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.

Compressive strength of epoxy with bimodal filling of flyash

Compressive strength of epoxy with "free-inforcement" flyash without any prior separation is studied. It is observed that the increase in filler volume fraction beyond 10% brings about a reduction in the compressive strength. Increasing adhesion factor, determined relative to unfilled matrix, implied an alleviation in the interfacial adhesion due to dewetting, especially at the surfaces of larger particles and at higher filler concentrations. Such deductions were verified by examining the surface features of compression tested samples in Scanning Electron Microscope.

MFIS and MFS structures using SrBi2Ta2O9 thin films for the FRAM applications

Recently there is an increasing demand and extensive research on high density memories, in particular to the ferroelectric random access memory composed of 1T/1C (1 transistor/1 capacitor) or 2T/2C. FRAM's exhibit fast random acess in read/write mode, non - volatility and low power for good performance. An integration of the ferroelectric on Si is the key importance and in this regard, there had been various models proposed like MFS, MFIS, MFMIS structure etc., Choosing the proper insulator is very essential for the better performance of the device and to exhibit excellent electrical characteristics. ZrTiO4 is a potential candidate because of its excellent thermal stability and lattice match on the Si substrate. SrBi2Ta2O9 and ZrTiO4 thin films were prepared on p - type Si substrate by pulsed excimer laser ablation technique. Optimization of both ZT and SBT thin films in MFS and MFIS structure had been done based on the annealing, oxygen partial pressures and substrate temperatures to have proper texture of the thin films. The dc leakage current, P - E hysteresis, capacitance - voltage and conductance - voltage measurement were carried out. The effect of the frequency dependence on MFIS structure was observed in the C – V curve. It displays a transition of C - V curve from high frequency to low frequency curve on subjection to varied frequencies. Density of interface states has been calculated using Terman and high - low frequency C - V curve. The effect of memory window in the C - V hysteresis were analysed in terms of film thickness and annealing temperatures. DC conduction mechanism were analysed in terms of poole - frenkel, Schottky and space charge limited conduction separately on MFS, MIS structure.

MFIS and MFS structures using SrBi2Ta2O9 thin films for the FRAM applications

Recently there is an increasing demand and extensive research on high density memories, in particular to the ferroelectric random access memory composed of 1T/1C (1 transistor/1 capacitor) or 2T/2C. FRAM's exhibit fast random acess in read/write mode, non - volatility and low power for good performance. An integration of the ferroelectric on Si is the key importance and in this regard, there had been various models proposed like MFS, MFIS, MFMIS structure etc., Choosing the proper insulator is very essential for the better performance of the device and to exhibit excellent electrical characteristics. ZrTiO4 is a potential candidate because of its excellent thermal stability and lattice match on the Si substrate. SrBi2Ta2O9 and ZrTiO4 thin films were prepared on p - type Si substrate by pulsed excimer laser ablation technique. Optimization of both ZT and SBT thin films in MFS and MFIS structure had been done based on the annealing, oxygen partial pressures and substrate temperatures to have proper texture of the thin films. The dc leakage current, P - E hysteresis, capacitance - voltage and conductance - voltage measurement were carried out. The effect of the frequency dependence on MFIS structure was observed in the C – V curve. It displays a transition of C - V curve from high frequency to low frequency curve on subjection to varied frequencies. Density of interface states has been calculated using Terman and high - low frequency C - V curve. The effect of memory window in the C - V hysteresis were analysed in terms of film thickness and annealing temperatures. DC conduction mechanism were analysed in terms of poole - frenkel, Schottky and space charge limited conduction separately on MFS, MIS structure.

Laboratory simulations show diabatic heating drives cumulus-cloud evolution and entrainment

Clouds are the largest source of uncertainty in climate science, and remain a weak link in modeling tropical circulation. A major challenge is to establish connections between particulate microphysics and macroscale turbulent dynamics in cumulus clouds. Here we address the issue from the latter standpoint. First we show how to create bench-scale flows that reproduce a variety of cumulus-cloud forms (including two genera and three species), and track complete cloud life cycles-e.g., from a ``cauliflower'' congestus to a dissipating fractus. The flow model used is a transient plume with volumetric diabatic heating scaled dynamically to simulate latent-heat release from phase changes in clouds. Laser-based diagnostics of steady plumes reveal Riehl-Malkus type protected cores. They also show that, unlike the constancy implied by early self-similar plume models, the diabatic heating raises the Taylor entrainment coefficient just above cloud base, depressing it at higher levels. This behavior is consistent with cloud-dilution rates found in recent numerical simulations of steady deep convection, and with aircraft-based observations of homogeneous mixing in clouds. In-cloud diabatic heating thus emerges as the key driver in cloud development, and could well provide a major link between microphysics and cloud- scale dynamics.

