Calibration of a basket option model applied to company valuation

Applying real options thinking to company valuation seems theoretically and intuitively appealing. However, the real option analogy of a single European option as well as the compound option proxy perform poorly when applied to company valuation. We therefore suggest to rework the building blocks of real option applications to corporate valuation.  We introduce a framework to delineate the distribution of the underlying asset in the risk neutral world, which is important in order to value any derivative. This is achieved by an algorithm to calibrate a basket option model using real world data of observed share prices. The fitting takes account of the class of stable distributions. The index of stability of asymmetric α stable distribution serves as an over-all parameter to characterise the specific distribution.     

On K1 and K2 of Algebraic Surfaces

In this paper we study higher Chow groups of smooth, projective surfaces over a field k of characteristic zero, using some new Hodge theoretic methods which we develop for this purpose. In particular we investigate the subgroup of CH ^r+1 (X,r) with r = 1,2 consisting of cycles that are supported over a normal crossing divisor Z on X. In this case, the Hodge theory of the complement forms an interesting variation of mixed Hodge structures in any geometric deformation of the situation. Our main result is a structure theorem in the case where X is a very general hypersurface of degree d in projective 3-space for d sufficiently large and Z is a union of very general hypersurface sections of X. In this case we show that the subgroup of CH ^r+1 (X,r) we consider is generated by obvious cycles only arising from rational functions on X with poles along Z. This can be seen as a generalization of the Noether–Lefschetz theorem for r = 0. In the case r = 1 there is a similar generalization by Müller-Stach, but our result is more precise than it, since it is geometric and not only cohomological. The case r = 2 is entirely new and original in this paper. For small d, we construct some explicit examples for r = 1 and 2 where the corresponding higher Chow groups are indecomposable, i.e. not the image of certain products of lower order groups. In an appendix Alberto Collino constructs even more indecomposable examples in CH ³ (X,2) which move in a one-dimensional family on the surface X.Contribution to appendix.     

Physical foundation of quantitative Auger analysis

The possibility of using an Auger peak height in the dN (E) /dE spectrum and an integrated N (E) spectrum as a measure of the Auger current is discussed and necessary relations are presented. The methods of the background determination are reviewed and discussed.

The relation between the Auger current and the atomic cancentration of a corresponding sample component is derived and the state of art in the field of theoretical and experimental determination of factors appearing in this relation (ionization cross-section, Auger transition probability. backscattering factor, and inelastic mean free path of Auger electrons) is presented.

Approaches to the quantitative Auger analysis (QAA) of homogeneous, isotropic samples, including corrections for matrix factors, are presented and discussed. Problems arising when heterogeneous samples are analyzed are discussed and practical approaches to such an analysis are presented.

The role of crystalline effects (the dependence of the Auger signal from crystalline samples on the direction of the primary electron beam and angular distribution of Auger electron emission from such samples) in QAA is discussed and examples of such crystalline effects are presented together with their physical foundation.

Some rules are suggested allowing the quantitative Auger analysis to be performed with the smallest possible error.     

Liquid crystalline hexa-amides and side chain polysiloxanes of azacrown [18]-N6

The hexa-4-dodecyloxybenzoyl derivative 1 of azacrown [18]-N₆ was originally reported to have a 'tubular' mesophase on the basis of its large central ring and 6-fold symmetry. Starting in the mesophase, annealing of 1 under a cover slip results in formation of a new crystalline phase that melts directly to an isotropic liquid at the temperature previously observed for the mesophase to isotropic transition. Thus the phase behaviour of 1 is kinetically controlled. The analogous hexa-3,4-bisdodecyloxybenzoyl derivative 2 of azacrown [18]-N₆ has no kinetic limitations to its phase changes and has an enantiotropic columnar liquid crystalline phase. We have synthesized side chain copolysiloxanes with a (CH₂)₁₁ spacer and 75-84 per cent by weight of the same 4-dodecyloxybenzoyl-[18]-N₆ mesogen. The polysiloxanes also display a liquid crystalline phase.     

Optimal control of unsteady compressible viscous flows

The control of complex, unsteady flows is a pacing technology for advances in fluid mechanics. Recently, optimal control theory has become popular as a means of predicting best case controls that can guide the design of practical flow control systems. However, most of the prior work in this area has focused on incompressible flow which precludes many of the important physical flow phenomena that must be controlled in practice including the coupling of fluid dynamics, acoustics, and heat transfer. This paper presents the formulation and numerical solution of a class of optimal boundary control problems governed by the unsteady two‐dimensional compressible Navier–Stokes equations. Fundamental issues including the choice of the control space and the associated regularization term in the objective function, as well as issues in the gradient computation via the adjoint equation method are discussed. Numerical results are presented for a model problem consisting of two counter‐rotating viscous vortices above an infinite wall which, due to the self‐induced velocity field, propagate downward and interact with the wall. The wall boundary control is the temporal and spatial distribution of wall‐normal velocity. Optimal controls for objective functions that target kinetic energy, heat transfer, and wall shear stress are presented along with the influence of control regularization for each case. Copyright © 2002 John Wiley & Sons, Ltd.