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.

Effect of antimony addition on the thermal and electrical-switching behavior of bulk Se-Te glasses

The thermal properties and electrical-switching behavior of semiconducting chalcogenide SbxSe55-xTe45 (2 <= x <= 9) glasses have been investigated by alternating differential scanning calorimetry and electrical-switching experiments, respectively. The addition of Sb is found to enhance the glass forming tendency and stability as revealed by the decrease in non-reversing enthalpy Delta H-nr. and an increase in the glass-transition width Delta T-g. Further, the glass-transition temperature of SbxSe55-xTe45 glasses, which is a measure of network connectivity, exhibits a subtle increase, suggesting a meager network growth with the addition of Sb. The crystallization temperature is also observed to increase with Sb content. The SbxSe55-xTe45 glasses (2 <= x <= 9) are found to exhibit memory type of electrical switching, which can be attributed to the polymeric nature of network and high devitrifying ability. The metallicity factor has been found to dominate over the network connectivity and rigidity in the compositional dependence of switching voltage. which shows a profound decrease with the addition of Sb.

A DC-link Capacitor Voltage Balancing with CMV Elimination using only the Switching State Redundancies for a Reduced Switch Count Multi-Level Inverter fed IM Drive

Common mode voltage (CMV) variations in PWM inverter-fed drives generate unwanted shaft and bearing current resulting in early motor failure. Multilevel inverters reduce this problem to some extent, with higher number of levels. But the complexity of the power circuit increases with an increase in the number of inverter voltage levels. In this paper a five-level inverter structure is proposed for open-end winding induction motor (IM) drives, by cascading only two conventional two-level and three-level inverters, with the elimination of the common mode voltage over the entire modulation range. The DC link power supply requirement is also optimized by means of DC link capacitor voltage balancing, with PWM control., using only inverter switching state redundancies. The proposed power circuit gives a simple power bits structure.

Future switching technology: bacterial protein-based programmable all-optical switch for integrated optics applications?

We report on the bacterial protein-based all-optical switches which operate at low laser power, high speed and fulfil most of the requirements to be an ideal all-optical switch without any moving parts involved. This consists of conventional optical waveguides coated with bacteriorhodopsin films at switching locations. The principle of operation of the switch is based on the light-induced refractive index change of bacteriorhodopsin. This approach opens the possibility of realizing proteinbased all-optical switches for communication network, integrated optics and optical computers.

Nonlinear conduction and electrical switching in one-dimensional conductors

Many one-dimensional conductors show pronounced nonlinear electrical conduction. Some of them show very interesting electrical switching from a low conducting state to a high conducting state. Such electrical switching is often associated with memory. These are discussed with particular emphasis on charge transfer complexestmbine-tcnq, tmpd-tcnq, Cs2(tcnq)3,tea-(tcnq) 2 ando-tolidine-iodine.

Complexity Reduction In A Telephone Switching-System

This paper review the some of the recent developments in Complexity theory as applied to telephone-switching. Some of these techniques are suitable for practical implementation in India.

An apparatus for the study of switching characteristics in ferroelectrics

A circuit capable of producing bipolar square pulses of voltages up to +or-400 V, employing an integrated circuit timer and two mercury wetted relays is described. The frequency of the pulses can be varied from a cycle min-1 to 2 kHz. A variable temperature sample chamber and the temperature control and measurement circuits are also described. The performance of the circuit is evaluated using samples of TGS and NaNO2.

Protection and Switching-Aid Networks for Transistor Bridge Inverters

The present trend in the industry is towards the use of power transistors in the development of efficient Pulsewidth Modulated (PWM) inverters, because of their operation at high frequency, simplicity of turn-off, and low commutation losses compared to the technology using thyristors. But the protection of power transistors, minimization of switching power loss, and design of base drive circuit are very important for a reliable operation of the system. The requirements, analysis, and a simplified procedure for calculation of the switching-aid network components are presented. The transistor is protected against short circuit using a modified autoregulated and autoprotection drive circuit. The experimental results show that the switching power loss and voltage stress in the device can be reduced by suitable choice of the switching-aid network component values.

