Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

Photophysical and redox properties of dinuclear Ru and Os polypyridyl complexes with incorporated photostable spiropyran bridge

Aimed at creating a true photoswitchable energy transfer system, four dinuclear complexes containing ruthenium(II) and osmium(II) metal centers bridged by spiropyran-type linkers were designed and investigated. The bridge in its closed spiropyran form was shown to be a good insulator for energy transfer between the Ru-bpy donor and the Os-bpy acceptor (bpy = 2,2'-bipyridine). On the basis of properties of previously reported photochromic nitrospiropyrans substituted with a single polypyridine metal center, conversion of the bridge to the open merocyanine form was envisaged to result in efficient electronic energy transfer by a sequential ("hopping") mechanism. In contrast to the expectations, however, the studied closed-form dinuclear complexes remained stable independently of their photochemical or electrochemical activation. This difference in reactivity is attributed to the replacement of the nitro group by a second polypyridine metal center. We assume that these changes have fundamentally altered the excited-state and redox properties of the complexes, making the ring-opening pathways unavailable.

Neoglycolipid probes prepared via oxime ligation for microarray analysis of oligosaccharide-protein interactions

Neoglycolipid technology is the basis of a microarray platform for assigning oligosaccharide ligands for carbohydrate-binding proteins. The strategy for generating the neoglycolipid probes by reductive amination results in ring opening of the core monosaccharides. This often limits applicability to short-chain saccharides, although the majority of recognition motifs are satisfactorily presented with neoglycolipids of longer oligosaccharides. Here, we describe neoglycolipids prepared by oxime ligation. We provide evidence from NMR studies that a significant proportion of the oxime-linked core monosaccharide is in the ring-closed form, and this form selectively interacts with a carbohydrate-binding protein. By microarray analyses we demonstrate the effective presentation with oxime-linked neoglycolipids of (1) Lewis(x) trisaccharide to antibodies to Lewisx, (2) sialyllactose analogs to the sialic acid-binding receptors, siglecs, and (3) N-glycans to a plant lectin that requires an intact N-acetylglucosamine core.

Integrating control systems defined on the frame bundles of the space forms

This paper considers left-invariant control systems defined on the orthonormal frame bundles of simply connected manifolds of constant sectional curvature, namely the space forms Euclidean space E-3, the sphere S-3 and Hyperboloid H-3 with the corresponding frame bundles equal to the Euclidean group of motions SE(3), the rotation group SO(4) and the Lorentz group SO(1, 3). Orthonormal frame bundles of space forms coincide with their isometry groups and therefore the focus shifts to left-invariant control systems defined on Lie groups. In this paper a method for integrating these systems is given where the controls are time-independent. In the Euclidean case the elements of the Lie algebra se(3) are often referred to as twists. For constant twist motions, the corresponding curves g(t) is an element of SE(3) are known as screw motions, given in closed form by using the well known Rodrigues' formula. However, this formula is only applicable to the Euclidean case. This paper gives a method for computing the non-Euclidean screw motions in closed form. This involves decoupling the system into two lower dimensional systems using the double cover properties of Lie groups, then the lower dimensional systems are solved explicitly in closed form.

Oriented vehicles travelling in spherical space

This paper tackles the path planning problem for oriented vehicles travelling in the non-Euclidean 3-Dimensional space; spherical space S3. For such problem, the orientation of the vehicle is naturally represented by orthonormal frame bundle; the rotation group SO(4). Orthonormal frame bundles of space forms coincide with their isometry groups and therefore the focus shifts to control systems defined on Lie groups. The oriented vehicles, in this case, are constrained to travel at constant speed in a forward direction and their angular velocities directly controlled. In this paper we identify controls that induce steady motions of these oriented vehicles and yield closed form parametric expressions for these motions. The paths these vehicles trace are defined explicitly in terms of the controls and therefore invariant with respect to the coordinate system used to describe the motion.

Synthesis, photophysical, photochemical, and redox properties of nitrospiropyrans substituted with Ru or Os tris(bipyridine) complexes

Photochromic nitrospiropyrans substituted with 2,2'-bipyridine (bpy), [Ru(bpy)(3)](2+), and [Os(bpy)(3)](2+) groups were synthesized, and their photophysical, photochemical, and redox properties investigated. Substitution of the spiropyran with the metal complex moiety results in strongly decreased efficiency of the ring-opening process as a result of energy transfer from the excited spiropyran to the metal center. The lowest excited triplet state of the spiropyran in its open merocyanine form is lower in energy than the excited triplet MLCT level of the [Ru(bpy)(3)](2+) moiety but higher in energy than for [Os(bpy)(3)](2+), resulting in energy transfer from the excited ruthenium center to the spiropyran but inversely in the osmium case. The open merocyanine form reduces and oxidizes electrochemically more easily than the closed nitrospiropyran. Like photoexcitation, electrochemical activation also causes opening of the spiropyran ring by first reducing the closed form and subsequently reoxidizing the corresponding radical anion in two well-resolved anodic steps. Interestingly, the substitution of the spiropyran with a Ru or Os metal center does not affect the efficiency of this electrochemically induced ring-opening process, different from the photochemical path.

