Valuation formulae for window barrier options

In this paper we study window barrier options, where a single constant continuously-monitored barrier prevails for a period that commences strictly after the start date of the option and terminates strictly before expiry. We determine valuation formulae within a limited deterministic term-structure in terms of trivariate normal distribution functions. These formulae offer a generalization of the valuation formulae for partial barrier options given by Heynan and Kat.     

Explicit Betti numbers for a family of nilpotent Lie algebras

Betti numbers for the Heisenberg Lie algebras were calculated by Santharoubane in his 1983 paper. However few other examples have appeared in the literature. In this note we give the Betti numbers for a family of -dimensional 2-step nilpotent extensions of by .

     

A Constraint Programming Approach to Extract the Maximum Number of Non-Overlapping Test Forms

This paper introduces a novel approach for extracting the maximum number of non-overlapping test forms from a large collection of overlapping test sections assembled from a given item bank. The approach involves solving maximum set packing problems (MSPs). A branch-and-bound MSP algorithm is developed along with techniques adapted from constraint programming to estimate lower and upper bounds on the optimal MSP solution. The algorithm is general and can be applied in other applications including combinatorial auctions. The results of computer simulations and experiments with an operational item bank are presented. An erratum to this article is available at .     

Testing the reliability of non-LTE spectroscopic models for complex ions

Collisional-radiative atomic models are widely used to help diagnose experimental plasma conditions through fitting and interpreting measured spectra. Here we present the results of a code comparison in which a variety of models determined plasma temperatures and densities by finding the best fit to an experimental L-shell Kr spectrum from a well characterized, but not benchmarked, laser plasma. While variations in diagnostic strategies and qualities of fit were significant, the results generally confirmed the typically quoted uncertainties for such diagnostics of ±20% in electron temperature and factors of about two in density. The comparison also highlighted some model features important for spectroscopic diagnostics: fine structure was required to match line positions and relative intensities within each charge state and for density diagnostics based on emission from metastable states; an extensive configuration set was required to fit the wings of satellite features and to reliably diagnose the temperature through the inferred charge state distribution; and the inclusion of self-consistent opacity effects was an important factor in the quality of the fit.     

Prospective teachers anticipate challenges fostering the mathematical practice of making sense

Problem solving has long been a priority in mathematics education, and the first Common Core mathematical practice (SMP1) focuses on this priority through the language of “Make sense of problems and persevere in solving them.” We present findings from a survey about how prospective elementary teachers' (PTs) make sense of potential difficulties with fostering SMP1. Findings suggested that PTs' common anticipated difficulties relate to planning a solution pathway and self monitoring whether the solution makes sense. Moreover, a third of PTs disclosed that their anticipated difficulties are linked to their own personal struggles with aspects of SMP1. An alternative interpretation of SMP1 surfaced in which a small number of PTs described SMP1 as necessitating that a teacher teach multiple solution methods to students, instead of engaging students in productive struggle to develop their own strategies. We present a framework illustrating the connections between SMP 1 and Pólya's problem solving phases, and we discuss how these findings connect to and build on previous research of PTs' experiences with problem solving. We offer implications for the targeted support needed in teacher preparation programs to address these struggles, to prevent them from being replicated in their students.     

Ambient connections realising conformal Tractor holonomy

For a conformal manifold we introduce the notion of an ambient connection, an affine connection on an ambient manifold of the conformal manifold, possibly with torsion, and with conditions relating it to the conformal structure. The purpose of this construction is to realise the normal conformal Tractor holonomy as affine holonomy of such a connection. We give an example of an ambient connection for which this is the case, and which is torsion free if we start the construction with a C-space, and in addition Ricci-flat if we start with an Einstein manifold. Thus, for a C-space this example leads to an ambient metric in the weaker sense of Čap and Gover, and for an Einstein space to a Ricci-flat ambient metric in the sense of Fefferman and Graham. Current address for first author: Erwin Schr?dinger International Institute for Mathematical Physics (ESI), Boltzmanngasse 9, 1090 Vienna, Austria Current address for second author: Department of Mathematics, University of Hamburg, Bundesstra?e 55, 20146 Hamburg, Germany     

Composite Likelihood Inference in a Discrete Latent Variable Model for Two-Way “Clustering-by-Segmentation” Problems

We consider a discrete latent variable model for two-way data arrays, which allows one to simultaneously produce clusters along one of the data dimensions (e.g., exchangeable observational units or features) and contiguous groups, or segments, along the other (e.g., consecutively ordered times or locations). The model relies on a hidden Markov structure but, given its complexity, cannot be estimated by full maximum likelihood. Therefore, we introduce a composite likelihood methodology based on considering different subsets of the data. The proposed approach is illustrated by simulation, and with an application to genomic data.