Volatility Smile Dynamics in Scenario Analysis

The objective of this paper is to suggest a method that accounts for the impact of the volatility smile dynamics when performing scenario analysis for a portfolio consisting of vanilla options. As the volatility smile is documented to change at least with the level of implied at-the-money volatility, a suitable model is here included in the calculation process of the simulated market scenarios. By constructing simple portfolios of index options and comparing the ex ante risk exposure measured using different pricing methods to realized market values, ex post, the improvements of the incorporation of the model are monitored. The analyzed examples in the study generate results that statistically support that the most accurate scenarios are those calculated using the model accounting for the dynamics of the smile. Thus, we show that the differences emanating from the volatility smile are apparent and should be accounted for and that the methodology presented herein is one suitable alternative for doing so.

Photodissociation of isomeric dichloroethylenes in the ultraviolet: Effect of the second chlorine atom substitution on the dynamics

We report the Cl-*(P-2(1/2)) production dynamics in the near-UV dissociation of three isomers (cis-, gem-, and trans-) of dichloroethylene using the conventional resonance enhanced multiphoton ionization technique. Substantial amounts of Cl-* are produced in the wavelength range 222-304 nm. The Cl-* quantum yield (phi(*)) i maximum at 304 nm for all the isomers and phi(*)(cis) is markedly higher than phi(*)(gem) and phi(*)(trans) except at 222 nm. Existence of both direct and indirect dissociation pathways at these wavelengths complicates the Cl* production dynamics. The higher value of phi(*)(cis) originates from a large contribution from direct dissociation via the (n, sigma(*)) state.

Effect of √-irradiation on the structure and dynamics of domains in triglycine selenate

A comparative study of the switching properties of pure and √-irradiated TGSe crystals has been carried out to see the effect of irradiation on the structure and dynamics of domains. The switching behaviour of √-irradiated TGSe has been found to be qualitatively similar to that of unirradiated crystal and this has been interpreted in terms of structural inhibition caused by the formation of radiolysis products as well as the difference between the domain structures of the unirradiated and irradiated samples. Confirmation of this has been obtained by studying the domain patterns using the etch method.

Effect of coordinated ions on structure and flexibility of parallel G-quadruplexes: A molecular dynamics study

ingle tract guanine residues can associate to form stable parallel quadruplex structures in the presence of certain cations. Nanosecond scale molecular dynamics simulations have been performed on fully solvated fibre model of parallel d(G(7)) quadruplex structures with Na+ or K+ ions coordinated in the cavity formed by the O6 atoms of the guanine bases. The AMBER 4.1 force field and Particle Mesh Ewald technique for electrostatic interactions have been used in all simulations. There quadruplex structures are stable during the simulation, with the middle four base tetrads showing root mean square deviation values between 0.5 to 0.8 Angstrom from the initial structure as well the high resolution crystal structure. Even in the absence of any coordinated ion in the initial structure, the G-quadruplex structure remains intact throughout the simulation. During the 1.1 ns MD simulation, one Nai counter ion from the solvent as well as several water molecules enter the central cavity to occupy the empty coordination sites within the parallel quadruplex and help stabilize the structure. Hydrogen bonding pattern depends on the nature of the coordinated ion, with the G-tetrad undergoing local structural variation to accommodate cations of different sizes. in the absence of any coordinated ion. due to strong mutual repulsion, O6 atoms within G-tetrad are forced farther apart from each other, which leads to a considerably different hydrogen bonding scheme within the G-tetrads and very favourable interaction energy between the guanine bases constituting a G-tetrad. However, a coordinated ion between G-tetrads provides extra stacking energy for the G-tetrads and makes the quadruplex structure more rigid. Na+ ions, within the quadruplex cavity, are more mobile than coordinated K+ ions. A number of hydrogen bonded water molecules are observed within the grooves of all quadruplex structures.

Influence of viscoelastic nature on the intermittent peel-front dynamics of adhesive tape

We investigate the influence of viscoelastic nature of the adhesive on the intermittent peel front dynamics by extending a recently introduced model for peeling of an adhesive tape. As time and rate-dependent deformation of the adhesives are measured in stationary conditions, a crucial step in incorporating the viscoelastic effects applicable to unstable intermittent peel dynamics is the introduction of a dynamization scheme that eliminates the explicit time dependence in terms of dynamical variables. We find contrasting influences of viscoelastic contribution in different regions of tape mass, roller inertia, and pull velocity. As the model acoustic energy dissipated depends on the nature of the peel front and its dynamical evolution, the combined effect of the roller inertia and pull velocity makes the acoustic energy noisier for small tape mass and low-pull velocity while it is burstlike for low-tape mass, intermediate values of the roller inertia and high-pull velocity. The changes are quantified by calculating the largest Lyapunov exponent and analyzing the statistical distributions of the amplitudes and durations of the model acoustic energy signals. Both single and two stage power-law distributions are observed. Scaling relations between the exponents are derived which show that the exponents corresponding to large values of event sizes and durations are completely determined by those for small values. Th scaling relations are found to be satisfied in all cases studied. Interestingly, we find only five types of model acoustic emission signals among multitude of possibilities of the peel front configurations.

