Option pricing and perfect hedging on correlated stocks

We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time τ0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a riskless strategy which results in a closed and exact expression for the European call price which is always lower than Black-Scholes price. We obtain the same price and a modified delta hedging if we start from an effective one-dimensional market model. We compare these strategies and study the sensitivity of the call price to several parameters where the correlation effects are also observed.     

Coexistence of ferro- and antiferromagnetic interactions in a metal-organic radical-based (6,3)-helical network with large channels

A metal-organic open-framework with an unprecedented (6,3)-helical topology, large channels and mixed ferro- and antiferromagnetic interactions has been synthesized using a three-connecting tricarboxylic polychlorotriphenylmethyl radical and Co(ii) ions.     

Some homoclinic phenomena in the three-body problem

We prove the existence of transversal homoclinic points in the collinear three-body problem, restricted and general, and in the planar circular restricted three-body problem. As a consequence the shift of Bernoulli is proved to be included as a subsystem of a suitable section of the flow for the three cases studied. Then the existence of all the possible types of final evolution follows.     

Ordered patterning of nanometric rings of single molecule magnets on polymers by lithographic control of demixing

We report a new patterning process which takes place as a result of demixing of a binary polymer/solute mixture. An efficient, sustainable approach for ordering nanosized rings of so-called single molecule magnets (SMMs) is thus provided. It exploits the self-organization process in which SMM patterned film evolves to a spatially correlated pattern of nanosized rings. At long time, the anisotropic patterning of the film drives the ring to coalesce, into parallel lines of nanometric width.     

Null decomposition of trees

Let $T$ be a tree. We show that the null space of the adjacency matrix of $T$ has relevant information about the structure of $T$. We introduce the Null Decomposition of trees, which is a decomposition into two different types of trees: N-trees and S-trees. N-trees are the trees that have a unique maximum (perfect) matching. S-trees are the trees with a unique maximum independent set. We obtain formulas for the independence number and the matching number of a tree using this decomposition. We also show how the number of maximum matchings and the number of maximum independent sets in a tree are related to its null decomposition.     

Centers for the Kukles homogeneous systems with even degree

For the polynomial differential system $\dot{x}=-y$, $\dot{y}=x +Q_n(x,y)$, where $Q_n(x,y)$ is a homogeneous polynomial of degree $n$ there are the following two conjectures done in 1999. (1) Is it true that the previous system for $n \ge 2$ has a center at the origin if and only if its vector field is symmetric about one of the coordinate axes? (2) Is it true that the origin is an isochronous center of the previous system with the exception of the linear center only if the system has even degree? We give a step forward in the direction of proving both conjectures for all $n$ even. More precisely, we prove both conjectures in the case $n = 4$ and for $n\ge 6$ even under the assumption that if the system has a center or an isochronous center at the origin, then it is symmetric with respect to one of the coordinate axes, or it has a local analytic first integral which is continuous in the parameters of the system in a neighborhood of zero in the parameters space. The case of $n$ odd was studied in [8].     

Fibonacci, Van der Corput and Riesz-Nágy

What do the three names in the title have in common? The purpose of this paper is to relate them in a new and, hopefully, interesting way. Starting with the Fibonacci numeration system — also known as Zeckendorff's system — we will pose ourselves the problem of extending it in a natural way to represent all real numbers in (0,1). We will see that this natural extension leads to what is known as the ?-system restricted to the unit interval. The resulting complete system of numeration replicates the uniqueness of the binary system which, in our opinion, is responsible for the possibility of defining the Van der Corput sequence in (0,1), a very special sequence which besides being uniformly distributed has one of the lowest discrepancy, a measure of the goodness of the uniformity.Lastly, combining the Fibonacci system and the binary in a very special way we will obtain a singular function, more specifically, the inverse of one of the family of Riesz-Nágy.     

$${\mathbb{Z}_2\mathbb{Z}_4}$$-linear codes: rank and kernel

A code C{{\mathcal C}} is \mathbbZ₂\mathbbZ₄{{\mathbb{Z}_2\mathbb{Z}_4}}-additive if the set of coordinates can be partitioned into two subsets X and Y such that the punctured code of C{{\mathcal C}} by deleting the coordinates outside X (respectively, Y) is a binary linear code (respectively, a quaternary linear code). The corresponding binary codes of \mathbbZ₂\mathbbZ₄{{\mathbb{Z}_2\mathbb{Z}_4}}-additive codes under an extended Gray map are called \mathbbZ₂\mathbbZ₄{{\mathbb{Z}_2\mathbb{Z}_4}}-linear codes. In this paper, the invariants for \mathbbZ₂\mathbbZ₄{{\mathbb{Z}_2\mathbb{Z}_4}}-linear codes, the rank and dimension of the kernel, are studied. Specifically, given the algebraic parameters of \mathbbZ₂\mathbbZ₄{{\mathbb{Z}_2\mathbb{Z}_4}}-linear codes, the possible values of these two invariants, giving lower and upper bounds, are established. For each possible rank r between these bounds, the construction of a \mathbbZ₂\mathbbZ₄{{\mathbb{Z}_2\mathbb{Z}_4}}-linear code with rank r is given. Equivalently, for each possible dimension of the kernel k, the construction of a \mathbbZ₂\mathbbZ₄{{\mathbb{Z}_2\mathbb{Z}_4}}-linear code with dimension of the kernel k is given. Finally, the bounds on the rank, once the kernel dimension is fixed, are established and the construction of a \mathbbZ₂\mathbbZ₄{{\mathbb{Z}_2\mathbb{Z}_4}}-linear code for each possible pair (r, k) is given.