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.

Paleoseismological evidence of surface faulting along the northeastern Himalayan front, India: Timing, size, and spatial extent of great earthquakes

The similar to 2500 km long Himalayan arc has experienced three large to great earthquakes of M-w 7.8 to 8.4 during the past century, but none produced surface rupture. Paleoseismic studies have been conducted during the last decade to begin understanding the timing, size, rupture extent, return period, and mechanics of the faulting associated with the occurrence of large surface rupturing earthquakes along the similar to 2500 km long Himalayan Frontal Thrust (HFT) system of India and Nepal. The previous studies have been limited to about nine sites along the western two-thirds of the HFT extending through northwest India and along the southern border of Nepal. We present here the results of paleoseismic investigations at three additional sites further to the northeast along the HFT within the Indian states of West Bengal and Assam. The three sites reside between the meizoseismal areas of the 1934 Bihar-Nepal and 1950 Assam earthquakes. The two westernmost of the sites, near the village of Chalsa and near the Nameri Tiger Preserve, show that offsets during the last surface rupture event were at minimum of about 14 m and 12 m, respectively. Limits on the ages of surface rupture at Chalsa (site A) and Nameri (site B), though broad, allow the possibility that the two sites record the same great historical rupture reported in Nepal around A.D. 1100. The correlation between the two sites is supported by the observation that the large displacements as recorded at Chalsa and Nameri would most likely be associated with rupture lengths of hundreds of kilometers or more and are on the same order as reported for a surface rupture earthquake reported in Nepal around A.D. 1100. Assuming the offsets observed at Chalsa and Nameri occurred synchronously with reported offsets in Nepal, the rupture length of the event would approach 700 to 800 km. The easternmost site is located within Harmutty Tea Estate (site C) at the edges of the 1950 Assam earthquake meizoseismal area. Here the most recent event offset is relatively much smaller (<2.5 m), and radiocarbon dating shows it to have occurred after A.D. 1100 (after about A.D. 1270). The location of the site near the edge of the meizoseismal region of the 1950 Assam earthquake and the relatively lesser offset allows speculation that the displacement records the 1950 M-w 8.4 Assam earthquake. Scatter in radiocarbon ages on detrital charcoal has not resulted in a firm bracket on the timing of events observed in the trenches. Nonetheless, the observations collected here, when taken together, suggest that the largest of thrust earthquakes along the Himalayan arc have rupture lengths and displacements of similar scale to the largest that have occurred historically along the world's subduction zones.

Grain size effect on the phase transformation temperature of nanostructured CuFe2O4

We report a large decrease in tetragonal to cubic phase transformation temperature when grain size of bulk CuFe2O4 is reduced by mechanical ball milling. The change in phase transformation temperature was inferred from in situ high temperature conductivity and x-ray diffraction measurements. The decrease in conductivity with grain size suggests that ball milling has not induced any oxygen vacancy while the role of cation distribution in the observed decrease in phase transformation temperature is ruled out from in-field Fe-57 Mossbauer and extended x-ray absorption fine structure measurements. The reduction in the phase transformation temperature is attributed to the stability of structures with higher crystal symmetry at lower grain sizes due to negative pressure effect. (C) 2011 American Institute of Physics. doi: 10.1063/1.3493244]

Grinding abrasive wear and associated particle size effect

The type of abrasion that the grinding medium experiences inside a ball mill is classified as high stress or grinding abrasion, because the stress levels at the surface of the medium exceed the yield stress of the metal when hard abrasives are crushed. During dry grinding of ores the medium undergoes not only abrasion but also erosion and impact. As all three mechanisms of wear occur simultaneously, it is difficult to follow the individual components of wear. However, it is possible to show that the overall kinetics of wear follows a simple power law of the type w = at(b), where w is the weight loss of the grinding medium for a specified grinding time t and a and b are constants. Experimental data, obtained from dry grinding of quartz for a wide range of times using AISI 52100 steel balls having various microstructures in a laboratory scale batch mill, are fitted to the proposed equation and the wear rate w is calculated from the first derivative of the equation. The mean particle sizes of the quartz charge DBAR corresponding to 50 and 80% retained size are determined by mechanical sieving of the ground product after a grinding time t and thus the relationship between wear rate and particle size of the abrasive is established. It is found that w increases rapidly with DBAR up to some critical size and then increases at a much lower rate.

