Hedging Entry and Exit Decisions: Activating and Deactivating Barrier Options

Investment projects and businesses can be entered or exited at a cost, and the theory of real option teaches us how to find optimal activity levels that should trigger entry or exit. However, in practice, different managers or owners operate under different constraints and might apply different thresholds to the same business. We are interested in the hedging of the risk related to the cost of sub-optimal entry or exit. We introduce a new class of derivative products that can hedge this risk. The pricing of these derivatives involves the joint law of a Brownian excursion and its supremum, which is calculated thanks to Bessel processes-related distribution laws.     

Grafting of silica during the processing of silica‐filled SBR: Comparison between length and content of the silane

The treatment of nanoscopic silica grafted in the blend during the processing of silica‐filled styrene butadiene rubber was performed with silane, introduced at different concentrations, or at a constant concentration with a given length of alkyl chain. From swelling measurements in water and in solvent, the maximum silane content that can be grafted has been calculated as a function of the length of the silane alkyl chains as well as their efficiency to cover the silica surface. The found values are close to the values found in the literature for grafting in solution. Moreover, a direct correspondence between the length of the silane alkyl chains and their concentration has been deduced. © 2005 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 44: 143–152, 2006     

In vitro determination of the release kinetics of peptides and free amino acids during the digestion of food proteins

The kinetics of peptide release during in vitro digestion of 4 protein sources (casein, cod protein, soy protein, and gluten) were investigated. Samples were sequentially hydrolyzed with pepsin (30 min) and pancreatin (2, 4, or 6 h) in a dialysis cell with continuous removal of digestion products. Nondialyzed digests were fractionated by ion-exchange chromatography and ultrafiltration. Animal proteins were digested at a greater rate than plant proteins. Target amino acids of specific enzymes appeared more rapidly in the dialyzed fractions when compared to other amino acids. Throughout the hydrolysis, nondialyzed digests contained a higher proportion of peptide mixtures with basic-neutral properties. Except for gluten, peptide fractions with molecular weights that exceeded 10 kDa (basic-neutral, BN > 10) were rapidly hydrolyzed during the first 2 h of pancreatin digestion. The kinetics of release and the composition of peptide fractions were different when the protein sources were compared. The analysis of amino acids revealed that threonine and proline proportions were relatively high in BN > 10 and in peptide fractions with molecular weight between 10-1 kDa (BN 10-1), while tyrosine, phenylalanine, lysine, and arginine predominated in the low molecular weight (<1 kDa) fractions. More resistant peptides were generally rich in proline and glutamic acid. The role of in vitro digestion assays in dietary protein quality evaluation is discussed.     

Non-chair six-membered-ring conformations. Preference for a twist-boat (or skew) structure in α- -sorbopyranose derivatives

The conformational preferences for 2,3-O-isopropylidene-α- -sorbopyranose derivatives 3–6 were determined by using ¹H NMR data and empirical force field calculations. Proton NMR studies of 3–6 indicate that a twist-boat (or skew) conformation (³S₀) prevails over possible chair forms for each compound. Force-field calculations (MM2, MNDO, AM1) on a model 2,3-O-isopropylidene-α- -sorbopyranose system (18) indicate that the ³S₀ conformation is among the low-energy structures. X-Ray crystallographic analysis of α- -sorbopyranose sulfamate 3, a compound with potent anticonvulsant activity, demonstrates that the ³S₀ skew conformation is manifested in the solid state, as well.     

Nanocomposite materials from latex and cellulose whiskers

Composite materials were processed by casting a mixture of aqueous suspensions of latex and microfibrils. These microfibrils, or whiskers, are extracted from a sea animal and are monocrystals of cellulose, with an aspect ratio around 100 and an average diameter of 20 nm. It has been found that the mechanical properties (shear modulus) are increased by more than two orders of magnitude in the rubbery state of the polymeric matrix, when the whisker content was 6% (w/w). This very large effect is discussed on the basis of different types of mechanical models and it is concluded that these whiskers form a rigid network, probably linked by hydrogen bonds. The formation of this network is assumed to be governed by a percolation mechanism.     

On the ionization potential of a solute molecule in hydrocarbon solutions: Effect of temperature and phase

It is shown that the ionization potential I of N,N,N′,N′-tetramethylparaphenylenediamine (TMPD) dissolved in several hydrocarbons is constant in the solid phase from 77 K up to the melting point T_M and suffers an abrupt decrease at this temperature ranging from 0.65 eV for tetramethylsilane to 0.42 eV for n-hexane. The meaning of the I jump at T_M is discussed. From the invariance of I, it is concluded that the energy of the excess electron, V₀, is constant in the solid phase.     

Modification of bovine beta-lactoglobulin by glycation in a powdered state or in aqueous solution: adsorption at the air-water interface

The adsorption at the air-water interface of native and various glycated forms of beta-Lactoglobulin B (beta-LG), prepared under two different experimental conditions, was investigated by ellipsometry, surface tension and shear elastic constant measurements. The measurements were performed in 0.1 M phosphate buffer, 0.1 M NaCl, pH 6.8. It was found that the interfacial properties of beta-LG were more affected when the glycation was performed in solution than in the dry-way system. Dry-way glycated beta-LG, despite a higher glycation extent, affected slightly its interfacial behaviour. Solution glycated beta-LG exhibited a higher adsorption and more rigid interface as expressed by shear elastic constant measurement at saturation (16.5 mN/m against 8.7 and 11.5 mN/m for native and control treated beta-LG, respectively). These results were attributed to the specific molecular species induced during glycation in solution, which includes monomers and unfolded covalent homodimers of beta-LG molecules with a high tendency to self-association via non-covalent interactions.