A self-structured adaptive decision feedback equalizer

In a decision feedback equalizer (DFE), the structural parameters, including the decision delay, the feedforward filter (FFF), and feedback filter (FBF) lengths, must be carefully chosen, as they greatly influence the performance. Although the FBF length can be set as the channel memory, there is no closed-form expression for the FFF length and decision delay. In this letter, first we analytically show that the two-dimensional search for the optimum FFF length and decision delay can be simplified to a one-dimensional search and then describe a new adaptive DFE where the optimum structural parameters can be self-adapted.

Flexible MMSE DFE using length and LAG adaptation

This paper investigates how to choose the optimum tap-length and decision delay for the decision feedback equalizer (DFE). Although the feedback filter length can be set as the channel memory, there is no closed-form expression for the feedforward filter length and decision delay. In this paper, first we analytically show that the two dimensional search for the optimum feedforward filter length and decision delay can be simplified to a one dimensional search, and then describe a new adaptive DFE where the optimum structural parameters can be self-adapted.

Reduction of vestigial sideband effects due to multipath transmission in terrestrial broadcast television

In terrestrial television transmission multiple paths of various lengths can occur between the transmitter and the receiver. Such paths occur because of reflections from objects outside the direct transmission path. The multipath signals arriving at the receiver are all detected along with the intended signal causing time displaced replicas called 'ghosts' to appear on the television picture. With an increasing number of people living within built up areas, ghosting is becoming commonplace and therefore deghosting is becoming increasingly important. This thesis uses a deterministic time domain approach to deghosting, resulting in a simple solution to the problem of removing ghosts. A new video detector is presented which reduces the synchronous detector local oscillator phase error, caused by any practical size of ghost, to a lower level than has ever previously been achieved. From the new detector, dispersion of the video signal is minimised and a known closed-form time domain description of the individual ghost components within the detected video is subsequently obtained. Developed from mathematical descriptions of the detected video, a new specific deghoster filter structure is presented which is capable of removing both inphase (I) and also the phase quadrature (Q) induced ghost signals derived from the VSB operation. The new deghoster filter requires much less hardware than any previous deghoster which is capable of removing both I and Q ghost components. A new channel identification algorithm was also required and written which is based upon simple correlation techniques to find the delay and complex amplitude characteristics of individual ghosts. The result of the channel identification is then passed to the new I and Q deghoster filter for ghost cancellation. Generated from the research work performed for this thesis, five papers have been published. D

Contact angle of a hemispherical bubble: an analytical approach

We have calculated the equilibrium shape of the axially symmetric Plateau border along which a spherical bubble contacts a flat wall, by analytically integrating Laplace’s equation in the presence of gravity, in the limit of small Plateau border sizes. This method has the advantage that it provides closed-form expressions for the positions and orientations of the Plateau border surfaces. Results are in very good overall agreement with those obtained from a numerical solution procedure, and are consistent with experimental data. In particular we find that the effect of gravity on Plateau border shape is relatively small for typical bubble sizes, leading to a widening of the Plateau border for sessile bubbles and to a narrowing for pendant bubbles. The contact angle of the bubble is found to depend even more weakly on gravity.

Resonant gravity-wave drag enhancement in linear stratified flow over mountains

High-drag states produced in stratified flow over a 2D ridge and an axisymmetric mountain are investigated using a linear, hydrostatic, analytical model. A wind profile is assumed where the background velocity is constant up to a height z1 and then decreases linearly, and the internal gravity-wave solutions are calculated exactly. In flow over a 2D ridge, the normalized surface drag is given by a closed-form analytical expression, while in flow over an axisymmetric mountain it is given by an expression involving a simple 1D integral. The drag is found to depend on two dimensionless parameters: a dimensionless height formed with z_1, and the Richardson number, Ri, in the shear layer. The drag oscillates as z_1 increases, with a period of half the hydrostatic vertical wavelength of the gravity waves. The amplitude of this modulation increases as Ri decreases. This behaviour is due to wave reflection at z_1. Drag maxima correspond to constructive interference of the upward- and downward-propagating waves in the region z < z_1, while drag minima correspond to destructive interference. The reflection coefficient at the interface z = z_1 increases as Ri decreases. The critical level, z_c, plays no role in the drag amplification. A preliminary numerical treatment of nonlinear effects is presented, where z_c appears to become more relevant, and flow over a 2D ridge qualitatively changes its character. But these effects, and their connection with linear theory, still need to be better understood.

