On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion

We derive an arbitrage‐free pricing dynamics for claims on temperature, where the temperature follows a fractional Ornstein–Uhlenbeck process. Using a fractional white noise calculus, one can express the dynamics as a special type of conditional expectation not coinciding with the classical one. Using a Fourier transformation technique, explicit expressions are derived for claims of European and average type, and it is shown that these pricing formulas are solutions of certain Black and Scholes partial differential equations. Our results partly confirm a conjecture made by Brody, Syroka and Zervos.     

A new look at some basic concepts in arbitrage pricing theory

The notion of No Free Lunch with Vanishing Risk (or NFLVR in short) w.r.t. admissible strategies depends on the choice of numeraire. Yan introduced the notion of allowable strategy and showed that condition of NFLVR w.r.t. allowable strategies is independent of the choice of numeraire and is equivalent to the existence of an equivalent martingale measure for the deflated price process. In this paper we establish a version of the Kramkov's optional decomposition theorem in the setting of equivalent martingale measures. Based on this theorem, we have a new look at some basic concepts in arbitrage pricing theory: superhedging, fair price, attainable contingent claims, complete markets and etc.     

The forward dynamics in energy markets – infinite-dimensional modelling and simulation

In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential equation models the dynamics of the forward price curves. These equations are analysed, and in particular regularity and no-arbitrage conditions in the general situation of stochastic partial differential equations driven by an infinite-dimensional martingale process are studied. Both arithmetic and geometric forward price dynamics are studied, as well as accounting for the delivery period of electricity forward contracts. A stable and convergent numerical approximation in the form of a finite element method for hyperbolic stochastic partial differential equations is introduced and applied to some examples with relevance to energy markets.     

A note on embedding of classes H ω

Among others, we extend an interesting theorem of M. V. Medvedeva pertaining to the embedding relation H BV, where BV denotes the set of the functions of -bounded variation.     

A note on restriction maps in the cohomology¶of S-arithmetic groups

We prove injectivity results for restriction maps in the cohomology of S-arithmetic groups: the results proved are valid for cohomology with both characteristic 0 and characteristic p coefficients. Received: 12 March 1999 / Revised version: 10 July 2000     

A note on θ-tightness

In questo lavoro chiariamo il ruolo che la θ-tightness (introdotta dagli autori in [2]) ha nel determinare alcune estensioni di sottoinsiemi di uno spazio topologico.     

A note on β-connectedness

An example is given to show that there exists a generalized topological space which is irreducible but not β-connected. This gives an answer to Question 2.8 in [6]. Besides, some characterizations of β-connectedness are obtained.     

A note on Marino-Vafa formula

Hodge integrals over moduli spaces of curves appear naturally during the localization procedure in computation of Gromov-Witten invariants. A remarkable formula of Marino-Vafa expresses a generation function of Hodge integrals via some combinatorial and algebraic data seemingly unrelated to these apriori algebraic geometric objects. We prove in this paper by directly expanding the formula and estimating the involved terms carefully that except a specific type all the other Hodge integrals involving up to three Hodge classes can be calculated from this formula. This implies that amazingly rich information about moduli spaces and Gromov-Witten invariants is encoded in this complicated formula. We also give some low genus examples which agree with the previous results in literature. Proofs and calculations are elementary as long as one accepts Mumford relations on the reductions of products of Hodge classes.     

A note on Weil index

Let F be a non-archimedean local field of characteristic 0 and(?)a nontrivial additive character.Weil first defined the Weil indexγ(a,(?))(a∈F~*)in his famous paper,from which we know thatγ(a,(?))γ(b,(?))=γ(ab,(?))γ(1,(?))(a,b)andγ(a,(?))~4 =(-1,-1),where(a,b)is the Hilbert symbol for F.The Weil index plays an important role in the theory of theta series and in the general representation theory.In this paper,we establish an identity relating the Weil indexγ(a,(?))and the Gauss sum.     

A note on regularity of the pressure in the Navier–Stokes system

In this note we improve the standard regularity of the dynamic part of the pressure in the Navier–Stokes system. Using the theory of elliptic equations with \(L^1\) right-hand side we prove that, in addition to be in \(L^2\), the dynamic pressure belongs to \(W^{1,\alpha }_{loc} \) with \(1<\alpha <\frac{n}{n-1}\), in case of Dirichlet boundary condition. For pressure boundary condition the dynamic pressure is proved to be in \(W^{1,\alpha } \). As a consequence, for the force \(\mathbf{f} \in L^q (\Omega )^n \) and \(q>n /2 \) the pressure turns out to be continuous.     

Joint pricing and procurement of substitutable products with random demands – A technical note

Single-period joint pricing and procurement of substitutable products entails one time procurement and pricing decisions for substitutable products that face price dependent stochastic demands. Recently, Karakul and Chan [Karakul, M., Chan, L., 2008. Analytical and managerial implications of integrating product substitutability in the joint pricing and procurement problem. European Journal of Operational Research 190, 179–204] considered this problem for two one-way substitutable products. Authors model the demands for each product in the well known additive form, where the mean demands are linear functions of the price of the high grade new product plus an additive stochastic noise term. By assuming that the noise term for the low grade existing product follows a general discrete distribution and the noise term for the high grade product follows a general continuous distribution, authors are able to show the unimodality of the expected profit function with respect to the procurement quantities and the price of the new product. In this paper, we extend this result to the case where the noise term in the demand of the low grade product follows a general continuous distribution as well.     

A note on Iwasawa µ-invariants of elliptic curves

Suppose that E ₁ and E ₂ are elliptic curves defined over ℚ and p is an odd prime where E ₁ and E ₂ have good ordinary reduction. In this paper, we generalize a theorem of Greenberg and Vatsal [3] and prove that if E ₁[p ⁱ ] and E ₂[p ⁱ ] are isomorphic as Galois modules for i = μ(E ₁), then μ(E ₁) ≤ μ(E ₂). If the isomorphism holds for i = μ(E ₁) + 1, then both the curves have same μ-invariants. We also discuss one numerical example.