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.

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.

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.

Effect of strain rate and temperature on the plastic deformation behaviour of a bulk metallic glass composite

The composites consisting of amorphous matrix reinforced with crystalline dendrites offer extraordinary combinations of strength, stiffness, and toughness and can be processed in bulk. Hence, they have been receiving intense research interest, with a primary focus to study their mechanical properties. In this paper, the temperature and strain rate effects on the uniaxial compression response of a tailored bulk metallic glass (BMG) composite has been investigated. Experimental results show that at temperatures ranging between ambient to 500 K and at all strain rates; the onset of plastic deformation in the composite is controlled by that in the dendrites. As the temperature is increased to the glass transition temperature of the matrix and beyond, flow in the amorphous matrix occurs readily and hence it dictates the composite's response. The role of the constituent phases in controlling the deformation mechanism of the composite has been verified by assessing the strain rate sensitivity and the activation volume for deformation. The composite is rate sensitive at room temperature with values of strain rate sensitivity and activation volume being similar to that of the dendrites. At test temperatures near to the glass transition temperature, the composite however becomes rate-insensitive corresponding to that of the matrix phase. At low strain rates, serrated flow akin to that of dynamic strain ageing in crystalline alloys was observed and the serration magnitude decreases with increasing temperature. Initiation of the shear bands at the dendrite/matrix interface and propagation of them through the matrix ligaments until their arrest at another interface is the responsible mechanism for this. (C) 2011 Elsevier B.V. All rights reserved.

Full-rate full-diversity achieving MIMO precoding with partial CSIT

In this paper, we consider a slow-fading nt ×nr multiple-input multiple-output (MIMO) channel subjected to block fading. Reliability (in terms of achieved diversity order) and rate (in number of symbols transmitted per channel use) are of interest in such channels. We propose a new precoding scheme which achieves both full diversity (nt ×nrth order diversity) as well as full rate (nt symbols per channel use) using partial channel state information at the transmitter (CSIT). The proposed scheme achieves full diversity and improved coding gain through an optimization over the choice of constellation sets. The optimization maximizes dmin2 for our precoding scheme subject to an energy constraint. The scheme requires feedback of nt - 1 angle parameter values, compared to 2ntnr real coefficients in case of full CSIT. Further, for the case of nt × 1 system, we prove that the capacity achieved by the proposed scheme is same as that achieved with full CSIT. Error rate performance results for nt = 3,4,8 show that the proposed scheme performs better than other precoding schemes in the literature; the better performance is due to the choice of the signal sets and the feedback angles in the proposed scheme.

Interplay Between Optimal Selection Scheme, Selection Criterion, and Discrete Rate Adaptation in Opportunistic Wireless Systems

An opportunistic, rate-adaptive system exploits multi-user diversity by selecting the best node, which has the highest channel power gain, and adapting the data rate to selected node's channel gain. Since channel knowledge is local to a node, we propose using a distributed, low-feedback timer backoff scheme to select the best node. It uses a mapping that maps the channel gain, or, in general, a real-valued metric, to a timer value. The mapping is such that timers of nodes with higher metrics expire earlier. Our goal is to maximize the system throughput when rate adaptation is discrete, as is the case in practice. To improve throughput, we use a pragmatic selection policy, in which even a node other than the best node can be selected. We derive several novel, insightful results about the optimal mapping and develop an algorithm to compute it. These results bring out the inter-relationship between the discrete rate adaptation rule, optimal mapping, and selection policy. We also extensively benchmark the performance of the optimal mapping with several timer and opportunistic multiple access schemes considered in the literature, and demonstrate that the developed scheme is effective in many regimes of interest.

Sodium-ion battery cathodes Na2FeP2O7 and Na2MnP2O7: diffusion behaviour for high rate performance

Na-ion batteries are currently the focus of significant research activity due to the relative abundance of sodium and its consequent cost advantages. Recently, the pyrophosphate family of cathodes has attracted considerable attention, particularly Li2FeP2O7 related to its high operating voltage and enhanced safety properties; in addition the sodium-based pyrophosphates Na2FeP2O7 and Na2MnP2O7 are also generating interest. Herein, we present defect chemistry and ion migration results, determined via atomistic simulation techniques, for Na2MP2O7 (where M = Fe, Mn) as well as findings for Li2FeP2O7 for direct comparison. Within the pyrophosphate framework the most favourable intrinsic defect type is found to be the antisite defect, in which alkali-cations (Na/Li) and M ions exchange positions. Low activation energies are found for long-range diffusion in all crystallographic directions in Na2MP2O7 suggesting three-dimensional (3D) Na-ion diffusion. In contrast Li2FeP2O7 supports 2D Li-ion diffusion. The 2D or 3D nature of the alkali-ion migration pathways within these pyrophosphate materials means that antisite defects are much less likely to impede their transport properties, and hence important for high rate performance.

