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.

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.

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.

Ligand-modulated Parallel Mechanical Unfolding Pathways of Maltose-binding Proteins

Protein folding and unfolding are complex phenomena, and it is accepted that multidomain proteins generally follow multiple pathways. Maltose-binding protein (MBP) is a large (a two-domain, 370-amino acid residue) bacterial periplasmic protein involved in maltose uptake. Despite the large size, it has been shown to exhibit an apparent two-state equilibrium unfolding in bulk experiments. Single-molecule studies can uncover rare events that are masked by averaging in bulk studies. Here, we use single-molecule force spectroscopy to study the mechanical unfolding pathways of MBP and its precursor protein (preMBP) in the presence and absence of ligands. Our results show that MBP exhibits kinetic partitioning on mechanical stretching and unfolds via two parallel pathways: one of them involves a mechanically stable intermediate (path I) whereas the other is devoid of it (path II). The apoMBP unfolds via path I in 62% of the mechanical unfolding events, and the remaining 38% follow path II. In the case of maltose-bound MBP, the protein unfolds via the intermediate in 79% of the cases, the remaining 21% via path II. Similarly, on binding to maltotriose, a ligand whose binding strength with the polyprotein is similar to that of maltose, the occurrence of the intermediate is comparable (82% via path I) with that of maltose. The precursor protein preMBP also shows a similar behavior upon mechanical unfolding. The percentages of molecules unfolding via path I are 53% in the apo form and 68% and 72% upon binding to maltose and maltotriose, respectively, for preMBP. These observations demonstrate that ligand binding can modulate the mechanical unfolding pathways of proteins by a kinetic partitioning mechanism. This could be a general mechanism in the unfolding of other large two-domain ligand-binding proteins of the bacterial periplasmic space.

Wave dispersion in a cellular composite with modulated microstructure

In this paper we report a modeling technique and analysis of wave dispersion in a cellular composite laminate with spatially modulated microstructure, which can be modeled by parameterization and homogenization in an appropriate length scale. Higher order beam theory is applied and the system of wave equations are derived. Homogenization of these equations are carried out in the scale of wavelength and frequency of the individual wave modes. Smaller scale scattering below the order of cell size are filtered out in the present approach. The longitudinal dispersion relations for different values of a modulation parameter are analyzed which indicates the existence of stop and pass band patterns. Dispersion relations for flexural-shear case are also analyzed which indicates a tendency toward forming the stop and pass bands for increasing values of a shear stiffness modulation parameter. The effect the phase angle (θ) of the incident wave indicates the existence more number of alternative stop bands and pass bands for θ = 45°.

Novel Switching Sequences for a Space-Vector-Modulated Three-Level Inverter

A three-level inverter produces six active vectors, each of normalized magnitudes 1, 0.866, and 0.5, besides a zero vector. The vectors of relative length 0.5 are termed pivot vectors.The three nearest voltage vectors are usually used to synthesize the reference vector. In most continuous pulsewidth-modulation(PWM) schemes, the switching sequence begins from a pivot vector and ends with the same pivot vector. Thus, the pivot vector is applied twice in a subcycle or half-carrier cycle. This paper proposes and investigates alternative switching sequences, which use the pivot vector only once but employ one of the other two vectors twice within the subcycle. The total harmonic distortion(THD) in the fundamental line current pertaining to these novel sequences is studied theoretically as well as experimentally over the whole range of modulation. Compared with centered space vector PWM, two of the proposed sequences lead to reduced THD at high modulation indices at a given average switching frequency.

Measurement of Electron Spin Lifetime and Optical Orientation Efficiency in Germanium Using Electrical Detection of Radio Frequency Modulated Spin Polarization

We propose and demonstrate a technique for electrical detection of polarized spins in semiconductors in zero applied magnetic fields. Spin polarization is generated by optical injection using circularly polarized light which is modulated rapidly using an electro-optic cell. The modulated spin polarization generates a weak time-varying magnetic field which is detected by a sensitive radio-frequency coil. Using a calibrated pickup coil and amplification electronics, clear signals were obtained for bulk GaAs and Ge samples from which an optical spin orientation efficiency of 4.8% could be determined for Ge at 1342 nm excitation wavelength. In the presence of a small external magnetic field, the signal decayed according to the Hanle effect, from which a spin lifetime of 4.6 +/- 1.0 ns for electrons in bulk Ge at 127 K was extracted.

Ultrasound-modulated optical tomography: recovery of amplitude of vibration in the insonified region from boundary measurement of light correlation

We address a certain inverse problem in ultrasound-modulated optical tomography: the recovery of the amplitude of vibration of scatterers [p(r)] in the ultrasound focal volume in a diffusive object from boundary measurement of the modulation depth (M) of the amplitude autocorrelation of light [phi(r, tau)] traversing through it. Since M is dependent on the stiffness of the material, this is the precursor to elasticity imaging. The propagation of phi(r, tau) is described by a diffusion equation from which we have derived a nonlinear perturbation equation connecting p(r) and refractive index modulation [Delta n(r)] in the region of interest to M measured on the boundary. The nonlinear perturbation equation and its approximate linear counterpart are solved for the recovery of p(r). The numerical results reveal regions of different stiffness, proving that the present method recovers p(r) with reasonable quantitative accuracy and spatial resolution. (C) 2011 Optical Society of America

High sensitivity detection of radio-frequency modulated magnetic moment in semiconductors

An experimental setup has been realized to measure weak magnetic moments which can be modulated at radio frequencies (similar to 1-5 MHz). Using an optimized radio-frequency (RF) pickup coil and lock-in amplifier, an experimental sensitivity of 10(-15) Am(2) corresponding to 10(-18) emu has been demonstrated with a 1 s time constant. The detection limit at room temperature is 9.3 x 10(-16) Am(2)/root Hz limited by Johnson noise of the coil. The setup has been used to directly measure the magnetic moment due to a small number (similar to 7 x 10(8)) of spin polarized electrons generated by polarization modulated optical radiation in GaAs and Ge. (C) 2011 American Institute of Physics. [doi: 10.1063/1.3654229]

Ultrasound modulated optical tomography: Young's modulus of the insonified region from measurement of natural frequency of vibration

We demonstrate a method to recover the Young's modulus (E) of a tissue-mimicking phantom from measurements of ultrasound modulated optical tomography (UMOT). The object is insonified by a dualbeam, confocal ultrasound transducer (US) oscillating at frequencies f(0) and f(0) + Delta f and the variation of modulation depth (M) in the autocorrelation of light traversed through the focal region of the US transducer against Delta f is measured. From the dominant peaks observed in the above variation, the natural frequencies of the insonified region associated with the vibration along the US transducer axis are deduced. A consequence of the above resonance is that the speckle fluctuation at the resonance frequency has a higher signal-to-noise to ratio (SNR). From these natural frequencies and the associated eigenspectrum of the oscillating object, Young's modulus (E) of the material in the focal region is recovered. The working of this method is confirmed by recovering E in the case of three tissue-mimicking phantoms of different elastic modulus values. (C) 2011 Optical Society of America

Input voltage modulated high voltage DC power supply topology for pulsed load applications

High voltage power supplies for radar applications are investigated which are subjected to pulsed load with stringent specifications. In the proposed solution, power conversion is done in two stages. A low power-high frequency converter modulates the input voltage of a high power-low frequency converter. This method satisfies all the performance specifications and takes care of the critical aspects of HV transformer.