On the Approximation of the SABR Model: A Probabilistic Approach

Abstract

In this article, we derive a probabilistic approximation for three different versions of the SABR model: Normal, Log-Normal and a displaced diffusion version for the general case. Specifically, we focus on capturing the terminal distribution of the underlying process (conditional on the terminal volatility) to arrive at the implied volatilities of the corresponding European options for all strikes and maturities. Our resulting method allows us to work with a variety of parameters that cover the long-dated options and highly stress market condition. This is a different feature from other current approaches that rely on the assumption of very small total volatility and usually fail for longer than 10 years maturity or large volatility of volatility (Volvol).     

Behaviour of charged insulating particles in contact with a rotating roll electrode

The overall economic efficiency of standard industrial roll-type separators for granular materials can be improved by operation at higher velocities of the rotating roll electrode. The aim of this paper is to estimate how high this speed could be and still have a good separation. The answer to this question implied the calculation of the electric image force, which opposes the centrifugal force and sticks the corona-charged insulating particles to the rotating roll electrode. This force depends on the residual charge carried by the particles. By estimating the decay of this charge from surface potential measurements carried out on granular layers of insulating materials dispersed on grounded plate electrodes, it was possible to simulate the particle lift-off from the rotating roll electrode under various operating conditions. The results presented in the paper were obtained for fly-ash particles, but the numerical simulation methodology employed by the authors can be successfully applied for the optimisation of other electrostatic separation applications.     

Evaluation ofS,T, U parameters, triple gauge boson vertices and some oblique corrections in extraU(1) superstring inspired model

Explicit evaluation of the following parameters has been carried out in the extraU (1) superstring inspired model: (i) As Mz₂ varies from 555 GeV to 620 GeV and (m _t) CDF = 175.6 ± 5.7 GeV (Table 1): (a) S^New varies from -0.100 ± 0.089 to -0.130 ± 0.090, (b) T^New varies from -0.098 ± 0.097 to -0.129 ± 0.098, (c) U^New varies from -0.229 ± 0.177 to -0.253 ± 0.206, (d) Τ_z varies from 2.487 ± 0.027 to 2.486 ± 0.027, (e) A_LR varies from 0.0125 ± 0.0003 to 0.0126 ± 0.0003, (f) A _FB ^b remains constant at 0.0080 ± 0.0007. Almost identical values are obtained for (m _t)D0 = 169 GeV (see table 2). (ii) Triple gauge boson vertices (TGV) contributions: AsMz ₂ varies from 555 GeV to 620 GeV and (m _t) CDF = 175.6 ±5.7 GeV. (a)√s = 500 GeV, asymptotic case: varies from -0.301 to -0.179; varies from -0.622 to -0.379; varies from +0.0061 to 0.0056; varies from -3.691 to -2.186. varies from +0.270 to +0.118; varies from +0.552 to 0.238; varies from +0.0004 to +0.0002; remains constant at -0.110. (b)√s = 700 GeV, asymptotic case: varies from -0.297 to -0.176; varies from -0.609 to -0.370; varies from -0.0082 to -0.0078; varies from -3.680 to -2.171.√s = 700 GeV, nonasymptotic case: varies from -0.173 to -0.299; varies from-0.343 to -0.591; varies from -0.005 to -0.011; remains constant at -0.110. The pattern of form factors values for√s = 1000, 1200 GeV is almost identical to that of√s= 700 GeV. Further the values of the form factors for (m _t)D0 (=169 GeV) follow identical pattern as that of (m _t) CDF form factors values (see tables 5, 6, 9, 10). We conclude that the values of all the form factors with the exception of these of , are comparable or larger than theS, T values and therefore the TGV contributions are important while deciding the use of extraU (1) model for doing physics beyond standard model.     

Modulation of Kinetic Pathways of Enzyme–Substrate Interaction in a Microfluidic Channel: Nanoscopic Water Dynamics as a Switch

Enzyme-mediated catalysis is attributed to enzyme–substrate interactions, with models such as “induced fit” and “conformational selection” emphasizing the role of protein conformational transitions. The dynamic nature of the protein structure, thus, plays a crucial role in molecular recognition and substrate binding. As large-scale protein motions are coupled to water motions, hydration dynamics play a key role in protein dynamics, and hence, in enzyme catalysis. Here, microfluidic techniques and time-dependent fluorescence Stokes shift (TDFSS) measurements are employed to elucidate the role of nanoscopic water dynamics in the interaction of an enzyme, α-Chymotrypsin (CHT), with a substrate, Ala-Ala-Phe-7-amido-4-methylcoumarin (AMC) in the cationic reverse micelles of benzylhexadecyldimethylammonium chloride (BHDC/benzene) and anionic reverse micelles of sodium bis(2-ethylhexyl)sulfosuccinate (AOT/benzene). The kinetic pathways unraveled from the microfluidic setup are consistent with the “conformational selection” fit for the interaction of CHT with AMC in the cationic reverse micelles, whereas an “induced fit” mechanism is indicated for the anionic reverse micelles. In the cationic reverse micelles of BHDC, faster hydration dynamics (≈550 ps) aid the pathway of “conformational selection”, whereas in the anionic reverse micelles of AOT, the significantly slower dynamics of hydration (≈1600 ps) facilitate an “induced fit” mechanism for the formation of the final enzyme–substrate complex. The role of water dynamics in dictating the mechanism of enzyme–substrate interaction becomes further manifest in the neutral reverse micelles of Brij-30 and Triton X-100. In the former, the faster water dynamics aid the “conformational selection” pathway, whereas the significantly slower dynamics of water molecules in the latter are conducive to the “induced fit” mechanism in the enzyme–substrate interaction. Thus, nanoscopic water dynamics act as a switch in modulating the pathway of recognition of an enzyme (CHT) by the substrate (AMC) in reverse micelles.     

Numerical simulation of conductive particle behaviour at the surface of a plate electrode affected by a DC corona field

The electric field in certain electrostatic devices can be modeled by a grounded plate electrode affected by a corona discharge generated by a series of parallel wires connected to a DC high-voltage supply. The system of differential equations that describe the behaviour (i.e., charging and motion) of the conductive particle in such an electric field has been numerically solved, using several simplifying assumptions. Thus, it was possible to investigate the effect of various electrical and mechanical factors on the trajectories of conductive particles. This model has been employed to study the behaviour of coal particles in fly-ash corona separators.