A short overview of some behavioural scenarios for derivative pricing in incomplete markets

We shortly describe three different but related scenarios for determination of asset prices in an incomplete market: one scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Furthermore, we point out some new dynamical schemes modeling the convergence of the buyer's and of the seller's prices of a given asset to a unique price. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Entropy: From Thermodynamics to Information Processing

Entropy is a concept that emerged in the 19th century. It used to be associated with heat harnessed by a thermal machine to perform work during the Industrial Revolution. However, there was an unprecedented scientific revolution in the 20th century due to one of its most essential innovations, i.e., the information theory, which also encompasses the concept of entropy. Therefore, the following question is naturally raised: “what is the difference, if any, between concepts of entropy in each field of knowledge?” There are misconceptions, as there have been multiple attempts to conciliate the entropy of thermodynamics with that of information theory. Entropy is most commonly defined as “disorder”, although it is not a good analogy since “order” is a subjective human concept, and “disorder” cannot always be obtained from entropy. Therefore, this paper presents a historical background on the evolution of the term “entropy”, and provides mathematical evidence and logical arguments regarding its interconnection in various scientific areas, with the objective of providing a theoretical review and reference material for a broad audience.     

Dynamical Fracture in Ice Ih as Modeled by TIP4P/Ice and mW Water Potentials

Fracture in ice I_h is simulated with molecular dynamics utilizing two potential fields, TIP4P/Ice and mW, and in different temperature conditions. The simulations produce propagating crack speeds over a large range of fracture energies. Terminal crack speed simulated with TIP4P/Ice potential can reach more than 200 m/s befitting experimental results. On the other hand, for mW potential, crack speed is around 5 m/s. The TIP4P/ice model suggests a brittle ice while mW potential describes a much more ductile material. The computational simulations are designed to permit direct comparison with experiments which can be performed in the hereafter. This comparison could provide a sensitive test to interatomic potentials.     

Interactions between Rhodamine Dyes and Model Membrane Systems—Insights from Molecular Dynamics Simulations

Background: rhodamines are dyes widely used as fluorescent tags in cell imaging, probing of mitochondrial membrane potential, and as P-glycoprotein model substrates. In all these applications, detailed understanding of the interaction between rhodamines and biomembranes is fundamental. Methods: we combined atomistic molecular dynamics (MD) simulations and fluorescence spectroscopy to characterize the interaction between rhodamines 123 and B (Rh123 and RhB, respectively) and POPC bilayers. Results: while the xanthene moiety orients roughly parallel to the membrane plane in unrestrained MD simulations, variations on the relative position of the benzoic ring (below the xanthene for Rh123, above it for RhB) were observed, and related to the structure of the two dyes and their interactions with water and lipids. Subtle distinctions were found among different ionization forms of the probes. Experimentally, RhB displayed a lipid/water partition coefficient more than two orders of magnitude higher than Rh123, in agreement with free energy profiles obtained from umbrella sampling MD. Conclusions: this work provided detailed insights on the similarities and differences in the behavior of bilayer-inserted Rh123 and RhB, related to the structure of the probes. The much higher affinity of RhB for the membranes increases the local concentration and explains its higher apparent affinity for P-glycoprotein reconstituted in model membranes.     

Flavanone Glycosides,Triterpenes, Volatile Compounds and Antimicrobial Activity of Miconia minutiflora (Bonpl.) DC. (Melastomataceae)

Chemical composition of the essential oils and extracts and the antimicrobial activity of Miconia minutiflora were investigated. The flavanone glycosides, pinocembroside and pinocembrin-7-O-[4″,6″-HHDP]-β-D-glucose, were identified, along with other compounds that belong mainly to the triterpene class, besides the phenolics, gallic acid and methyl gallate. Sesquiterpenes and monoterpenes were the major compounds identified from the essential oils. Screening for antimicrobial activity from the methanolic extract of the leaves showed that the MIC and MMC values against the tested microorganisms ranged from 0.625 to 5 mg·mL⁻¹ and that the extract was active against microorganisms, Staphyloccocus aureus, Escherichia coli, and Bacillus cereus.     

