Molecular dynamics calculation of mean square displacement in alkali metals and rare gas solids and comparison with lattice dynamics

Molec ul ar dynamics calculations of the mean sq ua re displacement have been carried out for the alkali metals Na, K and Cs and for an fcc nearest neighbour Lennard-Jones model applicable to rare gas solids. The computations for the alkalis were done for several temperatures for temperature vol ume a swell as for the the ze r 0 pressure ze ro zero pressure volume corresponding to each temperature. In the fcc case, results were obtained for a wide range of both the temperature and density. Lattice dynamics calculations of the harmonic and the lowe s t order anharmonic (cubic and quartic) contributions to the mean square displacement were performed for the same potential models as in the molecular dynamics calculations. The Brillouin zone sums arising in the harmonic and the quartic terms were computed for very large numbers of points in q-space, and were extrapolated to obtain results ful converged with respect to the number of points in the Brillouin zone.An excellent agreement between the lattice dynamics results was observed molecular dynamics and in the case of all the alkali metals, e~ept for the zero pressure case of CSt where the difference is about 15 % near the melting temperature. It was concluded that for the alkalis, the lowest order perturbation theory works well even at temperat ures close to the melting temperat ure. For the fcc nearest neighbour model it was found that the number of particles (256) used for the molecular dynamics calculations, produces a result which is somewhere between 10 and 20 % smaller than the value converged with respect to the number of particles. However, the general temperature dependence of the mean square displacement is the same in molecular dynamics and lattice dynamics for all temperatures at the highest densities examined, while at higher volumes and high temperatures the results diverge. This indicates the importance of the higher order (eg. ~* ) perturbation theory contributions in these cases.

Monte Carlo study of the XY-model on quasi-periodic lattices

Monte Carlo Simulations were carried out using a nearest neighbour ferromagnetic XYmodel, on both 2-D and 3-D quasi-periodic lattices. In the case of 2-D, both the unfrustrated and frustrated XV-model were studied. For the unfrustrated 2-D XV-model, we have examined the magnetization, specific heat, linear susceptibility, helicity modulus and the derivative of the helicity modulus with respect to inverse temperature. The behaviour of all these quatities point to a Kosterlitz-Thouless transition occuring in temperature range Te == (1.0 -1.05) JlkB and with critical exponents that are consistent with previous results (obtained for crystalline lattices) . However, in the frustrated case, analysis of the spin glass susceptibility and EdwardsAnderson order parameter, in addition to the magnetization, specific heat and linear susceptibility, support a spin glass transition. In the case where the 'thin' rhombus is fully frustrated, a freezing transition occurs at Tf == 0.137 JlkB , which contradicts previous work suggesting the critical dimension of spin glasses to be de > 2 . In the 3-D systems, examination of the magnetization, specific heat and linear susceptibility reveal a conventional second order phase transition. Through a cumulant analysis and finite size scaling, a critical temperature of Te == (2.292 ± 0.003) JI kB and critical exponents of 0:' == 0.03 ± 0.03, f3 == 0.30 ± 0.01 and I == 1.31 ± 0.02 have been obtained.

A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

A game-theoretic network formation model

We study the dynamics of a game-theoretic network formation model that yields large-scale small-world networks. So far, mostly stochastic frameworks have been utilized to explain the emergence of these networks. On the other hand, it is natural to seek for game-theoretic network formation models in which links are formed due to strategic behaviors of individuals, rather than based on probabilities. Inspired by Even-Dar and Kearns (2007), we consider a more realistic model in which the cost of establishing each link is dynamically determined during the course of the game. Moreover, players are allowed to put transfer payments on the formation of links. Also, they must pay a maintenance cost to sustain their direct links during the game. We show that there is a small diameter of at most 4 in the general set of equilibrium networks in our model. Unlike earlier model, not only the existence of equilibrium networks is guaranteed in our model, but also these networks coincide with the outcomes of pairwise Nash equilibrium in network formation. Furthermore, we provide a network formation simulation that generates small-world networks. We also analyze the impact of locating players in a hierarchical structure by constructing a strategic model, where a complete b-ary tree is the seed network.