Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

Microscopic Mechanism of 1/f Noise in Graphene: Role of Energy Band Dispersion

A distinctive feature of single-layer graphene is the linearly dispersive energy bands, which in the case of multilayer graphene become parabolic. A simple electrical transport-based probe to differentiate between these two band structures will be immensely valuable, particularly when quantum Hall measurements are difficult, such as in chemically synthesized graphene nanoribbons. Here we show that the flicker noise, or the 1/f noise, in electrical resistance is a sensitive and robust probe to the band structure of graphene. At low temperatures, the dependence of noise magnitude on the carrier density was found to be opposite for the linear and parabolic bands. We explain our data with a comprehensive theoretical model that clarifies several puzzling issues concerning the microscopic origin of flicker noise in graphene field-effect transistors (GraFET).

Noise-spike-induced escape in a bistable system driven by colored noise: Noise with long correlation times

An escape mechanism in a bistable system driven by colored noise of large but finite correlation time (tau) is analyzed. It is shown that the fluctuating potential theory [Phys. Rev. A 38, 3749 (1988)] becomes invalid in a region around the inflection points of the bistable potential, resulting in the underestimation of the mean first passage time at finite tau by this theory. It is shown that transitions at large but finite tau are caused by noise spikes, with edges rising and falling exponentially in a time of O(tau). Simulation of the dynamics of the bistable system driven by noise spikes of the above-mentioned nature clearly reveal the physical mechanism behind the transition.

On the bifurcation in a “modulated” logistic map

We comment on a paper by Luang [On the bifurcation in a ''modulated'' logistic map, Physics Letters A 194(1994) 57]. The numerical evidence given in that paper, for a peculiar type of bifurcation, is shown to be incorrect. The causes of such anomalous results are explained. An accurate bifurcation diagram for the map is also given.

The stretching of single poly-ubiquitin molecules: Static versus dynamic disorder in the non-exponential kinetics of chain unfolding

Static disorder has recently been implicated in the non-exponential kinetics of the unfolding of single molecules of poly-ubiquitin under a constant force Kuo, Garcia-Manyes, Li, Barel, Lu, Berne, Urbakh, Klafter, and Fernandez, Proc. Natl. Acad. Sci. U. S. A. 107, 11336 (2010)]. In the present paper, it is suggested that dynamic disorder may provide a plausible, alternative description of the experimental observations. This suggestion is made on the basis of a model in which the barrier to chain unfolding is assumed to be modulated by a control parameter r that evolves in a parabolic potential under the action of fractional Gaussian noise according to a generalized Langevin equation. The treatment of dynamic disorder within this model is pursued using Zwanzig's indirect approach to noise averaging Acc. Chem. Res. 23, 148 (1990)]. In conjunction with a self-consistent closure scheme developed by Wilemski and Fixman J. Chem. Phys. 58, 4009 (1973); ibid. 60, 866 (1974)], this approach eventually leads to an expression for the chain unfolding probability that can be made to fit the corresponding experimental data very closely. (C) 2011 American Institute of Physics.

Direction of arrival estimation in the presence of distributed noise sources: Cumulant based approach

In the past few years there have been attempts to develop subspace methods for DoA (direction of arrival) estimation using a fourth?order cumulant which is known to de?emphasize Gaussian background noise. To gauge the relative performance of the cumulant MUSIC (MUltiple SIgnal Classification) (c?MUSIC) and the standard MUSIC, based on the covariance function, an extensive numerical study has been carried out, where a narrow?band signal source has been considered and Gaussian noise sources, which produce a spatially correlated background noise, have been distributed. These simulations indicate that, even though the cumulant approach is capable of de?emphasizing the Gaussian noise, both bias and variance of the DoA estimates are higher than those for MUSIC. To achieve comparable results the cumulant approach requires much larger data, three to ten times that for MUSIC, depending upon the number of sources and how close they are. This is attributed to the fact that in the estimation of the cumulant, an average of a product of four random variables is needed to make an evaluation. Therefore, compared to those in the evaluation of the covariance function, there are more cross terms which do not go to zero unless the data length is very large. It is felt that these cross terms contribute to the large bias and variance observed in c?MUSIC. However, the ability to de?emphasize Gaussian noise, white or colored, is of great significance since the standard MUSIC fails when there is colored background noise. Through simulation it is shown that c?MUSIC does yield good results, but only at the cost of more data.

Comment on “Noise-Induced Nonequilibrium Phase Transition"

A Comment on the Letter by C. Van den Broeck, J. M. R. Parrondo, and R. Toral, Phys. Rev. Lett. 73, 3395 (1994). The authors of the Letter offer a Reply.

