Pricing Index Options with Stochastic Volatility

The objective of this paper is to investigate the pricing accuracy under stochastic volatility where the volatility follows a square root process. The theoretical prices are compared with market price data (the German DAX index options market) by using two different techniques of parameter estimation, the method of moments and implicit estimation by inversion. Standard Black & Scholes pricing is used as a benchmark. The results indicate that the stochastic volatility model with parameters estimated by inversion using the available prices on the preceding day, is the most accurate pricing method of the three in this study and can be considered satisfactory. However, as the same model with parameters estimated using a rolling window (the method of moments) proved to be inferior to the benchmark, the importance of stable and correct estimation of the parameters is evident.

Second order cone programming approaches for handling missing and uncertain data

We propose a novel second order cone programming formulation for designing robust classifiers which can handle uncertainty in observations. Similar formulations are also derived for designing regression functions which are robust to uncertainties in the regression setting. The proposed formulations are independent of the underlying distribution, requiring only the existence of second order moments. These formulations are then specialized to the case of missing values in observations for both classification and regression problems. Experiments show that the proposed formulations outperform imputation.

4,4′-Bipyridyl complexes of iron: Magnetic, Mössbauer and other spectroscopic studies

4,4prime-Bipyridyl (4,4prime-bipy) complexes of ferrous salts of the Fe(4,4prime-bipy)x(anion)y type (where x or y=1 or 2) and of ferric salts of the Fe(4,4prime-bipy)m(anion)n type (where m=1 or 2 and n=3) have been synthesised. Elemental analyses, i.r. and electronic spectra, magnetic and Mössbauer studies have been performed to characterize the complexes. 4,4prime-Bipy and some anions are inferred to act as bridging ligands. The magnetic moments, electronic and Mössbauer spectra suggest that the complexes are of high spin type with distorted octahedral structures. The value of the isomer shift and quadrupole splitting are discussed in terms of bonding of the ligand and anions.

Intermolecular interactions in pi -conjugated systems: Application to polyenes

A computational scheme has been developed for strongly interacting systems wherein the intermolecular interaction is introduced as a charge-induced-dipole term. Within this approximation, the model Hamiltonian is exactly solved using a valence-bond basis. The validity of the scheme has been checked by use of exact calculations on small model systems. The method has been applied to finite polyenes to study the shifts in the ground-state energies and dipole-allowed excited-state energies in the presence of neighbors. Our calculations show a red shift in the optical gap of the infinite polyene by 0.124 eV, which is rather small compared to the experimental red shift. This is traced to the larger inaccuracy in the calculated shift in the excited state. The calculated shift in the ground-state energies are more accurate and hence the method is better suited for studying the effect of intermolecular interactions on the properties of the ground state.

Exotic dielectric behavior of polar liquids

We present a report of our analysis of wave vector dependence of the static dielectric function of a dipolar liquid obtained by a microscopic calculation. At low values of the wave vector (k), the longitudinal dielectric function ϵ(k) increases with k, in contradiction to some assumptions reported in the literature. As the value of k is increased, ϵ(k) diverges at a critical value kc which depends on the value of the long wavelength static dielectric constant (ϵ0) of the liquid. The dielectric function is negative for values of k greater than kc. At large values of k, the calculated ϵ(k) fails to attain the limiting value of unity. We attribute this result to the failure of the point dipole assumption made in the evaluation of the polarization correlation function required by the theory. The behavior of ϵ(k) for the dipolar liquid is compared with that of one component plasma for which reliable results can be obtained over the full range of wave vectors. For both systems, the stability conditions are fulfilled at all values of k. A plausible explanation of this rather exotic behavior of ϵ(k) is given.

Inelastic Torsional Response of a Single-Story Framed Structure

In this paper, a single-story, bilinear-hysteretic structure, square in plan and supported on four columns, subjected to two horizontal ground motions is studied. The model is assumed to possess three degrees of freedom, viz., translational displacements along the two horizontal orthogonal directions and a rotation about the vertical axis. Interaction of the bending moments in the two perpendicular directions has been considered.

