Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

Coxeter complexes and graph-associahedra

Given a graph Γ, we construct a simple, convex polytope, dubbed graph-associahedra, whose face poset is based on the connected subgraphs of Γ. This provides a natural generalization of the Stasheff associahedron and the Bott-Taubes cyclohedron. Moreover, we show that for any simplicial Coxeter system, the minimal blow-ups of its associated Coxeter complex has a tiling by graph-associahedra. The geometric and combinatorial properties of the complex as well as of the polyhedra are given. These spaces are natural generalizations of the Deligne-Knudsen-Mumford compactification of the real moduli space of curves.     

Scanning tunnelling microscopic images of the surface ordering of the liquid crystal 4-n-octyl-4'-cyanobiphenyl

Images of the surface ordering of 4-n-octyl-4'-cyanobiphenyl, a room temperature smectic liquid crystal deposited upon graphite, have been obtained by scanning tunnelling microscopy. The microscope was operated in air using the constant-current mode. Under certain tunnelling conditions it has been possible to resolve both the aliphatic and aromatic parts of the molecule, and to observe individual benzene rings. Two previously unreported conformations have been observed: an overlapping bilayer structure with spacing 3.7 nm, and a monolayer structure with spacing 2.4 nm. The latter structure may represent the first visual evidence for a surface polar ordered structure.     

Completely Simple Semigroups,Lie Algebras,and the Road Coloring Problem

Consider a semigroup generated by matrices associated with an edge-coloring of a strongly connected, aperiodic digraph. We call the semigroup Lie-solvable if the Lie algebra generated by its elements is solvable. We show that if the semigroup is Lie-solvable then its kernel is a right group. Next, we study the Lie algebra generated by the kernel. Lie algebras generated by two idempotents are analyzed in detail. We find that these have homomorphic images that are generalized quaternion algebras. We show that if the kernel is not a direct product, then the Lie algebra generated by the kernel is not solvable by describing the structure of these algebras. Finally, we discuss an infinite class of examples that are shown to always produce strongly connected aperiodic digraphs having kernels that are not right groups.     

Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models

This paper examines the performance of Commodity Trading Advisors (CTAs) using fixed and variable benchmarking models. In order to avoid the troublesome passive and active commodity and managed futures benchmarks (indices) when examining the performance of CTAs, we innovate by using data envelopment analysis (DEA). Because this alternative class has non-linear returns due to long/short positions, and derivatives (i.e., dynamic trading strategies), DEA can alleviate the problems usually associated with these indices. The effectiveness of using benchmarking models in a DEA setting will provide investors with an alternative technique in assessing the performance and identifying efficient CTAs.     

3D molecular imaging SIMS

Thin monolayer and bilayer films of spin cast poly(methyl methacrylate) (PMMA), poly(2-hydroxyethyl methacrylate) (PHEMA), poly(lactic) acid (PLA) and PLA doped with several pharmaceuticals have been analyzed by dynamic SIMS using SF₅⁺ polyatomic primary ion bombardment. Each of these systems exhibited minimal primary beam-induced degradation under cluster ion bombardment allowing molecular depth profiles to be obtained through the film. By combing secondary ion imaging with depth profiling, three-dimensional molecular image depth profiles have been obtained from these systems. In another approach, bevel cross-sections are cut in the samples with the SF₅⁺ primary ion beam to produce a laterally magnified cross-section of the sample that does not contain the beam-induced damage that would be induced by conventional focussed ion beam (FIB) cross-sectioning. The bevel surface can then be examined using cluster SIMS imaging or other appropriate microanalysis technique.     

Metastable patterns in solutions of ut = ϵ2uxx − f(u)

We consider the equation in question on the interval 0 ≦ x ≦ 1 having Neumann boundary conditions, with f(u) = F(u), where F is a double well energy density with equal minima at u = ±1. The only stable states of the system are patternless constant solutions. But given two-phase initial data, a pattern of interfacial layers typically forms far out of equilibrium. The ensuing nonlinear relaxation process is extremely slow: patterns persist for exponentially long times proportional to exp{A_±l/?, where A = F(±1) and l is the minimum distance between layers. Physically, a tiny potential jump across a layer drives its motion. We prove the existence and persistence of these metastable patterns, and characterise accurately the equations governing their motion. The point of view is reminiscent of center manifold theory: a manifold parametrising slowly evolving states is introduced, a neighbourhood is shown to be normally attracting, and the parallel flow is characterised to high relative accuracy. Proofs involve a detailed study of the Dirichlet problem, spectral gap analysis, and energy estimates.