Ultrasonic degradation of butadiene, styrene and their copolymers

Ultrasonic degradation of commercially important polymers, styrene-butadiene (SBR) rubber, acrylonitrile-butadiene (NBR) rubber, styrene-acrylonitrile (SAN), polybutadiene rubber and polystyrene were investigated. The molecular weight distributions were measured using gel permeation chromatography (GPC). A model based on continuous distribution kinetics approach was used to study the time evolution of molecular weight distribution for these polymers during degradation. The effect of solvent properties and ultrasound intensity on the degradation of SBR rubber was investigated using different pure solvents and mixed solvents of varying volatility and different ultrasonic intensities. (C) 2011 Elsevier B.V. All rights reserved.

(Dimethylamino)borylene and Related Complexes of Electron-Rich Metal Fragments: Generation of Nucleophile-Resistant Cations by Spontaneous Halide Ejection

Spontaneous halide ejection from a three-coordinate Lewis acid has been shown to offer a remarkable new route to cationic metal complexes featuring a linear, multiply bonded boron-donor Ligand. The exploitation of electron-rich [CpM(PR3)(2)] fragments within boryl systems of the type LnMB(hal)NR2 leads to the spontaneous formation in polar solvents of chemically robust borylene complexes, [LnM(BNR2)](+), with exceptionally low electrophilicity and short M-B bonds. This is reflected by M-B distances (ca. 1.80 angstrom for FeB systems) which are more akin to alkyl-/aryl-substituted borylene complexes and, perhaps most strikingly, by the very low exothermicity associated with the binding of pyridine to the two-coordinate boron center (Delta H = -7.4 kcal mol(-1), cf. -40.7 kcal mol(-1) for BCl3). Despite the strong pi electron release from the metal fragment implied by this suppressed reactivity and by such short M-B bonds, the barrier to rotation about the Fe=B bond in the unsymmetrical variant [CpFe(dmpe)(BN{C6H4OMe-4}Me)](+) is found to be very small (ca. 2.9 kcal mol(-1)). This apparent contradiction is rationalized by the orthogonal orientations of the HOMO and HOMO-2 orbitals of the [CpML2](+) fragment, which mean that the M-B pi interaction does not fall to zero even in the highest energy conformation.

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.

RRI-GBT MULTI-BAND RECEIVER: MOTIVATION, DESIGN, AND DEVELOPMENT

We report the design and development of a self-contained multi-band receiver (MBR) system, intended for use with a single large aperture to facilitate sensitive and high time-resolution observations simultaneously in 10 discrete frequency bands sampling a wide spectral span (100-1500 MHz) in a nearly log-periodic fashion. The development of this system was primarily motivated by need for tomographic studies of pulsar polar emission regions. Although the system design is optimized for the primary goal, it is also suited for several other interesting astronomical investigations. The system consists of a dual-polarization multi-band feed (with discrete responses corresponding to the 10 bands pre-selected as relatively radio frequency interference free), a common wide-band radio frequency front-end, and independent back-end receiver chains for the 10 individual sub-bands. The raw voltage time sequences corresponding to 16 MHz bandwidth each for the two linear polarization channels and the 10 bands are recorded at the Nyquist rate simultaneously. We present the preliminary results from the tests and pulsar observations carried out with the Robert C. Byrd Green Bank Telescope using this receiver. The system performance implied by these results and possible improvements are also briefly discussed.

Hypernuclear matter in strong magnetic field

Compact stars with strong magnetic fields (magnetars) have been observationally determined to have surface magnetic fields of order of 10(14)-10(15) G, the implied internal field strength being several orders larger. We study the equation of state and composition of dense hypernuclear matter in strong magnetic fields in a range expected in the interiors of magnetars. Within the non-linear Boguta-Bodmer-Walecka model we find that the magnetic field has sizable influence on the properties of matter for central magnetic field B >= 10(17) G, in particular the matter properties become anisotropic. Moreover, for the central fields B >= 10(18) G, the magnetized hypernuclear matter shows instability, which is signalled by the negative sign of the derivative of the pressure parallel to the field with respect to the density, and leads to vanishing parallel pressure at the critical value B-cr congruent to 10(19) G. This limits the range of admissible homogeneously distributed fields in magnetars to fields below the critical value B-cr. (c) 2012 Elsevier B.V. All rights reserved.

Diel variation in fig volatiles across syconium development: making sense of scents

Plants produce volatile organic compounds (VOCs) in a variety of contexts that include response to abiotic and biotic stresses, attraction of pollinators and parasitoids, and repulsion of herbivores. Some of these VOCs may also exhibit diel variation in emission. In Ficus racemosa, we examined variation in VOCs released by fig syconia throughout syconium development and between day and night. Syconia are globular enclosed inflorescences that serve as developing nurseries for pollinating and parasitic fig wasps. Syconia are attacked by gallers early in their development, serviced by pollinators in mid phase, and are attractive to parasitoids in response to the development of gallers at later stages. VOC bouquets of the different development phases of the syconium were distinctive, as were their day and night VOC profiles. VOCs such as alpha-muurolene were characteristic of the pollen-receptive diurnal phase, and may serve to attract the diurnally-active pollinating wasps. Diel patterns of release of volatiles could not be correlated with their predicted volatility as determined by Henry's law constants at ambient temperatures. Therefore, factors other than Henry's law constant such as stomatal conductance or VOC synthesis must explain diel variation in VOC emission. A novel use of weighted gene co-expression network analysis (WGCNA) on the volatilome resulted in seven distinct modules of co-emitted VOCs that could be interpreted on the basis of syconium ecology. Some modules were characterized by the response of fig syconia to early galling by parasitic wasps and consisted largely of green leaf volatiles (GLVs). Other modules, that could be characterized by a combination of syconia response to oviposition and tissue feeding by larvae of herbivorous galler pollinators as well as of parasitized wasps, consisted largely of putative herbivore-induced plant volatiles (HIPVs). We demonstrated the usefulness of WGCNA analysis of the volatilome in making sense of the scents produced by the syconia at different stages and diel phases of their development.

