Hedging for the long run

In the years following the publication of Black and Scholes (J Political Econ, 81(3), 637?C654, 1973), numerous alternative models have been proposed for pricing and hedging equity derivatives. Prominent examples include stochastic volatility models, jump-diffusion models, and models based on Lévy processes. These all have their own shortcomings, and evidence suggests that none is up to the task of satisfactorily pricing and hedging extremely long-dated claims. Since they all fall within the ambit of risk-neutral valuation, it is natural to speculate that the deficiencies of these models are (at least in part) attributable to the constraints imposed by the risk-neutral approach itself. To investigate this idea, we present a simple two-parameter model for a diversified equity accumulation index. Although our model does not admit an equivalent risk-neutral probability measure, it nevertheless fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that contingent claims can be priced and hedged, without the need for an equivalent change of probability measure. Convenient formulae for the prices and hedge ratios of a number of standard European claims are derived, and a series of hedge experiments for extremely long-dated claims on the S&P 500 total return index are conducted. Our model serves also as a convenient medium for illustrating and clarifying several points on asset price bubbles and the economics of arbitrage.     

Alternative method for reconstruction of antihydrogen annihilation vertices

The ALPHA experiment, located at CERN, aims to compare the properties of antihydrogen atoms with those of hydrogen atoms. The neutral antihydrogen atoms are trapped using an octupole magnetic trap. The trap region is surrounded by a three layered silicon detector used to reconstruct the antiproton annihilation vertices. This paper describes a method we have devised that can be used for reconstructing annihilation vertices with a good resolution and is more efficient than the standard method currently used for the same purpose.     

Antihydrogen formation by autoresonant excitation of antiproton plasmas

In efforts to trap antihydrogen, a key problem is the vast disparity between the neutral trap energy scale ( $\sim\!50\,\upmu\mathrm{eV}$ ), and the energy scales associated with plasma confinement and space charge (~1 eV). In order to merge charged particle species for direct recombination, the larger energy scale must be overcome in a manner that minimizes the initial antihydrogen kinetic energy. This issue motivated the development of a novel injection technique utilizing the inherent nonlinear nature of particle oscillations in our traps. We demonstrated controllable excitation of the center-of-mass longitudinal motion of a thermal antiproton plasma using a swept-frequency autoresonant drive. When the plasma is cold, dense and highly collective in nature, we observe that the entire system behaves as a single-particle nonlinear oscillator, as predicted by a recent theory. In contrast, only a fraction of the antiprotons in a warm or tenuous plasma can be similarly excited. Antihydrogen was produced and trapped by using this technique to drive antiprotons into a positron plasma, thereby initiating atomic recombination. The nature of this injection overcomes some of the difficulties associated with matching the energies of the charged species used to produce antihydrogen.     

Evaluation of novel dendrimer chiral stationary phases using HPLC

Summary The reversed phase chromatographic properties of the [G1]-L-glutamic and ethyl ester-AC-silica (1), [G2]-L-glutamic acid ethyl ester-AC-silica (2) and the [G1]-L-glutamic acidt-butyl ester-AC-silica (3) dendrimer stationary phases were evaluated. Initial studies involved the comparison between these phases with a classic reversed phase (i.e. ODS1) by the separation of a standard reversed phase test mixture composed of dimethylphthalate, nitrobenzene, anisole, diphenylamine and fluorene. Separations were achieved with comparable performance to those obtained with the conventional reversed phase (ODS1). However, it was apparent that the chromatographic selectivity exhibited by the dendrimer stationary phases was different from that of the ODS1 phase. On a per mole basis, the dendrimers exhibited similar (and sometimes greater) affinity for these analytes compared with the ODS1 ligand. Subsequent chromatographic experiments were conducted upon the dendrimer chiral stationary phases using chiral analytes under reversed phase and normal phase conditions. Chiral resolution was not observed.     

The Rikitake Two-Disk Dynamo System and Domains with Periodic Orbits

The Rikitake two-disk dynamo system is a simplemodel to describe the earth's magnetic field. We derivethe conditions to find periodic orbits of this systemusing an ellipsoid bounding condition. We prove that the conditions cannot besatisfied.     

Structure-property correlation of light-emitting polymers containing alternating phenylene and thienylene/bithienylene repeating units

A number of series of fluorescent and conducting polymers containing alternating 3-functionalized thienylene/ bithienylene and phenylene/ pyridyl/ biphenylene units were synthesized from a number of central symmetric high oligomers and characterized using UV-Vis, photoluminescence, conductivity measurement, thermal analysis, electrochemistry, XRD and XPS. Structural variation of the polymers was realized by both side chain and polymer backbone modifications. Close structure-property correlation of the polymers was observed. This paper mainly reports the results of two families of them, those substituted by alkyl pendant chains and electro-withdrawing and donating groups.     

Development of Dissolution Dynamic Nuclear Polarization of [15N3]Metronidazole: A Clinically Approved Antibiotic

We report dissolution Dynamic Nuclear Polarization (d-DNP) of [¹⁵N₃]metronidazole ([¹⁵N₃]MNZ) for the first time. Metronidazole is a clinically approved antibiotic, which can be potentially employed as a hypoxia-sensing molecular probe using ¹⁵N hyperpolarized (HP) nucleus. The DNP process is very efficient for [¹⁵N₃]MNZ with an exponential build-up constant of 13.8 min using trityl radical. After dissolution and sample transfer to a nearby 4.7 T Magnetic Resonance Imaging scanner, HP [¹⁵N₃]MNZ lasted remarkably long with T₁ values up to 343 s and ¹⁵N polarizations up to 6.4 %. A time series of HP [¹⁵N₃]MNZ images was acquired in vitro using a steady state free precession sequence on the ¹⁵NO₂ peak. The signal lasted over 13 min with notably long T₂ of 20.5 s. HP [¹⁵N₃]MNZ was injected in the tail vein of a healthy rat, and dynamic spectroscopy was performed over the rat brain. The in vivo HP ¹⁵N signals persisted over 70 s, demonstrating an unprecedented opportunity for in vivo studies.     

Durable chiral sensor based on quartz crystal microbalance using self-assembled monolayer of permethylated β-cyclodextrin

A novel chiral sensor based on quartz crystal microbalance (QCM) with a self-assembled monolayer of permethylated β-cyclodextrin as the enantioselective coating has been derived which exhibit improved enantioselectivity and excellent long-term environmental stability when used in gas phase sensing.