Pricing European option with transaction costs under the fractional long memory stochastic volatility model

This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained.     

Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black-Scholes model with transaction costs

This paper deals with the problem of discrete time option pricing using the fractional Black-Scholes model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, the relation between scaling and implied volatility smiles is discussed.     

Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black-Scholes model

This paper deals with the problem of discrete time option pricing using the multifractional Black-Scholes model with transaction costs. Using a mean self-financing delta hedging argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, we show that scaling and long range dependence have a significant impact on option pricing.     

Constraints on dark energy and modified gravity models by the Cosmological Redshift Drift test

We study cosmological constraints on the various accelerating models of the universe using the time evolution of the cosmological redshift of distant sources. The important characteristic of this test is that it directly probes the expansion history of the universe. In this work we analyze the various models of the universe which can explain the late time acceleration, within the framework of General Theory of Relativity (GR) (XCDM, scalar field potentials) and beyond GR (f(R)$f(R)$ gravity model).     

Cross sections for (d–t) neutron interaction with germanium isotopes

The cross sections for (n,x)$(n,x)$ reactions with Ge isotopes were measured at (d–t) neutron energies around 14 MeV with the activation technique using metal discs of natural composition. Calculations of detector efficiency, incident neutron spectrum and correction factors were performed with the Monte Carlo technique (MCNP4C code). Cross sections data are presented for ⁷⁰Ge(n,2n$n,2n$)⁶⁹Ge, ⁷⁴Ge(n,α$n,\alpha$)^71mZn, ⁷⁶Ge(n,2n$n,2n$)^75(m + g)Ge, ⁷⁰Ge(n,p$n,p$)⁷⁰Ga and ⁷²Ge(n,2n$n,2n$)^71gGe reactions. The cross section results for ⁷²Ge(n,2n$n,2n$)^71gGe reaction were reported for the first time. Some other cross sections were obtained with higher precision, including the ⁷⁰Ge(n,p$n,p$)⁷⁰Ga reaction. Theoretical calculations of excitation functions were performed with the TALYS-1.0 code and compared with the experimental cross section values. Data were included in the EXFOR database.     

Charmonium suppression at RHIC and SPS: A hadronic baseline

A kinetic equation approach is applied to model anomalous J/ψ$J/\psi$ suppression at RHIC and SPS by absorption in a hadron resonance gas which successfully describes statistical hadron production in both experiments. The puzzling rapidity dependence of the PHENIX data is reproduced as a geometric effect due to a longer absorption path for J/ψ$J/\psi$ production at forward rapidity.     

Critical dynamics in systems controlled by fractional kinetic equations

The field theory renormalization group is used for analyzing the fractional Langevin equation with the order of the temporal derivative 0<α<1$0<\alpha <1$, fractional Laplacian of the order σ$\sigma$, and Gaussian noise correlator. The case of non-linearity φ^m${\phi }^m$ with odd m≥3$m\ge 3$ is considered. It is proved that the model is multiplicatively renormalizable. Propagators were found in the momentum and coordinate representation, expressed in terms of Fox’s H functions.     

Classical systems can be contextual too: Analogue of the Mermin–Peres square

Contextuality lays at the heart of quantum mechanics. In the prevailing opinion it is considered as a signature of “quantumness” that classical theories lack. However, this assertion is only partially justified. Although contextuality is certainly true of quantum mechanics, it cannot be taken by itself as discriminating against classical theories. Here we consider a representative example of contextual behaviour, the so-called Mermin–Peres square, and present a discrete toy model of a bipartite system which reproduces the pattern of quantum predictions that leads to contradiction with the assumption of non-contextuality. This illustrates that quantum-like contextual effects have their analogues within classical models with epistemic constraints such as limited information gain and measurement disturbance.     

Electrodynamics of a generalized charged particle in doubly special relativity framework

In the present paper, dynamics of generalized charged particles are studied in the presence of external electromagnetic interactions. This particular extension of the free relativistic particle model lives in Non-Commutative κ$\kappa$-Minkowski space–time, compatible with Doubly Special Relativity, that is motivated to describe Quantum Gravity effects. Furthermore we have also considered the electromagnetic field to be dynamical and have derived the modified forms of Lienard–Wiechert like potentials for these extended charged particle models. In all the above cases we exploit the new and extended form of κ$\kappa$-Minkowski algebra where electromagnetic effects are incorporated in the lowest order, in the Dirac framework of Hamiltonian constraint analysis.     

Realization of SOC behavior in a dc glow discharge plasma

Experimental observations consistent with Self Organized Criticality (SOC) have been obtained in the electrostatic floating potential fluctuations of a dc glow discharge plasma. Power spectrum exhibits a power law which is compatible with the requirement for SOC systems. Also the estimated value of the Hurst exponent (self similarity parameter), H being greater than 0.5, along with an algebraic decay of the autocorrelation function, indicate the presence of temporal long-range correlations, as may be expected from SOC dynamics. This type of observations in our opinion has been reported for the first time in a glow discharge system.     

