Range and energy-loss of 16.34 Mev/u 238U in kapton polyamide

Abstract

The range and energy-loss of 16.34 MeV/u ²³⁸U in Kapton-polyamide plastic have been measured by the nuclear track technique. The experimental ranges are compared with two sets of theoretical values. It has been observed that ranges obtained from the computer code ‘DEDXT’ are found to be 5–8% lower as compared to measured ones whereas those from Northcliffe and Schilling are about 10–15% overestimated above 8 MeV/u.     

Perpetual convertible bonds with credit risk

A convertible bond is a security that the holder can convert into a specified number of underlying shares. We enrich the standard model by introducing some default risk of the issuer. Once default has occured payments stop immediately. In the context of a reduced form model with infinite time horizon driven by a Brownian motion, analytical formulae for the no-arbitrage price of this American contingent claim are obtained and characterised in terms of solutions of free boundary problems. It turns out that the default risk changes the structure of the optimal stopping strategy essentially. Especially, the continuation region may become a disconnected subset of the state space.     

Equilibrium in two-player non-zero-sum Dynkin games in continuous time

We prove that every two-player non-zero-sum Dynkin game in continuous time admits an ?-equilibrium in randomized stopping times. We provide a condition that ensures the existence of an ?-equilibrium in non-randomized stopping times.     

Heat flow and a faster algorithm to compute the surface area of a convex body

We draw on the observation that the amount of heat diffusing outside of a heated body in a short period of time is proportional to its surface area, to design a simple algorithm for approximating the surface area of a convex body given by a membership oracle. Our method has a complexity of O^*(n⁴), where n is the dimension, compared to O^*(n⁸) for the previous best algorithm. We show that our complexity cannot be improved given the current state‐of‐the‐art in volume estimation. © 2013 Wiley Periodicals, Inc. Random Struct. Alg., 43, 407–428, 2013     

American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations

Abstract

We consider the Heston model with the stochastic interest rate of Cox–Ingersoll–Ross (CIR) type and more general models with stochastic volatility and interest rates depending on two CIR-factors; the price, volatility and interest rate may correlate. Time-derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest rate and/or volatility are discretized. The result is a sequence of embedded perpetual options arising in the time discretization of a Markov-modulated Lévy model. Options in this sequence are solved using an iteration method based on the Wiener–Hopf factorization. Typical shapes of the early exercise boundary are shown, and good agreement of option prices with prices calculated with the Longstaff–Schwartz method and Medvedev–Scaillet asymptotic method is demonstrated.     

Optimal stopping of strong Markov processes

We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings for Lévy processes obtained essentially via the Wiener–Hopf factorization. The main ingredient in our approach is the representation of the β$\beta$-excessive functions as expected suprema. A variety of examples is given.