Hedging Entry and Exit Decisions: Activating and Deactivating Barrier Options

Investment projects and businesses can be entered or exited at a cost, and the theory of real option teaches us how to find optimal activity levels that should trigger entry or exit. However, in practice, different managers or owners operate under different constraints and might apply different thresholds to the same business. We are interested in the hedging of the risk related to the cost of sub-optimal entry or exit. We introduce a new class of derivative products that can hedge this risk. The pricing of these derivatives involves the joint law of a Brownian excursion and its supremum, which is calculated thanks to Bessel processes-related distribution laws.     

Theory of relaxed density matrices: Application to second-order response properties

The evaluation of second derivatives of the electronic energy for nonvariational wave functions using an energy functional is discussed. It is shown that, in certain cases, the formation of the first-order relaxed density matrix leads to an efficient algorithm for the calculation of second-order response properties. Detailed formulas are given for second-order Møller–Plesset perturbation theory. © 1994 John Wiley & Sons, Inc.     

AGE method simulations of a turbulent far‐wake compared to spectral DNS

Turbulent flow simulation methods based on finite differences are attractive for their simplicity, flexibility and efficiency, but not always for accuracy or stability. This paper demonstrates that a good compromise is possible with the advected grid explicit (AGE) method. Starting from the same initial field as a previous spectral DNS, AGE method simulations of a planar turbulent wake were carried out as DNS, and then at three levels of reduced resolution. The latter cases were in a sense large‐eddy simulations (LES), although no specific sub‐grid‐scale model was used. Results for the two DNS methods, including variances and power spectra, were very similar, but the AGE simulation required much less computational effort. Small‐scale information was lost in the reduced resolution runs, but large‐scale mean and instantaneous properties were reproduced quite well, with further large reductions in computational effort. Quality of results becomes more sensitive to the value chosen for one of the AGE method parameters as resolution is reduced, from which it is inferred that the numerical stability procedure controlled by the parameter is acting in part as a sub‐grid‐scale model. Copyright © 2002 John Wiley & Sons, Ltd.     

Aberrations theory of a time dependent magnetic field lens

We analyze new forms of aberrations affecting a time dependent magnetic field lens recently proposed. The lens consist of an axially symmetric ellipsoidal solenoid producing a spatially uniform but time pulsating homogeneous field. The dynamics of electrons emitted by some object and injected into this coil shows that this system is capable of focusing a parallel beam or produce images free of geometrical aberrations. The cardinal elements of this lens change periodically in positions and therefore to obtain a stationary image it is necessary to employ a chopped electron beam. Two forms of aberrations originate from the finite duration of the electron pulse and the energy dispersion of the incoming beam (chromatic aberration). Their image degradation effects are quite similar and result from recording different axially displaced images at some fixed stationary plane. We show how, by adjusting the parameters characterizing the magnetic pulse and introducing small apertures that increase the depth of focus, their effects can be reduced or in some cases eliminated. Other forms of instrumental aberrations characteristic of this time dependent magnetic field lens are briefly discussed.     

Magnetic properties of oxygenated carbon nitride films from RF-discharge in an acetylene, nitrogen, and oxygen mixture environments

Properties of oxygenated carbon nitride films have attracted the attention of physics researchers due to their magnetic and physical properties, as well as for their usefulness in the industry. The free radicals were investigated using electron paramagnetic resonance applied in the study of spin concentration due to the different mechanism of preparation of carbon nitride films by RF-discharge with different kinds of plasma. Unpaired spin concentrations, in the order of 10²⁰ per cm³, were measured and their time recombination dependency was important in those films. The films were grown by plasma enhanced chemical vapor deposition using mixtures of hydrocarbons, N₂ and O₂ in different proportions.     

On the critical exponents of random k‐SAT

There has been much recent interest in the satisfiability of random Boolean formulas. A random k‐SAT formula is the conjunction of m random clauses, each of which is the disjunction of k literals (a variable or its negation). It is known that when the number of variables n is large, there is a sharp transition from satisfiability to unsatisfiability; in the case of 2‐SAT this happens when m/n → 1, for 3‐SAT the critical ratio is thought to be m/n ≈ 4.2. The sharpness of this transition is characterized by a critical exponent, sometimes called ν = ν_k (the smaller the value of ν the sharper the transition). Experiments have suggested that ν₃ = 1.5 ± 0.1. ν₄ = 1.25 ± 0.05, ν₅ = 1.1 ± 0.05, ν₆ = 1.05 ± 0.05, and heuristics have suggested that ν_k → 1 as k → ∞. We give here a simple proof that each of these exponents is at least 2 (provided the exponent is well defined). This result holds for each of the three standard ensembles of random k‐SAT formulas: m clauses selected uniformly at random without replacement, m clauses selected uniformly at random with replacement, and each clause selected with probability p independent of the other clauses. We also obtain similar results for q‐colorability and the appearance of a q‐core in a random graph. © 2002 Wiley Periodicals, Inc. Random Struct. Alg., 21: 182–195, 2002     

The auction algorithm for the transportation problem

The auction algorithm is a parallel relaxation method for solving the classical assignment problem. It resembles a competitive bidding process whereby unassigned persons bid simultaneously for objects, thereby raising their prices. Once all bids are in, objects are awarded to the highest bidder. This paper generalizes the auction algorithm to solve linear transportation problems. The idea is to convert the transportation problem into an assignment problem, and then to modify the auction algorithm to exploit the special structure of this problem. Computational results show that this modified version of the auction algorithm is very efficient for certain types of transportation problems.     

Partially isometric dilations of noncommuting -tuples of operators

Given a row contraction of operators on a Hilbert space and a family of projections on the space that stabilizes the operators, we show there is a unique minimal joint dilation to a row contraction of partial isometries that satisfy natural relations. For a fixed row contraction the set of all dilations forms a partially ordered set with a largest and smallest element. A key technical device in our analysis is a connection with directed graphs. We use a Wold decomposition for partial isometries to describe the models for these dilations, and we discuss how the basic properties of a dilation depend on the row contraction.