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.