Risk management of a bond portfolio using options

In this paper, we elaborate a formula for determining the optimal strike price for a bond put option, used to hedge a position in a bond. This strike price is optimal in the sense that it minimizes, for a given budget, either Value-at-Risk or Tail Value-at-Risk. Formulas are derived for both zero-coupon and coupon bonds, which can also be understood as a portfolio of bonds. These formulas are valid for any short rate model that implies an affine term structure model and in particular that implies a lognormal distribution of future zero-coupon bond prices. As an application, we focus on the Hull-White one-factor model, which is calibrated to a set of cap prices. We illustrate our procedure by hedging a Belgian government bond, and take into account the possibility of divergence between theoretical option prices and real option prices. This paper can be seen as an extension of the work of Ahn and co-workers [Ahn, D., Boudoukh, J., Richardson, M., Whitelaw, R., 1999. Optimal risk management using options. J. Financ. 54, 359-375], who consider the same problem for an investment in a share.     

Characterization of anthocyanin extracts from maize kernels

The aim of the present work is to characterize the pigments present in the kernel of four native maize varieties related to the races Arrocillo, Cónico, Peruano, and Purepecha to determine their possible use as natural dyes. Total anthocyanin content is determined by a conventional spectrophotometric method, and anthocyanin analysis is done by high-performance liquid chromatography. The stability of the pigment at pH is also evaluated. The four maize samples contained anthocyanin in both the pericarp and aleurone layer. Total anthocyanin content among samples ranged from 54 mg/100 g of sample to 115 mg/100 g of sample. Anthocyanin profiles are almost the same among the four samples. Differences are observed only in the relative percentage of each anthocyanin. The anthocyanins identified are cyanidin-3-glucoside, pelargonidin- 3-glucoside, peonidin-3-glucoside, cyanidin-3-(6" malonylglucoside), and cyanidin-3-(3",6"-dimalonylglucoside). Anthocyanin extracts showed similar behavior in solutions with different pH. From pH 1-6 lambdamax values are maintained almost constant; however, above this pH value, a marked increase is observed in the bathochromic shifts, but the bluish color did not continue to change above pH 8.     

Thermal and FTIR spectroscopic analysis of the interactions of aniline adsorbed on to MCM-41 mesoporous material

The adsorption of aniline on Na-AlMCM-41 synthesized by us has been characterized by infrared spectroscopy, temperature programmed desorption (TPD), and differential thermal analysis methods. Aniline would be mostly bound to the mesostructure through weak pi interactions. On the mesostructure containing adsorbed water, the co-adsorption of aniline could occur by weak hydrogen bonding through surface water molecules. For water, two possible modes of adsorption have been identified. Different associations between aniline and hydrated and nonhydrated mesostructures have been evaluated in order to favor the posterior in situ polymerization of adsorbed aniline.     

Fractionation of metals and metalloids by chemical bonding from particles accumulated by electrostatic precipitation in an Argentine thermal power plant

A study was undertaken to evaluate the distribution of Al, As, Cr, Cu, Fe, Mn, Ni, Pb, Ti, V and Zn in fly ashes collected in the electrostatic precipitator of a thermal power plant in San Nicolás (Argentina). Five samples were collected during one week of operation. For the fractionation, the scheme applied consisted in extracting the elements in four fractions namely (i) soluble and exchangeable elements; (ii) carbonates, oxides and reducible elements; (iii) bound to sulfidic metals; and (iv) residual elements. Metals and metalloids at μg g^− 1 level were determined in each fraction by inductively coupled plasma optical emission spectrometry (ICP OES). For validation, a standard reference material (SRM 1633 coal fly ash) from NIST was subjected to the same chemical sequential extraction procedure that the samples. X-ray diffraction powder (XRD) analysis and scanning electron microscopy (SEM) were used to characterize the major minerals present in the matrix. Total analyte concentration (in μg g^− 1) varied from 10.6 for Pb to 17,622 for Al. Minimum and maximum concentrations (in μg g^− 1) found in individual samples in the four fractions were: Al, 92.7–9668; As, < 0.3–143; Cr, 2.0–10.4; Cu, < 0.2–35.6; Fe, < 0.3–4992; Mn, < 0.1–128; Ni, < 0.3–139; Pb, < 0.5–9.1; Ti, < 0.3–2243; V, 17.0–112.9; and Zn, < 0.1–68.2. The leachability of the 11 elements under study proved to be different. Low percentages of Al (1%), V (7%) and Cr (8%) were detected in the most bioavailable fraction. Arsenic was found to be most abundant in the non-silicate phase, represented by the second and third fractions, while Cr, Fe, Ni, Pb and Zn were mostly associated to the residual fraction.     