Switching Process in Ferroelectric Triglycine Selenate

Triglycine selenate (TGSe) is isomorphous with Triglycine sulphate and is ferroelectric below 22°C. It is interesting to study the switching process in TGSe in the ferro-state with a view to comparing the results with TSG. The switching process was studied by applying electrical square pulses to produce fields up to 5 kV/cm on the sample, and measuring the parameters characterizing the transient current flowing in the sample, according to the Merz method. The temperature range in which the process was studied was 15°C to -20°C. The results were analysed by applying the Pulvari-Kuebler theory and the parameters α the activation field and µ the mobility of the domains were evaluated. It is found that µ varies with temperature in TGSe in a manner similar to TGS. µ is lesser for TGSe than for TGS for the same shift of temperature from Tc. The switching behaviour of γ-irradiated TGSe is qualitatively similar to that of unirradiated crystal eventhougth the process gets slowed down as a result of irradiation.

Switching transients in ferroelectric dicalcium strontium propionate (DSP) and azoxybenzene

The switching transients in dicalcium strontium propionate and azoxybenzene were studied by the use of the Merz method. It was observed that the switching time depends linearly on the applied electric field. Under similar electric fields, the switching processes in DSP and azoxybenzene are slower than in triglycine sulphate (TGS) at 27°C.

Switching transients in ferroelectric dicalcium strontium propionate (DSP) and Azoxybenzene

The ferroelectric polarization switching was studied in DSP single crystal and Azoxybenzene liquid film using the method described by Merz (1954). The DSP single crystal samples were in the form of plates 0.5 mm - 1.0 mm thick. The Azoxybenzene liquid film samples had a thickness from 0.025 mm - 0.125 mm. Switching in DSP was observed in the temperature range +7°C to -30°C, while in Azoxybenzene it was observed from 30°C to 70°C.

Non-ohmic conduction and electrical switching under pressure of the charge transfer complexo-tolidine-iodine

The current voltage characteristics ofo-tolidine-iodine, with stoichiometry 1:1 grown from benzene, have been studied under high pressures upto 6 GPa atT=300 K andT=77 K. The characteristics show a pronounced deviation from ohmicity beyond a certain current for all pressures studied. At room temperature, beyond a threshold field the system switches from a low conductingOFF state to a high conductingON state with σON/σOFF ∼ 103. TheOFF state can be restored by the application of an a.c. pulse of low frequency. The temperature dependence of the two states studied indicates that theOFF state is semiconducting while theON state, beyond a certain applied pressure is metallic. The characteristics atT=77 K do not show any switching.

Ultrafast Switching Time and Third Order Nonlinear Coefficients of Microwave Treated Single Walled Carbon Nanotube Suspensions

Microwave treated water soluble and amide functionalized single walled carbon nanotubes have been investigated using femtosecond degenerate pump-probe and nonlinear transmission experiments. The time resolved differential transmission using 75 femtosecond pulse with the central wavelength of 790 nm shows a bi-exponential ultrafast photo-bleaching with time constants of 160 fs (130 fs) and 920 fs (300 fs) for water soluble (amide functionalized) nanotubes. Open and closed aperture z-scans show saturation absorption and positive (negative) nonlinear refraction for water soluble (amide functionalized) nanotubes. Two photon absorption coefficient, beta(0) similar to 250 cm/GW (650 cm/GW) and nonlinear index, gamma similar to 15 cm(2)/pW (-30 cm(2)/pW) are obtained from the theoretical fit in the saturation limit to the data for two types of nanotubes.

Polarization switching in radiation damaged ferroelectric crystals

The polarization switching processes in radiation damaged ferroelectrics were studied by the Merz method. In irradiated triglycine sulphate and sodium nitrite, the switching time depends exponentially on the applied electric field. Irradiation increases the importance of nucleation and sideways motion of the domain walls in polarization switching.