Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

In the natural gas market, many derivative contracts have a large degree of flexibility. These are known as Swing or Take-Or-Pay options. They allow their owner to purchase gas daily, at a fixed price and according to a volume of their choice. Daily, monthly and/or annual constraints on the purchased volume are usually incorporated. Thus, the valuation of such contracts is related to a stochastic control problem, which we solve in this paper using new numerical methods. Firstly, we extend the Longstaff–Schwarz methodology (originally used for Bermuda options) to our case. Secondly, we propose two efficient parameterizations of the gas consumption, one is based on neural networks and the other on finite elements. It allows us to derive a local optimal consumption law using a stochastic gradient ascent. Numerical experiments illustrate the efficiency of these approaches. Furthermore, we show that the optimal purchase is of bang-bang type.      

Transport-equilibrium schemes for computing nonclassical shocks

This Note presents a very efficient numerical strategy for computing weak solutions of a scalar conservation law which fails to be genuinely nonlinear. In such a situation, the dynamics of shock solutions turns out to be mainly driven by a prescribed kinetic function that imposes the speed of propagation of the discontinuities. We show how to enforce the validity of the kinetic criterion at the discrete level. The resulting scheme provides, in addition, sharp profiles. Numerical evidence are included. To cite this article: C. Chalons, C. R. Acad. Sci. Paris, Ser. I 342 (2006).     

Orthogonally protected carbohydrate-based scaffolds

A series of orthogonally protected polyaminated carbohydrate scaffolds have been prepared on a multi-gram scale.     

A direct and rapid route to α,α-difluoroacylsilanes from trifluoroethanol

α,α-Difluoroacylsilanes were synthesised directly from a range of allyl ethers of trifluoroethanol via dehydrofluorination/metallation procedures, followed by thermal [3,3]-sigmatropic rearrangement of the intermediate vinylmetals. The scope and limitations of ether synthesis and dehydrofluorination/metallation are described.     

A Conjecture on the Hall Topology for the Free Group

The Hall topology for the free group is the coarsest topologysuch that every group morphism from the free group onto a finitediscrete group is continuous. It was shoen by M.Hall Jr thatevery finitely generated subgroup of the free group is closedfor this topology. We conjecture that if H₁, H₂,...,H_n are finitelygenerated subgroups of the free group, then the product H₁ H₂...H_n is closed. We discuss some consequences of this conjecture.First, it would give a nice and simple algorithm to computethe closure of a given rational subset of the free group. Next,it implies a similar conjecture for the free monoid, which inturn is equivalent to a deep conjecture on finite semigroupsfor the solution of which J. Rhodes has offered $100. We hopethat our new conjecture will shed some light on Rhodes' conjecture.     

Stabilization of a Chiral Dirhodium Carbene by Encapsulation and a Discussion of the Stereochemical Implications

For the first time, the stereochemical course of an asymmetric cyclopropanation can be discussed on the basis of experimental structural information on a pertinent chiral dirhodium carbene intermediate. Key to success was the formation of racemic single crystals of a heterochiral [Rh₂{(S*)‐PTTL}₄{=C(Ar)COOMe}][Rh₂{(R*)‐PTTL}₄] (Ar=MeOC₆H₄; PTTL=N‐phthaloyl‐tert‐leucinate) capsule, which has been characterized by X‐ray diffraction. NMR spectroscopic data confirm that the obtained structural portrait is also relevant in solution and provide additional information about the dynamics of this species. The chiral binding pocket is primarily defined by the conformational preferences of the N‐phthaloyl‐protected amino acid ligands and reinforced by a network of weak interligand interactions that get stronger when chlorinated phthalimide residues are used.     

Attracting cavities for docking. Replacing the rough energy landscape of the protein by a smooth attracting landscape

Molecular docking is a computational approach for predicting the most probable position of ligands in the binding sites of macromolecules and constitutes the cornerstone of structure‐based computer‐aided drug design. Here, we present a new algorithm called Attracting Cavities that allows molecular docking to be performed by simple energy minimizations only. The approach consists in transiently replacing the rough potential energy hypersurface of the protein by a smooth attracting potential driving the ligands into protein cavities. The actual protein energy landscape is reintroduced in a second step to refine the ligand position. The scoring function of Attracting Cavities is based on the CHARMM force field and the FACTS solvation model. The approach was tested on the 85 experimental ligand–protein structures included in the Astex diverse set and achieved a success rate of 80% in reproducing the experimental binding mode starting from a completely randomized ligand conformer. The algorithm thus compares favorably with current state‐of‐the‐art docking programs. © 2015 The Authors. Journal of Computational Chemistry Published by Wiley Periodicals, Inc.     

Scalable improvement of SPME multipolar electrostatics in anisotropic polarizable molecular mechanics using a general short‐range penetration correction up to quadrupoles

We propose a general coupling of the Smooth Particle Mesh Ewald SPME approach for distributed multipoles to a short‐range charge penetration correction modifying the charge‐charge, charge‐dipole and charge‐quadrupole energies. Such an approach significantly improves electrostatics when compared to ab initio values and has been calibrated on Symmetry‐Adapted Perturbation Theory reference data. Various neutral molecular dimers have been tested and results on the complexes of mono‐ and divalent cations with a water ligand are also provided. Transferability of the correction is adressed in the context of the implementation of the AMOEBA and SIBFA polarizable force fields in the TINKER‐HP software. As the choices of the multipolar distribution are discussed, conclusions are drawn for the future penetration‐corrected polarizable force fields highlighting the mandatory need of non‐spurious procedures for the obtention of well balanced and physically meaningful distributed moments. Finally, scalability and parallelism of the short‐range corrected SPME approach are addressed, demonstrating that the damping function is computationally affordable and accurate for molecular dynamics simulations of complex bio‐ or bioinorganic systems in periodic boundary conditions. © 2016 Wiley Periodicals, Inc.