Pricing, Risk and Volatility in Subordinated Market Models

We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results on option pricing in subordinated market models, we establish several analytical formulas for market sensitivities and portfolio performance in this class of models, and discuss some useful approximations when options are not far from the money. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier techniques.

The SUrvey for pulsars and extragalactic radio bursts V: recent discoveries and full timing solutions

ABSTRACT The SUrvey for Pulsars and Extragalactic Radio Bursts ran from 2014 April to 2019 August, covering a large fraction of the Southern hemisphere at mid- to high-galactic latitudes and consisting of 9-min pointings taken with the 20-cm multibeam receiver on the Parkes Radio Telescope. Data up to 2017 September 21 have been searched using standard Fourier techniques, single-pulse searches, and Fast Folding Algorithm searches. We present 19 new discoveries, bringing the total to 27 discoveries in the programme, and we report the results of follow-up timing observations at Parkes for 26 of these pulsars, including the millisecond pulsar PSR J1421−4409; the faint, highly modulated, slow pulsar PSR J1646−1910; and the nulling pulsar PSR J1337−4441. We present new timing solutions for 23 pulsars, and we report flux densities, modulation indices, and polarization properties.

A New Method for Deriving Soliton Design Criteria

A new method for deriving extreme soliton current criteria for offshore engineering applications is described. The primary data source was site specific measurement close to the continental shelf break where metocean criteria were required. A dedicated oceanographic mooring was designed to quantify solitons, with rapidly sampled measurement of seawater temperature and velocities through the vertical. As described in two previous OMAE papers, quantification of soliton velocity profiles was achieved via temperature measurement and theory, with measured velocities playing a secondary role in critical validation. The previous methodology was extended in the present study, with separate contributions quantified from variations in soliton amplitude and water column density structure. The nonlinear Fourier techniques first described in OMAE 2017 were again used to reduce uncertainty in estimates of extreme soliton amplitude. In a new development, the long-term distribution of the density structure contribution was quantified using a calibrated hindcast of seawater temperature. Extreme conditions were defined at the boundary of a MITgcm model domain. This sophisticated model was then used to estimate extreme soliton velocities, through the water column and a few metres above the seabed, at a wide range of shallower target locations.

Deconvolution of instrument andKα2contributions from X-ray powder diffraction patterns using nonlinear least squares with penalties

A new deconvolution method, tolerant of noise and independent of knowing the number of Bragg peaks present, has been developed to deconvolute instrument and emission profile distortions from laboratory X-ray powder diffraction patterns. Removing these distortions produces higher-resolution patterns from which the existence of peaks and their shapes can be better determined. Deconvolution typically comprises the use of the convolution theorem to generate a single aberration from instrument and emission profile aberrations and then the Stokes method to deconvolute the resulting aberration from the measured data. These Fourier techniques become difficult when the instrument function changes with diffraction angle and when the signal-to-noise ratio is low. Instead of Fourier techniques, the present approach uses nonlinear least squares incorporating penalty functions, as implemented in the computer programTOPAS-Academic. Specifically, diffraction peaks are laid down at each data point with peak shapes corresponding to either expected peak shapes or peak shapes narrower than expected; a background function is included. Peak intensities and background parameters are then adjusted to obtain the best fit to the diffraction pattern. Rietveld refinement of the deconvoluted pattern results in background parameters that are near identical to those obtained from Rietveld refinement of the original pattern. Critical to the success of the deconvolution procedure are two penalty functions, one a function of the background parameters and the other a function of the peak intensities. Also of importance is the use of a conjugate gradient solution method for solving the matrix equationAx=b.