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.     

A novel approach to the acoustic characterisation of porous road surfaces

Porous road surfaces offer an effective means of reducing the generation and propagation of noise from road traffic. However, the porosity of these surfaces can deteriorate over time, leading to a reduction in their noise reducing properties. Efficient methods are therefore required for monitoring this performance. Existing techniques for performing in-situ measurements of acoustic absorption are unsuitable for use within the traffic stream. Static measurements using time domain Maximum Length Sequence (MLS) based techniques have been demonstrated to offer advantages over traditional techniques, presenting the opportunity for measurements under dynamic conditions. This paper describes the design of a system for carrying out dynamic MLS-based measurements. Results are presented which demonstrate that stable dynamic measurements can be carried out at speeds of up to 30 km/h.     

Electronic structure of Ti metal and TiO2 powder studied by hard and soft (Cu Kα1 and Al Kα1) X-ray photoelectron and Auger spectroscopy

High-energy X-ray photoelectron spectroscopy (XPS) is of particular importance for minimizing the effects of surface contamination by increasing photoelectron escape depths. In this study high-resolution high-energy Cu Kα₁ and soft Al Kα₁ XPS and Auger electron spectroscopy were used to compare the electronic structure of Ti in TiO₂ powder and Ti metal. The Ti 1s in TiO₂ XPS line is narrower and more symmetric than in Ti metal. A comparison of the relative intensities of the L₂₃M₂₃M₄₅ and L₂₃M₂₃M₂₃ Auger transitions in Ti metal and TiO₂ is consistent with the expected transfer of Ti 3d electrons away from the Ti site in the oxide. The satellites accompanying the Ti 1s XPS line excited by Cu Kα₁ X-rays occur at the same energies as the satellites accompanying the Ti 2s and 2p XPS lines excited by Al Kα₁ X-rays indicating that they do not depend on the core-level, the experimental resolution or inelastic scattering processes.     

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.     

The two-dimensional quantum Euclidean algebra

The algebra dual to Woronowicz's deformation of the two-dimensional Euclidean group is constructed. The same algebra is obtained from SU _q (2) via contraction on both the group and algebra levels.     

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.     

Magnetoresistance of Fe3O4/Au/Fe3O4 and Fe3O4/Au/Fe spin-valve structures

A detailed study of the in-plane magnetotransport properties of spin valves with one and two Fe₃O₄ electrodes is presented. Fe₃O₄/Au/Fe₃O₄ spin valves exhibit a clear anisotropic magnetoresistance in small magnetic fields but no giant magnetoresistance (GMR). The absence of GMR in these structures is due to simultaneous magnetization reversal in the two Fe₃O₄ layers. By contrast, a negative GMR effect is measured on Fe₃O₄/Au/Fe spin valves. The negative GMR is attributed to an electron spin scattering asymmetry at the Fe₃O₄/Au interface or an induced spin scattering asymmetry in the Au interfacial layers.     

Methods in carbon K-edge NEXAFS: Experiment and analysis

Near-edge X-ray absorption spectroscopy (NEXAFS) is widely used to probe the chemistry and structure of surface layers. Moreover, using ultra-high brilliance polarised synchrotron light sources, it is possible to determine the molecular alignment of ultra-thin surface films. However, the quantitative analysis of NEXAFS data is complicated by many experimental factors and, historically, the essential methods of calibration, normalisation and artefact removal are presented in the literature in a somewhat fragmented manner, thus hindering their integrated implementation as well as their further development. This paper outlines a unified, systematic approach to the collection and quantitative analysis of NEXAFS data with a particular focus upon carbon K-edge spectra. As a consequence, we show that current methods neglect several important aspects of the data analysis process, which we address with a combination of novel and adapted techniques. We discuss multiple approaches in solving the issues commonly encountered in the analysis of NEXAFS data, revealing the inherent assumptions of each approach and providing guidelines for assessing their appropriateness in a broad range of experimental situations.