Diversity in Functional Organization of Class I and Class II Biotin Protein Ligase

The cell envelope of Mycobacterium tuberculosis (M. tuberculosis) is composed of a variety of lipids including mycolic acids, sulpholipids, lipoarabinomannans, etc., which impart rigidity crucial for its survival and pathogenesis. Acyl CoA carboxylase (ACC) provides malonyl-CoA and methylmalonyl-CoA, committed precursors for fatty acid and essential for mycolic acid synthesis respectively. Biotin Protein Ligase (BPL/BirA) activates apo-biotin carboxyl carrier protein (BCCP) by biotinylating it to an active holo-BCCP. A minimal peptide (Schatz), an efficient substrate for Escherichia coli BirA, failed to serve as substrate for M. tuberculosis Biotin Protein Ligase (MtBPL). MtBPL specifically biotinylates homologous BCCP domain, MtBCCP87, but not EcBCCP87. This is a unique feature of MtBPL as EcBirA lacks such a stringent substrate specificity. This feature is also reflected in the lack of self/promiscuous biotinylation by MtBPL. The N-terminus/HTH domain of EcBirA has the selfbiotinable lysine residue that is inhibited in the presence of Schatz peptide, a peptide designed to act as a universal acceptor for EcBirA. This suggests that when biotin is limiting, EcBirA preferentially catalyzes, biotinylation of BCCP over selfbiotinylation. R118G mutant of EcBirA showed enhanced self and promiscuous biotinylation but its homologue, R69A MtBPL did not exhibit these properties. The catalytic domain of MtBPL was characterized further by limited proteolysis. Holo-MtBPL is protected from proteolysis by biotinyl-59 AMP, an intermediate of MtBPL catalyzed reaction. In contrast, apo-MtBPL is completely digested by trypsin within 20 min of co-incubation. Substrate selectivity and inability to promote self biotinylation are exquisite features of MtBPL and are a consequence of the unique molecular mechanism of an enzyme adapted for the high turnover of fatty acid biosynthesis.

Influence of grain size on high temperature fracture in a Mg AZ31 alloy

Tensile experiments at 673 K and grain sizes from similar to 8 to 17 mu m revealed large ductility at a low strain rate and a reduced ductility at a high strain rate, corresponding to a change from a high to a low value for the strain rate sensitivity. High strain rate deformation led to fracture by flow localization, whereas low strain rate deformation involved fracture by cavity nucleation and growth. Analysis revealed that grain boundary migration can assist significantly in reducing the stress concentrations caused by grain boundary sliding, thereby retarding cavity nucleation. Calculations demonstrate that the interlinkage of voids parallel and perpendicular to the tensile axis occurs significantly, so that it is not always possible to use the cavity shapes to distinguish between diffusion and plasticity controlled growth. Cavitation damage evolves slowly in materials with a coarser grain size because of reduced nucleation related to a reduction in the strain rate sensitivity and associated grain boundary sliding. (C) 2011 Elsevier B.V. All rights reserved.

An experimental study on acoustic emission energy as a quantitative measure of size independent specific fracture energy of concrete beams

Notched three point bend specimens (TPB) were tested under crack mouth opening displacement (CMOD) control at a rate of 0.0004 mm/s and during the fracture process acoustic emissions (AE) were simultaneously monitored. It was observed that AE energy could be related to fracture energy. An experimental study was done to understand the behavior of AE energy with parameters of concrete like its strength and size. In this study, AE energy was used as a quantitative measure of size independent specific fracture energy of concrete beams and the concepts of boundary effect and local fracture energy were used to obtain size independent AE energy from which size independent fracture energy was obtained. (C) 2010 Elsevier Ltd. All rights reserved.

A Flexible Class of Regenerating Codes for Distributed Storage

In the distributed storage setting introduced by Dimakis et al., B units of data are stored across n nodes in the network in such a way that the data can be recovered by connecting to any k nodes. Additionally one can repair a failed node by connecting to any d nodes while downloading at most beta units of data from each node. In this paper, we introduce a flexible framework in which the data can be recovered by connecting to any number of nodes as long as the total amount of data downloaded is at least B. Similarly, regeneration of a failed node is possible if the new node connects to the network using links whose individual capacity is bounded above by beta(max) and whose sum capacity equals or exceeds a predetermined parameter gamma. In this flexible setting, we obtain the cut-set lower bound on the repair bandwidth along with a constructive proof for the existence of codes meeting this bound for all values of the parameters. An explicit code construction is provided which is optimal in certain parameter regimes.

A classification of homogeneous operators in the Cowen-Douglas class

An explicit construction of all the homogeneous holomorphic Hermitian vector bundles over the unit disc D is given. It is shown that every such vector bundle is a direct sum of irreducible ones. Among these irreducible homogeneous holomorphic Hermitian vector bundles over D, the ones corresponding to operators in the Cowen-Douglas class B-n(D) are identified. The classification of homogeneous operators in B-n(D) is completed using an explicit realization of these operators. We also show how the homogeneous operators in B-n(D) split into similarity classes. (C) 2011 Elsevier Inc. All rights reserved.

Dependence of the strength of interaction of carbon monoxide with transition metal clusters on the cluster size

The interaction of CO with Cu, Pd, and Ni at different coverages of the metals on solid substrates has been investigated by He II and core-level spectroscopies, after the nature of variation of the metal core-level binding energies with the coverage or the cluster size is established. The separation between the (1 pi + 5 sigma) and 4 sigma levels of CO increases with a decrease in the size of the metal clusters, accompanied by an increase in the desorption temperature. In the case of Cu, the intramolecular shakeup satellite of CO disappears on small clusters. More importantly, CO dissociates on small Ni clusters, clearly confirming that metal-CO interaction strength increases with a decrease in the cluster size.