Evidence of ferromagnetic domains in the La0.67Ca0.33Mn0.9Fe0.1O3 perovskite

The nature of the low-temperature magnetic state of polycrystalline La0.67Ca0.33Mn0.9Fe0.1O3 has been studied by magnetization, neutron diffraction, and neutron depolarization measurements. Neutron depolarization measurements indicate the existence of ferromagnetic domains with low net magnetic moments below 108 K. The substitution of Mn3+ by Fe3+ reduces the number of available hopping sites for the Mn e(g) (up) electron and suppresses the double exchange, resulting in the reduction of ferromagnetic exchange. The competition between the ferromagnetic double-exchange interactions and the coexisting antiferromagnetic superexchange interactions and its randomness due to random substitutions of Mn3+ with Fe3+ drive the system into a randomly canted ferromagnetic state at low temperatures.

Performance analysis of a slotted-ALOHA protocol on a capture channel with fading

We consider the slotted ALOHA protocol on a channel with a capture effect. There are M

The Shannon Cipher System with a Guessing Wiretapper: General Sources

The Shannon cipher system is studied in the context of general sources using a notion of computational secrecy introduced by Merhav & Arikan. Bounds are derived on limiting exponents of guessing moments for general sources. The bounds are shown to be tight for iid, Markov, and unifilar sources, thus recovering some known results. A close relationship between error exponents and correct decoding exponents formfixed rate source compression on the one hand and exponents for guessing moments on the other hand is established.

Polarization relaxation, dielectric dispersion, and solvation dynamics in dense dipolar liquid

A unified treatment of polarization relaxation, dielectric dispersion and solvation dynamics in a dense, dipolar liquid is presented. It is shown that the information of solvent polarization relaxation that is obtained by macroscopic dielectric dispersion experiments is not sufficient to understand dynamics of solvation of a newly created ion or dipole. In solvation, a significant contribution comes from intermediate wave vector processes which depend critically on the short range (nearest‐neighbor) spatial and orientational order that are present in a dense, dipolar liquid. An analytic expression is obtained for the time dependent solvation energy that depends, in addition to the translational and rotational diffusion coefficients of the liquid, on the ratio of solute–solvent molecular sizes and on the microscopic structure of the polar liquid. Mean spherical approximation (MSA) theory is used to obtain numerical results for polarization relaxation, for wave vector and frequency dependent dielectric function and for time dependent solvation energy. We find that in the absence of translational contribution, the solvation of an ion is, in general, nonexponential. In this case, the short time decay is dominated by the longitudinal relaxation time but the long time decay is dominated by much slower large wave vector processes involving nearest‐neighbor molecules. The presence of a significant translational contribution drastically alters the decay behavior. Now, the long‐time behavior is given by the longitudinal relaxation time constant and the short time dynamics is controlled by the large wave vector processes. Thus, although the continuum model itself is conceptually wrong, a continuum model like result is recovered in the presence of a sizeable translational contribution. The continuum model result is also recovered in the limit of large solute to solvent size ratio. In the opposite limit of small solute size, the decay is markedly nonexponential (if the translational contribution is not very large) and a complete breakdown of the continuum model takes place. The significance of these results is discussed.

Dynamics and local structure of colossal magnetoresistance manganites

We report Extended X-ray Absorption Fine Structure and anelastic spectroscopy measurements on on hole doped manganese oxides La1-xCaxMnO3 which present the colossal magnetoresistance effect. EXAFS measurements were realized both in the absence and presence of an applied magnetic field of 1.1 Tesla, in a wide temperature range (between 330 and 77 K) and at various dopings (x = 0.25 and x = 0.33). The magnetic field orders the magnetic moments so favouring the electron mobility and the reduction of Mn-O octahedra distortions. We observe the presence of four short and two long Mn-O distances (1.93 and 2.05 Angstrom respectively) above and also below the metal-insulator phase transition. The overall distortion decreases but does not completely disappear in the metallic phase suggesting the possible coexistence of metallic and insulating regions at low temperatures. The magnetic field reduces the lattice distortions showing evidence of a microscopic counterpart of the macroscopic colossal magnetoresistance. We also present preliminary anelastic relaxation spectra in a wide temperature range from 900 K to 1 K on a sample with x = 0.40, in order to study the structural phase transitions and the lattice dynamics. A double peak has been observed at the metal-insulator transition in the imaginary part of Young's modulus. This double peak indicates that the metal-insulator transition could be a more complex phenomenon than a simple second order phase transition. In particular the peak at lower temperatures can be connected with the possible presence of inhomogeneous phase structures. Another intense dissipation peak has been observed corresponding to the structural orthorhombic-trigonal transition around 750 K.

