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.

Study of turbid media with light: Recovery of mechanical and optical properties from boundary measurement of intensity autocorrelation of light

We discuss the inverse problem associated with the propagation of the field autocorrelation of light through a highly scattering object like tissue. In the first part of the work, we reconstructed the optical absorption coefficient mu(u) and particle diffusion coefficient D-B from simulated measurements which are integrals of a quantity computed from the measured intensity and intensity autocorrelation g(2)(tau) at the boundary. In the second part we recover the mean square displacement (MSD) distribution of particles in an inhomogeneous object from the sampled g(2)(tau) measure on the boundary. From the MSD, we compute the storage and loss moduli distributions in the object. We have devised computationally easy methods to construct the sensitivity matrices which are used in the iterative reconstruction algorithms for recovering these parameters from the measurements. The results of the reconstruction of mu(a), D-B, MSD and the viscoelastic parameters, which are presented, show reasonable good position and quantitative accuracy.

A Pulsewidth Modulated Control of Induction Motor Drive Using Multilevel 12-Sided Polygonal Voltage Space Vectors

In this paper, a novel 12-sided polygonal space vector structure is proposed for an induction motor drive. The space vector pattern presented in this paper consists of two 12-sided concentric polygons with the outer polygon having a radius double the inner one. As compared to previously reported 12-sided polygonal space vector structures, this paper subdivides the space vector plane into smaller sized triangles. This helps in reducing the switching frequency of the inverters without deteriorating the output voltage quality. It also reduces the device ratings and dv/dt stress on the devices to half. At the same time, other benefits obtained from the existing 12-sided space vector structure, such as increased linear modulation range and complete elimination of 5th and 7th order harmonics in the phase voltage, are also retained in this paper. The space vector structure is realized by feeding an open-end induction motor with two conventional three-level neutral point clamped (NPC) inverters with asymmetric isolated dc link voltage sources. The neutral point voltage fluctuations in the three-level NPC inverters are eliminated by utilizing the switching state multiplicities for a space vector point. The pulsewidth modulation timings are calculated using sampled reference waveform amplitudes and are explained in detail in this paper. Experimental verification on a laboratory prototype shows that this configuration may be considered suitable for high power drives.

Portfolio Optimization in a Semi-Markov Modulated Market

We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.

Analytical estimation of stress intensity factors in patched cracked plates

The fatigue and fracture performance of a cracked plate can be substantially improved by providing patches as reinforcements. The effectiveness of the patches is related to the reduction they cause in the stress intensity factor (SIF) of the crack. So, for reliable design, one needs an accurate evaluation of the SIF in terms of the crack, patch and adhesive parameters. In this investigation, a centrally cracked large plate with a pair of symmetric bonded narrow patches, oriented normally to the crack line, is analysed by a continuum approach. The narrow patches are treated as transversely flexible line members. The formulation leads to an integral equation which is solved numerically using point collocation. The convergence is rapid. It is found that substantial reductions in SIF are possible with practicable patch dimensions and locations. The patch is more effective when placed on the crack than ahead of the crack. The present analysis indicates that a little distance inwards of the crack tip, not the crack tip itself, is the ideal location, for the patch.

Determination of mode 1 notch stress intensity factor by the photoelastic technique

The structural integrity of any member subjected to a load gets impaired due to the presence of cracks or crack-like defects. The notch severity is one of the several parameters that promotes the brittle fracture. The most severe one is an ideal crack with infinitesimal width and infinitesimal or zero root radius. Though analytical investigations can handle an ideal crack, experimental work, either to validate the analytical conclusions or to impose the bounds, needs to be carried out on models or specimens containing the cracks which are far from the ideal ones. Thus instead of an ideal crack with infinitesimal width the actual model will have a slot or a slit of finite width and instead of a crack ending in zero root radius, the model contains a slot having a finite root radius. Another factor of great significance at the root is the notch angle along which the transition from the slot to the root takes place. This paper is concerned with the photoelastic determination of the notch stress intensity factor in the case of a “crack” subjected to Mode 1 deformation.

Metal Auger intensity ratios as a probe for change-transfer effects in aluminum-covered transition metal

Marked changes in the LVV/LMV and LVV/LMM Auger intensity ratios of Co, Ni and Cu are observed on depositing Al on their surfaces. These changes, ascribed to charge-transfer or hybridization effects, are accompanied by changes in the intensity of the satellites next to the core levels of the transition metals.

Photoelastic determination of mode i stress intensity factor in tensile strips—effect of crack length

This paper reports an experimental investigation carried out, using the photoelastic technique, to determine the Mode I stress intensity factor in case of cracks of varying a/w ratio in single edge-notch specimens. The photoelastic information was analysed using the several methods proposed by earlier workers. The experimental results are compared with the analytical expressions.

