arXiv subjects
Publications and source records attributed to Romain Blanchard.
In the frictionless discrete time financial market of Bouchard and Nutz (2015), we propose a full characterization of the quasi-sure super-replication price: as the supremum of the mono-prior super-replication prices, through an extreme prior and through martingale measures.
We demonstrate instrumentation and methods to enable fluorescence-detected photothermal infrared (F-PTIR) microscopy, then demonstrate the utility of F-PTIR to characterize the composition within phase-separated domains of model amorphous solid dispersions (ASDs) induced by water sorption. In F-PTIR, temperature-dependent changes in fluorescence quantum efficiency are shown to sensitively report on highly localized absorption of mid-infrared radiation. The spatial resolution with which infrared spectroscopy can be performed is dictated by fluorescence microscopy, rather than the infrared wavelength. Following proof of concept F-PTIR demonstration on model systems of polyethylene glycol (PEG) and silica gel, F-PTIR enabled the characterization of chemical composition within inhomogeneous ritonavir / polyvinylpyrrolidone-vinyl acetate (PVPVA) amorphous dispersions. Phase separation is implicated in the observation of critical behaviors in ASD dissolution kinetics, with the results of F-PTIR supporting the formation of phase-separated drug-rich domains upon water absorption in spin-cast films.
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable conditions the multiple-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price. We also revisit the notion of certainty equivalent for random utility functions and establish its relation with the absolute risk aversion.
In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the so-called geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated.
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together with measurable selection arguments to establish both the no-arbitrage condition characterization and the existence of an optimal portfolio in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the existing literature, we propose to consider a probability space which is not necessarily complete.
We experimentally demonstrate that a thin (~150 nm) film of vanadium dioxide (VO2) deposited on sapphire has an anomalous thermal emittance profile when heated, which arises due to the optical interaction between the film and the substrate when the VO2 is at an intermediate state of its insulator-metal transition (IMT). Within the IMT region, the VO2 film comprises nanoscale islands of metal- and dielectric-phase, and can thus be viewed as a natural, disordered metamaterial. This structure displays "perfect" blackbody-like thermal emissivity over a narrow wavelength range (~40 cm-1), surpassing the emissivity of our black soot reference. We observed large broadband negative differential thermal emittance over a >10 °C range: upon heating, the VO2/sapphire structure emitted less thermal radiation and appeared colder on an infrared camera. We anticipate that emissivity engineering with thin film geometries comprising VO2 will find applications in infrared camouflage, thermal regulation, infrared tagging and labeling.
By analogy to the three dimensional optical bottle beam, we introduce the plasmonic bottle beam: a two dimensional surface wave which features a lattice of plasmonic bottles, i.e. alternating regions of bright focii surrounded by low intensities. The two-dimensional bottle beam is created by the interference of a non-diffracting beam, a cosine-Gaussian beam, and a plane wave, thus giving rise to a non-diffracting complex intensity distribution. By controlling the propagation constant of the cosine-Gauss beam, the size and number of plasmonic bottles can be engineered. The two dimensional lattice of hot spots formed by this new plasmonic wave could have applications in plasmonic trapping.
The concept of optical phase discontinuities is applied to the design and demonstration of aberration-free planar lenses and axicons, comprising a phased array of ultrathin subwavelength spaced optical antennas. The lenses and axicons consist of radial distributions of V-shaped nanoantennas that generate respectively spherical wavefronts and non-diffracting Bessel beams at telecom wavelengths. Simulations are also presented to show that our aberration-free designs are applicable to high numerical aperture lenses such as flat microscope objectives.
The manipulation of light by conventional optical components such as a lenses, prisms and wave plates involves engineering of the wavefront as it propagates through an optically-thick medium. A new class of ultra-flat optical components with high functionality can be designed by introducing abrupt phase shifts into the optical path, utilizing the resonant response of arrays of scatters with deeply-subwavelength thickness. As an application of this concept, we report a theoretical and experimental study of birefringent arrays of two-dimensional (V- and Y-shaped) optical antennas which support two orthogonal charge-oscillation modes and serve as broadband, anisotropic optical elements that can be used to locally tailor the amplitude, phase, and polarization of light. The degree of optical anisotropy can be designed by controlling the interference between the light scattered by the antenna modes; in particular, we observe a striking effect in which the anisotropy disappears as a result of destructive interference. These properties are captured by a simple, physical model in which the antenna modes are treated as independent, orthogonally-oriented harmonic oscillators.