A Computational Approach Applied to the Study of Potential Allosteric Inhibitors Protease NS2B/NS3 from Dengue Virus

Dengue virus (DENV) is a danger to more than 400 million people in the world, and there is no specific treatment. Thus, there is an urgent need to develop an effective method to combat this pathology. NS2B/NS3 protease is an important biological target due it being necessary for viral replication and the fact that it promotes the spread of the infection. Thus, this study aimed to design DENV NS2B/NS3pro allosteric inhibitors from a matrix compound. The search was conducted using the Swiss Similarity tool. The compounds were subjected to molecular docking calculations, molecular dynamics simulations (MD) and free energy calculations. The molecular docking results showed that two compounds, ZINC000001680989 and ZINC000001679427, were promising and performed important hydrogen interactions with the Asn152, Leu149 and Ala164 residues, showing the same interactions obtained in the literature. In the MD, the results indicated that five residues, Lys74, Leu76, Asn152, Leu149 and Ala166, contribute to the stability of the ligand at the allosteric site for all of the simulated systems. Hydrophobic, electrostatic and van der Waals interactions had significant effects on binding affinity. Physicochemical properties, lipophilicity, water solubility, pharmacokinetics, druglikeness and medicinal chemistry were evaluated for four compounds that were more promising, showed negative indices for the potential penetration of the Blood Brain Barrier and expressed high human intestinal absorption, indicating a low risk of central nervous system depression or drowsiness as the the side effects. The compound ZINC000006694490 exhibited an alert with a plausible level of toxicity for the purine base chemical moiety, indicating hepatotoxicity and chromosome damage in vivo in mouse, rat and human organisms. All of the compounds selected in this study showed a synthetic accessibility (SA) score lower than 4, suggesting the ease of new syntheses. The results corroborate with other studies in the literature, and the computational approach used here can contribute to the discovery of new and potent anti-dengue agents.     

A new test specimen for the determination of the field of view of small-area X-ray photoelectron spectrometers

Small-area/spot photoelectron spectroscopy (SAXPS) is a powerful tool for the investigation of small surface features like microstructures of electronic devices, sensors or other functional surfaces, and so forth. For evaluating the quality of such microstructures, it is often crucial to know whether a small signal in a spectrum is an unwanted contamination of the field of view (FoV), defined by the instrument settings, or it originated from outside. To address this issue, the d_80/20 parameter of a line scan across a chemical edge is often used. However, the typical d_80/20 parameter does not give information on contributions from the long tails of the X-ray beam intensity distribution or the electron-optical system as defined by apertures. In the VAMAS TWA2 A22 project “Applying planar, patterned, multi-metallic samples to assess the impact of analysis area in surface-chemical analysis,” new test specimen was developed and tested. The here presented testing material consists of a silicon wafer substrate with an Au-film and embedded Cr circular and square spots with decreasing dimensions from 200 μm down to 5 μm. The spot sizes are traceable to the length unit due to size measurements with a metrological SEM. For the evaluation of the FoV, we determined the Au4f intensities measured with the center of the FoV aligned with the center of the spot and normalized to the Au4f intensity determined on the Au-film. With this test specimen, it was possible to characterize, as an example, the FoV of a Kratos AXIS Ultra DLD XPS instrument.     

CeO<Subscript>2</Subscript>-catalyzed ozonation of phenol

Three different cerium citrate-based precursors were used for synthesizing CeO₂ through thermal treatment. Three morphological types of CeO₂ were obtained. Characterization of these oxides was carried out by XRD patterns, SEM microscopy, N₂ adsorption isotherms, Raman spectroscopy, zeta potential, and UV/Vis luminescence. Ozonation of phenol catalyzed by CeO₂ was studied as a representative reaction of environmental interest. The differences on the catalytic activity showed by these three oxides could be correlated to amounts of Ce³⁺ on CeO₂ surface and, consequently, to the demand for oxygen needed to burn each precursor.     

