On the application of Wishart process to the pricing of equity derivatives: the multi-asset case

Given the inherent complexity of financial markets, a wide area of research in the field of mathematical finance is devoted to develop accurate models for the pricing of contingent claims. Focusing on the stochastic volatility approach (i.e. we assume to describe asset volatility as an additional stochastic process), it appears desirable to introduce reliable dynamics in order to take into account the presence of several assets involved in the definition of multi-asset payoffs. In this article we deal with the multi asset Wishart Affine Stochastic Correlation model, that makes use of Wishart process to describe the stochastic variance covariance matrix of assets return. The resulting parametrization turns out to be a genuine multi-asset extension of the Heston model: each asset is exactly described by a single instance of the Heston dynamics while the joint behaviour is enriched by cross-assets and cross-variances stochastic correlation, all wrapped in an affine modeling. In this framework, we propose a fast and accurate calibration procedure, and two Monte Carlo simulation schemes.

     

Systematic Material Study Reveals TiNb2O7 as a Model Wide-Bandgap Photoanode Material for Solar Water Splitting

This work reveals that photoanodes based on TiNb₂O₇ (TNO) powder show remarkable water-oxidation properties including nearly ideal charge-transfer and charge-injection efficiencies. Furthermore, using a simplified photoanode construction and carefully surveying the structural and morphological characteristics of oriented and polycrystalline thin films and powder-based samples revealed that the water-splitting kinetics of TNO is negligibly effected by surface morphology; instead, internal grain boundaries likely play a driving role. The current powder-based TNO photoanodes exhibit ideal water-oxidation kinetics and oxidize water at minimal applied biases under illumination; consequently, TNO exhibits an early onset photocurrent voltage (0.4 V vs. RHE) that rivals that of other state-of-the-art photoanode materials.     

Carotenoids from the ripening bacterium Brevibacterium linens impart color to the rind of the French cheese,Fourme de Montbrison (PDO)

Abstract

Rind color of some high-value PDO cheeses is related to the presence of carotenoids, but little is known about the structure of the pigmented compounds and their origin. Our objective was to describe the carotenoids extracted from the rind of a French cheese, Fourme de Montbrison, and to compare them with the pigments produced by a bacterial strain used as an adjunct culture in the cheese ripening process. Eleven carotenoids were detected in the cheese rinds or in the biomass of Brevibacterium linens. Most of the carotenoids from the rinds belonged to the aryl (aromatic) carotenoid family, including hydroxylated and non-hydroxylated isorenieratene. Chlorobactene, a carotenoid rarely found in food products, was also detected. Agelaxanthin A was identified in the cheese rinds as well as in the B. linens biomass. Occurrence of this compound was previously described in only one scientific publication, where it was isolated from the sponge Agela schmidtii.     

Characterization of Inherently Chiral Electrosynthesized Oligomeric Films by Voltammetry and Scanning Electrochemical Microscopy (SECM)

A voltammetric and scanning electrochemical microscopy (SECM) investigation was performed on an inherently chiral oligomer-coated gold electrode to establish its general properties (i.e., conductivity and topography), as well as its ability to discriminate chiral electroactive probe molecules. The electroactive monomer (S)-2,2′-bis(2,2′-bithiophene-5-yl)-3,3′-bibenzothiophene ((S)-BT₂T₄) was employed as reagent to electrodeposit, by cyclic voltammetry, the inherently chiral oligomer film of (S)-BT₂T₄ (oligo-(S)-BT₂T₄) onto the Au electrode surface (resulting in oligo-(S)-BT₂T₄-Au). SECM measurements, performed in either feedback or competition mode, using the redox mediators [Fe(CN)₆]⁴⁻ and [Fe(CN)₆]³⁻ in aqueous solutions, and ferrocene (Fc), (S)-FcEA, (R)-FcEA and rac-FcEA (FcEA is N,N-dimethyl-1-ferrocenylethylamine) in CH₃CN solutions, indicated that the oligomer film, as produced, was uncharged. The use of [Fe(CN)₆]³⁻ allowed establishing that the oligomer film behaved as a porous insulating membrane, presenting a rather rough surface. This was inferred from both the approach curves and linear and bidimensional SECM scans, which displayed negative feedback effects. The oligomer film acquired semiconducting or fully conducting properties when the Au electrode was biased at potential more positive than 0.6 V vs. Ag|AgCl|KCl. Under the latter conditions, the approach curves displayed positive feedback effects. SECM measurements, performed in competition mode, allowed verifying the discriminating ability of the oligo-(S)-BT₂T₄ film towards the (S)-FcEA and (R)-FcEA redox mediators, which confirmed the results obtained by cyclic voltammetry. SECM linear scans indicated that the enantiomeric discriminating ability of the oligo-(S)-BT₂T₄ was even across its entire surface.     

