Pathwise superhedging for time-dependent barrier options on càdlàg paths—Finite or infinite tradeable European,One-Touch,lookback or forward starting options

We establish pathwise duality using simple predictable trading strategies for the robust hedging problem associated with a barrier option whose payoff depends on the terminal level and the infimum of a càdlàg strictly positive stock price process, given tradeable European options at all strikes at a single maturity. The result allows for a significant dimension reduction in the computation of the superhedging cost, via an alternate lower-dimensional formulation of the primal problem as a convex optimization problem, which is qualitatively similar to the duality which was formally sketched using linear programming arguments in Duembgen and Rogers [10] for the case where we only consider continuous sample paths. The proof exploits a simplification of a classical result by Rogers (1993) which characterizes the attainable joint laws for the supremum and the drawdown of a uniformly integrable martingale (not necessarily continuous), combined with classical convex duality results from Rockefellar (1974) using paired spaces with compatible locally convex topologies and the Hahn–Banach theorem. We later adapt this result to include additional tradeable One-Touch options using the Kertz and Rösler (1990) condition. We also compute the superhedging cost when in the more realistic situation where there is only finite tradeable European options; for this case we obtain the full duality in the sense of quantile hedging as in Soner (2015), where the superhedge works with probability $1?\epsilon$ where $\epsilon$ can be arbitrarily small), and we obtain an upper bound for the true pathwise superhedging cost. In Section 5, we extend our analysis to include time-dependent barrier options using martingale coupling arguments, where we now have tradeable European options at both maturities at all strikes and tradeable forward starting options at all strikes. This set up is designed to approximate the more realistic situation where we have a finite number of tradeable Europeans at both maturities plus a finite number of tradeable forward starting options.¹     

Purification of a hybrid plasminogen activator protein

Recombinant DNA technology has been employed to produce a hybrid gene in which the kringle and serine protease domains of tissue plasminogen activator are linked to the heavy-chain Fd region of a fibrin-specific antibody. The hybrid gene is co-expressed with antibody light chains. This communication describes a purification procedure for the hybrid protein, involving affinity and ion-exchange chromatography. The purified hybrid protein has been used in vivo and in vitro clot lysis experiments and has been shown to be effective at clot dissolution.     

Precise predictions for W+4-jet production at the large hadron collider

We present the next-to-leading order (NLO) QCD results for W+4-jet production at hadron colliders. This is the first hadron-collider process with five final-state objects to be computed at NLO. It represents an important background to many searches for new physics at the energy frontier. Total cross sections, as well as distributions in the jet transverse momenta, are provided for the initial LHC energy of √s = 7 TeV. We use a leading-color approximation, known to be accurate to 3% for W production with fewer jets. The calculation uses the BLACKHAT library along with the SHERPA package.     

N,N'-Carbonyldiimidazole-mediated functionalization of superparamagnetic nanoparticles as vaccine carrier

Particulates with specific sizes and characteristics can induce potent immune responses by promoting antigen uptake of appropriate immuno-stimulatory cell types. Magnetite (Fe(3)O(4)) nanoparticles have shown many potential bioapplications due to their biocompatibility and special characteristics. Here, superparamagnetic Fe(3)O(4) nanoparticles (SPIONs) with high magnetization value (70emug(-1)) were stabilized with trisodium citrate and successfully conjugated with a model antigen (ovalbumin, OVA) via N,N'-carbonyldiimidazole (CDI) mediated reaction, to achieve a maximum conjugation capacity at approximately 13 microgmicrom(-2). It was shown that different mechanisms governed the interactions between the OVA molecules and magnetite nanoparticles at different pH conditions. We evaluated as-synthesized SPION against commercially available magnetite nanoparticles. The cytotoxicity of these nanoparticles was investigated using mammalian cells. The reported CDI-mediated reaction can be considered as a potential approach in conjugating biomolecules onto magnetite or other biodegradable nanoparticles for vaccine delivery.     

Model Calculations of Radiation-Induced Damage in Thymine Derivatives

When the thymine base is oxidized, the resulting cation may deprotonate reversibly at N3, or irreversibly at >C5-CH₃. In all thymine derivatives studied so far in the solid state, there is always a significant concentration of a radical formed by net H-abstraction from the >C5-CH₃. DFT calculations on this allyl-like radical are in good agreement with the experimental results for both the isotropic and anisotropic hyperfine couplings. There is a tendency for the thymine cation to deprotonate at N3 in solution. Calculations on the N3 deprotonated thymine cation yield two structures, one planar radical with an unusually large N1-C2 bond length, and one nonplanar radical with the N3 more than 25° out of the molecular plane. Calculations show that the structure with the lowest energy is the allyl-like radical.     

Rotating ellipses of varying shape

This article describes an investigation carried out while the second author was an undergraduate. The article gives an account of the way the work evolved, to give insight into the learning processes, as well as the mathematical issues encountered.     

Physical nature of interactions within the active site of cytosine-5-methyltransferase

The physical nature of interactions within the active site of cytosine-5-methyltransferase (CMT) was studied using a variation-perturbation energy decomposition scheme defining a sequence of approximate intermolecular interaction energy models. These models have been used to analyze the catalytic activity of residues constituting cytosine-5-methyltransferase active site as well their role in the binding group of de novo designed inhibitors. Our results indicate that Glu119, Arg163, and Arg165 appear to play the dominant role in stabilizing the protonated transition state structure and their influence can be qualitatively approximated by electrostatic interactions alone. The stabilization of neutral structures of the alternative reaction pathway is small, which might suggest the protonated pathway as preferred by the enzyme. Exchange and delocalization terms are negligible in most cases, or they cancel each other to some extent. Interactions of inhibitors with the CMT active site are dominated by electrostatic multipole contributions in analogy with previously studied transition state analogue inhibitors of leucyl aminopeptidase.     

Catalytic and Mechanistic Insights of the Low‐Temperature Selective Oxidation of Methane over Cu‐Promoted Fe‐ZSM‐5

The partial oxidation of methane to methanol presents one of the most challenging targets in catalysis. Although this is the focus of much research, until recently, approaches had proceeded at low catalytic rates (<10 h^?1), not resulted in a closed catalytic cycle, or were unable to produce methanol with a reasonable selectivity. Recent research has demonstrated, however, that a system composed of an iron‐ and copper‐containing zeolite is able to catalytically convert methane to methanol with turnover frequencies (TOFs) of over 14 000 h^?1 by using H₂O₂ as terminal oxidant. However, the precise roles of the catalyst and the full mechanistic cycle remain unclear. We hereby report a systematic study of the kinetic parameters and mechanistic features of the process, and present a reaction network consisting of the activation of methane, the formation of an activated hydroperoxy species, and the by‐production of hydroxyl radicals. The catalytic system in question results in a low‐energy methane activation route, and allows selective C₁‐oxidation to proceed under intrinsically mild reaction conditions.     

Soil parameters for estimating the rolling resistance of earthmoving plant on a compacted silty cohesive soil

The performance of earthmoving plant is currently estimated through experience, often with no more than a limited inspection of the site investigation report. On site, the absolute speed of the plant is seldom considered to be critical as long as the veheciles keep moving.The different factors which affect the speed of the plant on the haul roads are discussed. The various soils test which were carried out, as well as how they relate to the apparent rolling resistance of the driver-vehicle-haul-road system, are discussed. Also, the reasons why certain tests are inadequate for the estimation of the performance of earthmoving plant are discussed. It is shown that the speed of the plant can be estimated from the data contained within the site invesitigation report, and that it can be continually monitored throughout the life of the contract, by using the consistency index.