Consistency of option prices under bid-ask spreads.

Given a finite set of European call option prices on a single underlying, we want to know when there is a market model that is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a bid-ask spread. The main question then is how large (in terms of a deterministic bound) this spread must be to explain the given prices. We fully solve this problem in the case of a single maturity, and give several partial results for multiple maturities. For the latter, our main mathematical tool is a recent result on approximation by peacocks.

Option pricing in the moderate deviations regime.

We consider call option prices close to expiry in diffusion models, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money and out-of-the-money regimes. First and higher order small-time moderate deviation estimates of call prices and implied volatilities are obtained. The expansions involve only simple expressions of the model parameters, and we show how to calculate them for generic local and stochastic volatility models. Some numerical computations for the Heston model illustrate the accuracy of our results.

Anisotropic two-dimensional electron gas at SrTiO3(110).

Two-dimensional electron gases (2DEGs) at oxide heterostructures are attracting considerable attention, as these might one day substitute conventional semiconductors at least for some functionalities. Here we present a minimal setup for such a 2DEG--the SrTiO3(110)-(4 × 1) surface, natively terminated with one monolayer of tetrahedrally coordinated titania. Oxygen vacancies induced by synchrotron radiation migrate underneath this overlayer; this leads to a confining potential and electron doping such that a 2DEG develops. Our angle-resolved photoemission spectroscopy and theoretical results show that confinement along (110) is strikingly different from the (001) crystal orientation. In particular, the quantized subbands show a surprising "semiheavy" band, in contrast with the analog in the bulk, and a high electronic anisotropy. This anisotropy and even the effective mass of the (110) 2DEG is tunable by doping, offering a high flexibility to engineer the properties of this system.

Well-Ordered In Adatoms at the In_{2}O_{3}(111) Surface Created by Fe Deposition.

Metal deposition on oxide surfaces usually results in adatoms, clusters, or islands of the deposited material, where defects in the surface often act as nucleation centers. Here an alternate configuration is reported. After the vapor deposition of Fe on the In_{2}O_{3}(111) surface at room temperature, ordered adatoms are observed with scanning tunneling microscopy. These are identical to the In adatoms that form when the sample is reduced by heating in ultrahigh vacuum. Density functional theory calculations confirm that Fe interchanges with In in the topmost layer, pushing the excess In atoms to the surface where they arrange as a well-ordered adatom array.

Stoichiometry-driven switching between surface reconstructions on SrTiO3(001).

Controlling the surface structure on the atomic scale is a major difficulty for most transition metal oxides; this is especially true for the ternary perovskites. The influence of surface stoichiometry on the atomic structure of the SrTiO3(001) surface was examined with scanning tunneling microscopy, low-energy electron diffraction, low-energy He+ ion scattering (LEIS), and X-ray photoelectron spectroscopy (XPS). Vapor deposition of 0.8 monolayer (ML) strontium and 0.3 ML titanium, with subsequent annealing to 850 °C in 4 × 10- 6 mbar O2, reversibly switches the surface between c(4 × 2) and (2 × 2) reconstructions, respectively. The combination of LEIS and XPS shows a different stoichiometry that is confined to the top layer. Geometric models for these reconstructions need to take into account these different surface compositions.

Influence of surface atomic structure demonstrated on oxygen incorporation mechanism at a model perovskite oxide.

Perovskite oxide surfaces catalyze oxygen exchange reactions that are crucial for fuel cells, electrolyzers, and thermochemical fuel synthesis. Here, by bridging the gap between surface analysis with atomic resolution and oxygen exchange kinetics measurements, we demonstrate how the exact surface atomic structure can determine the reactivity for oxygen exchange reactions on a model perovskite oxide. Two precisely controlled surface reconstructions with (4 × 1) and (2 × 5) symmetry on 0.5 wt.% Nb-doped SrTiO3(110) were subjected to isotopically labeled oxygen exchange at 450 °C. The oxygen incorporation rate is three times higher on the (4 × 1) surface phase compared to the (2 × 5). Common models of surface reactivity based on the availability of oxygen vacancies or on the ease of electron transfer cannot account for this difference. We propose a structure-driven oxygen exchange mechanism, relying on the flexibility of the surface coordination polyhedra that transform upon dissociation of oxygen molecules.

Resolving the Structure of a Well-Ordered Hydroxyl Overlayer on In2O3(111): Nanomanipulation and Theory.

