Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

Four group decodable differential scaled unitary linear space-time codes

Differential Unitary Space-Time Block codes (STBCs) offer a means to communicate on the Multiple Input Multiple Output (MIMO) channel without the need for channel knowledge at both the transmitter and the receiver. Recently Yuen-Guan-Tjhung have proposed Single-Symbol-Decodable Differential Space-Time Modulation based on Quasi-Orthogonal Designs (QODs) by replacing the original unitary criterion by a scaled unitary criterion. These codes were also shown to perform better than differential unitary STBCs from Orthogonal Designs (ODs). However the rate (as measured in complex symbols per channel use) of the codes of Yuen-Guan-Tjhung decay as the number of transmit antennas increase. In this paper, a new class of differential scaled unitary STBCs for all even number of transmit antennas is proposed. These codes have a rate of 1 complex symbols per channel use, achieve full diversity and moreover they are four-group decodable, i.e., the set of real symbols can be partitioned into four groups and decoding can be done for the symbols in each group separately. Explicit construction of multidimensional signal sets that yield full diversity for this new class of codes is also given.

Influence of Cooling Rate on the Enthalpy Relaxation and Fragility of a Metallic Glass

Structural relaxation behavior of a rapidly quenched (RQ) and a slowly cooled Pd40Cu30Ni10P20 metallic glass was investigated and compared. Differential scanning calorimetry was employed to monitor the relaxation enthalpies at the glass transition temperature, T-g , and the Kolrausch-Williams-Watts (KWW) stretched exponential function was used to describe its variation with annealing time. It was found that the rate of enthalpy recovery is higher in the ribbon, implying that the bulk is more resistant to relaxation at low temperatures of annealing. This was attributed to the possibility of cooling rate affecting the locations where the glasses get trapped within the potential energy landscape. The RQ process traps a larger amount of free volume, resulting in higher fragility, and in turn relaxes at the slightest thermal excitation (annealing). The slowly cooled bulk metallic glass (BMG), on the other hand, entraps lower free volume and has more short-range ordering, hence requiring a large amount of perturbation to access lower energy basins.

Low-delay, high-rate, non-square STBCs from scaled complex orthogonal designs

Space-time block codes (STBCs) obtained from non-square complex orthogonal designs are bandwidth efficient compared to those from square real/complex orthogonal designs for colocated coherent MIMO systems and has other applications in (i) non-coherent MIMO systems with non-differential detection, (ii) Space-Time-Frequency codes for MIMO-OFDM systems and (iii) distributed space-time coding for relay channels. Liang (IEEE Trans. Inform. Theory, 2003) has constructed maximal rate non-square designs for any number of antennas, with rates given by [(a+1)/(2a)] when number of transmit antennas is 2a-1 or 2a. However, these designs have large delays. When large number of antennas are considered this rate is close to 1/2. Tarokh et al (IEEE Trans. Inform. Theory, 1999) have constructed rate 1/2 non-square CODs using the rate-1 real orthogonal designs for any number of antennas, where the decoding delay of these codes is less compared to the codes constructed by Liang for number of transmit antennas more than 5. In this paper, we construct a class of rate-1/2 codes for arbitrary number of antennas where the decoding delay is reduced by 50% when compared with the rate-1/2 codes given by Tarokh et al. It is also shown that even though scaling the variables helps to lower the delay it can not be used to increase the rate.

Signal set design for full-diversity low-decoding-complexity differential scaled-unitary STBCs

The problem of designing high rate, full diversity noncoherent space-time block codes (STBCs) with low encoding and decoding complexity is addressed. First, the notion of g-group encodable and g-group decodable linear STBCs is introduced. Then for a known class of rate-1 linear designs, an explicit construction of fully-diverse signal sets that lead to four-group encodable and four-group decodable differential scaled unitary STBCs for any power of two number of antennas is provided. Previous works on differential STBCs either sacrifice decoding complexity for higher rate or sacrifice rate for lower decoding complexity.

Boundary value problems for third-order nonlinear ordinary differential equations

In this paper, we describe how to analyze boundary value problems for third-order nonlinear ordinary differential equations over an infinite interval. Several physical problems of interest are governed by such systems. The seminumerical schemes described here offer some advantages over solutions obtained by using traditional methods such as finite differences, shooting method, etc. These techniques also reveal the analytic structure of the solution function. For illustrative purposes, several physical problems, mainly drawn from fluid mechanics, are considered; they clearly demonstrate the efficiency of the techniques presented here.

Signal set design for full-diversity low-decoding-complexity differential scaled-unitary STBCs

The problem of designing high rate, full diversity noncoherent space-time block codes (STBCs) with low encoding and decoding complexity is addressed. First, the notion of g-group encodable and g-group decodable linear STBCs is introduced. Then for a known class of rate-1 linear designs, an explicit construction of fully-diverse signal sets that lead to four-group encodable and four-group decodable differential scaled unitary STBCs for any power of two number of antennas is provided. Previous works on differential STBCs either sacrifice decoding complexity for higher rate or sacrifice rate for lower decoding complexity.