PIV-based pressure fluctuations in the turbulent boundary layer

The unsteady pressure field is obtained from time-resolved tomographic particle image velocimetry (Tomo-PIV) measurement within a fully developed turbulent boundary layer at free stream velocity of U _???=?9.3?m/s and Re_???=?2,400. The pressure field is evaluated from the velocity fields measured by Tomo-PIV at 10?kHz invoking the momentum equation for unsteady incompressible flows. The spatial integration of the pressure gradient is conducted by solving the Poisson pressure equation with fixed boundary conditions at the outer edge of the boundary layer. The PIV-based evaluation of the pressure field is validated against simultaneous surface pressure measurement using calibrated condenser microphones mounted behind a pinhole orifice. The comparison shows agreement between the two pressure signals obtained from the Tomo-PIV and the microphones with a cross-correlation coefficient of 0.6 while their power spectral densities (PSD) overlap up to 3?kHz. The impact of several parameters governing the pressure evaluation from the PIV data is evaluated. The use of the Tomo-PIV system with the application of three-dimensional momentum equation shows higher accuracy compared to the planar version of the technique. The results show that the evaluation of the wall pressure can be conducted using a domain as small as half the boundary layer thickness (0.5??₉₉) in both the streamwise and the wall normal directions. The combination of a correlation sliding-average technique, the Lagrangian approach to the evaluation of the material derivative and the planar integration of the Poisson pressure equation results in the best agreement with the pressure measurement of the surface microphones.     

Loss Production Mechanisms in a Laminar Separation Bubble

The present paper reports the results of a detailed experimental study, carried out by means of a two-component Laser Doppler Velocimeter, aimed at investigating the loss generation mechanisms induced by laminar separation bubble and transition process. Measurements have been performed along a flat plate installed within a double contoured test section, designed to produce an adverse pressure gradient typical of Ultra-High-Lift turbine blade profiles, which induces the formation of a laminar separation bubble. Results were detailed enough to allow calculating laminar and turbulent deformation works in the separated flow region. Normal and shear contributions of both viscous and turbulent deformation works have been analyzed and employed to explain the generation of total pressure losses in the separated flow region, where the generation and amplification of Kelvin–Helmholtz instability induces the separated shear layer roll-up, thus the bubble reattachment. Results obtained for different Reynolds number conditions have been employed for the formulation of a loss scaling procedure involving the separated shear layer thickness, which is directly correlated to the dynamics of Kelvin–Helmholtz roll-up vortices.     

Shape recovery behaviour of NiTi strips in bending: experiments and modelling

We present a theoretical and experimental investigation of the bending recovery performances for a commercial NiTi shape memory alloy strip. We evaluate the mechanical properties and the shape setting parameters and estimate the evolution of the curvature during heating in an Ethylene Glycol-based water solution. To model the strip bending response, we use a one-dimensional phenomenological constitutive equation for the shape memory material, based on the introduction of (twinned and detwinned) martensite and austenite volume fractions as internal variables. Under the assumption of uniform bending, we calculate a quasi-closed-form solution for the stress and martensite fraction distributions in a shape memory beam during bending and subsequent shape recovery. Using our characterisation data as input parameters of the model, we find that the theoretical curvature evolution is in good agreement with experimental data.     

Extension of the Darcy�CForchheimer Law for Shear-Thinning Fluids and Validation via Pore-Scale Flow Simulations

Flow of non-Newtonian fluids through porous media at high Reynolds numbers is often encountered in chemical, pharmaceutical and food, as well as petroleum and groundwater engineering, and in many other industrial applications. Under the majority of operating conditions typically explored, the dependence of pressure drops on flow rate is non-linear and the development of models capable of describing accurately this dependence, in conjunction with non-trivial rheological behaviors, is of paramount importance. In this work, pore-scale single-phase flow simulations conducted on synthetic two-dimensional porous media are performed via computational fluid dynamics for both Newtonian and non-Newtonian fluids and the results are used for the extension and validation of the Darcy?CForchheimer law, herein proposed for shear-thinning fluid models of Cross, Ellis and Carreau. The inertial parameter ?? is demonstrated to be independent of the viscous properties of the fluids. The results of flow simulations show the superposition of two contributions to pressure drops: one, strictly related to the non-Newtonian properties of the fluid, dominates at low Reynolds numbers, while a quadratic one, arising at higher Reynolds numbers, is dependent on the porous medium properties. The use of pore-scale flow simulations on limited portions of the porous medium is here proposed for the determination of the macroscale-averaged parameters (permeability K, inertial coefficient ?? and shift factor ??), which are required for the estimation of pressure drops via the extended Darcy?CForchheimer law. The method can be applied for those fluids which would lead to critical conditions (high pressures for low permeability media and/or high flow rates) in laboratory tests.