voltage. These measurements show that the generation of PC is by a photo-thermoelectric effect. The PC displays a factor of ~10 increase at the cryogenic temperature as compared to room temperature. Assuming the thermoelectric power has a linear dependence on the temperature, the inferred graphene thermal conductivity from temperature dependent measurements has a T^{1.5} dependence below ~100 K, which agrees with recent theoretical predictions

Multicriteria fuzzy statistical analysis of biogas energy systems dependability

The work is devoted to the problems of assessing the dependability of autonomous energy systems with biogas type of electrical generation. The purpose of the work is to develop an intelligent tool for multi-criteria dependability assessment, taking into account the statistical uncertainty of individual indicators. A three-level hierarchy (according to the degree of generalization) of dependability indicators, represented by statistical (at the lower level) and fuzzy linguistic (starting from the second level) variables, has been developed. It is proposed to implement the transition from statistical values of lower-level indicators to numerical values of second-level indicators using an artificial neural network. Fuzzification of second-level indicators was carried out using L. Zadeh’s z-number apparatus, which allows taking into account statistical uncertainty. To determine the integral dependability indicator (top of the hierarchy) based on second-level indicators, it is proposed to use the Mamdani fuzzy inference algorithm. The constructed procedure for determining the level of dependability allows us to obtain data for making scientifically based decisions when operating biogas energy systems

Fast optical variability of SS 433

We study the optical variability of the peculiar Galactic source SS 433 using the observations made with the Russian Turkish 1.5-m telescope (RTT150). A simple technique which allows to obtain high-quality photometric measurements with 0.3-1 s time resolution using ordinary CCD is described in detail. Using the test observations of nonvariable stars, we show that the atmospheric turbulence introduces no significant distortions into the measured light curves. Therefore, the data obtained in this way are well suited for studying the aperiodic variability of various objects. The large amount of SS 433 optical light curve measurements obtained in this way allowed us to obtain the power spectra of its flux variability with a record sensitivity up to frequencies of ~0.5 Hz and to detect its break at frequency =~2.4e-3 Hz. We suggest that this break in the power spectrum results from the smoothing of the optical flux variability due to a finite size of the emitting region. Based on our measurement of the break frequency in the power spectrum, we estimated the size of the accretion-disk photosphere as 2e12 cm. We show that the amplitude of the variability in SS 433 decreases sharply during accretion-disk eclipses, but it does not disappear completely. This suggests that the size of the variable optical emission source is comparable to that of the normal star whose size is therefore R_O \approx 2e12 cm \approx 30 R_sun. The decrease in flux variability amplitude during eclipses suggests the presence of a nonvariable optical emission component with a magnitude m_R=~13.2.Comment: 12 pages, 11 figures. Accepted for publication in Astronomy Letters. The original version in Russian is available at http://hea.iki.rssi.ru/rtt150/ru/ss433_pazh10/pss433_fast.pd

Very slow surface plasmons: theory and practice

The paper is of a methodological character and has as a goal to give a brief description of the concept of theory and practical application of very slow optical plasmons. They exist on the metal-dielectric boundaries, namely, on very thin metal films and fibers and as standing waves on metal spheres and ellipsoids. The material presented in the paper features by widening the common concepts of electromagnetic modes of various spaces, of the probability of spontaneous emission, of creation of optical images, of the limits of optical focusing, and of the photon linear momentum. All mentioned studies are completed in recent years. The problem of the photon momentum in a dielectric medium was the topic of irreconcilable disputes for 100 years starting in the time of appearing of Minkowski and Abraham famous papers. Various practical applications are surveyed: the experiments with a great intensification of an atom spontaneous emission into a plasmonic field mode of a metal nanoparticle, the experiments on focusing optical radiation into a spot that substantially smaller than a diffraction limited spot, a so called near perfect Pendry lens that produces the image with details that substantially smaller than defined by diffraction, and lastly, the concept of hundredfold and more magnification of a photon mechanical linear momentum in a plasmon. The work completed is supported by RFBR, grants Nos 05-02-19647, 07-02-01328.Comment: 19 pages, 13 figure