Characterization and determination of 28 elements in fly ashes collected in a thermal power plant in Argentina using different instrumental techniques

Different techniques were selected for comprehensive characterization of seven samples of fly ashes collected from the electrostatic precipitator of the San Nicolás thermal power plant (Buenos Aires, Argentina). Particle size was measured using laser based particle size analyzer. X-ray diffraction powder (XRD) analysis and scanning electron microscopy (SEM) were used to characterize the mineral phase present in the matrix consisting basically of aluminosilicates and large amounts of amorphous material. The predominant crystalline phases were mullite and quartz. Major and minors elements (Al, Ca, Cl, Fe, K, Mg, Na, S, Si and Ti) were detected by energy dispersive X-ray analysis (EDAX). Trace elements (As, Cd, Co, Cr, Cu, Mn, Ni, Pb, Se, V and Zn) content was quantified by inductively coupled plasma optical emission spectrometry (ICP OES). Different acid mixtures and digestion procedures were compared for subsequent ICP OES measurements of the dissolved samples. The digestion procedures used were: i) a mixture of FH + HNO₃ + HClO₄ (open system digestion); ii) a mixture of FH + HNO₃ (MW-assisted digestion); iii) a mixture of HF and aqua regia (MW-assisted digestion). Instrumental neutron activation analysis (INAA) was employed for the determination of As, Ba, Co, Cr, Ce, Cs, Eu, Fe, Gd, Hf, La, Lu, Rb, Sb, Sc, Sm, Ta, Tb, Th, U and Yb. The validation of the procedure was performed by the analysis of two certified materials namely, i) NIST 1633b, coal fly ash and ii) GBW07105, rock. Mean elements content spanned from 41870 μg g^− 1 for Fe to 1.14 μg g^− 1 for Lu. The study showed that Fe (41870 μg g^− 1) ? V (1137 μg g^− 1) > Ni (269 μg g^− 1) > Mn (169 μg g^− 1) are the main components. An enrichment, with respect to crustal average, in many elements was observed especially for As, V and Sb that deserve particular interest from the environmental and human health point of view.     

Syntheses and Study of New 2-Hydroxy-5,6-Dihydro-2H-1,4-Oxazines by NMR and X-ray Crystallography

The preparation of six new 2-hydroxy-5,6-dihydro-2H-[1,4]-oxazines and four oxazino-oxazine type structures is described. The structures of four of these compounds were established by X-ray crystallographic analyses.     

Adsorption of citric acid from dilute aqueous solutions by hydroxyapatite

The role of citric acid in the demineralization of dental enamel, which is mainly constituted by hydroxyapatite, is important for periodontal regeneration and in the conditioning of enamel or dentin for bonding restorative resins. The adsorption of citric acid from aqueous solutions onto synthetic hydroxyapatite at 278, 288, 298, and 308 K and pH 4.8 has been studied by means of UV spectroscopy. The adsorption reaction, which takes place by an interaction between phosphate groups and citrate anions at the solid-solution interface, yields an adsorbate-adsorbent complex of high stability. The adsorption isotherms fit the Langmuirian shape. The proposed adsorption model, where citrate species interact in a bidentate manner (one citrate ion links two phosphate sites), is coherent with the experimental data. The activation standard heat and activation standard entropy were calculated. All the thermodynamic and kinetic parameters were in concordance with the adsorption reaction proposed in this work.     

Determination of vitamin E in different biological samples by high-pressure liquid chromatography

Summary The different methods for the determination of vitamin E in all types of biological materials are reviewed. The following subjects are dealt with: isolation of the vitamin from biological samples, foodstuffs and pharmaceuticals; instrumental aspects (injection, reversed-phase HPLC, straight-phase HPLC); standardization; detection limits.

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Bestimmung von Vitamin E in verschiedenen biologischen Proben durch HPLC

Zusammenfassung Die Übersicht behandelt folgende Aspekte: Isolierung des Vitamins aus biologischem Material, Lebensmitteln und Pharmazeutica; instrumentelle Probleme (Injektion, reversed-phase und straight-phase HPLC); Standardisierung; Nachweisgrenzen.

     

Some considerations to optimize the synthesis procedure and the structural quality of mesostructured silicas

Two methods for the preparation of highly ordered MCM-41 silica are discussed. The quality of the structure was optimized by adequate stirring of the reaction mixture containing low concentration of surfactant, followed by heating at 70 °C for 3 h under stirring. Besides this energetically favorable procedure allowed to obtain structures very stable upon calcination. The role of the ethanol and the hydroxide source in the synthesis process is also analyzed.