Stochastic volatility asymptotics of stock loans: Valuation and optimal stopping

A stock loan, or equity security lending service, is a loan which uses stocks as collateral. The borrower has the right to repay the principal with interest and regain the stock, or make no repayment and surrender the stock. Therefore, the valuation of stock loan is an optimal stopping problem related to a perpetual American option with a negative effective interest rate. The negative effective interest rate makes standard techniques for perpetual American option pricing failure. Using a fast mean-reverting stochastic volatility model, we applied a perturbation technique to the free-boundary value problem for the stock loan price. An analytical pricing formula and optimal exercise boundary are derived by means of asymptotic expansion.     

Determination of paralytic shellfish toxins in dinoflagellate Alexandrium tamarense by using isotachophoresis/capillary electrophoresis

Baseline separation of seven paralytic shellfish toxins (PSTs), namely decarbamoylsaxitoxin (dcSTX), saxitoxin (STX), neosaxitoxin (NEO), gonyautoxin-2 (GTX-2), gonyautoxin-3 (GTX-3), gonyautoxin-1 (GTX-1), and gonyautoxin-4 (GTX-4), was achieved by using capillary ITP (CITP)/CE with UV detection. Separation parameters including duration time and voltage in CITP process, separation voltage, and pH and concentration of buffer were optimized. The developed method provided linear responses from 1.3 to 200 microM for the PSTs. The LOD ranged from 0.1 to 0.3 microM. PST extracts from two algal strains of Alexandrium tamarense were analyzed and the toxin concentrations in the samples were quantified with an internal standard method by using NEO as the internal standard. The algal extract of A. tamarense HK9301 contained 332 microM GTX-2 and 224 microM GTX-3, while the PSTs were not detected in the extract of A. tamarense CI01.     

Equilibrium and kinetics of protein binding on ion-exchange cellulose membranes with grafted polymer layer

The performance of weak and strong anion- and cation-exchange membrane adsorbents with a grafted gel layer (Sartobind Q, D, S, and C) was investigated using six proteins: bovine serum albumin, human serum albumin, α-lactalbumin, β-lactoglobulin, lysozyme, and myoglobin. Static binding experiments were used to assess the effect of pH and buffer concentration and to determine the adsorption isotherms for selected membrane/protein combinations. The equilibrium data were duly described either by the Langmuir or Freundlich isotherms. Dynamic binding experiments were carried out for the same membrane/protein combinations in a broad range of linear flow velocity. Both the dynamic binding capacity at 10 % breakthrough and the final binding capacity at complete breakthrough were independent of the flow velocity despite strong dispersion of the adsorption zone. A good match between the equilibrium data from static and dynamic experiments was obtained for the anion exchangers. The correlation between the dynamic binding capacity and protein molecule size was observed for the strong cation exchanger. This was due to the different accessibility of the gel layer for the protein molecules.     

Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation

The problem of estimating the marginal density of a linear process by kernel methods is considered. Under general conditions, kernel density estimators are shown to be asymptotically normal. Their limiting covariance matrix is computed. We also find the optimal bandwidth in the sense that it asymptotically minimizes the mean square error of the estimators. The assumptions involved are easily verifiable.Supported in part by NSF grant DMS-9403718.     

Synthesis and Coordination Properties of Tripodal Ligand on the Triphenylphosphine Oxide Platform with Carbamoyl Side Arms

Abstract

A new tripodal O-donor ligand, tris(2-N,N-dibutylcarbamoylmethoxyphenyl)phosphine oxide (L), was synthesized. This potentially tetradentate ligand L exhibits variable denticity upon complexation with UO₂(NO₃)₂, Nd(NO₃)₃, and Lu(NO₃)₃. The complexes were studied by elemental analysis, IR, and ¹H, ¹³C, and ³¹P NMR spectroscopy.

[Supplementary materials are available for this article. Go to the publisher's online edition of Phosphorus, Sulfur, and Silicon and the Related Elements for the following free supplemental files: Additional text, tables, and figures.]     

Rhenium(I) Polypyridine Diamine Complexes as Intracellular Phosphorogenic Sensors: Synthesis,Characterization, Emissive Behavior,Biological Properties,and Nitric Oxide Sensing

We report the development of a series of rhenium(I) polypyridine complexes appended with an electron‐rich diaminoaromatic moiety as phosphorogenic sensors for nitric oxide (NO). The diamine complexes [Re(N^N)(CO)₃(py‐DA)][PF₆] (py‐DA=3‐(N‐(2‐amino‐5‐methoxyphenyl)aminomethyl)pyridine; N^N=1,10‐phenanthroline (phen) ( 1 a ), 3,4,7,8‐tetramethyl‐1,10‐phenanthroline (Me₄‐phen) ( 2 a ), 4,7‐diphenyl‐1,10‐phenanthroline (Ph₂‐phen) ( 3 a )) have been synthesized and characterized. In contrast to common rhenium(I) diimines, these diamine complexes were very weakly emissive due to quenching of the triplet metal‐to‐ligand charge‐transfer (³MLCT) emission by the diaminoaromatic moiety through photoinduced electron transfer (PET). Upon treatment with NO, the complexes were converted into the triazole derivatives [Re(N^N)(CO)₃(py‐triazole)][PF₆] (py‐triazole=3‐((6‐methoxybenzotriazol‐1‐yl)methyl)pyridine; N^N=phen ( 1 b ), Me₄‐phen ( 2 b ), Ph₂‐phen ( 3 b )), resulting in significant emission enhancement (I/I₀≈60). The diamine complexes exhibited high reaction selectivity to NO, and their emission intensity was found to be independent on pH. Also, these complexes were effectively internalized by HeLa cells and RAW264.7 macrophages with negligible cytotoxicity. Additionally, the use of complex 3 a as an intracellular phosphorogenic sensor for NO has been demonstrated.     

A New Approach to Prepare 2-Acetyl-Mono(5,6,7,8)-Nitro-l,2,3,4-Tetrahydroisoquinolincs

2-Acetyl-nitro-1,2,3,4-tetrahydr are very important intermediates fororganic synthesis'. McCoubrey reported 2-acetyl-7-nitro-l,2,3,4-tetrahydro-isoqunolineand 2-acetyl-5,7-dinitro-l,2,3,4-tet could be prepared by nitration of2-acetyl-l,2,3,4-tetrahydroisoqu low yield and tiresome purification procedurewere disadvantages of this method, and 2-acetyl-5, 6 or 8-nitro-1,2,3,4-tetrahydroisoquinolines could not be obtained according to this approach (Scheme I ) 2'3'4.The method of preparation of 2-…