Glycidyl azide polymer crosslinked through triazoles by click chemistry: curing, mechanical and thermal properties

Glycidyl azide polymer (GAP) was cured through click chemistry by reaction of the azide group with bispropargyl succinate (BPS) through a 1,3-dipolar cycloaddition reaction to form 1,2,3-triazole network. The properties of GAP-based triazole networks are compared with the urethane cured GAP-systems. The glass transition temperature (T-g), tensile strength, and modulus of the system increased with crosslink density, controlled by the azide to propargyl ratio. The triazole incorporation has a higher T-g in comparison to the GAP-urethane system (T-g-20 degrees C) and the networks exhibit biphasic transitions at 61 and 88 degrees C. The triazole curing was studied using Differential Scanning Calorimetry (DSC) and the related kinetic parameters were helpful for predicting the cure profile at a given temperature. Density functional theory (DFT)-based theoretical calculations implied marginal preference for 1,5-addition over 1,4-addition for the cycloaddition between azide and propargyl group. Thermogravimetic analysis (TG) showed better thermal stability for the GAP-triazole and the mechanism of decomposition was elucidated using pyrolysis GC-MS studies. The higher heat of exothermic decomposition of triazole adduct (418kJmol(-1)) against that of azide (317kJmol(-1)) and better mechanical properties of the GAP-triazole renders it a better propellant binder than the GAP-urethane system.

Holistic Measures for Evaluating Prediction Models in Smart Grids

The performance of prediction models is often based on ``abstract metrics'' that estimate the model's ability to limit residual errors between the observed and predicted values. However, meaningful evaluation and selection of prediction models for end-user domains requires holistic and application-sensitive performance measures. Inspired by energy consumption prediction models used in the emerging ``big data'' domain of Smart Power Grids, we propose a suite of performance measures to rationally compare models along the dimensions of scale independence, reliability, volatility and cost. We include both application independent and dependent measures, the latter parameterized to allow customization by domain experts to fit their scenario. While our measures are generalizable to other domains, we offer an empirical analysis using real energy use data for three Smart Grid applications: planning, customer education and demand response, which are relevant for energy sustainability. Our results underscore the value of the proposed measures to offer a deeper insight into models' behavior and their impact on real applications, which benefit both data mining researchers and practitioners.

Males and females of the social wasp Ropalidia marginata do not differ in their cuticular hydrocarbon profiles and do not seem to use any long-distance volatile mate attraction cues

Sex pheromones are vital in communication between individuals belonging to opposite sexes and form an integral part of the reproductive biology of various species. Among insects, sexual dimorphism in CHCs has been reported from diverse taxa spanning seven different orders, and thereby CHCs have been implicated as sex pheromones. Because males and females of the primitively eusocial wasp Ropalidia marginata touch each other with their antennae during mating, before engaging in sperm transfer, a sex pheromone that is perceived via contact chemosensation through the antennae can possibly exist in this species. Since CHCs have been implied as sex pheromones in various insects (including hymenopterans), and since sexual dimorphism of CHCs should be an obligatory prerequisite for them to act as sex pheromones, we investigated whether males and females of R. marginata differ in their CHC profiles. We found only nonvolatile CHCs, and our results show absence of sexual dimorphism in CHCs, suggesting that CHCs do not function as sex pheromone in this species. A behavioral assay failed to show presence of mate attraction at a distance, thereby showing the absence of volatile long-distance mate attraction cues (that may originate from sources other than and in addition to CHCs).

Laboratory-frame observables for probing the top-Higgs boson interaction

We investigate methods to explore the CP nature of the t (t) over barh coupling at the LHC, focusing on associated production of the Higgs boson with a t (t) over bar pair. We first discuss the constraints implied by low-energy observables and by the Higgs-rate information from available LHC data, emphasizing that they cannot provide conclusive evidence on the nature of this coupling. We then investigate kinematic observables that could probe the t (t) over barh coupling directly, in particular, quantities that can be constructed out of just laboratory-frame kinematics. We define one such observable by exploiting the fact that t (t) over bar spin correlations do also carry information about the CP nature of the t (t) over barh coupling. Finally, we introduce a CP-odd quantity and a related asymmetry, able to probe CP violation in the t (t) over barh coupling and likewise, constructed out of laboratory-frame momenta only.