Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Search for a reliable methodology for PSD determination based on a combined molecular simulation-regularization-experimental approach: The case of PHTS materials

We present here a methodology for searching a robust pore size distribution (PSD) for adsorbent materials. The method is based on a combination of individual adsorption isotherms, obtained from Grand Canonical Monte Carlo simulations, a regularization procedure to invert the adsorption integral equation (Tikhonov regularization solved by singular value decomposition), and the needed experimental adsorption isotherm. The selection of several parameters from the available choices to start the procedure are discussed here: the size of the kernel (number of individual pores and number of experimental adsorption points to be included), the fulfillment of the Discrete Picard condition, and the L-curve criteria, all leading to find a reliable and robust PSD. The procedure is applied to plugged hexagonal templated silicas (PHTS), synthesized, and characterized in our laboratory.     

Beyond the quark model of hadrons from lattice QCD

Lattice QCD can give direct information on OZI-violating contributions to mesons. Here we explore the contributions that split flavour singlet and non-singlet meson masses. I discuss in detail the spectrum and decays for scalar mesons (i.e. including glueball effects). I also review the status of hybrid mesons and their decays.Received: 30 September 2002, Published online: 22 October 2003PACS: 12.38.Gc Lattice QCD calculations - 12.39.Mk Glueball and nonstandard multi-quark/gluon states     

FT-IR study on solvent effects in building blocks of bioactive compounds. V

3-Hydroxy-4-hydroxymethyl pyrrolidin-2-ones, easily prepared from the Baylis–Hillman adduct 1-ethyl-4-methyl-2-hydroxy-3-methylenebutanedioate, are useful intermediates in the synthesis of bioactive compounds. In order to understand the mechanism involved in this reaction, vibrational and Montecarlo molecular mechanics conformational analysis on 1-ethyl-4-methyl-2-hydroxy-3-methylenebutanedioate were carried out, confirming the existence of a low energy intramolecular H-bonded five-member ring.     

Thermal diffusion of envelope solitons on anharmonic atomic chains

We study the motion of envelope solitons on anharmonic atomic chains in the presence of dissipation and thermal fluctuations. We consider the continuum limit of the discrete system and apply an adiabatic perturbation theory which yields a system of stochastic integro-differential equations for the collective variables of the ansatz for the perturbed envelope soliton. We derive the Fokker-Planck equation of this system and search for a statistically equivalent system of Langevin equations, which shares the same Fokker-Planck equation. We undertake an analytical analysis of the Langevin system and derive an expression for the variance of the soliton position Var[x _s ] which predicts a stronger than linear time dependence of Var[x _s ] (superdiffusion). We compare these results with simulations for the discrete system and find they agree well. We refer to recent studies where the diffusion of pulse solitons were found to exhibit a superdiffusive behaviour on longer time scales.Received: 28 June 2004, Published online: 26 November 2004PACS: 05.10.Gg Stochastic analysis methods - 05.45.Yv Solitons - 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion - 05.50. + q Lattice theory and statistics     

Towards molecular-scale electronics and biomolecular self-assembly

This paper provides an overview of recent research developments in the field of nanoelectronics with organic materials such as carbon nanotubes and DNA-templated nanowires. Carbon nanotubes and gold electrodes are chemically functionalized in order to contact carbon nanotubes by self-assembly. The transport properties of these nanotubes are dominated by charging effects and display clear Coulomb blockade behaviour. A different approach towards nanoscale electronics is based on the molecular recognition properties of biomolecules such as DNA. As an example, DNA is stretched between electrodes using a molecular combing technique. A two-step metallization procedure leads to the formation of highly conductive gold nanowires.