Conformal mechanics

The SL(2,R)$SL(2,\mathbb{R})$ invariant Hamiltonian systems are discussed within the framework of the orbit method. It is shown that both the dynamics and the symmetry transformations are globally well-defined on phase space. The flexibility in the choice of the time variable and the Hamiltonian function described in the paper by de Alfaro et al. [Nuovo Cimento 34A (1976) 569] is related to the nontrivial global structure of 1+0$1+0$-dimensional space–time. The operational definition of time is discussed.     

A centrality measure for communication ability in weighted network

This paper proposes a new node centrality measurement in a weighted network, the communication centrality, which is inspired by Hirsch’s h$h$-index. We investigated the properties of the communication centrality, and proved that the distribution of the communication centrality has the power-law upper tail in weighted scale-free networks. Relevant measures for node and network are discussed as extensions. A case study of a scientific collaboration network indicates that the communication centrality is different from other common centrality measures and other h$h$-type indexes. Communication centrality displays moderate correlation with other indexes, and contains a well-balanced mix of other centrality measures and cannot be replaced by any of them.     

A first-order system approach for diffusion equation. II: Unification of advection and diffusion

In this paper, we unify advection and diffusion into a single hyperbolic system by extending the first-order system approach introduced for the diffusion equation [J. Comput. Phys., 227 (2007) 315–352] to the advection–diffusion equation. Specifically, we construct a unified hyperbolic advection–diffusion system by expressing the diffusion term as a first-order hyperbolic system and simply adding the advection term to it. Naturally then, we develop upwind schemes for this entire   system; there is thus no need to develop two different schemes, i.e., advection and diffusion schemes. We show that numerical schemes constructed in this way can be automatically uniformly accurate, allow O(h)$O(h)$ time step, and compute the solution gradients (viscous stresses/heat fluxes for the Navier–Stokes equations) simultaneously to the same order of accuracy as the main variable, for all Reynolds numbers. We present numerical results for boundary-layer type problems on non-uniform grids in one dimension and irregular triangular grids in two dimensions to demonstrate various remarkable advantages of the proposed approach. In particular, we show that the schemes solving the first-order advection–diffusion system give a tremendous speed-up in CPU time over traditional scalar schemes despite the additional cost of carrying extra variables and solving equations for them. We conclude the paper with discussions on further developments to come.     

Nanobuffering property of Fe3O4 magnetic nanoparticles in aqueous solution

In the present study, the buffering effect of magnetite nanoparticles (Fe₃O₄) dispersed in an aqueous solution on the local pH$pH$ value is investigated. It manifests itself in the fact that when some amount of acid or base is added to the solution then the solution near the nanoparticles surface becomes, respectively, less acidic and less alkaline than it is expected. It is the result of both the local electrostatic field, which represents the electric double layer at the surface of magnetic nanoparticles and the magnetic field around the nanoparticles. The magnetite nanoparticles exhibit very low toxicity and they are becoming increasingly important for new biomedical applications related to their effects on chemical reactions in body tissues and cells. The question arises, how strong are these effects at the nanoscale? The strength of the buffering property of magnetite nanoparticles is investigated both theoretically and experimentally by the direct measurement of the local pH$pH$ value of a magnetic nanoparticles suspension. The theoretical model is based on stochastic equations describing the ions diffusing in the neighborhood of the electric double layer of the magnetic material. The electric double layer is modeled with the help of the Poisson–Boltzmann model. It is directly shown that both the electrostatic field and the magnetic field are responsible for the observed local changes of the pH$pH$ value with respect to the bulk pH$pH$ value.     

Kac’s ring: Entropy and Poincaré recurrence

We study the entropy of an N$N$-site Kac ring in a non-equilibrium state. As the system dynamically evolves towards equilibrium and eventually to the initial state exhibiting Poincaré recurrence, we see that the entropy saturates over a period of time which is large for large N$N$. At about the time of order N$N$, the system starts to return to its initial state. We show that there is indeed a perfect “recurrence of statistical fluctuations”, which we are able to explore, as Kac’s ring possesses a finite recurrence time. Entropy is shown here to be a periodic function of the Poincaré recurrence time.     

Scaling and long-range dependence in option pricing II: Pricing European option with transaction costs under the mixed Brownian–fractional Brownian model

This paper deals with the problem of discrete-time option pricing by the mixed Brownian–fractional Brownian model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option pricing formula is obtained. In particular, the minimal pricing c_min(t,s_t) of an option under transaction costs is obtained, which shows that timestep δt and Hurst exponent H play an important role in option pricing with transaction costs. In addition, we also show that there exists fundamental difference between the continuous-time trade and discrete-time trade and that continuous-time trade assumption will result in underestimating the value of a European call option.