Credit risk optimization with Conditional Value-at-Risk criterion

This paper examines a new approach for credit risk optimization. The model is based on the Conditional Value-at-Risk (CVaR) risk measure, the expected loss exceeding Value-at-Risk. CVaR is also known as Mean Excess, Mean Shortfall, or Tail VaR. This model can simultaneously adjust all positions in a portfolio of financial instruments in order to minimize CVaR subject to trading and return constraints. The credit risk distribution is generated by Monte Carlo simulations and the optimization problem is solved effectively by linear programming. The algorithm is very efficient; it can handle hundreds of instruments and thousands of scenarios in reasonable computer time. The approach is demonstrated with a portfolio of emerging market bonds. Received: November 1, 1999 / Accepted: October 1, 2000?Published online December 15, 2000     

Parallel algorithm of 3D wave-packet decomposition of seismic data: Implementation and optimization for GPU

In this paper, we consider 3D wave-packet transform that is useful in 3D data processing. This transform is computationally intensive even though it has a computational complexity of O(N³ log N). Here we present its implementation on GPUs using NVIDIA CUDA technology. The code was tested on different types of graphical processors achieving the average speedup up to 46 times on Tesla M2050 compared to CPU sequential code. Also, we analyzed its scalability for several GPUs. The code was tested for processing synthetic seismic data set: data compression, de-noising, and interpolation.     

Cubic phase nanoparticles (Cubosome): principles for controlling size, structure, and stability

Methods and compositions for producing lipid-based cubic phase nanoparticles were first discovered in the 1990s. Since then a number of studies have been presented, but little is known about how to control key properties such as particle size, morphology, and stability of cubic phase dispersions. In the present work we give examples of how these properties can be tuned by composition and processing conditions. Importantly we show that stable particle dispersions with consistent size and structure can be produced by a simple processing scheme comprising a homogenization and heat treatment step.     

Decoupling of diffusion from structural relaxation and spatial heterogeneity in a supercooled simple liquid

We report a molecular dynamics simulation of a simple monatomic glass-forming liquid. It is shown that transition to deeper minima in the energy landscape under supercooling results in the formation of icosahedrally structured domains with distinctly slow diffusion which grow with cooling in a low-dimensional manner and percolate around T(c), the critical temperature of the mode-coupling theory. Simultaneously, a sharp slowing down of the structural relaxation relative to diffusion is observed. It is concluded that this effect cannot be accounted for by the spatial variation in atomic mobility. The low-dimensional clustering is discussed as a possible mechanism of fragility.     

Aromatic allylation via diazotization: variation of the allylic moiety and a short route to a benzazepine derivative

A continued study of the recently discovered diazotizative allylation (DiazAll) reaction of aniline derivatives is reported. Several allyl reagents, commonly used in radical allylation reactions, were evaluated, and some of these reagents resulted in allylation when used in the DiazAll reaction. The best result was obtained with allyl bromide. Substituted allylic bromides gave the corresponding allyl aromatic compounds in poor to excellent yields. In comparison with an established method for aromatic allylation, the DiazAll reaction performed well and was superior when a more complex allylic bromide was used. Finally, a new allylation-bromocyclization reaction was demonstrated and used in the synthesis of a known inhibitor of phenylethanolamine N-methyltransferase (PNMT), an enzyme involved in the biosynthesis of adrenaline.     

Factors influencing the determination of analyte ion surface partitioning coefficients in electrosprayed droplets

The observed response in mass spectrometry utilizing electrospray as a sample introduction technique can be affected by a number of factors. In this study a series of two-electrolyte systems was investigated and the mass spectrometric responses were modeled by the use of droplet surface partitioning coefficients and instrumental response factors according to a recently reported method (Sjöberg et al., Anal. Chem. 2001, 73, 23–28). The partitioning coefficient and the instrumental response factor were found to be affected by the chosen experimental conditions. Experimental parameters that were investigated include spray position relative to the orifice, spray potential, nebulizer and curtain gas flow rates, ionic strength, and organic content of the sprayed solution. The time history of the generated droplets turned out to be of importance to both the partitioning coefficients and the instrumental response factor. For example, a general increase in the surface partitioning coefficients for the tetrapentylammonium ion was initially observed when the spray was aiming closer to the sampling orifice. Furthermore, it was shown with a small amount of deuterium labeled electrolyte that the total ionic strength and not just the electrolyte concentration influence the instrumental response factor.     

Hydrothermally Stable Catalysts for the Removal of Emissions from Small-Scale Biofuel Combustion Systems

Catalytic oxidation of model pollutants, simulating the emissions from small-scale biofuel combustion systems, was studied over different fresh, aged and sulfur poisoned Pd-MeO/-alumina (Me = Ni, Ce and La) catalysts. Release of chlorine and restructuring of PdO particles was believed to cause activation of the Pd-MeO supported catalysts.     

Sensitive and robust electrophoretic NMR: instrumentation and experiments

Although simple as a concept, electrophoretic NMR (eNMR) has so far failed to find wider application. Problems encountered are mainly due to disturbing and partly irreproducible convection-like bulk flow effects from both electro-osmosis and thermal convection. Additionally, bubble formation at the electrodes and rf noise pickup has constrained the typical sample geometry to U-tube-like arrangements with a small filling factor and a low resulting NMR sensitivity. Furthermore, the sign of the electrophoretic mobility cancels out in U-tube geometries. We present here a new electrophoretic sample cell based on a vertically placed conventional NMR sample tube with bubble-suppressing palladium metal as electrode material. A suitable radiofrequency filter design prevents noise pickup by the NMR sample coil from the high-voltage leads which extend into the sensitive sample volume. Hence, the obtained signal-to-noise ratio of this cell is one order of magnitude higher than that of our previous U-tube cells. Permitted by the retention of the sign of the displacement-related signal phase in the new cell design, an experimental approach is described where bulk flow effects by electro-osmosis and/or thermal convection are compensated through parallel monitoring of a reference signal from a non-charged species in the sample. This approach, together with a CPMG-like pulse train scheme provides a superior first-order cancellation of non-electrophoretic bulk flow effects.     

Real‐time trace detection and identification of chemical warfare agent simulants using recent advances in proton transfer reaction time‐of‐flight mass spectrometry

This work demonstrates for the first time the potential of using recent developments in proton transfer reaction mass spectrometry for the rapid detection and identification of chemical warfare agents (CWAs) in real‐time. A high‐resolution (m/Δm up to 8000) and high‐sensitivity (～50 cps/ppbv) proton transfer reaction time‐of‐flight mass spectrometer (PTR‐TOF 8000 from Ionicon Analytik GmBH) has been successfully used to detect a number of CWA simulants at room temperature; namely dimethyl methylphosphonate, diethyl methylphosphonate, diisopropyl methylphosphonate, dipropylene glycol monomethyl ether and 2‐chloroethyl ethyl sulfide. Importantly, we demonstrate in this paper the potential to identify CWAs with a high level of confidence in complex chemical environments, where multiple threat agents and interferents could also be present in trace amounts, thereby reducing the risk of false positives. Instantaneous detection and identification of trace quantities of chemical threats using proton transfer reaction mass spectrometry could form the basis for a timely warning system capability with greater precision and accuracy than is currently provided by existing analytical technologies. Copyright © 2009 John Wiley & Sons, Ltd.