Mobile-to-mobile MIMO transmit-receive diversity systems: analysis and performance in three-dimensional double-correlated channels

Mobile-to-mobile (M-to-M) communications are expected to play a crucial role in future wireless systems and networks. In this paper, we consider M-to-M multiple-input multiple-output (MIMO) maximal ratio combining system and assess its performance in spatially correlated channels. The analysis assumes double-correlated Rayleigh-and-Lognormal fading channels and is performed in terms of average symbol error probability, outage probability, and ergodic capacity. To obtain the receive and transmit spatial correlation functions needed for the performance analysis, we used a three-dimensional (3D) M-to-M MIMO channel model, which takes into account the effects of fast fading and shadowing. The expressions for the considered metrics are derived as a function of the average signal-to-noise ratio per receive antenna in closed-form and are further approximated using the recursive adaptive Simpson quadrature method. Numerical results are provided to show the effects of system parameters, such as distance between antenna elements, maximum elevation angle of scatterers, orientation angle of antenna array in the x–y plane, angle between the x–y plane and the antenna array orientation, and degree of scattering in the x–y plane, on the system performance. Copyright © 2011 John Wiley & Sons, Ltd.

Cross-layer design for multiuser MIMO MRC systems with feedback constraints

Cross-layer techniques represent efficient means to enhance throughput and increase the transmission reliability of wireless communication systems. In this paper, a cross-layer design of aggressive adaptive modulation and coding (A-AMC), truncated automatic repeat request (T-ARQ), and user scheduling is proposed for multiuser multiple-input-multiple-output (MIMO) maximal ratio combining (MRC) systems, where the impacts of feedback delay (FD) and limited feedback (LF) on channel state information (CSI) are also considered. The A-AMC and T-ARQ mechanism selects the appropriate modulation and coding schemes (MCSs) to achieve higher spectral efficiency while satisfying the service requirement on the packet loss rate (PLR), profiting from the feasibility of using different MCSs to retransmit a packet, which is destined to a scheduled user selected to exploit multiuser diversity and enhance the system's performance in terms of both transmission efficiency and fairness. The system's performance is evaluated in terms of the average PLR, average spectral efficiency (ASE), outage probability, and average packet delay, which are derived in closed form, considering transmissions over Rayleigh-fading channels. Numerical results and comparisons are provided and show that A-AMC combined with T-ARQ yields higher spectral efficiency than the conventional scheme based on adaptive modulation and coding (AMC), while keeping the achieved PLR closer to the system's requirement and reducing delay. Furthermore, the effects of the number of ARQ retransmissions, numbers of transmit and receive antennas, normalized FD, and cardinality of the beamforming weight vector codebook are studied and discussed.

Cross-layer design of enhanced AMC with truncated ARQ protocols

Using a cross-layer approach, two enhancement techniques applied for adaptive modulation and coding (AMC) with truncated automatic repeat request (T-ARQ) are investigated, namely, aggressive AMC (A-AMC) and constellation rearrangement (CoRe). Aggressive AMC selects the appropriate modulation and coding schemes (MCS) to achieve higher spectral efficiency, profiting from the feasibility of using different MCSs for retransmitting a packet, whereas in the CoRe-based AMC, retransmissions of the same data packet are performed using different mappings so as to provide different degrees of protection to the bits involved, thus achieving mapping diversity gain. The performance of both schemes is evaluated in terms of average spectral efficiency and average packet loss rate, which are derived in closed-form considering transmission over Nakagami-m fading channels. Numerical results and comparisons are provided. In particular, it is shown that A-AMC combined with T-ARQ yields higher spectral efficiency than the AMC-based conventional scheme while keeping the achieved packet loss rate closer to the system's requirement, and that it can achieve larger spectral efficiency objectives than that of the scheme using AMC along with CoRe.

An analytical method for capacity dimensioning of WCDMA with high speed wireless link

Capacity dimensioning is one of the key problems in wireless network planning. Analytical and simulation methods are usually used to pursue the accurate capacity dimensioning of wireless network. In this paper, an analytical capacity dimensioning method for WCDMA with high speed wireless link is proposed based on the analysis on relations among system performance and high speed wireless transmission technologies, such as H-ARQ, AMC and fast scheduling. It evaluates system capacity in closed-form expressions from link level and system level. Numerical results show that the proposed method can calculate link level and system level capacity for WCDMA system with HSDPA and HSUPA.