Use of finite wordlength FIR digital filter structures with improved magnitude and phase characteristics for reduction of muscle noise in EEG signals

One of the main disturbances in EEG signals is EMG artefacts generated by muscle movements. In the paper, the use of a linear phase FIR digital low-pass filter with finite wordlength precision coefficients is proposed, designed using the compensation procedure, to minimise EMG artefacts in contaminated EEG signals. To make the filtering more effective, different structures are used, i.e. cascading, twicing and sharpening (apart from simple low-pass filtering) of the designed FIR filter Modifications are proposed to twicing and sharpening structures to regain the linear phase characteristics that are lost in conventional twicing and sharpening operations. The efficacy of all these transformed filters in minimising EMG artefacts is studied, using SNR improvements as a performance measure for simulated signals. Time plots of the signals are also compared. Studies show that the modified sharpening structure is superior in performance to all other proposed methods. These algorithms have also been applied to real or recorded EMG-contaminated EEG signal. Comparison of time plots, and also the output SNR, show that the proposed modified sharpened structure works better in minimising EMG artefacts compared with other methods considered.

Long-Range Visible Fluorescence Tunability Using Component-Modulated Coupled Quantum Dots

A simple route for tailoring emissions in the visible wavelength region by chemically coupling quantum dots composed of ZnSe and CdS is reported. coupled quantum dots offer a novel route for tuning electronic transitions via band-offset engineering at the material interface. This novel class of asymmetric. coupled quantum structures may offer a basis for a diverse set of building blocks for optoelectronic devices, ultrahigh density memories, and quantum information processing.

On the optimality of exhaustive service policies in multiclass queueing systems with modulated arrivals and switchovers

Consider a single-server multiclass queueing system with K classes where the individual queues are fed by K-correlated interrupted Poisson streams generated in the states of a K-state stationary modulating Markov chain. The service times for all the classes are drawn independently from the same distribution. There is a setup time (and/or a setup cost) incurred whenever the server switches from one queue to another. It is required to minimize the sum of discounted inventory and setup costs over an infinite horizon. We provide sufficient conditions under which exhaustive service policies are optimal. We then present some simulation results for a two-class queueing system to show that exhaustive, threshold policies outperform non-exhaustive policies.

Neuropeptide Y structure is modulated by aluminium in the hypothalamus

Aluminium is an element suspected to contribute to the pathogenesis of Alzheimer's disease, but its mechanism of action is not clear. Neuropeptide Y (NPY) plays a significant role in feeding behaviour. Our spectroscopic, ELISA, and western blot studies indicate that aluminium interacts with neuropeptide Y and alters significantly the a-helical content. We found that aluminium reduced levels of NPY in the hypothalamus of aged rabbits. NPY polyclonal antibody interaction was found to depend upon the alpha-helical content of NPY. These results clearly show that aluminium alters NPY structure and this could explain the abnormality in feeding behaviour seen in patients with Alzheimer's disease.

Nonlinear electrical conduction and broad band noise in the charge-ordered rare earth manganate Nd0.5Ca0.5MnO3

Measurements of the dc transport properties and the low-frequency conductivity noise in films of charge-ordered Nd0.5Ca0.5MnO3 grown on Si substrate reveal the existence of a threshold field in the charge-ordered regime beyond which strong nonlinear conduction sets in along with a large broad band conductivity noise. Threshold-dependent conduction disappears as T --> T-CO, the charge-ordering temperature. This observation suggests that the charge-ordered state gets depinned at the onset of the nonlinear conduction. (C) 1999 American Institute of Physics. [S0003-6951(99)05247-X].

GNSS Signal Detection Under Noise Uncertainty

High sensitivity detection techniques are required for indoor navigation using Global Navigation Satellite System (GNSS) receivers, and typically, a combination of coherent and non- coherent integration is used as the test statistic for detection. The coherent integration exploits the deterministic part of the signal and is limited due to the residual frequency error, navigation data bits and user dynamics, which are not known apriori. So, non- coherent integration, which involves squaring of the coherent integration output, is used to improve the detection sensitivity. Due to this squaring, it is robust against the artifacts introduced due to data bits and/or frequency error. However, it is susceptible to uncertainty in the noise variance, and this can lead to fundamental sensitivity limits in detecting weak signals. In this work, the performance of the conventional non-coherent integration-based GNSS signal detection is studied in the presence of noise uncertainty. It is shown that the performance of the current state of the art GNSS receivers is close to the theoretical SNR limit for reliable detection at moderate levels of noise uncertainty. Alternate robust post-coherent detectors are also analyzed, and are shown to alleviate the noise uncertainty problem. Monte-Carlo simulations are used to confirm the theoretical predictions.

Suppression of low-frequency noise in two-dimensional electron gas at degenerately doped Si:P delta layers

We report low-frequency 1/f-noise measurements of degenerately doped Si:P delta layers at 4.2 K. The noise was found to be over six orders of magnitude lower than that of bulk Si:P systems in the metallic regime and is one of the lowest values reported for doped semiconductors. The noise was nearly independent of magnetic field at low fields, indicating negligible contribution from universal conductance fluctuations. Instead, the interaction of electrons with very few active structural two-level systems may explain the observed noise magnitude.

Measurement of 1/f noise and its application in materials science

This is a review of the measurement of I If noise in certain classes of materials which have a wide range of potential applications. This includes metal films, semi-conductors, metallic oxides and inhomogeneous systems such as composites. The review contains a basic introduction to this field, the theories and models and follows it up with a discussion on measurement methods. There are discussions on specific examples of the application of noise spectroscopy in the field of materials science. (C) 2002 Elsevier Science Ltd. All rights reserved.