Pricing exotic derivatives exploiting structure

In this paper we introduce a new fast and accurate numerical method for pricing exotic derivatives when discrete monitoring occurs, and the underlying evolves according to a Markov one-dimensional stochastic processes. The approach exploits the structure of the matrix arising from the numerical quadrature of the pricing backward formulas to devise a convenient factorization that helps greatly in the speed-up of the recursion. The algorithm is general and is examined in detail with reference to the CEV (Constant Elasticity of Variance) process for pricing different exotic derivatives, such as Asian, barrier, Bermudan, lookback and step options for which up to date no efficient procedures are available. Extensive numerical experiments confirm the theoretical results. The MATLAB code used to perform the computation is available online at http://www1.mate.polimi.it/∼marazzina/BP.htm.     

High-T(c) ferroelectricity emerging from magnetic degeneracy in cupric oxide

Cupric oxide is multiferroic at unusually high temperatures. From density functional calculations we find that the low-T magnetic phase is paraelectric, and the higher-T one is ferroelectric with a size and direction of polarization in good agreement with experiments. By mapping the ab?initio results on to an effective spin model, we show that the system has a manifold of almost degenerate ground states. In the high-T magnetic state noncollinearity and inversion symmetry breaking stabilize each other via the Dzyaloshinskii-Moriya interaction. This leads to an unconventional mechanism for multiferroicity, with the particular property that nonmagnetic impurities enhance the effect.     

Passive mode locking of an in-band-pumped Ho:YLiF4 laser at 2.06 μm

We demonstrate the passive mode-locking operation of an in-band-pumped Ho:YLiF(4) laser at 2.06 μm using a semiconductor saturable absorber mirror based on InGaAsSb quantum wells. A transform-limited pulse train with minimum duration of 1.1 ps and average power of 0.58 W has been obtained at a repetition frequency of 122 MHz. A maximum output power of 1.7 W has been generated with a corresponding pulse duration of 1.9 ps.     

Current status of gravitational wave observations

The first generation of gravitational wave interferometric detectors have taken data at, or close to, their design sensitivity. This data has been searched for a broad range of gravitational wave signatures. An overview of gravitational wave search methods and results are presented. Searches for gravitational waves from unmodelled burst sources, compact binary coalescences, continuous wave sources and stochastic backgrounds are discussed.     

On the effects of system parameters on the response of a harmonically excited system consisting of weakly coupled nonlinear and linear oscillators

This paper discusses the dynamic behaviour of a nonlinear two degree-of-freedom system consisting of a harmonically excited linear oscillator weakly connected to a nonlinear attachment having linear and cubic restoring forces. The effects of the system parameters on the shape of the frequency-response curve are investigated, in particular those yielding the appearance and disappearance of outer and inner detached resonance curves. In contrast to the case when the linear stiffness of the attachment is zero, it is found that multivaluedness occurs at low frequencies as the resonant peak bends to the right. It is also found that as the coefficient of the linear term increases, the range of parameters yielding detached curves reduces. Compared to the case when the attached system has no linear stiffness term, this range of parameters corresponds to smaller values of the damping and nonlinear coefficients. Approximate analytical expressions for the jump-up and jump-down frequencies of the system under investigation are also derived.     

Generation of doublet spectral lines at self-seeded X-ray FELs

Self-seeding schemes, consisting of two undulators with a monochromator in between, aim to reduce the bandwidth of SASE X-ray FELs. We recently proposed to use a new method of monochromatization exploiting a single crystal in Bragg transmission geometry for self-seeding in the hard X-ray range. The obvious and technically possible extension is to use such kind of monochromator setup with two (or more) crystals arranged in a series to spectrally filter the SASE radiation at two (or more) closely-spaced wavelengths within the FEL gain band. This allows for the production of doublet (or multiplet) spectral lines. Exploitations of such mode of operation involve any situation where there is a large change in cross-section over a narrow wavelength range. In this paper we consider the simultaneous operation of the LCLS hard X-ray FEL at two closely spaced wavelengths. We present simulation results for the LCLS baseline, and we show that this method can produce fully coherent radiation shared between two longitudinal modes. Mode spacing can be easily tuned within the FEL gain band, i.e. within 10 eV. An interesting aspect of the proposed scheme is a way of modulating the electron bunch at optical frequencies without a seed quantum laser. In fact, the XFEL output intensity contains an oscillating “mode-beat” component whose frequency is related to the frequency difference between the pair of longitudinal modes considered. Thus, at saturation one obtains FEL-induced modulations of energy loss and energy spread in the electron bunch at optical frequency. These modulations can be converted into density modulation at the same optical frequency with the help of a weak chicane installed behind the baseline undulator. Powerful coherent radiation can then be generated with the help of an optical transition radiation (OTR) station, which have important applications. In this paper we briefly consider how the doublet structure of the XFEL generation spectra can be monitored by an optical spectrometer. Furthermore, the OTR coherent radiation pulse is naturally synchronized with the X-ray pulses, and can be used for timing the XFEL to high power conventional lasers with femtosecond accuracy for pump-probe applications.     

Pyrroloquinoxaline hydrazones as fluorescent probes for amyloid fibrils

Here we describe the identification and preliminary characterization of a new class of pyrrolo(imidazo)quinoxaline hydrazones as florescent probes for Aβ(1-42) fibrils. All the newly developed compounds were able to bind amyloid fibrils formed in vitro and some of them displayed an increase of their fluorescence upon binding. When tested on brain tissue preparations presenting Aβ deposits, the described hydrazones selectively stained amyloid structures and did not display aspecific binding. The hydrazones did not show antifibrillogenic activity and electron microscopy analysis revealed that they do not interfere with fibrils structure. The described pyrrolo(imidazo)quinoxalines could be useful for studying amyloid structures in vitro. Moreover, their experimentally proven ability to cross the blood-brain barrier in mouse opens the possibility of developing these compounds as potential amyloid imaging agents for in vivo applications.     

Cytokine loaded biopolymers as a novel strategy to study stem cells during wound-healing processes

The biopolymer matrigel loaded with cytokine can be used for the recruitment in vivo of specific cell populations and as a vector for the preparation of cell cultures. Data demonstrate that the injection of the matrigel biopolymer supplemented with interleukin-8 (IL-8) in the leech Hirudo medicinalis can be used to purify cell populations showing the same morphofunctional and molecular mechanisms of specific populations of vertebrate hematopoietic precursor cells involved in tissue repair. These cells spontaneously differentiated into myofibroblasts. This approach highlights how the innovative use of a cytokine-loaded biopolymer for an in vivo cell sorting method, applied to a simple invertebrate model, can be a tool for studying myofibroblast cell biology and its regulation, step by step.     

Independence logic and abstract independence relations

We continue the work on the relations between independence logic and the model‐theoretic analysis of independence, generalizing the results of 15 to the framework of abstract independence relations for an arbitrary AEC. We give a model‐theoretic interpretation of the independence atom and characterize under which conditions we can prove a completeness result with respect to the deductive system that axiomatizes independence in team semantics and statistics.