Dinuclear iridium(III) complexes consisting of back-to-back tpy-(ph)n-tpy bridging ligands (n = 0, 1, or 2) and terminal cyclometallating tridentate N-C-N ligands

Three dinuclear iridium(III) complexes consisting of a conjugated bis-tpy type bridging ligand and cyclometallating capping tridentate ligands of the 1,3-di-2-pyridylbenzene family have been prepared (tpy, 2,2',6',2' '-terpyridine). The two tpy units of the bridge are connected via their back-positions (4') either directly or with a p-phenylene or p-biphenylene spacer. The synthesis relies on the reaction between the dinuclear [Ir(dpb)Cl2]2 complex (dpb-H =1,3-dipyridyl-4,6-dimethylbenzene) and the corresponding bis-tpy ligand. Electrochemical measurements afford metal-centered oxidation and ligand-centered reduction potentials; from the oxidation steps, no evidence is obtained for a strong coupling between the two iridium(III) subunits of the dinuclear species. For all complexes, ground-state absorption data in the 380 nm to visible region show a trend which is consistent with the presence of charge-transfer (CT) transitions involving different degrees of electronic delocalization at the bridging ligands. (dpb)Ir(tpy-tpy)Ir(dpb)4+ exhibits an appreciable luminescence at room temperature (phi = 3.0 x 10(-3); tau = 3.3 ns), whereas no emission from the other binuclear complexes is detected. All binuclear complexes luminesce at 77 K, and a metal-to-ligand CT nature for (dpb)Ir(tpy-tpy)Ir(dpb)4+ is suggested, whereas a ligand-centered (LC) emission is proposed for (dpb)Ir(tpy-(ph)2-tpy)Ir(dpb)4+ on the basis of the comparison with the phosphorescence properties of the free bridging ligand, tpy-(ph)2-tpy. Transient absorbance experiments at room temperature afford the absorption spectra and lifetimes of the non-emissive excited states. For (dpb)Ir(tpy-ph-tpy)Ir(dpb)4+ and (dpb)Ir(tpy-(ph)2-tpy)Ir(dpb)4+, the spectra exhibit a broad profile peaking around 780 nm, quite intense in the case of (dpb)Ir(tpy-(ph)2-tpy)Ir(dpb)4+, and lifetimes of 160 and 440 ps, respectively.     

Vibrational and electron paramagnetic resonance properties of free and MgO supported AuCO complexes

The bonding, spin density related properties, and vibrational frequency of CO bound to single Au atom in the gas-phase or supported on MgO surfaces have been investigated with a variety of computational methods and models: periodic plane waves calculations have been compared with molecular approaches based on atomic orbital basis sets; pseudopotential methods with all electron fully relativistic calculations; various density functional theory (DFT) exchange-correlation functionals with the unrestricted coupled-cluster singles and doubles with perturbative connected triples [CCSD(T)]. AuCO is a bent molecule but the potential for bending is very soft, and small changes in the bond angle result in large changes in the CO gas-phase vibrational frequency. At the equilibrium geometry the DFT calculated vibrational shift of CO with respect to the free molecule is about -150 cm(-1), whereas smaller values -60-70 cm(-1) are predicted by the more accurate CCSD(T) method. These relatively large differences are due to the weak and nonclassic bonding in this complex. Upon adsorption on MgO, the CO vibrational shift becomes much larger, about -290 cm(-1), due to charge transfer from the basic surface oxide anion to AuCO. This large redshift is predicted by all methods, and is fully consistent with that measured for MgOAuCO complexes. The strong influence of the support on the AuCO bonding is equally well described by all different approaches.