Changes in chemical and physical properties resulting from water adsorption play an important role in the characterization and performance of device-relevant materials. Studies of model oxides with well-characterized surfaces can provide detailed information that is vital for a general understanding of water-oxide interactions. In this work, we study single crystals of indium oxide, the prototypical transparent contact material that is heavily used in a wide range of applications and most prominently in optoelectronic technologies. Water adsorbs dissociatively already at temperatures as low as 100 K, as confirmed by scanning tunneling microscopy (STM), photoelectron spectroscopy, and density functional theory. This dissociation takes place on lattice sites of the defect-free surface. While the In2O3(111)-(1 × 1) surface offers four types of surface oxygen atoms (12 atoms per unit cell in total), water dissociation happens exclusively at one of them together with a neighboring pair of 5-fold coordinated In atoms. These O-In groups are symmetrically arranged around the 6-fold coordinated In atoms at the surface. At room temperature, the In2O3(111) surface thus saturates at three dissociated water molecules per unit cell, leading to a well-ordered hydroxylated surface with (1 × 1) symmetry, where the three water OWH groups plus the surface OSH groups are imaged together as one bright triangle in STM. Manipulations with the STM tip by means of voltage pulses preferentially remove the H atom of one surface OSH group per triangle. The change in contrast due to strong local band bending provides insights into the internal structure of these bright triangles. The experimental results are further confirmed by quantitative simulations of the STM image corrugation.

Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models.

We consider the at-the-money (ATM) strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behaviour of the slope for infinite activity exponential Lévy models including a Brownian component. As auxiliary results, we obtain asymptotic expansions of short maturity ATM digital call options, using Mellin transform asymptotics. Finally, we discuss when the ATM slope is consistent with the steepness of the smile wings, as given by Lee's moment formula.

Nickel-Oxide-Modified SrTiO3(110)-(4 × 1) Surfaces and Their Interaction with Water.

Nickel oxide (NiO), deposited onto the strontium titanate (SrTiO3) (110)-(4 × 1) surface, was studied using photoemission spectroscopy (PES), X-ray absorption near edge structure (XANES), and low-energy He+ ion scattering (LEIS), as well as scanning tunneling microscopy (STM). The main motivation for studying this system comes from the prominent role it plays in photocatalysis. The (4 × 1) reconstructed SrTiO3(110) surface was previously found to be remarkably inert toward water adsorption under ultrahigh-vacuum conditions. Nickel oxide grows on this surface as patches without any apparent ordered structure. PES and LEIS reveal an upward band bending, a reduction of the band gap, and reactivity toward water adsorption upon deposition of NiO. Spectroscopic results are discussed with respect to the enhanced reactivity toward water of the NiO-loaded surface.

Stabilizing Single Ni Adatoms on a Two-Dimensional Porous Titania Overlayer at the SrTiO3(110) Surface.

Nickel vapor-deposited on the SrTiO3(110) surface was studied using scanning tunneling microscopy, photoemission spectroscopy (PES), and density functional theory calculations. This surface forms a (4 × 1) reconstruction, composed of a 2-D titania structure with periodic six- and ten-membered nanopores. Anchored at these nanopores, Ni single adatoms are stabilized at room temperature. PES measurements show that the Ni adatoms create an in-gap state located at 1.9 eV below the conduction band minimum and induce an upward band bending. Both experimental and theoretical results suggest that Ni adatoms are positively charged. Our study produces well-dispersed single-adatom arrays on a well-characterized oxide support, providing a model system to investigate single-adatom catalytic and magnetic properties.

Water Adsorption at the Tetrahedral Titania Surface Layer of SrTiO3(110)-(4 × 1).

The interaction of water with oxide surfaces is of great interest for both fundamental science and applications. We present a combined theoretical (density functional theory (DFT)) and experimental (scanning tunneling microscopy (STM) and photoemission spectroscopy (PES)) study of water interaction with the two-dimensional titania overlayer that terminates the SrTiO3(110)-(4 × 1) surface and consists of TiO4 tetrahedra. STM and core-level and valence band PES show that H2O neither adsorbs nor dissociates on the stoichiometric surface at room temperature, whereas it does dissociate at oxygen vacancies. This is in agreement with DFT calculations, which show that the energy barriers for water dissociation on the stoichiometric and reduced surfaces are 1.7 and 0.9 eV, respectively. We propose that water weakly adsorbs on two-dimensional, tetrahedrally coordinated overlayers.