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.

Quantum gravity effects in rotating black hole spacetimes

The aim of this work is to explore, within the framework of the presumably asymptotically safe Quantum Einstein Gravity, quantum corrections to black hole spacetimes, in particular in the case of rotating black holes. We have analysed this problem by exploiting the scale dependent Newton s constant implied by the renormalization group equation for the effective average action, and introducing an appropriate "cutoff identification" which relates the renormalization scale to the geometry of the spacetime manifold. We used these two ingredients in order to "renormalization group improve" the classical Kerr metric that describes the spacetime generated by a rotating black hole. We have focused our investigation on four basic subjects of black hole physics. The main results related to these topics can be summarized as follows. Concerning the critical surfaces, i.e. horizons and static limit surfaces, the improvement leads to a smooth deformation of the classical critical surfaces. Their number remains unchanged. In relation to the Penrose process for energy extraction from black holes, we have found that there exists a non-trivial correlation between regions of negative energy states in the phase space of rotating test particles and configurations of critical surfaces of the black hole. As for the vacuum energy-momentum tensor and the energy conditions we have shown that no model with "normal" matter, in the sense of matter fulfilling the usual energy conditions, can simulate the quantum fluctuations described by the improved Kerr spacetime that we have derived. Finally, in the context of black hole thermodynamics, we have performed calculations of the mass and angular momentum of the improved Kerr black hole, applying the standard Komar integrals. The results reflect the antiscreening character of the quantum fluctuations of the gravitational field. Furthermore we calculated approximations to the entropy and the temperature of the improved Kerr black hole to leading order in the angular momentum. More generally we have proven that the temperature can no longer be proportional to the surface gravity if an entropy-like state function is to exist.

Fluorescent ionene-dye nanoparticles by electrostatic self-assembly

It is investigated that the association of linear cationic model polyelectrolytes with oppositely charged pyrenetetrasulfonate (PY) in aqueous solution. For this purpose water soluble ionenes were prepared via Menschutkin reaction from 1-4-diazabicyclo [2.2.2] octane and e.g. 1,6-dibromohexane and 1,4 dibromotransbuten. The complex formation between dye molecules PY and oppositely charged ionenes (PD4, PD6, PD4-2 and PD4coPD6) of different chemical structures in aqueous solution was studied by light scattering (LS), small angle neutron scattering (SANS), UV-Vis, fluorescence spectroscopy and atomic force microscopy (AFM). Spectrophotometric titration results revealed that PY molecules were bind to ionenes cooperative process due to π-π interaction. Cooperative binding constant KD was determined as 6.4 x 10^6 M^-1 (+ or - 10^5 M^-1). It was found that binding mode and geometry of PY is predominantly depending on inter-charge distances of corresponding ionenes. Resultant complexes have exhibited size and structure variation as a function of charge ratio (L), ionic strength, inter-charge distances. Spherical dye-ionene complexes of which radius of gyration ranging between (RG) 50 and 190 nm have been observed in PD4-PY system while this was not possible with a different ionene (PD6) or either case ionene excess. It was found that most of the PD4-PY complexes had RG / RH ~ 0.78. Based on the AFM and LS results, spherical complexes have certain colloidal stability and their size can effectively controlled by changing the L.

Quantum dot-dye hybrid systems for energy transfer applications

In this thesis, we focus on the preparation of energy transfer-based quantum dot (QD)-dye hybrid systems. Two kinds of QD-dye hybrid systems have been successfully synthesized: QD-silica-dye and QD-dye hybrid systems.rn rnIn the QD-silica-dye hybrid system, multishell CdSe/CdS/ZnS QDs were adsorbed onto monodisperse Stöber silica particles with an outer silica shell of thickness 2 - 24 nm containing organic dye molecules (Texas Red). The thickness of this dye layer has a strong effect on the total sensitized acceptor emission, which is explained by the increase in the number of dye molecules homogeneously distributed within the silica shell, in combination with an enhanced surface adsorption of QDs with increasing dye amount. Our conclusions were underlined by comparison of the experimental results with Monte-Carlo simulations, and by control experiments confirming attractive interactions between QDs and Texas Red freely dissolved in solution. rnrnNew QD-dye hybrid system consisting of multishell QDs and organic perylene dyes have been synthesized. We developed a versatile approach to assemble extraordinarily stable QD-dye hybrids, which uses dicarboxylate anchors to bind rylene dyes to QD. This system yields a good basis to study the energy transfer between QD and dye because of its simple and compact design: there is no third kind of molecule linking QD and dye; no spacer; and the affinity of the functional group to the QD surface is strong. The FRET signal was measured for these complexes as a function of both dye to QD ratio and center-to-center distance between QD and dye by controlling number of covered ZnS layers. Data showed that fluorescence resonance energy transfer (FRET) was the dominant mechanism of the energy transfer in our QD-dye hybrid system. FRET efficiency can be controlled by not only adjusting the number of dyes on the QD surface or the QD to dye distance, but also properly choosing different dye and QD components. Due to the strong stability, our QD-dye complexes can also be easily transferred into water. Our approach can apply to not only dye molecules but also other organic molecules. As an example, the QDs have been complexed with calixarene molecules and the QD-calixarene complexes also have potential for QD-based energy transfer study. rn

