Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

Colloidal Synthesis of Hollow Cobalt Sulfide Nanocrystals

Formation of cobalt sulfide hollow nanocrystals through a mechanism similar to the Kirkendall Effect has been investigated in detail. It is found that performing the reaction at > 120 °C leads to fast formation of a single void inside each shell, whereas at room temperature multiple voids are formed within each shell, which can be attributed to strongly temperature‐dependent diffusivities for vacancies. The void formation process is dominated by outward diffusion of cobalt cations; still, the occurrence of significant inward transport of sulfur anions can be inferred as the final voids are smaller in diameter than the original cobalt nanocrystals. Comparison of volume distributions for initial and final nanostructures indicates excess apparent volume in shells, implying significant porosity and/or a defective structure. Indirect evidence for fracture of shells during growth at lower temperatures was observed in shell‐size statistics and transmission electron microscopy images of as‐grown shells. An idealized model of the diffusional process imposes two minimal requirements on material parameters for shell growth to be obtainable within a specific synthetic system.     

Optimal space-time constellations from groups

We consider the design of space-time constellations based on group codes for fading channels with multiple transmit and receive antennas. These codes can be viewed as multiantenna extensions of phase-shift keying (PSK), in the sense that all codewords have equal energy, all are rotations of a fixed codeword, and there is a simple differential transmission rule that allows data to be sent without channel estimates at the transmitter or receiver. For coherent detection, we show that all optimal full-rank space-time group codes are unitary (each code matrix has equal-energy, orthogonal rows). This leads to a simpler code design criterion and suggests that unitary codes may play an important role in coherent as well as noncoherent communication. For any number of transmit antennas t, we then use the design criterion to characterize all full-rank unitary space-time group codes of minimum block length (also t) which have 2/sup p/ codewords. These results allow us to characterize all optimal 2/sup p/-ary unitary group codes with square code matrices. This restricted class of block codes matches the class proposed for differential modulation by Hughes (see IEEE Trans. Inform. Theory, vol.46, p.2567-78, Nov. 2000), and by Hochwald and Sweldens (see IEEE Trans. Commun., vol.48, p.2041-2052, Dec. 2000).     

Electro-optic pulse response of ferroelectric liquid crystals

The electro-optic response of ferroelectric smectic C* liquid crystals has been studied. Anomalous switching behaviour of such materials which possess a negative dielectric anisotropy has been reported. These materials show a minimum in response time at a sufficiently high field. We present results showing the dependency of this minimum upon spontaneous polarisation and the effect of AC bias. Calculations based upon the equation of motion of the director around the cone are presented which describe this effect and its dependence on the relative magnitudes of the spontaneous polarization and dielectric anisotropy of the material. Good agreement with the experimental results is found.     

MQW wavelength-tunable DBR lasers with monolithically integrated external cavity electroabsorption modulators with low-driving voltages fabricated by selective-area MOCVD

The design and operation of multiple-quantum-well (MQW) wavelength-tunable distributed Bragg reflector (DBR) InGaAs QW lasers with nonabsorbing gratings and monolithically integrated external cavity electroabsorption modulators fabricated by selective-area MOCVD are presented. Uncoated devices exhibit CW threshold currents as low as 10.5 mA with slope efficiencies of 0.21 W/A from the laser facet. Wavelength tuning of 7 nm is obtained by injection current heating of the DBR section. These devices also exhibit extinction ratios of 18 dB from the modulator facet at a low modulator bias of 1 V, when measured with a broad-area detector. When coupled to a singlemode fiber, these devices exhibited high extinction ratios of 40 dB at a modulator bias of 1.25 V.