Definition and testing of the hydrologic component of the pilot land data system

The specific aim was to develop within the Pilot Land Data System (PLDS) software design environment, an easily implementable and user friendly geometric correction procedure to readily enable the georeferencing of imagery data from the Advanced Very High Resolution Radiometer (AVHRR) onboard the NOAA series spacecraft. A software subsystem was developed within the guidelines set by the PLDS development environment utilizing NASA Goddard Space Flight Center (GSFC) Image Analysis Facility's (IAF's) Land Analysis Software (LAS) coding standards. The IAS current program development environment, the Transportable Applications Executive (TAE), operates under a VAX VMS operating system and was used as the user interface. A brief overview of the ICARUS algorithm that was implemented in the set of functions developed, is provided. The functional specifications decription is provided, and a list of the individual programs and directory names containing the source and executables installed in the IAF system are listed. A user guide is provided for the LAS system documentation format for the three functions developed

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound

Magnetic and structural properties of GeMn films: precipitation of intermetallic nanomagnets

We present a comprehensive study relating the nanostructure of Ge_0.95Mn_0.05 films to their magnetic properties. The formation of ferromagnetic nanometer sized inclusions in a defect free Ge matrix fabricated by low temperature molecular beam epitaxy is observed down to substrate temperatures T_S as low as 70 deg. Celsius. A combined transmission electron microscopy (TEM) and electron energy-loss spectroscopy (EELS) analysis of the films identifies the inclusions as precipitates of the ferromagnetic compound Mn_5Ge_3. The volume and amount of these precipitates decreases with decreasing T_S. Magnetometry of the films containing precipitates reveals distinct temperature ranges: Between the characteristic ferromagnetic transition temperature of Mn_5Ge_3 at approximately room temperature and a lower, T_S dependent blocking temperature T_B the magnetic properties are dominated by superparamagnetism of the Mn_5Ge_3 precipitates. Below T_B, the magnetic signature of ferromagnetic precipitates with blocked magnetic moments is observed. At the lowest temperatures, the films show features characteristic for a metastable state.Comment: accepted for publication in Phys. Rev. B 74 (01.12.2006). High resolution images ibide

Eroding market stability by proliferation of financial instruments

We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and complete. In the simple market of interacting traders discussed here, the proliferation of financial instruments erodes systemic stability and it drives the market to a critical state characterized by large susceptibility, strong fluctuations and enhanced correlations among risks. This suggests that the hypothesis of APT may not be compatible with a stable market dynamics. In this perspective, market stability acquires the properties of a common good, which suggests that appropriate measures should be introduced in derivative markets, to preserve stability.Comment: 26 pages, 8 figure

Non-relativistic metrics from back-reacting fermions

It has recently been pointed out that under certain circumstances the back-reaction of charged, massive Dirac fermions causes important modifications to AdS_2 spacetimes arising as the near horizon geometry of extremal black holes. In a WKB approximation, the modified geometry becomes a non-relativistic Lifshitz spacetime. In three dimensions, it is known that integrating out charged, massive fermions gives rise to gravitational and Maxwell Chern-Simons terms. We show that Schrodinger (warped AdS_3) spacetimes exist as solutions to a gravitational and Maxwell Chern-Simons theory with a cosmological constant. Motivated by this, we look for warped AdS_3 or Schrodinger metrics as exact solutions to a fully back-reacted theory containing Dirac fermions in three and four dimensions. We work out the dynamical exponent in terms of the fermion mass and generalize this result to arbitrary dimensions.Comment: 26 pages, v2: typos corrected, references added, minor change

Entangled Dilaton Dyons

Einstein-Maxwell theory coupled to a dilaton is known to give rise to extremal solutions with hyperscaling violation. We study the behaviour of these solutions in the presence of a small magnetic field. We find that in a region of parameter space the magnetic field is relevant in the infra-red and completely changes the behaviour of the solution which now flows to an $AdS_2\times R^2$ attractor. As a result there is an extensive ground state entropy and the entanglement entropy of a sufficiently big region on the boundary grows like the volume. In particular, this happens for values of parameters at which the purely electric theory has an entanglement entropy growing with the area, $A$, like $A \log(A)$ which is believed to be a characteristic feature of a Fermi surface. Some other thermodynamic properties are also analysed and a more detailed characterisation of the entanglement entropy is also carried out in the presence of a magnetic field. Other regions of parameter space not described by the $AdS_2\times R^2$ end point are also discussed.Comment: Some comments regarding comparison with weakly coupled Fermi liquid changed, typos corrected and caption of a figure modifie

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities, an equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information-based asset pricing are used to model the endogenous asset price dynamics and the terminal payoff. The derived semi-explicit pricing formulae are applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of simultaneously-traded European-style options.Comment: 24 pages, 4 figure

Systemic Risk and Default Clustering for Large Financial Systems

As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and computational tools for the quantification of such phenomena. Limiting analysis such as law of large numbers and central limit theorems allow to approximate the distribution in large systems and study quantities such as the loss distribution in large portfolios. Large deviations analysis allow us to study the tail of the loss distribution and to identify pathways to default clustering. Sensitivity analysis allows to understand the most likely ways in which different effects, such as contagion and systematic risks, combine to lead to large default rates. Such results could give useful insights into how to optimally safeguard against such events.Comment: in Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015