Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting

The objective of this study is to provide closed form solutions to financial derivatives on mean-reverting cash flows. The general equilibrium real business cycle specification implies that underlying prices follow geometric mean reversion processes. Option-pricing formulas are derived, in terms of macroeconomic parameters or observable market prices, both for consumption goods and interest rates. The framework offers a rich specification of the economy’s yield curve and caplet volatility surface, which seems to fit well with criteria suggested by the empirical literature. The methodology may be useful for studying the effects of real economy changes on financial markets.     

Analysis of VIX Markets with a Time-Spread Portfolio

This paper explores the relationship between option markets for the S&P500 (SPX) and Chicago Board Options Exchange’s CBOE’s Volatility Index (VIX). Results are obtained by using the so-called time-spread portfolio to replicate a future contract on the squared VIX. The time-spread portfolio is interesting because it provides a model-free link between derivative prices for SPX and VIX. Time spreads can be computed from SPX put options with different maturities, which results in a term structure for squared volatility. This term structure can be compared to the VIX-squared term structure that is backed-out from VIX call options. The time-spread portfolio is also used to measure volatility-of-volatility (vol-of-vol) and the volatility leverage effect. There may emerge small differences in these measurements, depending on whether time spreads are computed with options on SPX or options on VIX. A study of 2012 daily options data shows that vol-of-vol estimates utilizing SPX data will reflect the volatility leverage effect, whereas estimates that exclusively utilize VIX options will predominantly reflect the premia in the VIX-future term structure.     

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.     

质子交换膜燃料电池梯度化膜电极

为实现质子交换膜燃料电池的高性能(高功率密度或大电流密度)、低成本(低铂载量)、长寿命发电,人们尝试在燃料电池的核心部件膜电极结构中引入梯度化设计的概念。梯度化膜电极包括膜电极中各组件的梯度化:气体扩散层的PTFE含量与孔隙率的梯度化,催化层的催化剂与Nafion用量的梯度化以及微孔层的疏水性与孔隙率的梯度化。梯度化膜电极中催化剂分布、孔隙率分布、亲/疏水性分布合理,具有良好的三相反应界面以及质子、电子、反应气体、水等多相物质高效传输通道,从而能满足在低铂载量、低加湿以及高电流密度条件下高性能稳定工作。本文整理了近几年来有关燃料电池梯度化膜电极研究的相关文献,梳理了梯度化膜电极研究发展脉络,归纳总结了各种梯度化膜电极的制备方法、性能以及构效关系,并展望了梯度化膜电极下一步研究方向,对高性能、低成本、长寿命的燃料电池开发具有指导意义。     

Enolate Stabilization by Anion–π Interactions: Deuterium Exchange in Malonate Dilactones on π‐Acidic Surfaces

Of central importance in chemistry and biology, enolate chemistry is an attractive topic to elaborate on possible contributions of anion–π interactions to catalysis. To demonstrate the existence of such contributions, experimental evidence for the stabilization of not only anions but also anionic intermediates and transition states on π‐acidic aromatic surfaces is decisive. To tackle this challenge for enolate chemistry with maximal precision and minimal uncertainty, malonate dilactones are covalently positioned on the π‐acidic surface of naphthalenediimides (NDIs). Their presence is directly visible in the upfield shifts of the α‐protons in the ¹H NMR spectra. The reactivity of these protons on π‐acidic surfaces is measured by hydrogen–deuterium (H–D) exchange for 11 different examples, excluding controls. The velocity of H–D exchange increases with π acidity (NDI core substituents: SO₂R>SOR>H>OR>OR/NR₂>SR>NR₂). The H–D exchange kinetics vary with the structure of the enolate (malonates>methylmalonates, dilactones>dithiolactones). Moreover, they depend on the distance to the π surface (bridge length: 11–13 atoms). Most importantly, H–D exchange depends strongly on the chirality of the π surface (chiral sulfoxides as core substituents; the crystal structure of the enantiopure (R,R,P)‐macrocycle is reported). For maximal π acidity, transition‐state stabilizations up to ?18.8 kJ mol^?1 are obtained for H–D exchange. The Brønsted acidity of the enols increases strongly with π acidity of the aromatic surface, the lowest measured pK_a=10.9 calculates to a ΔpK_a=?5.5. Corresponding to the deprotonation of arginine residues in neutral water, considered as “impossible” in biology, the found enolate–π interactions are very important. The strong dependence of enolate stabilization on the unprecedented seven‐component π‐acidity gradient over almost 1 eV demonstrates quantitatively that such important anion–π activities can be expected only from strong enough π acids.     

