Accounting for risk of non linear portfolios

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasize the reliability and efficiency of our results in comparison with Monte Carlo simulation.     

The Social Climbing Game

The structure of societies depends, to some extent, on the incentives of the individuals they are composed of. We study a stylized model of this interplay, that suggests that the more individuals aim at climbing the social hierarchy, the more society’s hierarchy gets strong. Such a dependence is sharp, in the sense that a persistent hierarchical order emerges abruptly when the preference for social status gets larger than a threshold. This phase transition has its origin in the fact that the presence of a well defined hierarchy allows agents to climb it, thus reinforcing it, whereas in a “disordered” society it is harder for agents to find out whom they should connect to in order to become more central. Interestingly, a social order emerges when agents strive harder to climb society and it results in a state of reduced social mobility, as a consequence of ergodicity breaking, where climbing is more difficult.     

Structural study of highly halogenated dihydropyridine derivatives as potential calcium channel modulators

Two dihydropyridines endowed with fluorine atoms ( 3 ) and fluorine and chlorine atoms ( 4 ) have been synthesized and structurally characterized by experimental X‐ray analyses and theoretical calculations at the semiempirical (AMI) and ab initio (HF/6–31G*) levels. The results show that these compounds meet the required criteria to act as potential calcium channel modulators.     

Polyphenolic profile by FIA/ESI/IT/MSn and antioxidant capacity of the ethanolic extract from the barks of Maytenus cajalbanica (Borhidi & O. Muñiz) Borhidi & O. Muñiz

Abstract

Medium and high polarity extracts from Maytenus species are known to contain polyphenolic compounds such as proanthocyanidins. The high polarity and structural complexity of these compounds make very difficult their isolation even by modern chromatographic techniques. Maytenus cajalbanica (Borhidi & O. Muñiz) Borhidi & O. Muñiz is endemic from Cuba. So far, there are reports neither of phytochemical work nor of biological evaluation of extracts from this subspecies. The goal of this work is to determine the polyphenolic profile and the antioxidant capacity of the ethanolic extract from the barks of Maytenus cajalbanica. FIA/ESI/IT/MSⁿ analysis allowed the identification of 5 flavan-3-ol monomers, 33 proanthocyanidins, 2 free flavonoids and their respective glycosides as major compounds of the ethanolic extract, which showed a strong radical scavenging capacity and a significant ferric reduction power. FIA/ESI/IT/MSⁿ technique led the rapid, effective and sensitive determination of the polyphenolic profile of Maytenus cajalbanica without previous separation.     

Analysis of double diffraction dissociation in nucleon-nucleon collisions at the CERN ISR

Final results from combined measurements of single and double diffraction of protons neutrons into (Nπ) and (Nππ) final states are presented. The experiments were performed at the CERN Intersecting Storage Rings with the Split Field Magnet detector using proton and deuteron colliding beams.The general properties of the dissociating vertex in single and double diffractive reactions are essentially identical. Mass spectra and decay angular distributions are compared with the predictions of a dual resonant Deck model. Decay angular correlations and a strong slope-mass correlation are observed also in double diffraction. Detailed tests of factorization indicate its validity over the full range of all kinematical variables and in their correlations.A model-independent analysis gives strong support to the peripheral nature of diffraction dissociation, with double diffraction being concentrated in a narrow gaussian ring at the edge of the proton. Both the exclusive and the inclusive double diffractive cross sections display a marked increase over the ISR energy range. Both mechanisms yield comparable contributions to the peripheral increase of the total pp cross section, with an approximate saturation of the Pumplin bound.