Arbitrage Bounds for Prices of Weighted Variance Swaps

We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted variance swap along with super- and sub- replicating strategies which enforce them. We find that market quotes for variance swaps are surprisingly close to the model-free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi-infinite linear programming which we solve in detail. The upper bound is explicit. We work in a model-independent and probability-free setup. In particular we use and extend F\"ollmer's pathwise stochastic calculus. Appropriate notions of arbitrage and admissibility are introduced. This allows us to establish the usual hedging relation between the variance swap and the 'log contract' and similar connections for weighted variance swaps. Our results take form of a FTAP: we show that the absence of (weak) arbitrage is equivalent to the existence of a classical model which reproduces the observed prices via risk-neutral expectations of discounted payoffs.Comment: 25 pages, 4 figure

Toward Microstate Counting Beyond Large N in Localization and the Dual One-loop Quantum Supergravity

The topologically twisted index for ABJM theory with gauge group $U(N)_k \times U(N)_{-k}$ has recently been shown, in the large-$N$ limit, to reproduce the Bekenstein-Hawking entropy of certain magnetically charged asymptotically AdS$_4$ black holes. We numerically study the index beyond the large-$N$ limit and provide evidence that it contains a subleading logarithmic term of the form $-1/2\log N$. On the holographic side, this term naturally arises from a one-loop computation. However, we find that the contribution coming from the near horizon states does not reproduce the field theory answer. We give some possible reasons for this apparent discrepancy.Comment: 17 pages, 2 figures, discussion improve

Extreme events and event size fluctuations in biased random walks on networks

Random walk on discrete lattice models is important to understand various types of transport processes. The extreme events, defined as exceedences of the flux of walkers above a prescribed threshold, have been studied recently in the context of complex networks. This was motivated by the occurrence of rare events such as traffic jams, floods, and power black-outs which take place on networks. In this work, we study extreme events in a generalized random walk model in which the walk is preferentially biased by the network topology. The walkers preferentially choose to hop toward the hubs or small degree nodes. In this setting, we show that extremely large fluctuations in event-sizes are possible on small degree nodes when the walkers are biased toward the hubs. In particular, we obtain the distribution of event-sizes on the network. Further, the probability for the occurrence of extreme events on any node in the network depends on its 'generalized strength', a measure of the ability of a node to attract walkers. The 'generalized strength' is a function of the degree of the node and that of its nearest neighbors. We obtain analytical and simulation results for the probability of occurrence of extreme events on the nodes of a network using a generalized random walk model. The result reveals that the nodes with a larger value of 'generalized strength', on average, display lower probability for the occurrence of extreme events compared to the nodes with lower values of 'generalized strength'

A One-loop Test of Quantum Black Holes in Anti de Sitter Space

Within eleven dimensional supergravity we compute the logarithmic correction to the entropy of magnetically charged asymptotically AdS${}_4$ black holes with arbitrary horizon topology. We find perfect agreement with the expected microscopic result arising from the dual field theory computation of the topologically twisted index. Our result relies crucially on a particular limit to the extremal black hole case and clarifies some aspects of quantum corrections in asymptotically AdS spacetimes.Comment: 5 pages. V2: Presentation changed, PRL versio

Spectra of certain holographic ABJM Wilson loops in higher rank representations

The holographic configurations dual to Wilson loops in higher rank representations in the ABJM theory are described by branes with electric flux along their world volumes. In particular, D2 and D6 branes with electric flux play a central role as potential dual to totally symmetric and totally antisymmetric representations, respectively. We compute the spectra of excitations of these brane configurations in both, the bosonic and fermionic sectors. We highlight a number of aspects that distinguish these configurations from their D3 and D5 cousins including new peculiar mixing terms in the fluctuations. We neatly organize the spectrum of fluctuations into the corresponding supermultiplets

Compiling Esterel into Static Discrete-Event Code

Executing concurrent specifications on sequential hardware is important for both simulation of systems that are eventually implemented on concurrent hardware and for those most conveniently described as a set of concurrent processes. As with most forms of simulation, this is easy to do correctly but difficult to do efficiently. Solutions such as preemptive operating systems and discrete-event simulators present significant overhead. In this paper, we present a technique for compiling the concurrent language Esterel into very efficient C code. Our technique minimizes runtime overhead by making most scheduling decisions at compile time and using a very simple linked-list-based event queue at runtime. While these techniques work particularly well for Esterel with its high-level concurrent semantics, the same technique could also be applied to efficiently execute other concurrent specifications

