The paper considers a Black and Scholes economy with constant coefficients. A contingent claim is said to be simple if the payoff at maturity is a function of the value of the underlying security at maturity. To replicate a simple contingent claim one uses so called delta-hedging, and the well-known strategy is derived from Itô calculus and the theory of partial differentiable equations. However,

In this article we apply the Flesaker–Hughston approach to invert the yield curve and to price various options by letting the randomness in the economy be driven by a process closely related to the short rate, called the abstract short rate. This process is a pure deterministic translation of the short rate itself, and we use the deterministic shift to calibrate the models to the initial yield cur

This paper formally analyses two exotic options with lookback features, referred to as extreme spread lookback options and look‐barrier options, first introduced by Bermin. The holder of such options receives partial protection from large price movements in the underlying, but at roughly the cost of a plain vanilla contract. This is achieved by increasing the leverage through either floating the s

There exists a non-closed formula for the American put option price and non-trivial computations are required to solve it. Strong efforts have been made to propose efficient numerical techniques but few have strong mathematical reasoning to ascertain why they work well. We present an extension of the American put price aiming to catch weaknesses of the numerical methods based on their non-fulfillm

In this paper, we show how to construct dynamic forward rate models in terms of exogenously specified eigenfunctions (or factor loadings). We also show how to link forward rate models with different number of driving Brownian motions to each other in a way consistent with the implied eigenfunctions. Finally, we discuss how to best parameterize the models in the sense of maximizing the number of fr

Coincidence and time-of-flight measurement techniques are employed to tag fission neutrons emitted from a 252Cf source sealed on one side with a very thin layer of Au. The source is positioned within a gaseous 4He scintillator detector. Together with α particles, both light and heavy fission fragments pass through the thin layer of Au and are detected. The fragments enable the corresponding fissio

Untagged gamma-ray and tagged-neutron yields from 241AmBe and 238PuBe mixed-field sources have been measured. Gamma-ray spectroscopy measurements from 1 to 5 MeV were performed in an open environment using a CeBr3 detector and the same experimental conditions for both sources. The shapes of the distributions are very similar and agree well with previous data. Tagged-neutron measurements from 2 to

The objective of this study was to investigate the correlation between local myocardial function estimates from CT and myocardial strain from tagged MRI in the same heart. Accurate detection of regional myocardial dysfunction can be an important finding in the diagnosis of functionally significant coronary artery disease. Tagged MRI is currently a reference standard for noninvasive regional myocar

AIMS: Cardiovascular magnetic resonance (CMR) imaging can measure the myocardial area at risk (AAR), but the technique has received criticism for inadequate validation. CMR commonly depicts an AAR that is wider than the infarct, which in turn would require a lateral perfusion gradient within the AAR. We investigated the presence of a lateral perfusion gradient within the AAR and validated CMR meas

Metal ion catalyzed autoxidation of of aqueous sulfur dioxide in atmospheric droplets is an important pathway for the total oxidation of sulfur dioxide in the atmosphere and for formation of acid rain. This paper presents a summary of the results obtained for the Mn(II/III) catalyzed oxidation of SO2(aq).

We present a theoretical study of the electronic structures of freestanding nanowires made from gallium phosphide (GaP) - a III-V semiconductor with an indirect bulk bandgap. We consider [001]-oriented GaP nanowires with square and rectangular cross sections, and [111]-oriented GaP nanowires with hexagonal cross sections. Based on tight binding models, both the band structures and wave functions o

We investigated the role of attention and executive control in rhythmic timing, using a dual-task paradigm. The main task was a finger tapping task in which participants were asked to tap their index finger in time with metronome sequences. The tempo of the sequences ranged from 600 ms to 3000 ms between each beat. The distractor task, chosen so as to engage executive control processes, was a nove

Cartilage is a poroelastic material for which application of load leads to fluid flow within and out from the porous solid matrix. The redistribution of fluids is a major factor in determining the mechanical properties and friction coefficients, which consequently depend in a complex way on the details of the load history and geometry. Although current poroelastic models for cartilage generally ag