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Michael Roper

Publications and source records attributed to Michael Roper.

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A Momentum-Resolved X-ray Thomson Scattering Benchmark of Electronic-Response Models in Warm Dense Aluminium

The robust diagnosis of conditions generated in warm dense matter (WDM) experiments remains a persistent challenge. Here we describe the measurement of shock-compressed aluminium at 50 GPa with angle-resolved femtosecond x-ray Thomson scattering (XRTS) over a wide range of scattering wavevectors at the European XFEL. The measured plasmon dispersion and line shape show that the de facto standard approach for analysing XRTS spectra, based on uniform-electron-gas models, systematically overestimates the resonance energy by up to 8 eV. We present an ab initio approach that agrees within the experimental uncertainty and demonstrates that accounting for shock-induced disorder is critical for interpreting shock-compressed systems, providing evidence that ab initio treatments are required for reliable XRTS inference in warm dense aluminium.

physics.plasm-ph

Implied volatility explosions: European calls and implied volatilities close to expiry in exponential Lévy models

We examine the small expiry behaviour of European call options in stock price models of exponential Lévy type. In most cases of interest, we are able to identify the exact small expiry asymptotics. In "complete generality" we are able to show that the time value of the call option has O(τ) decay as τ(time to expiry) goes to zero. Using our results on the behaviour of call options close to expiry we show that implied volatility explodes as $τ\to0^+$ in "most" exponential Lévy models. Attention is restricted to calls and implied volatilities that are not at-the-money.

q-fin.PR