On the generalized continuum model of dipolar solvation dynamics

The continuum model of dipolar solvation dynamics is reviewed. The effects of non-spherical molecular shapes, of non-Debye dielectric relaxation of the polar solvent and of dielectric inhomogeneity of the solvent around the solute dipole are investigated. Several new theoretical results are presented. It is found that our generalized continuum model, which takes into account the dielectric inhomogeneity of the surrounding solvent, provides a description of solvation dynamics consistent with recent experimental results.

High-pressure NMR investigations of the protonic conductor (NH4)4Fe(CN)6.1.5H2O

The effect of high hydrostatic pressure up to 1.5 GPa on ionic motion in (NH4)4Fe(CN)6.1.5H2O has been studied by wide-line 1H NMR experiments performed in the temperature range from room temperature to 77 K. The experiments at room temperature have shown a large increase in the second moment at 0.45 GPa as a result of a pressure-induced phase transition. The temperature dependence study up to 0.425 GPa has shown a gradual increase in the values of activation energy and attempt frequency with increase in pressure. The activation volume for motion at 300 K has been estimated to be 6% of molar volume. Vacancy-assisted ionic jumps are concluded to be the mode of charge transport. Second moments estimated at 77 K show evidence for tunnelling reorientation of at least one of the two NH4+ groups in the compound.

Experimental approach for studying structural changes in axonal membrane upon nerve excitation

The Hodgkin and Huxley (HH) model of action potential has become a central paradigm of neuroscience. Despite its ability to predict action potentials with remarkable accuracy, it fails to explain several biophysical findings related to the initiation and propagation of the nerve impulse. The isentropic heat release and optical phenomena demonstrated by various experiments suggest that action potential is accompanied by a transient phase change in the axonal membrane. In this study a method was developed for preparing a giant axon from the crayfish abdominal cord for studying the molecular mechanisms of action potential simultaneously by electrophysiological and optical methods. Also an alternative setup using a single-cell culture of an Aplysia sensory neuron is presented. In addition to the description of the method, the preliminary results on the effect of phloretin, a dipole potential lowering compound, on the excitability of a crayfish giant axon are presented.

A density matrix renormalization group study of low-lying excitations of polythiophene within a Pariser-Parr-Pople model

Symmetrized density-matrix-renormalization-group calculations have been carried out, within Pariser-Parr-Pople Hamiltonian, to explore the nature of the ground and low-lying excited states of long polythiophene oligomers. We have exploited C-2 symmetry and spin parity of the system to obtain excited states of experimental interest, and studied the lowest dipole allowed excited state and lowest dipole forbidden two photon state, for different oligomer sizes. In the long system limit, the dipole allowed excited state always lies below the lowest dipole forbidden two-photon state which implies, by Kasha rule, that polythiophene fluoresces strongly. The lowest triplet state lies below two-photon state as usual in conjugated polymers. We have doped the system with a hole and an electron and obtained the charge excitation gap and the binding energy of the 1(1)B(u)(-) exciton. We have calculated the charge density of the ground, one-photon and two-photon states for the longer system size of 10 thiophene rings to characterize these states. We have studied bond order in these states to get an idea about the equilibrium excited state geometry of the system. We have also studied the charge density distribution of the singly and doubly doped polarons for longer system size, and observe that polythiophenes do not support bipolarons.