A Simple Multiple pulsewidth Modulated AC Multiple Chopper

A simple multiple pulsewidth modulated (MPWM) ac chopper using power transistors for 3-¿ power control is discussed. 120° chopping period is used for main transistors so that the circuit can accommodate resistive and lagging or leading power factor loads. Only 1-¿ sensing is used for 3-¿ control. An alternate economical power and control schemes for 3-¿ MPWM ac choppers suitable only for resistive loads is also suggested. The experimental results for 12 choppings per cycle are given.

Intensity of a Raman Overtone Band

Placzek [1] was the first to derive general expressions for the intensities of overtones in case of Raman scattering. He assumed electrical anharmonicity. However, he left the expressions for the derivations of the polarizability tensor undetermined. In 1941, a classical and semiempirical theory was developed by Wolkenstein [2]. He assumed the validity of the additivity of bond polarizabilities. However, the expressions derived by him for the intensities of overtones remain yet to be verified. It is the purpose of this paper to derive a formula for Raman polarizability tensor for overtones of (intramolecular) vibrational spectra along the lines of Kondilenko et al. [3,4].

Transcriptional Silencing of a tRNA1Gly Copy from within a Multigene Family Is Modulated by Distal cis Elements

Individual copies of tRNA1Gly from within the multigene family in Bombyx mori could be classified based on in vitro transcription in homologous nuclear extracts into three categories of highly, moderately, or weakly transcribed genes. Segregation of the poorly transcribed gene copies 6 and 7, which are clustered in tandem within 425 base pairs, resulted in enhancement of their individual transcription levels, but the linkage itself had little influence on the transcriptional status. For these gene copies, when fused together generating a single coding region, transcription was barely detectable, which suggested the presence of negatively regulating elements located in the far flanking sequences. They exerted the silencing effect on transcription overriding the activity of positive regulatory elements. Systematic analysis of deletion, chimeric, and mutant constructs revealed the presence of a sequence element TATATAA located beyond 800 nucleotides upstream to the coding region acting as negative modulator, which when mutated resulted in high level transcription. Conversely, a TATATAA motif reintroduced at either far upstream or far downstream flanking regions exerted a negative effect on transcription. The location of cis-regulatory sequences at such farther distances from the coding region and the behavior of TATATAA element as negative regulator reported here are novel. These element(s) could play significant roles in activation or silencing of genes from within a multigene family, by recruitment or sequestration of transcription factors.

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.

Intensity Oscillation in the Corona as Observed during the Total Solar Eclipse of 29 March 2006

We obtained the images of the eastern part of the solar corona in the Fe xiv 530.3 nm (green) and Fe x 637.4 nm (red) coronal emission lines during the total solar eclipse of 29 March 2006 at Manavgat, Antalya, Turkey. The images were obtained using a 35 cm Meade telescope equipped with a Peltier-cooled 2k x 2k CCD and 0.3 nm pass-band interference filters at the rates of 2.95 s (exposure times of 100 ms) and 2.0 s (exposure times of 300 ms) in the Fe xiv and Fe x emission lines,respectively. The analysis of the data indicates intensity variations at some locations with period of strongest power around 27 s for the green line and 20 s for the red line. These results confirm earlier findings of variations in the continuum intensity with periods in the range of 5 to 56 s by Singh et al. (Solar Phys. 170, 235, 1997). The wavelet analysis has been used to identify significant intensity oscillations at all pixels within our field of view. Significant oscillations with high probability estimates were detected for some locations only. These locations seem to follow the boundary of an active region and in the neighborhood, rather than within the loops themselves. These intensity oscillations may be caused by fast magneto-sonic waves in the solar corona and partly account for heating of the plasma in the corona.

Computation of Thermal Stress Intensity Factors for Bimaterial Interface Cracks Using Domain Integral Method

The concept of domain integral used extensively for J integral has been applied in this work for the formulation of J(2) integral for linear elastic bimaterial body containing a crack at the interface and subjected to thermal loading. It is shown that, in the presence of thermal stresses, the J(k) domain integral over a closed path, which does not enclose singularities, is a function of temperature and body force. A method is proposed to compute the stress intensity factors for bimaterial interface crack subjected to thermal loading by combining this domain integral with the J(k) integral. The proposed method is validated by solving standard problems with known solutions.

Vave propagation and bandgaps in a parametrically modulated composite laminate

Wave propagation and its frequency bandgaps in a parametrically modulated composite laminate are reported in this paper. The modulated properties under considerations are due to periodic microstructure, for example honeycomb core sandwich composite, which can be parameterized and homogenized in a suitable scale. Wave equations are derived by assuming a third-order shear deformation theory. Homogenization of the wave equations is carried out in the scale of wavelength. In-plane wave and flexural-shear wave dispersions are obtained for a range of values of a stiffness modulation coefficient (alpha). A clear pattern of stop-bands is observed for alpha >= 4. To validate the band-gap phenomena, we take recourse to time domain response obtained from finite element simulation. As predicted by the proposed analytical technique, a distinct correlation between the chosen frequency band and the simulated wave arrival time and amplitude reduction is found. This promises practical applications of the proposed analytical technique to designing parametrically modulated composite laminate for wave suppression. (C) 2009 Elsevier B.V. All rights reserved.