Free Energy Gap Dependence of the Electron-Transfer Rate from the Inverted to the Normal Region

numerical study of the free energy gap (FEG) dependence of the electron-transfer rate in polar solvents is presented. This study is based on the generalized multidimensional hybrid model, which not only includes the solvent polarization and the molecular vibration modes, but also the biphasic polar response of the solvent. The free energy gap dependence is found to be sensitive to several factors, including the solvent relaxation rate, the electronic coupling between the surfaces, the frequency of the high-frequency quantum vibrational mode, and the magnitude of the solvent reorganization energy. It is shown that in some cases solvent relaxation can play an important role even in the Marcus normal regime. The minimal hybrid model involves a large number of parameters, giving rise to a diverse non-Marcus FEG behavior which is often determined collectively by these parameters. The model gives the linear free energy gap dependence of the logarithmic rate over a substantial range of FEG, spanning from the normal to the inverted regime. However, even for favorable values of the relevant parameters, a linear free energy gap dependence of the rate could be obtained only over a range of 5000-6000 cm(-1) (compared to the experimentally observed range of 10000 cm(-1) reported by Benniston et al.). The present work suggests several extensions/generalizations of the hybrid model which might be necessary to fully understand the observed free energy gap dependence.

Optimal barrier subdivision for Kramers' escape rate

We examine the effect of subdividing the potential barrier along the reaction coordinate on Kramers' escape rate for a model potential. Using the known supersymmetric potential approach, we show the existence of an optimal number of subdivisions that maximizes the rate.

Oxygen transfer and energy dissipation rate in surface aerator

The dissipation rate of turbulent kinetic energy (epsilon) is a key parameter for mixing in surface aerators. In particular, determination epsilon across the impeller stream, where the most intensive mixing takes place, is essential to ascertain that an appropriate degree of mixing is achieved. Present work by using commercial software VisiMix (R) calculates the energy dissipation rate in geometrically similar unbaffled surface aeration systems in order to scale-up the oxygen transfer process. It is found that in geometrically similar system, oxygen transfer rate is uniquely correlated with dissipation rate of energy. Simulation or scale-up equation governing oxygen transfer rate and dissipation rate of energy has been developed in the present work.

Oxygen transfer and energy dissipation rate in surface aerator

The dissipation rate of turbulent kinetic energy(e)is a key parameter for mixing in surface aerators. In particular, determination e across the impeller stream, where the most intensive mixing takes place, is essential to ascertain that an appropriate degree of mixing is achieved. Present work by using commercial software VisiMix calculates the energy dissipation rate in geometrically similar unbaffled surface aeration systems in order to scale-up the oxygen transfer process. It is found that in geometrically similar system,oxygen transfer rate is uniquely correlated with dissipation rate of energy. Simulation or scale-up equation governing oxygen transfer rate and dissipation rate of energy has been developed in the present work.

Synergy between tribo-oxidation and strain rate response on governing the dry sliding wear behavior of titanium.

The present work provides an insight into the dry sliding wear behavior of titanium based on synergy between tribo-oxidation and strain rate response. Pin-on-disc tribometer was used to characterize the friction and wear behavior of titanium pin in sliding contact with polycrystalline alumina disk under ambient and vacuum condition. The sliding speed was varied from 0.01 to 1.4 ms(-1), normal load was varied from 15.3 to 76 N and with a sliding distance of 1500 m. It was seen that dry sliding wear behavior of titanium was governed by combination of tribo-oxidation and strain rate response in near surface region of titanium. Strain rate response of titanium was recorded by conducting uni-axial compression tests at constant true strain rate of 100 s(-1) in the temperature range from 298 to 873 K. Coefficient of friction and wear rate were reduced with increased sliding speed from 0.01 to 1.0 ms(-1). This is attributed to the formation of in situ self lubricating oxide film (TiO) and reduction in the intensity of adiabatic shear band cracking in the near surface region. This trend was confirmed by performing series of dry sliding tests under vacuum condition of 2 x 10(-4) Torr. Characterization tools such as optical microscopy, scanning electron microscopy, and X-ray diffractometer provided evidence of such processes. These experimental findings can be applied to enhance the dry sliding wear behavior of titanium with proper choice of operating conditions such as sliding speed, normal load, and environment.

NMR-Studies of Octahedral Dicyano-(2,2' Bipyridine) and Tetracyano-(2,2'-Bipyridine) Iron(ii) Complexes

Coordination compounds of the polypyridines, 2,2 ' -bipyridine (bipy) and 1,10-penanthroline (phen) have offered renewed interest on account of their manifold applications and from the point of view of understanding their structure-reactivity relationships.1 Iron(II) reacts with them to form tris-complexes possessing spin-paired ground states. Cyanide ion greatly enhances the rate of displacement of bipy or phen to form the Schilt class of compounds. Fe(bipy)2(CN)2 and Fe(phen)2(CN)2. They display varying colours in solution depending upon the nature of the solvent and react reversibly with acids to form diprotonated species.2 Magnetic circular dichroism studies have been reported to describe their lowest electronic excitation.

Influence of clofibrate administration on the rate of synthesis of macromolecules in regenerating rat liver

Administration of the antihypercholesterolaemic drug clofibrate stimulates the rates of synthesis of nucleic acids and proteins in rat liver. The biosynthesis of mitochondrial proteins also is enhanced by the drug. In drug-fed animals, the rates of incorporation in vivo of radioactive precursors into DNA, RNA and proteins are stimulated even when the liver undergoes regeneration following partial hepatectomy. The rate of synthesis of mitochondrial proteins in the regenerative phase is higher in clofibrate-fed animals. These effects are consistent with the hepatomegalic and mitochondria-proliferating property of the drug.