On approximate electromagnetic cloaking by transformation media

We give a comprehensive study on regularized approximate electromagnetic cloaking in the spherical geometry via the transformation optics approach. The following aspects are investigated: (i) near-invisibility cloaking of passive media as well as active/radiating sources; (ii) the existence of cloak-busting inclusions without lossy medium lining; (iii) overcoming the cloaking-busts by employing a lossy layer outside the cloaked region; and (iv) the frequency dependence of the cloaking performances. We address these issues and connect the obtained asymptotic results to singular ideal cloaking. Numerical verifications and demonstrations are provided to show the sharpness of our analytical study.

Analytic approximations for multi-asset option pricing

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi- or single-asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi-asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single-asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi-asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi-asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi-asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.

“Financial alchemy” or a zero sum game? Real estate finance, securitisation and the UK property market

Following the US model, the UK has seen considerable innovation in the funding, finance and procurement of real estate in the last decade. In the growing CMBS market asset backed securitisations have included $2.25billion secured on the Broadgate office development and issues secured on Canary Wharf and the Trafford Centre regional mall. Major occupiers (retailer Sainsbury’s, retail bank Abbey National) have engaged in innovative sale & leaseback and outsourcing schemes. Strong claims are made concerning the benefits of such schemes – e.g. British Land were reported to have reduced their weighted cost of debt by 150bp as a result of the Broadgate issue. The paper reports preliminary findings from a project funded by the Corporation of London and the RICS Research Foundation examining a number of innovative schemes to identify, within a formal finance framework, sources of added value and hidden costs. The analysis indicates that many of the gains claimed conceal costs – in terms of market value of debt or flexibility of management – while others result from unusual firm or market conditions (for example utilising the UK long lease and the unusual shape of the yield curve). Nonetheless, there are real gains resulting from the innovations, reflecting arbitrage and institutional constraints in the direct (private) real estate market

Symmetric Push-Sum Protocol for decentralised aggregation

Gossip (or Epidemic) protocols have emerged as a communication and computation paradigm for large-scale networked systems. These protocols are based on randomised communication, which provides probabilistic guarantees on convergence speed and accuracy. They also provide robustness, scalability, computational and communication efficiency and high stability under disruption. This work presents a novel Gossip protocol named Symmetric Push-Sum Protocol for the computation of global aggregates (e.g., average) in decentralised and asynchronous systems. The proposed approach combines the simplicity of the push-based approach and the efficiency of the push-pull schemes. The push-pull schemes cannot be directly employed in asynchronous systems as they require synchronous paired communication operations to guarantee their accuracy. Although push schemes guarantee accuracy even with asynchronous communication, they suffer from a slower and unstable convergence. Symmetric Push- Sum Protocol does not require synchronous communication and achieves a convergence speed similar to the push-pull schemes, while keeping the accuracy stability of the push scheme. In the experimental analysis, we focus on computing the global average as an important class of node aggregation problems. The results have confirmed that the proposed method inherits the advantages of both other schemes and outperforms well-known state of the art protocols for decentralized Gossip-based aggregation.