Boundary value problems for third-order nonlinear ordinary differential equations

In this paper, we describe how to analyze boundary value problems for third-order nonlinear ordinary differential equations over an infinite interval. Several physical problems of interest are governed by such systems. The seminumerical schemes described here offer some advantages over solutions obtained by using traditional methods such as finite differences, shooting method, etc. These techniques also reveal the analytic structure of the solution function. For illustrative purposes, several physical problems, mainly drawn from fluid mechanics, are considered; they clearly demonstrate the efficiency of the techniques presented here.

An evaluation of rate-controlling obstacles for low-temperature deformation of zirconium

The low-temperature plastic flow of alpha-zirconium was studied by employing constantrate tensile tests and differential-stress creep experiments. The activation parameters, enthalpy and area, have been obtained as a function of stress for pure, as well as commercial zirconium. The activation area is independent of grain size and purity and falls to about 9b2 at high stresses. The deformation mechanism below about 700° K is found to be controlled by a single thermally activated process, and not a two-stage activation mechanism. Several dislocation mechanisms are examined and it is concluded that overcoming the Peierls energy humps by the formation of kink pairs in a length of dislocation is the rate-controlling mechanism. The total energy needed to nucleate a double kink is about 0.8 eV in pure zirconium and 1 eV in commercial zirconium

Transient MHD stagnation flow of a non-Newtonian fluid due to impulsive motion from rest

The transient boundary layer flow and heat transfer of a viscous incompressible electrically conducting non-Newtonian power-law fluid in a stagnation region of a two-dimensional body in the presence of an applied magnetic field have been studied when the motion is induced impulsively from rest. The nonlinear partial differential equations governing the flow and heat transfer have been solved by the homotopy analysis method and by an implicit finite-difference scheme. For some cases, analytical or approximate solutions have also been obtained. The special interest are the effects of the power-law index, magnetic parameter and the generalized Prandtl number on the surface shear stress and heat transfer rate. In all cases, there is a smooth transition from the transient state to steady state. The shear stress and heat transfer rate at the surface are found to be significantly influenced by the power-law index N except for large time and they show opposite behaviour for steady and unsteady flows. The magnetic field strongly affects the surface shear stress, but its effect on the surface heat transfer rate is comparatively weak except for large time. On the other hand, the generalized Prandtl number exerts strong influence on the surface heat transfer. The skin friction coefficient and the Nusselt number decrease rapidly in a small interval 0 < t* < 1 and reach the steady-state values for t* >= 4. (C) 2010 Published by Elsevier Ltd.

Negative differential resistance in doped poly(3-methylthiophene) devices

The current density-voltage (J-V) characteristics of poly(3-methylthiophene) devices show a negative differential resistance (NDR) at room temperature with a large peak to valley current ratio (similar to 507). This NDR can be tuned by two orders of magnitude by controlling the carrier density due to the variation of the space-charge region in the device. The temperature and scan rate dependent J-V measurements infer that the NDR is mainly driven by the trapping and de-trapping of carriers. The photo-generation of carriers is observed to reduce the NDR effect.

Influence of Substrate Temperature and Deposition Rate on Structural and Mechanical Properties of Shape Memory NiTi Films

NiTi thin films deposited by DC magnetron sputtering of an alloy (Ni/Ti:45/55) target at different deposition rates and substrate temperatures were analyzed for their structure and mechanical properties. The crystalline structure, phase-transformation and mechanical response were characterized by X-ray diffraction (XRD), Differential Scanning Calorimetry (DSC) and Nano-indentation techniques, respectively. The films were deposited on silicon substrates maintained at temperatures in the range 300 to 500 degrees C and post-annealed at 600 degrees C for four hours to ensure film crystallinity. Films deposited at 300 degrees C and annealed for 600 degrees C have exhibited crystalline behavior with Austenite phase as the prominent phase. Deposition onto substrates held at higher deposition temperatures (400 and 500 degrees C) resulted in the co-existence of Austenite phase along with Martensite phase. The increase in deposition rates corresponding to increase in cathode current from 250 to 350 mA has also resulted in the appearance of Martensite phase as well as improvement in crystallinity. XRD analysis revealed that the crystalline film structure is strongly influenced by process parameters such as substrate temperature and deposition rate. DSC results indicate that the film deposited at 300 degrees C had its crystallization temperature at 445 degrees C in the first thermal cycle, which is further confirmed by stress temperature response. In the second thermal cycle the Austenite and Martensite transitions were observed at 75 and 60 degrees C respectively. However, the films deposited at 500 degrees C had the Austenite and Martensite transitions at 73 and 58 degrees C, respectively. Elastic modulus and hardness values increased from 93 to 145 GPa and 7.2 to 12.6 GPa, respectively, with increase in deposition rates. These results are explained on the basis of change in film composition and crystallization. (C) 2010 Published by Elsevier Ltd