Application of a hybrid blocking layer in dye-sensitized solar cells

In dye-sensitized solar cells a blocking layer between the transparent electrode and the mesoporous titanium dioxide film is used to prevent short-circuits between the hole-conductor and the front electrode. The conventional approach is to use a compact layer of titanium dioxide prepared by spin coating or spray pyrolysis. The thickness of the blocking layer is critical. On one hand, the layer has to be thick enough to cover the rough substrate completely. On the other hand, the serial resistance increases with increasing film thickness, because the layer acts as an ohmic resistance itself. In this thesis an amphiphilic diblock copolymer is used as a functional template to produce an alternative, hybrid blocking layer. The hybrid blocking layer is thinner than the conventional, compact titanium dioxide film and thereby possesses a higher conductivity. Still, this type of blocking layer covers the rough electrode material completely and avoids current loss through charge recombination. The novel blocking layer is prepared using a tailored, amphiphilic block copolymer in combination with sol-gel chemistry. While the hydrophilic poly(ethylene oxide) part of the polymer coordinates a titanium dioxide precursor to form a percolating network of titania particles, the hydrophobic poly(dimethylsiloxane) part turns into an insulating ceramic layer. With this technique, crack-free films with a thickness down to 24 nm are obtained. The presence of a conductive titanium dioxide network for current flow, which is embedded in an insulating ceramic material, is validated by conductive scanning force microscopy. This is the first time that such a hybrid blocking layer is implemented in a solar cell. With this approach the efficiency could be increased up to 27 % compared to the conventional blocking layer. Thus, it is demonstrated that the hybrid blocking layer represents a competitive alternative to the classical approach.

Tin (IV) oxide nanostructures: controlled synthesis, properties and applications in dye-sensitized solar cells

Für viele Anwendungen von Nanomaterialien sind maßgeschneiderte Produkte wün-schenswert, weswegen ein tiefgreifendes und genaues Wissen der Reaktionsabläufe, die zu diesen Produkten führen, unabdingbar ist. Um dies im Fall von SnO2 zu erreichen, behandelt diese Arbeit die kontrollierte Synthese und genaue Charakterisierung von Nanopartikeln von Zinn(IV) Oxid.

Charge generation and recombination in solid-state dye-sensitized solar cells

Diese Doktorarbeit befasst sich mit Ladungsgeneration und – rekombination in Feststoff-Farbstoffsolarzellen, die spiro-OMeTAD als Lochleiter verwenden. Die vorliegende Arbeit ist in drei Fallstudien unterteilt: i.) Kern-erweiterte Rylen-Farbstoffe, ii.) ein Perylenmonoimid-Farbstoff und iii.) Donor-π verbrückte (Cyclopentadithiophen)-Akzeptor-Farbstoffe. Trotz ihres hohen molaren Extinktionskoeffizienten und der hohen Absorbanz der sensibilisierten Filme, zeigen einige dieser Farbstoffmoleküle nur geringe photovoltaischen Effizienzen. Um den Ursprung des geringen Wirkungsgrades herauszufinden, wurde breitbandige, ultraschnelle transiente Absorptionsspektroskopie an Solarzellen durchgeführt.rnInsbesondere die Auswirkungen verschiedender Ankergruppen, Dipolmomente, Photolumineszenzlebenszeiten, Lithium-Kationensensitivität und Ladungsträgerdynamik, die alle einen großen Einfluss auf den Wirkungsgrad der Solarzelle besitzen, wurden untersucht. In der ersten Fallstudie zeigte ein kurzer Rylen-Farbstoff aufgrund deutlich verlängerter Lebenszeiten die beste Effizienz im Vergleich zu größeren Kern-erweiterten Rylen-Farbstoffen. Die Lebenszeit wurde weiter reduziert, wenn Maleinsäure als Ankergruppe unter einer Ringöffnungsreaktion an die mesoporöse Oberfläche des Metalloxid-Halbleiters adsorbierte. Dies konnte mit Hilfe von Berechnungen mittels der Dichtefunktionaltheorie (DFT, B3LYP) auf die Differenz des Dipolmoments zwischen Grundzustand und angeregtem Zustand zurückgeführt werden. Die Berechnungen bekräftigen die unvorteilhafte Injektion von Ladungen durch die Änderung der Richtung des Dipolmoments, wenn eine Ringöffnung der Anhydridgruppe stattfindet. In der zweiten Studie zeigte das Perylenmonoimid-Derivat ID889 einen Wirkungsgrad von 4.5% in Feststoff-Farbstoffsolarzellen, wobei ID889 sogar ohne Zuhilfenahme eines Additivs in der Lage ist langlebige Farbstoffkationen zu bilden. Die Verwendung von Lithium-Kationen stabilisiert jedoch sowohl den Prozess der Ladungsgeneration als auch den der Ladungsregeneration. Des Weiteren wurde in ID889-sensitivierten Bauteilen kein reduktives Löschen beobachtet. Dabei wurde die Dynamik der Exzitonen mittels einer soft-modelling Methode Kurvenanalyse aus den Daten der transienten Absorptionsspektroskopie gewonnen. Zuletzt wurden Strukturen mit Cyclopentadithiophen(CPDT)-Baustein untersucht, die eine typische D-π-A Molekülstruktur bilden. FPH224 und 233 zeigten dabei eine bessere Effizienz als FPH231 und 303 aufgrund einer großen Injektionseffizienz (IE) und längerer Lebenszeit der angeregten Zustände. Dies kann auf reduktives Löschen in FPH231 und 303 zurückgeführt werden, wohingegen FPH224 und 233 einen moderaten Zerfall des Spirokationensignals zeigten.