A reduced form model for ESO valuation

In this paper we extend a reduced form model for the valuation of employee share options (ESOs) to incorporate employee departure, and company takeover. We also allow for performance linked vesting and other exotic features specific to ESOs. We clarify the assumptions underlying the reduced form model, and discuss their implications. We analyze the probabilistic structure of the model which includes an explicit characterization of the set of equivalent martingale measures, as well as the computation of the variance optimal martingale measure and the minimal martingale measure. Moreover, we deduce an additive decomposition of the relative entropy. Particular ESO specifications are studied emphasizing different aspects of the proposed framework. In this context, we also provide strict no-arbitrage bounds for ESO prices by applying optimal stopping. Furthermore, possible limitations of the proposed model are explored by examining departures from the crucial assumptions of no-arbitrage, i.e. by considering the effects of the employee having inside information.     

Quantum Gel'fand-Levitan-Marchenko equations for the sine-Gordon model

Theoretical and Mathematical Physics -     

Poisson structure of the matrix sine-Gordon model

One obtains the algebra of simultaneous Poisson brackets for currents in a two-dimensional relativistic model, generalizing the sine-Gordon equation to the matrix case. The considered model is characterized by the nonultralocality of the Poisson brackets and its action contains a multivalued functional, known in the physical literature as the Wess-Zumino functional.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 146, pp. 3–8, 1985.In conclusion, the authors express their deep gratitude to L. D. Faddeev, L. A. Takhtadzhyan, N. Yu. Reshetikhin for their interest in the paper and for useful observations.     

Lattice Boltzmann model for two-dimensional generalized sine-Gordon equation

The nonlinear sine-Gordon equation arises in various problems in science and engineering. In this paper, we propose a numerical model based on lattice Boltmann method to obtain the numerical solutions of two-dimensional generalized sine-Gordon equation, including damped and undamped sine-Gordon equation. By choosing properly the conservation condition between the macroscopic quantity $u_t$ and the distribution functions and applying the Chapman-Enskog expansion, the governing equation is recovered correctly from the lattice Boltzmann equation. Moreover, the local equilibrium distribution function is obtained. The numerical results of the first three examples agree well with the analytic solutions, which indicates the lattice Boltzmann model is satisfactory and efficient. Numerical solutions for cases involving the most known from the bibliography line and ring solitons are given. Numerical experiments also show that the present scheme has a good long-time numerical behavior for the generalized sine-Gordon equation. Moreover, the model can also be applied to other two-dimensional nonlinear wave equations, such as nonlinear hyperbolic telegraph equation and Klein-Gordon equation.     

A classical version of the lattice sine-Gordon model

A completely integrable regularized lattice sine-Gordon model is considered by the method of the inverse scattering problem. It is shown that the variables of action-angle type for the lattice and continuous models coincide. Solitons of the lattice model are constructed, and their scattering is described.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 120, pp. 173–187, 1982.     

Uniqueness in potential scattering with reduced data

We consider inverse potential scattering problems where the source of the incident waves is located on a smooth closed surface outside of the inhomogeneity of the media. The scattered waves are measured on the same surface at a fixed value of the energy. We show that these data determine the bounded potential uniquely.     

Lattice completely integrable regularization of the sine-Gordon model for small coupling constants

Theoretical and Mathematical Physics -     

Uniqueness of form extensions and domination of semigroups

In this article, we study uniqueness of form extensions in a rather general setting. The method is based on the theory of ordered Hilbert spaces and the concept of domination of semigroups. Our main abstract result transfers uniqueness of form extension of a dominating form to that of a dominated form. This result can be applied to a multitude of examples including various magnetic Schrödinger forms on graphs and on manifolds.     

Uniqueness of volume-minimizing submanifolds calibrated by the first Pontryagin form

One way to understand the geometry of the real Grassmann manifold parameterizing oriented -dimensional subspaces of is to understand the volume-minimizing subvarieties in each homology class. Some of these subvarieties can be determined by using a calibration. In previous work, one of the authors calculated the set of -planes calibrated by the first Pontryagin form on for all , and identified a family of mutually congruent round -spheres which are consequently homologically volume-minimizing. In the present work, we associate to the family of calibrated planes a Pfaffian system on the symmetry group , an analysis of which yields a uniqueness result; namely, that any connected submanifold of calibrated by is contained in one of these -spheres. A similar result holds for -calibrated submanifolds of the quotient Grassmannian of non-oriented -planes.

     

Uniqueness for a mutually catalytic branching model

The uniqueness in law for a system of SPDEs which describes a mutually catalytic branching model is established. The proof uses a duality technique and requires a linear transformation of the original processes. Received: 16 January 1998 / Revised version: 18 March 1998     

Uniqueness of weak solutions to the Ginzburg-Landau model for superconductivity

We prove the uniqueness for weak solutions of the time-dependent 2-D Ginzburg-Landau model for superconductivity with L ² initial data in the case of Coulomb gauge. This question was left open in Tang and Wang (Physica D, 88:139?C166, 1995). We also prove the uniqueness of the 3-D radially symmetric solution in bounded annular domain with the choice of Lorentz gauge and L ² initial data.     

Pricing catastrophe options with counterparty credit risk in a reduced form model

In this paper, we study the price of catastrophe options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model. We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.     

Uniqueness of allometry model parameters

Studies in the evolutionary biology of aging require good estimates of the age-dependent mortality rate coefficient. In this paper we have proved uniqueness theorems for estimation of age-dependent parameter b in allometry survival model, in the absence of age specific mortality data. We obtained estimations with population size N ₀ dependent and uniformly in N ₀.