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.     

Papieruntersuchung

Analytical and Bioanalytical Chemistry -     

Globally Linked Pairs of Vertices in Equivalent Realizations of Graphs

A two-dimensional framework (G,p) is a graph G = (V,E) together with a map p: V → ℝ². We view (G,p) as a straight line realization of G in ℝ². Two realizations of G are equivalent if the corresponding edges in the two frameworks have the same length. A pair of vertices {u,v} is globally linked in G if %and for all equivalent frameworks (G,q), the distance between the points corresponding to u and v is the same in all pairs of equivalent generic realizations of G. The graph G is globally rigid if all of its pairs of vertices are globally linked. We extend the characterization of globally rigid graphs given by the first two authors [13] by characterizing globally linked pairs in M-connected graphs, an important family of rigid graphs. As a byproduct we simplify the proof of a result of Connelly [6] which is a key step in the characterization of globally rigid graphs. We also determine the number of distinct realizations of an M-connected graph, each of which is equivalent to a given generic realization. Bounds on this number for minimally rigid graphs were obtained by Borcea and Streinu in [3].     

Completely Simple Semigroups,Lie Algebras,and the Road Coloring Problem

Consider a semigroup generated by matrices associated with an edge-coloring of a strongly connected, aperiodic digraph. We call the semigroup Lie-solvable if the Lie algebra generated by its elements is solvable. We show that if the semigroup is Lie-solvable then its kernel is a right group. Next, we study the Lie algebra generated by the kernel. Lie algebras generated by two idempotents are analyzed in detail. We find that these have homomorphic images that are generalized quaternion algebras. We show that if the kernel is not a direct product, then the Lie algebra generated by the kernel is not solvable by describing the structure of these algebras. Finally, we discuss an infinite class of examples that are shown to always produce strongly connected aperiodic digraphs having kernels that are not right groups.     

Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models

This paper examines the performance of Commodity Trading Advisors (CTAs) using fixed and variable benchmarking models. In order to avoid the troublesome passive and active commodity and managed futures benchmarks (indices) when examining the performance of CTAs, we innovate by using data envelopment analysis (DEA). Because this alternative class has non-linear returns due to long/short positions, and derivatives (i.e., dynamic trading strategies), DEA can alleviate the problems usually associated with these indices. The effectiveness of using benchmarking models in a DEA setting will provide investors with an alternative technique in assessing the performance and identifying efficient CTAs.     

3D molecular imaging SIMS

Thin monolayer and bilayer films of spin cast poly(methyl methacrylate) (PMMA), poly(2-hydroxyethyl methacrylate) (PHEMA), poly(lactic) acid (PLA) and PLA doped with several pharmaceuticals have been analyzed by dynamic SIMS using SF₅⁺ polyatomic primary ion bombardment. Each of these systems exhibited minimal primary beam-induced degradation under cluster ion bombardment allowing molecular depth profiles to be obtained through the film. By combing secondary ion imaging with depth profiling, three-dimensional molecular image depth profiles have been obtained from these systems. In another approach, bevel cross-sections are cut in the samples with the SF₅⁺ primary ion beam to produce a laterally magnified cross-section of the sample that does not contain the beam-induced damage that would be induced by conventional focussed ion beam (FIB) cross-sectioning. The bevel surface can then be examined using cluster SIMS imaging or other appropriate microanalysis technique.     

Discovery and frequency measurement of short-wavelength far-infrared laser emissions from optically pumped <Superscript>13</Superscript>CD<Subscript>3</Subscript>OH and CHD<Subscript>2</Subscript>OH

A three-laser heterodyne system was used to measure the frequencies of twelve previously observed far-infrared laser emissions from the partially deuterated methanol isotopologues ¹³CD₃OH and CHD₂OH. Two laser emissions, a 53.773 μm line from ¹³CD₃OH and a 74.939 μm line from CHD₂OH, have also been discovered and frequency measured. The CO₂ pump laser offset frequency was measured with respect to its center frequency for twenty-four FIR laser emissions from CH₃OH, ¹³CD₃OH and CHD₂OH. PACS 07.57.Hm; 42.55.Lt; 42.62.Eh