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.

State Dependent Attempt Rate Modeling of Single Cell IEEE 802.11 WLANs with Homogeneous Nodes and Poisson Arrivals

Analytical models of IEEE 802.11-based WLANs are invariably based on approximations, such as the well-known mean-field approximations proposed by Bianchi for saturated nodes. In this paper, we provide a new approach for modeling the situation when the nodes are not saturated. We study a State Dependent Attempt Rate (SDAR) approximation to model M queues (one queue per node) served by the CSMA/CA protocol as standardized in the IEEE 802.11 DCF. The approximation is that, when n of the M queues are non-empty, the attempt probability of the n non-empty nodes is given by the long-term attempt probability of n saturated nodes as provided by Bianchi's model. This yields a coupled queue system. When packets arrive to the M queues according to independent Poisson processes, we provide an exact model for the coupled queue system with SDAR service. The main contribution of this paper is to provide an analysis of the coupled queue process by studying a lower dimensional process and by introducing a certain conditional independence approximation. We show that the numerical results obtained from our finite buffer analysis are in excellent agreement with the corresponding results obtained from ns-2 simulations. We replace the CSMA/CA protocol as implemented in the ns-2 simulator with the SDAR service model to show that the SDAR approximation provides an accurate model for the CSMA/CA protocol. We also report the simulation speed-ups thus obtained by our model-based simulation.

Three-User Cognitive Channels with Cumulative Message Sharing: An Achievable Rate Region

In this paper, an achievable rate region for the three-user discrete memoryless interference channel with asymmetric transmitter cooperation is derived. The three-user channel facilitates different ways of message sharing between the transmitters. We introduce a manner of noncausal (genie aided) unidirectional message-sharing, which we term cumulative message sharing. We consider receivers with predetermined decoding capabilities, and define a cognitive interference channel. We then derive an achievable rate region for this channel by employing a coding scheme which is a combination of superposition and Gel'fand-Pinsker coding techniques.

Long-term Accelerated Multistress Aging of Composite Outdoor Polymeric Insulators

Polymeric outdoor insulators are being increasingly used for electrical power transmission and distribution in the recent years. One of the current topics of interest for the power transmission community is the aging of such outdoor polymeric insulators. A few research groups are carrying out aging studies at room temperature with wet period as an integral part of multistress aging cycle as specified by IEC standards. However, aging effect due to dry conditions alone at elevated temperatures and electric stress in the presence of radiation environment has probably not been explored. It is interesting to study and understand the insulator performance under dry conditions where wet periods are either rare or absent and to estimate the extent of aging caused by multiple stresses. This paper deals with the long-term accelerated multistress aging on full-scale 11 kV distribution class composite silicone rubber insulators. In order to assess the long-term synergistic effect of electric stress, temperature and UV radiation on insulators, they are subjected to accelerated aging in a specially designed multistress-aging chamber for 3800 hours. All the stresses are applied at an accelerated level. Using a data acquisition system developed for the work, leakage current has been monitored in LabVIEW environment. Chemical changes due to degradations have been studied using Energy Dispersive X-Ray analysis, Scanning Electron Microscope and Fourier transform Infrared Spectroscopy. Periodically different parameters like low molecular weight (LMW) molecular content, hydrophobicity, leakage current and surface morphology were monitored. The aging study is under progress and only intermediate results are presented in this paper.

High-Rate,2-Group ML-Decodable STBCs for 2(m) Transmit Antennas

A Space-Time Block Code (STBC) in K-variables is said to be g-Group ML-Decodable (GMLD) if its Maximum-Likelihood (ML) decoding metric can be written as a sum of g independent terms, with each term being a function of a subset of the K variables. In this paper, a construction method to obtain high-rate, 2-GMLD STBCs for 2(m) transmit antennas, m > 1, is presented. The rate of the STBC obtained for 2(m) transmit antennas is 2(m-2) + 1/2(m), complex symbols per channel use. The design method is illustrated for the case of 4 and 8 transmit antennas. The code obtained for 4 transmit antennas is equivalent to the rate-5/4 Quasi-Orthogonal design (QOD) proposed by Yuen, Guan and Tjung.

Long-term Accelerated Weathering of Outdoor Silicone Rubber Insulators

Multistress aging/weathering of outdoor composite polymeric insulators has been a topic of interest for power transmission research community in the last few decades. This paper deals with the long-term accelerated weathering of full-scale distribution class silicone rubber composite insulators. To evaluate the long-term synergistic effect of electric stress, temperature and UV radiation on insulators, they were subjected to accelerated weathering in a specially designed multistress-aging chamber for 30,000 h. All the insulators were subjected to the same level of electrical and thermal stresses but different UV radiation levels. Chemical, physical and electrical changes due to degradation have been assessed using various techniques. It was found that there was a monotonous reduction of the content of low molecular weight (LMW) molecules with the duration of the weathering. Further, due to oxidation and weathering there is an appreciable increase in surface roughness and atomic percentage of oxygen. There is no change in the leakage current of new and aged insulators under both wet and dry conditions at the end of the aging. The results also indicate that there is no influence of UV radiation on the silicone rubber for the durations and conditions under which the studies were made.

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.

Quasi-static crack tip fields in rate-sensitive FCC single crystals

In this work, the effects of loading rate, material rate sensitivity and constraint level on quasi-static crack tip fields in a FCC single crystal are studied. Finite element simulations are performed within a mode I, plane strain modified boundary layer framework by prescribing the two term (K-T) elastic crack tip field as remote boundary conditions. The material is assumed to obey a rate-dependent crystal plasticity theory. The orientation of the single crystal is chosen so that the crack surface coincides with the crystallographic (010) plane and the crack front lies along 101] direction. Solutions corresponding to different stress intensity rates K., T-stress values and strain rate exponents m are obtained. The results show that the stress levels ahead of the crack tip increase with K. which is accompanied by gradual shrinking of the plastic zone size. However, the nature of the shear band patterns around the crack tip is not affected by the loading rate. Further, it is found that while positive T-stress enhances the opening and hydrostatic stress levels ahead of crack tip, they are considerably reduced with imposition of negative T-stress. Also, negative T-stress promotes formation of shear bands in the forward sector ahead of the crack tip and suppresses them behind the tip.

State Dependent Attempt Rate modeling of single cell IEEE 802.11 WLANs with homogeneous nodes and Poisson packet arrivals

We study a State Dependent Attempt Rate (SDAR) approximation to model M queues (one queue per node) served by the Carrier Sense Multiple Access with Collision Avoidance (CSMA/CA) protocol as standardized in the IEEE 802.11 Distributed Coordination Function (DCF). The approximation is that, when n of the M queues are non-empty, the (transmission) attempt probability of each of the n non-empty nodes is given by the long-term (transmission) attempt probability of n saturated nodes. With the arrival of packets into the M queues according to independent Poisson processes, the SDAR approximation reduces a single cell with non-saturated nodes to a Markovian coupled queueing system. We provide a sufficient condition under which the joint queue length Markov chain is positive recurrent. For the symmetric case of equal arrival rates and finite and equal buffers, we develop an iterative method which leads to accurate predictions for important performance measures such as collision probability, throughput and mean packet delay. We replace the MAC layer with the SDAR model of contention by modifying the NS-2 source code pertaining to the MAC layer, keeping all other layers unchanged. By this model-based simulation technique at the MAC layer, we achieve speed-ups (w.r.t. MAC layer operations) up to 5.4. Through extensive model-based simulations and numerical results, we show that the SDAR model is an accurate model for the DCF MAC protocol in single cells. (C) 2012 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.