Diffusion of sorbates in zeolites Y and A novel dependence on sorbate size and strength of sor ba t e-Zeoli t e interaction

A systematic investigation of monatomic spherical sorbates in the supercages of zeolites Y and A by molecular dynamics technique is presented. Rates of intercage diffusion, rates of cage visits, and the diffusion coefficients have been calculated as a function of the sorbate-zeolite interaction strength. These properties exhibit markedly different dependences on interaction strength for the two zeolites. The observed behavior is shown to be a consequence of the two principal mechanisms of intercage diffusion and the energetic barrier associated with them. The diffusion coefficient and other properties associated with intercage diffusion are found to be directly proportional to the reciprocal of the square of the sorbate diameter when the sorbate diameter is significantly smaller than the window diameter. As the sorbate diameter increases, a peak is observed in all the transport properties investigated including the diffusion coefficient. We call this surprising effect as the ring or levitation effect and it explains several anomalous results reported in the literature and suggests a breakdown of the geometrical criterion for diffusion of sorbates. It shows that under certain conditions nongeometrical factors play a major role and geometrical factors become secondary in the determination of the molecular sieve property. A generalized parameter has been proposed which suggests conditions under which one can expect the ring or levitation effect in any porous medium. Inverse size selectivity becomes operative under these conditions.

Fe-Cr/Al2O3 metal-ceramic composites: Nature and size of the metal particles formed during hydrogen reduction

Fe-Cr/Al2O3 metal-ceramic composites prepared by hydrogen reduction at different temperatures and for different periods have been investigated by a combined use of Mossbauer spectroscopy, x-ray diffraction, transmission electron microscopy, and energy-dispersive x-ray spectroscopy in order to obtain information on the nature of the metallic species formed. Total reduction of Fe3+ does not occur by increasing the reduction time at 1320 K from 1 to 30 h, and the amount of superparamagnetic metallic species is essentially constant (about 10%). Temperatures higher than 1470 K are needed to achieve nearly total reduction of substitutional Fe3+. Interestingly, iron favors the reduction of chromium. The composition of the Fe-Cr particles is strongly dependent on their size, the Cr content being higher in particles smaller than 10 nm.

Fuel drop size measurement in a carburetted induction system with 2 throttling methods

A new throttling system far SI engines is examined. The SMD of the fuel droplets in the induction system is measured to evaluate the performance of the new device with respect to the conventional throttle plate arrangement. The measurements are conducted at steady now conditions. A forward angular scattering technique with a He-Ne laser beam is used for droplet size measurement. The experiments are carried out with different mixture strength, stream velocity and throttle positions. It is observed that A/F ratio has no effect on SMD. However, stream velocity and throttle position have a significant influence on SMD. The new throttling method is found to be more effective in reducing the SMD, particularly at low throttle opening and high stream velocity compared to the conventional throttle plate.

Inhibition of nuclear protein import by a monoclonal antibody against a novel class of nuclear pore proteins

Nuclear import of proteins is mediated by the nuclear pore complexes in the nuclear envelope and requires the presence of a nuclear localization signal (NLS) on the karyophilic protein. In this paper, we describe studies with a monoclonal antibody, Mab E2, which recognizes a class of nuclear pore proteins of 60-76 kDa with a common phosphorylated epitope on rat nuclear envelopes. The Mab Ea-reactive proteins fractionated with the relatively insoluble pore complex-containing component of the envelope and gave a finely punctate pattern of nuclear staining in immunofluorescence assays. The antibody did not bind to any cytosolic proteins. Mab E2 inhibited the interaction of a simian virus 40 large T antigen NLS peptide with a specific 60-kDa NLS-binding protein from rat nuclear envelopes in photoaffinity labeling experiments. The antibody blocked the nuclear import of NLS-albumin conjugates in an in vitro nuclear transport assay with digitonin-permeabilized cells, but did not affect passive diffusion of a small nonnuclear protein, lysozyme, across the pore. Mab E2 may inhibit protein transport by directly interacting with the 60-kDa NLS-binding protein, thereby blocking signal-mediated nuclear import across the nuclear pore complex. (C) 1994 Academic Press, Inc.

Fatigue crack propagation model and size effect in concrete using dimensional analysis

It is well known that fatigue in concrete causes excessive deformations and cracking leading to structural failures. Due to quasi-brittle nature of concrete and formation of a fracture process zone, the rate of fatigue crack growth depends on a number of parameters, such as, the tensile strength, fracture toughness, loading ratio and most importantly the structural size. In this work, an analytical model is proposed for estimating the fatigue crack growth in concrete by using the concepts of dimensional analysis and including the above parameters. Knowing the governed and the governing parameters of the physical problem and by using the concepts of self-similarity, a relationship is obtained between different parameters involved. It is shown that the proposed fatigue law is able to capture the size effect in plain concrete and agrees well with different experimental results. Through a sensitivity analysis, it is shown that the structural size plays a dominant role followed by loading ratio and the initial crack length in fatigue crack propagation. (C) 2010 Elsevier Ltd. All rights reserved.