1. Introduction Hydrogen diffusion in Laves-phase intermetallic compounds AB 2 shows a number of interesting features including high H mobility down to low temperatures, unusual isotope effects, and a coexistence of two frequency scales of H jump motion [1]. For the cubic (C15-type) Laves phases, the microscopic picture of H jumps and the systematics of the two frequency scales of H motion are ...

URL: www.thejournalofcomputationalfinance.com This paper develops formulas for pricing caps and swaptions in Libor market models with jumps. The arbitrage-free dynamics of this class of models were characterized in Glasserman and Kou (2003) in a framework allowing for very general jump processes. For computational purposes, it is convenient to model jump times as Poisson processes; however, the...

Using molecular-dynamics simulation, we calculate the distribution of atomic jumps in Cu33Zr67 in the liquid and glassy states. In both states the distribution of jump lengths can be described by a temperatureindependent exponential of the length and an effective activation energy plus a contribution of elastic displacements at short distances. Upon cooling the contribution of shorter jumps dom...

In this paper, we show that the calibration to an implied volatility surface and the pricing of contingent claims can be as simple in a jump-diffusion framework as in a diffusion one. Indeed, after defining the jump densities as those of diffusions sampled at independent and exponentially distributed random times, we show that the forward and backward Kolmogorov equations can be transformed int...

This research analyzes trading strategies with derivatives when there are several assets and risk factors. We investigate portfolio improvement if investors have full and partial access to the derivatives markets, i.e. situations in which derivatives are written on some but not all stocks or risk factors traded on the market. The focus is on markets with jump risk. In these markets the choice o...

We consider a class of jump-diffusion processes, constrained to a polyhedral cone G ⊂ IRn, where the constraint vector field is constant on each face of the boundary. The constraining mechanism corrects for “attempts” of the process to jump outside the domain. Under Lipschitz continuity of the Skorohod map Γ, it is known that there is a cone C such that the image Γφ of a deterministic linear tr...