Extending pricing rules with general risk functions

The paper addresses pricing issues in imperfect and/or incomplete markets if the risk level of the hedging strategy is measured by a general risk function. Convex Optimization Theory is used in order to extend pricing rules for a wide family of risk functions, including Deviation Measures, Expectation Bounded Risk Measures and Coherent Measures of Risk. Necessary and sufficient optimality conditions are provided in a very general setting. For imperfect markets the extended pricing rules reduce the bid-ask spread. The findings are particularized so as to study with more detail some concrete examples, including the Conditional Value at Risk and some properties of the Standard Deviation. Applications dealing with the valuation of volatility linked derivatives are discussed.     

Analysis of exemestane and 17β-hydroxyexemestane in human urine by gas chromatography/mass spectrometry: development and validation of a method using MO-TMS derivatives

Trimethylsilylation of anabolic agents and their metabolites is frequently achieved by using the derivatization mixture N-methyl-N-(trimethylsilyl)trifluoroacetamide (MSTFA)/NH(4)I/2-mercaptoethanol. Nevertheless, artifacts were formed when this mixture was employed in the monitoring of exemestane and its main metabolite 17β-hydroxyexemestane prior to GC-MS analysis. These artifacts were identified as the N-methyltrifluoroacetamide (MTFA) and trimethylsiloxyethylmercapto products of the respective trimethylsilyl (TMS) derivatives. Furthermore, artifact formation was evaluated taking the structure (1,4-diene-3-keto-6-exomethylene) of the compounds into account. Although these artifacts are relevant for investigations regarding the derivatization process and may be of interest in many fields, they are detrimental to cope with the requirements of the World Anti-Doping Agency (WADA) in terms of the limits of detection (LODs) required. To overcome this issue, a method using an alternative derivatization was proposed: formation of methyloxime-TMS derivatives through double derivatization using O-methylhydroxylamine/pyridine and MSTFA/TMS imidazole after enzymatic hydrolysis and liquid-liquid extraction. Samples from an excretion study after administration of exemestane to healthy volunteers were analyzed by the proposed method and detection of both exemestane and its main metabolite was possible. This method showed excellent results for both analytes meeting the LODs required for antiestrogenic agents (50 ng/mL) established by WADA. The method was validated for the main metabolite, it was robust and cost-effective for qualitative and quantitative purposes, with LOD and LOQ of 10 ng/mL and 25 ng/mL, respectively.     

Probability Distribution Function of the Polymer End‐to‐End Molecule Vector after Retraction and its Application to Step Deformation

The classical Doi‐Edwards model describes the dynamics of polymer strands between entanglements and predicts stress in linear polymers. This contribution considers the dynamics of whole molecules within the same tube picture. The probability distribution function of the end‐to‐end molecule vectors after deformation and retraction was calculated. The second moment of the distribution function coincides with that derived earlier by Doi and Edwards. The damping function shows considerably weaker thinning if the molecule end‐to‐end vector is considered as a Hookean spring. The present model describes one of the possible mechanisms leading to weaker damping exhibiting, e.g., by branched polymers.

     

Properties of Distortion Risk Measures

The current literature does not reach a consensus on which risk measures should be used in practice. Our objective is to give at least a partial solution to this problem. We study properties that a risk measure must satisfy to avoid inadequate portfolio selections. The properties that we propose for risk measures can help avoid the problems observed with popular measures, like Value at Risk (VaR _α ) or Conditional VaR _α (CVaR _α ). This leads to the definition of two new families: complete and adapted risk measures. Our focus is on risk measures generated by distortion functions. Two new properties are put forward for these: completeness, ensuring that the distortion risk measure uses all the information of the loss distribution, and adaptability, forcing the measure to use this information adequately. This research was partially funded by ^1,3 Welzia Management, SGIIC SA, RD Sistemas SA, Comunidad Autónoma de Madrid Grant s-0505/tic/000230, and MEyC Grant BEC2000-1388-C04-03 and by ² the Natural Sciences and Engineering Research Council of Canada (NSERC) Grant 36860-06.     

