Gaussian factor models futures and forward prices

Email: hyndman{at}mathstat.concordia.ca Received on 31 July 2006. Accepted on 19 March 2007. We completely characterize the futures price and forward priceof a risky asset (commodity) paying a stochastic dividend yield(convenience yield). The asset (commodity) price is modelledas an exponential affine function of a Gaussian factors process,while the interest rate and dividend yield are affine functionsof the factors process. The characterization we provide is basedon the method of stochastic flows. We believe this method leadsto simpler and more clear-cut derivations of the futures priceand forward price formulae than alternative methods. Hedginga long-term forward contract with shorter term futures contractsand bonds is also examined.     

Preparation of a polymer-supported fluorene-based receptor for quantitative and efficient binding of silver cations

We have designed and synthesized a polymer-supported material in which a versatile fluorene-p-xylene-based receptor is woven onto the backbone of polystyrene. This polymer-supported receptor adopts a pi-prismand-like conformation through a simple C--C bond rotation that results in the quantitative binding of a single silver cation per receptor site with a remarkable efficiency that exceeds the binding abilities of the well-known tris[2.2.2]-p-cyclophane (or pi prismand) by at least a factor of 100. More importantly, the binding event can be readily monitored by 1H NMR spectroscopy, as well as by a more sensitive emission spectroscopic technique in which the quenching of fluorescence of the receptor moiety is quantitatively related to the binding of silver cations.