HUBUNGAN PENINGKATAN BERAT BADAN FE4NGAN KONVERSI SPUTUM PADA PASIEN TUBERKULOSIS DI RSUDZA BANDA ACEH

ABSTRAKKonversi sputum pada fase awal pengobatan merupakan salah satu indikator awal keberhasilan terapi obat anti tuberkulosis (OAT). Nutrisi merupakan faktor penting yang juga mempengaruhi kesembuhan pasien tuberkulosis Penelitian ini bertujuan untuk mengetahui hubungan peningkatan berat badan dengan konversi sputum setelah fase awal pada pasien TB di Rumah Sakit Umum dr. Zainoel Abidin Banda Aceh (RSUDZA). Jenis penelitian yang digunakan adalah Cross sectional. Subjek penelitian terdiri atas 92 pasien tuberkulosis di poliklinik DOTS RSUDZA Banda Aceh yang diperoleh dengan metode total sampling terhitung dari Januari sampai dengan Desember 2013. Hasil penelitian dianalisis menggunakan uji statistik Fisher dengan Confident interval 95%. Hasil uji statistik menunjukkan p = 0,107 (p > 0,05) yang menunjukkan bahwa tidak ada hubungan antara peningkatan berat badan dengan konversi sputum pada penderita tuberkulosis yang telah mendapatkan OAT fase awal. Diharapkan adanya penelitian yang lebih lanjut mengenai hubungan nutrisi dengan konversi sputum dengan jumlah sampel yang lebih besar dan desain penelitian yang lebih baik. Kata Kunci : Tuberkulosis, Konversi sputum, Berat badan ABSTRACTSputum conversion at the initial phase of treatment is one of the early indicators of the success of anti-tuberculosis drug therapy (OAT). Nutrition is an important factor that also effects the recovery of tuberculosis patients The aim of this study was to determine the relationship of weight gain and sputum conversion after the initial phase of TB patients at the General Hospital dr. Zainoel Abidin Banda Aceh (RSUDZA). This research was cross sectional study. Subjects consisted of 92 outpatient DOTS tuberculosis in RSUDZA Banda Aceh obtained with total sampling method starting from January to December 2013. Results were analyzed using Fisher test with 95% confident interval. Statistical test results p= 0,107 (p > 0,05) that showed there is no association between increased weight to conversion of sputum in patients with tuberculosis who have earned OAT initial phase, It is expected that the presence of further reaserh on the relationship of nutrition with sputum convertion with a larger number of sampel and design better research. Keywords: Tuberculosis, Sputum conversion, Weight los

Implementation of Artificial Bee Colony Algorithm

Evolutionary algorithm is a stochastic search method that mimics the natural biological evolution and the social behavior of species. Artificial bee colony algorithm is also a kind of evolutionary algorithm which was proposed by Dervis karaboga in 2005.Such algorithms have been developed to arrive at near-optimum solutions of multimodal optimization problems, which may not be possible with traditional algorithms. This paper describes implementation of ABC algorithm on complex benchmark functions like rastrigin, rosenbrock; sphere and schwefel the analysis of the performance of ABC algorithm were compared for the optimization of above benchmark functions with Partical Swarm Optimization (PSO). The ABC algorithm was successfully implemented in software tool ‘c’.DOI: http://dx.doi.org/10.11591/ij-ai.v1i3.58

Sexual Behavior, Pregnancy, and Schooling Among Young People in Urban South Africa

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/74879/1/j.1728-4465.2008.00180.x.pd

Effect of diagonal path on the physical properties of compact and conventional ring yarn

Effect of diagonal path on the physical properties of compact and conventional ring yarns has been investigated. The compact and conventional ring yarns have been spun using three completely different paths in the ring frame, like normal path, right diagonal path and left diagonal path. The yarn spun by the left diagonal path has an additional advantage over the other two paths for both conventional ring yarn and compact yarn in terms of yarn hairiness, yarn evenness, tenacity, elongation and breaking force