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.

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.

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.

Combustion and heat transfer characteristics of nanofluid fuel droplets: A short review

With the pressing need to meet an ever-increasing energy demand, the combustion systems utilizing fossil fuels have been the major contributors to carbon footprint. As the combustion of conventional energy resources continue to produce significant Green House gas (GHG) emissions, there is a strong emphasis to either upgrade or find an energy-efficient eco-friendly alternative to the traditional hydrocarbon fuels. With recent developments in nanotechnology, the ability to manufacture materials with custom tailored properties at nanoscale has led to the discovery of a new class of high energy density fuels containing reactive metallic nanoparticles (NPs). Due to the high reactive interfacial area and enhanced thermal and mass transport properties of nanomaterials, the high heat of formation of these metallic fuels can now be released rapidly, thereby saving on specific fuel consumption and hence reducing GHG emissions. In order to examine the efficacy of nanofuels in energetic formulations, it is imperative to first study their combustion characteristics at the droplet scale that form the fundamental building block for any combustion system utilizing liquid fuel spray. During combustion of such multiphase, multicomponent droplets, the phenomenon of diffusional entrapment of high volatility species leads to its explosive boiling (at the superheat limit) thereby leading to an intense internal pressure build-up. This pressure upsurge causes droplet fragmentation either in form of a microexplosion or droplet puffing followed by atomization (with formation of daughter droplets) featuring disruptive burning. Both these atomization modes represent primary mechanisms for extracting the high oxidation energies of metal NP additives by exposing them to the droplet flame (with daughter droplets acting as carriers of NPs). Atomization also serves as a natural mechanism for uniform distribution and mixing of the base fuel and enhancing burning rates (due to increase in specific surface area through formation of smaller daughter droplets). However, the efficiency of atomization depends on the thermo-physical properties of the base fuel, NP concentration and type. For instance, at dense loading NP agglomeration may lead to shell formation which would sustain the pressure upsurge and hence suppress atomization thereby reducing droplet gasification rate. Contrarily, the NPs may act as nucleation sites and aid boiling and the radiation absorption by NPs (from the flame) may lead to enhanced burning rates. Thus, nanoadditives may have opposing effects on the burning rate depending on the relative dominance of processes occurring at the droplet scale. The fundamental idea in this study is to: First, review different thermo-physical processes that occur globally at the droplet and sub-droplet scale such as surface regression, shell formation due to NP agglomeration, internal boiling, atomization/NP transport to flame zone and flame acoustic interaction that occur at the droplet scale and second, understand how their interaction changes as a function of droplet size, NP type, NP concentration and the type of base fuel. This understanding is crucial for obtaining phenomenological insights on the combustion behavior of novel nanofluid fuels that show great promise for becoming the next-generation fuels. (C) 2016 Elsevier Ltd. All rights reserved.

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.

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.

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.

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.

Zinc acetylacetonate hydrate adducted with nitrogen donor ligands: Synthesis, spectroscopic characterization, and thermal analysis

We report synthesis, spectroscopic characterization, and thermal analysis of zinc acetylacetonate complex adducted by nitrogen donor ligands, such as pyridine, bipyridine, and phenanthroline. The pyridine adducted complex crystallizes to monoclinic crystal structure, whereas other two adducted complexes have orthorhombic structure. Addition of nitrogen donor ligands enhances the thermal property of these complexes as that with parent metal-organic complex. Zinc acetylacetonate adducted with pyridine shows much higher volatility (106 degrees C), decomposition temperature (202 degrees C) as that with zinc acetylacetonate (136 degrees C, 220 degrees C), and other adducted complexes. All the adducted complexes are thermally stable, highly volatile and are considered to be suitable precursors for metal organic chemical vapor deposition. The formation of these complexes is confirmed by powder X-ray diffraction, Fourier transform infrared spectroscopy, mass spectroscopy, and elemental analysis. The complexes are widely used as starting precursor materials for the synthesis of ZnO nanostructures by microwave irradiation assisted coating process. (c) 2015 Elsevier B.V. All rights reserved.

Deformation pathways and breakup modes in acoustically levitated bicomponent droplets under external heating

Controlled breakup of droplets using heat or acoustics is pivotal in applications such as pharmaceutics, nanoparticle production, and combustion. In the current work we have identified distinct thermal acoustics-induced deformation regimes (ligaments and bubbles) and breakup dynamics in externally heated acoustically levitated bicomponent (benzene-dodecane) droplets with a wide variation in volatility of the two components (benzene is significantly more volatile than dodecane). We showcase the physical mechanism and universal behavior of droplet surface caving in leading to the inception and growth of ligaments. The caving of the top surface is governed by a balance between the acoustic pressure field and the restrictive surface tension of the droplet. The universal collapse of caving profiles for different benzene concentration (<70% by volume) is shown by using an appropriate time scale obtained from force balance. Continuous caving leads to the formation of a liquid membrane-type structure which undergoes radial extension due to inertia gained during the precursor phase. The membrane subsequently closes at the rim and the kinetic energy leads to ligament formation and growth. Subsequent ligament breakup is primarily Rayleigh-Plateau type. The breakup mode shifts to diffusional entrapment-induced boiling with an increase in concentration of the volatile component (benzene >70% by volume). The findings are portable to any similar bicomponent systems with differential volatility.