Double time window targeting technique: Real-time DMRG dynamics in the Pariser-Parr-Pople model

We present a generalized adaptive time-dependent density matrix renormalization-group (DMRG) scheme, called the double time window targeting (DTWT) technique, which gives accurate results with nominal computational resources, within reasonable computational time. This procedure originates from the amalgamation of the features of pace keeping DMRG algorithm, first proposed by Luo et al. [Phys. Rev. Lett. 91, 049701 (2003)] and the time-step targeting algorithm by Feiguin and White [Phys. Rev. B 72, 020404 (2005)]. Using the DTWT technique, we study the phenomena of spin-charge separation in conjugated polymers (materials for molecular electronics an spintronics), which have long-range electron-electron interactions and belong to the class of strongly correlated low-dimensional many-body systems. The issue of real-time dynamics within the Pariser-Parr-Pople (PPP) model which includes long-range electron correlations has not been addressed in the literature so far. The present study on PPP chains has revealed that, (i) long-range electron correlations enable both the charge and spin degree of freedom of the electron, to propagate faster in the PPP model compared to Hubbard model, (ii) for standard parameters of the PPP model as applied to conjugated polymers, the charge velocity is almost twice that of the spin velocity, and (iii) the simplistic interpretation of long-range correlations by merely renormalizing the U value of the Hubbard model fails to explain the dynamics of doped holes/electrons in the PPP model.

Asymmetry in structural and thermo-mechanical behavior of intermetallic NiAl nanowire under tensile/compressive loading: A molecular dynamics study

The asymmetric stress strain behavior under tension/compression in an initial < 100 > B-2-NiAl nanowire is investigated considering two different surface configurations i.e., < 100 >/(0 1 0) (0 0 1) and < 100 >/(0 1 1) (0 - 1 1). This behavior is attributed to two different deformation mechanisms namely a slip dominated deformation under compression and a known twinning dominated deformation under tension. It is also shown that B2 -> BCT (body-centered-tetragonal) phase transformation under tensile loading is independent of the surface configurations for an initial < 100 > oriented NiAl nanowire. Under tensile loading, the nanowire undergoes a stress-induced martensiticphase transformation from an initial B2 phase to BCT phase via twinning along {110} plane with failure strain of similar to 0.30. On the other hand, a compressive loading causes failure of these nanowires via brittle fracture after compressive yielding, with a maximum failure strain of similar to-0.12. Such brittle fracture under compressive loading occurs via slip along {110} plane without any phase transformations. Softening/hardening behavior is also reported for the first time in these nanowires under tensile/compressive loadings, which cause asymmetry in their yield strength behavior in the stress strain space. Result shows that a sharp increase in energy with increasing strain under compressive loading causes hardening of the nanowire, and hence, gives improved yield strength as compared to tensile loading. (C) 2010 Elsevier Ltd. All rights reserved.

Molecular theory of solvation and solvation dynamics of a classical ion in a dipolar liquid

A microscopic theory of equilibrium solvation and solvation dynamics of a classical, polar, solute molecule in dipolar solvent is presented. Density functional theory is used to explicitly calculate the polarization structure around a solvated ion. The calculated solvent polarization structure is different from the continuum model prediction in several respects. The value of the polarization at the surface of the ion is less than the continuum value. The solvent polarization also exhibits small oscillations in space near the ion. We show that, under certain approximations, our linear equilibrium theory reduces to the nonlocal electrostatic theory, with the dielectric function (c(k)) of the liquid now wave vector (k) dependent. It is further shown that the nonlocal electrostatic estimate of solvation energy, with a microscopic c(k), is close to the estimate of linearized equilibrium theories of polar liquids. The study of solvation dynamics is based on a generalized Smoluchowski equation with a mean-field force term to take into account the effects of intermolecular interactions. This study incorporates the local distortion of the solvent structure near the ion and also the effects of the translational modes of the solvent molecules.The latter contribution, if significant, can considerably accelerate the relaxation of solvent polarization and can even give rise to a long time decay that agrees with the continuum model prediction. The significance of these results is discussed.

High-Resolution Magic Angle Spinning Nmr-Studies Of P-31 And B-11 In Fast Ion Conducting Agi-Ag2o-P2o5 And Agi-Ag2o-B2o3 Glasses

Silver iodide-based fast ion conducting glasses containing silver phosphate and silver borate have been studied. An attempt is made to identify the interaction between anions by studying the chemical shifts of31P and11B atoms in high resolution (HR) magic angle spinning (MAS) NMR spectra. Variation in the chemical shifts of31P or11B has been observed which is attributed to the change in the partial charge on the31P or11B. This is indicative of the change in the electronegativity of the anion matrix as a whole. This in turn is interpreted as due to significant interaction among anions. The significance of such interaction to the concept of structural unpinning of silver ions in fast ion conducting glasses is discussed.

Dynamical cluster approximation: Nonlocal dynamics of correlated electron systems

We recently introduced the dynamical cluster approximation (DCA), a technique that includes short-ranged dynamical correlations in addition to the local dynamics of the dynamical mean-field approximation while preserving causality. The technique is based on an iterative self-consistency scheme on a finite-size periodic cluster. The dynamical mean-field approximation (exact result) is obtained by taking the cluster to a single site (the thermodynamic limit). Here, we provide details of our method, explicitly show that it is causal, systematic, Phi derivable, and that it becomes conserving as the cluster size increases. We demonstrate the DCA by applying it to a quantum Monte Carlo and exact enumeration study of the two-dimensional Falicov-Kimball model. The resulting spectral functions preserve causality, and the spectra and the charge-density-wave transition temperature converge quickly and systematically to the thermodynamic limit as the cluster size increases.

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.