A Jump Telegraph Model for Option Pricing

In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts

En este documento está desarrollado un modelo de mercado financiero basado en movimientos aleatorios con tiempo continuo, con velocidades constantes alternantes y saltos cuando hay cambios en la velocidad. Si los saltos en la dirección tienen correspondencia con la dirección de la velocidad del comportamiento aleatorio subyacente, con respecto a la tasa de interés, el modelo no presenta arbitraje y es completo. Se construye en detalle las estrategias replicables para opciones, y se obtiene una presentación cerrada para el precio de las opciones. Las estrategias de cubrimiento quantile para opciones son construidas. Esta metodología es aplicada al control de riesgo y fijación de precios de instrumentos de seguros.

Modelo telegráfico de valoración de opciones

En este trabajo construimos un modelo de mercado financiero basado en un proceso telegráfico más un proceso de saltos para la valoración de opciones Europeas. Vamos a asumir que el tamaño de los saltos es constante y después que es aleatorio, en ambos casos estos saltos ocurren cuando la tendencia del mercado cambia. Estos modelos capturan la dinámica del mercado en periodos con presencia de ciclos financieros. Mostraremos la estructura del conjunto de medidas neutrales al riesgo, además, de fórmulas explícitas para los precios de las opciones Europeas de venta y compra.

High-temperature dielectric response in pulsed laser deposited Bi1.5Zn1.0Nb1.5O7 thin films

Cubic pyrochlore Bi1.5Zn1.0Nb1.5O7 thin films were deposited by pulsed laser ablation on Pt(200)/SiO2/Si at 500, 550, 600, and 650 degrees C. The thin films with (222) preferred orientation were found to grow at 650 degrees C with better crystallinity which was established by the lowest full-width half maxima of similar to 0.38. The dielectric response of the thin films grown at 650 degrees C have been characterized within a temperature range of 270-650 K and a frequency window of 0.1-100 kHz. The dielectric dispersion in the thin films shows a Maxwell-Wagner type relaxation with two different kinds of response confirmed by temperature dependent Nyquist plots. The ac conduction of the films showed a varied behavior in two different frequency regions. The power law exponent values of more than 1 at high frequency are explained by a jump-relaxation-model. The possibility of grain boundary related large polaronic hopping, due to two different power law exponents and transformation of double to single response in Nyquist plots at high temperature, has been excluded. The ``attempt jump frequency'' obtained from temperature dependent tangent loss and real part of dielectric constants, has been found to lie in the range of their lattice vibronic frequencies (10(12)-10(13) Hz). The activation energy arising from a large polaronic hopping due to trapped charge at low frequency region has been calculated from the ac conduction behavior. The range of activation energies (0.26-0.59. eV) suggests that the polaronic hopping at low frequency is mostly due to oxygen vacancies. (C) 2010 American Institute of Physics. doi:10.106311.3457335]

Dielectric relaxation in bismuth layer-structured BaBi4Ti4O15 ferroelectric ceramics

The dielectric properties of BaBi4Ti4O15 ceramics were investigated as a function of frequency (10(2)-10(6) Hz) at various temperatures (30 degrees C-470 degrees C), covering the phase transition temperature. Two different conduction mechanisms were obtained by fitting the complex impedance data to Cole-Cole equation. The grain and grain boundary resistivities were found to follow the Arrhenius law associated with activation energies: E-g similar to 1.12 eV below T-m and E-g similar to 0.70 eV above T-m for the grain conduction; and E-gb similar to 0.93 eV below T-m and E-gb similar to 0.71 eV above T-m for the grain boundary conduction. Relaxation times extracted using imaginary part of complex impedance Z `'(omega) and modulus M `'(omega) were also found to follow the Arrhenius law and showed an anomaly around the phase transition temperature. The frequency dependence of conductivity was interpreted in terms of the jump relaxation model and was fitted to the double power law. (C) 2010 Elsevier B. V. All rights reserved.

Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

A directed continuous time random walk model with jump length depending on waiting time

In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model, the Laplace-Laplace transform of the probability density function P(x,t) of finding the walker at position at time is completely determined by the Laplace transform of the probability density function φ(t) of the waiting time. In terms of the probability density function of the waiting time in the Laplace domain, the limit distribution of the random process and the corresponding evolving equations are derived.

Proline ring conformations corresponding to a bistable jump model from 13C spin-lattice relaxation times

A formalism for extracting the conformations of a proline ring based on the bistable jump model of R. E. London [(1978) J. Am. Chem. Soc. 100, 2678-2685] from 13C spin-lattice relaxation times (T1) is given. The method is such that the relaxation data are only partially used to generate the conformations; these conformations are constrained to satisfy the rest of the relaxation data and to yield acceptable ring geometry. An alternate equation for T1 of 13C nuclei to that of London is given. The formalism is illustrated through an example.

Phase-field elasticity model based on mechanical jump conditions

Computational models based on the phase-field method typically operate on a mesoscopic length scale and resolve structural changes of the material and furthermore provide valuable information about microstructure and mechanical property relations. An accurate calculation of the stresses and mechanical energy at the transition region is therefore indispensable. We derive a quantitative phase-field elasticity model based on force balance and Hadamard jump conditions at the interface. Comparing the simulated stress profiles calculated with Voigt/Taylor (Annalen der Physik 274(12):573, 1889), Reuss/Sachs (Z Angew Math Mech 9:49, 1929) and the proposed model with the theoretically predicted stress fields in a plate with a round inclusion under hydrostatic tension, we show the quantitative characteristics of the model. In order to validate the elastic contribution to the driving force for phase transition, we demonstrate the absence of excess energy, calculated by Durga et al. (Model Simul Mater Sci Eng 21(5):055018, 2013), in a one-dimensional equilibrium condition of serial and parallel material chains. To validate the driving force for systems with curved transition regions, we relate simulations to the Gibbs-Thompson equilibrium condition

A stochastic jump and deterministic dynamics model of impact failure evolution with rate effect

Motivated by the observation of the rate effect on material failure, a model of nonlinear and nonlocal evolution is developed, that includes both stochastic and dynamic effects. In phase space a transitional region prevails, which distinguishes the failure behavior from a globally stable one to that of catastrophic. Several probability functions are found to characterize the distinctive features of evolution due to different degrees of nucleation, growth and coalescence rates. The results may provide a better understanding of material failure.

A numerical model for predicting the jump of lift force on an oscillating cylinder

The fluid force coefficients on a transversely oscillating cylinder are calculated by applying two- dimensional large eddy simulation method. Considering the ‘‘jump’’ phenomenon of the amplitude of lift coefficient is harmful to the security of the submarine slender structures, the characteristics of this ‘‘jump’’ are dissertated concretely. By comparing with experiment results, we establish a numerical model for predicting the jump of lift force on an oscillating cylinder, providing consultation for revising the hydrodynamic parameters and checking the fatigue life scale design of submarine slender cylindrical structures.