Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Assessing the functional structure of molecular transporters by EPR spectroscopy

In this thesis, the self-assembled functional structure of a broad range of amphiphilic molecular transporters is studied. By employing paramagnetic probe molecules and ions, continuous-wave and pulse electron paramagnetic resonance spectroscopy reveal information about the local structure of these materials from the perspective of incorporated guest molecules. First, the transport function of human serum albumin for fatty acids is in the focus. As suggested by the crystal structure, the anchor points for the fatty acids are distributed asymmetrically in the protein. In contrast to the crystallographic findings, a remarkably symmetric entry point distribution of the fatty acid binding channels is found, which may facilitate the uptake and release of the guest molecules. Further, the metal binding of 1,2,3-triazole modified star-shaped cholic acid oligomers is studied. These biomimetic molecules are able to include and transport molecules in solvents of different polarity. A pre-arrangement of the triazole groups induces a strong chelate-like binding and close contact between guest molecule and metal ion. In absence of a preordering, each triazole moiety acts as a single entity and the binding affinity for metal ions is strongly decreased. Hydrogels based on N-isopropylacrylamide phase separate from water above a certain temperature. The macroscopic thermal collapse of these hydrogels is utilized as a tool for dynamic nuclear polarization. It is shown that a radical-free hyperpolarized solution can be achieved with a spin-labeled gel as separable matrix. On the nanoscale, these hydrogels form static heterogeneities in both structure and function. Collapsed regions protect the spin probes from a chemical decay while open, water-swollen regions act as catalytic centers. Similarly, thermoresponsive dendronized polymers form structural heterogeneities, which are, however, highly dynamic. At the critical temperature, they trigger the aggregation of the polymer into mesoglobules. The dehydration of these aggregates is a molecularly controlled non-equilibrium process that is facilitated by a hydrophobic dendritic core. Further, a slow heating rate results in a kinetically entrapped non-equilibrium state due to the formation of an impermeable dense polymeric layer at the periphery of the mesoglobule.