A Hexameric Cationic Copper(II) Metallacrown as a Pertechnetate and Perrhenate Scavenger

Materials based on the cationic copper(II) hexanuclear 18‐membered metallacrown [18‐MC ‐6]⁶⁺ (2phH=2‐piconyl hydrazide) and tetrafluoroborate, perchlorate, nitrate, sulfate, and perrhenate anions were prepared by an easy method in aqueous medium. Single‐crystal X‐ray characterization of six members of this new family of complexes showed that the anions are attached to the metallacrown by direct coordination to a copper cation or by hydrogen‐bonding interaction with the center of the hexamer. The stable cationic nature of the complexes and their ability to bind different anions allows them to adsorb and immobilize environmentally relevant anions such as MO₄^? (M=Tc, Re). The MO₄^? trapping capacities suggest that these materials would be useful in the treatment of oxoanionic contaminants in water.     

A型流感病毒血凝素蛋白S-棕榈酰化修饰的质谱分析

蛋白质S-棕榈酰化修饰是指棕榈酸分子通过硫酯键共价结合在蛋白质分子的半胱氨酸( S)的巯基侧链上,是蛋白质脂类修饰的重要形式之一,在细胞信号转导、代谢等过程中起着重要作用。本实验首先利用酰基-生物素置换反应,将A型流感病毒血凝素蛋白上的S-棕榈酸分子转换为含有生物素( Buotun)分子的标签。生物素标记蛋白经特异性富集、电泳分离纯化后,进行胶内水解。再利用质谱技术对水解混合物进行分析。结果表明,经酰基-生物素置换方法处理A型流感病毒裂解产物后,蛋白质耦联生物素的浓度(羟胺处理,＋Hydroxylamune)与空白对照组(未加羟胺处理,-Hydroxylamune)的比值大于3;对经富集后的流感病毒血凝素蛋白进行了质谱分析,鉴定了 A 型的两个 S-棕榈酰化修饰位点,分别位于蛋白羧基末端的 Cys562和Cys565。本研究为大规模研究S-棕榈酰化修饰蛋白提供了一种特异、有效的分析方法。     

Implementing a two-layer feed-forward catalytic DNA circuit for enzyme-free and colorimetric detection of nucleic acids

In the present study, a highly sensitive and specific bio-sensing platform for enzyme-free and colorimetric detection of nucleic acids has been developed. The biosensor is composed of two DNA nanostructures and two fuel strands that construct the foundation of a feed-forward catalytic DNA circuit. Upon binding the target strand to a specific DNA nanostructure, the circuit is run in order that at the end a hemin-binding aptamer, with the ability to convert a colorless substrate into a colored substance is released. Based on this strategy, 4 pM of the target DNA can be easily detected in serum samples by naked eyes after only a two-hour incubation with the circuit; meanwhile, if the incubation time is extended to 3 h, the biosensor can detect 1 pM of the target DNA. Besides the elevated sensitivity, the circuit can truly discriminate a spurious target containing one nucleotide mismatch with high specificity. Overall, the enzyme-free catalytic DNA circuit can be used as a sensitive alternative method to enzyme-based biosensors for the specific and cost-effective detection of nucleic acids.     

Simultaneous separation and determination of six arsenic species in rice by anion‐exchange chromatography with inductively coupled plasma mass spectrometry

The simultaneous separation and determination of arsenite As(III), arsenate As(V), monomethylarsonic acid (MMA), dimethylarsinic acid (DMA), arsenobetaine (AsB), and arsenocholine (AsC) in rice samples have been carried out in one single anion‐exchange column run by high‐performance liquid chromatography with inductively coupled plasma mass spectrometry. To estimate the effect of variables on arsenic (As) speciation, the chromatographic conditions including type of competing anion, ionic strength, pH of elution buffer, and flow rate of mobile phase have been investigated by a univariate approach. Under the optimum chromatographic conditions, baseline separation of six As species has been achieved within 10 min by gradient elution program using 4 mM NH₄HCO₃ at pH 8.6 as mobile phase A and 4 mM NH₄HCO₃, 40 mM NH₄NO₃ at pH 8.6 as mobile phase B. The method detection limits for As(III), As(V), MMA, DMA, AsB, and AsC were 0.4, 0.9, 0.2, 0.4, 0.5, and 0.3 μg/kg, respectively. The proposed method has been applied to separation and quantification of As species in real rice samples collected from Hunan Province, China. The main As species detected in all samples were As(III), As(V) and DMA, with inorganic As accounting for over 80% of total As in these samples.     

基于Fourier变换的裂解价差期权定价

本文研究了期货期权和裂解价差期权的定价问题.利用Fourier变换方法,在ASub CIR模型的基础上,获得了单因素期货期权,两因素期货期权以及价差期权价格的表达式,最后用C++和MATLAB计算出期权的价格,解决了利用特征函数展开法计算期权价格时速度较慢且不稳定的问题.