A convenient asymmetric synthesis of a beta-amino ester with additional functionalization as a precursor for peptide nucleic acid (PNA) monomers

We report the asymmetric synthesis of di-3-pentyl (3S,alphaS,7E)-3-N-benzyl-N-alpha-methylbenzylamino-dec-7-enedioate (9), which contains the correct functionalization to produce delta-amino acid derivatives to be used as monomers for Peptide Nucleic Acid (PNA) formation With this aim, thymine-pentanoic acid 15 and some of its ester derivatives were obtained, their reactivity was studied and the noteworthy ethyl ester 12 was quantitatively produced by transesterification of methyl ester 11, thus paving the way for the synthesis of the thymine-containing amino ester IV, which has been designed as a building block for a Nucleic-Acid analog with a chiral, flexible peptide backbone.     

NMR relaxometry and imaging of water absorbed in biodegradable polymer scaffolds

Porous substrates made of poly(3-hydroxybutyrate-3-hydroxyvalerate) (PHBHV) were prepared by a particulate leaching method. After removing the salt by extraction in water, proton nuclear magnetic resonance (NMR) relaxometry and imaging were performed on sets of PHBHV substrates immersed in phosphate-buffered solution during 3 months at different time points. Polarized optical microscopy studies were performed on thin sections, 25 and 5 mum, of the PHBHV samples. The results of NMR relaxometry showed two (1)H nuclei populations, well distinguishable on the free induction decay (FID), due to the different decay time constants, a factor of 10(2) apart. Thus, it was possible to separate the two populations, giving separate distributions of T(1) relaxation times. One population could be associated with water protons in the pores and the other to macromolecular protons. The distributions of T(1) and T(2) of the water proton shifted to lower values with increasing immersion time to a constant value after 30 days. The results obtained by NMR imaging showed an initial increase in the apparent porosity, reaching a plateau after 25 days of immersion. This increase is attributed mainly to the absorption of water in the microporosity as supported by the results of the relaxometry measurements and shown by scanning electron microscopy. The average porosity measured by NMR imaging at the plateau, 78+/-3%, is slightly higher than that determined by optical microscopy, 73+/-9%, which may be due to the fact that the latter method did not resolve the microporosity. Overall, the results suggest that at early stages after immersing the scaffolds in the aqueous medium, first 30 days approximately, NMR imaging could underestimate the porosity of the substrate.     

Differential non-destructive image current detection in a fourier transform quadrupole ion trap

Dual-detector differential non-destructive Fourier transform detection in a quadrupole ion trap is shown to improve signal intensity and reduce noise compared with spectra recorded using a single detector. A larger area detector in each end-cap electrode is machined to fit its hyperbolic shape and so minimize field imperfections on the z-axis. Argon, acetophenone and bromobenzene spectra were recorded to allow a comparison between single- and dual-detector (differential) modes of detection and to demonstrate the improvement achieved with differential detection. Copyright 1999 John Wiley & Sons, Ltd.     

Influence of local chain dynamics on diffusion of gases in polymers as determined by pulsed field gradient NMR

Diffusion of gases in polymers below the glass transition temperature, T_g, is strongly modulated by local chain dynamics. For this reason, an analysis of pulsed field gradient (PFG) nuclear magnetic resonance (NMR) diffusion measurements considering the viscoelastic behavior of polymers is proposed. Carbon‐13 PFG NMR measurements of [¹³C]O₂ diffusion in polymer films at 298 K are performed. Data obtained in polymers with T_g above (polycarbonate) and below (polyethylene) the temperature set for diffusion measurements are analyzed with a stretched exponential. The results show that the distribution of diffusion coefficients in amorphous phases below T_g is wider than that above it. Moreover, from a PFG NMR perspective, full randomization of the dynamic processes in polymers below T_g requires long diffusion times, which suggests fluctuations of local chain density on a macroscopic scale may occur. © 2009 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 48: 231–235, 2010