Semi-Markov regime switching interest rate models and minimal entropy measure

In this paper, we present a discrete time regime switching binomial-like model of the term structure where the regime switches are governed by a discrete time semi-Markov process. We model the evolution of the prices of zero-coupon when given an initial term structure as in the model by Ho and Lee that we aim to extend. We discuss and derive conditions for the model to be arbitrage free and relate this to the notion of martingale measure. We explicitly show that due to the extra source of uncertainty coming from the underlying semi-Markov process, there are an infinite number of equivalent martingale measures. The notion of path independence is also studied in some detail, especially in the presence of regime switches. We deal with the market incompleteness by giving an explicit characterization of the minimal entropy martingale measure. We give an application to the pricing of a European bond option both in a Markov and semi-Markov framework. Finally, we draw some conclusions.     

Protein profile of osteoarthritic human articular cartilage using tandem mass spectrometry

Articular cartilage contains both chondrocyte cells and extracellular matrix (ECM) components. Currently, comprehensive information concerning the protein composition of human articular cartilage tissue is somewhat lacking. In this report we detail the use of tandem mass spectrometry (MS/MS) for a preliminary global identification of proteins from human articular knee cartilage tissue from patients diagnosed with osteoarthritis. Knee cartilage supernatant was fractionated using one-dimensional sodium dodecyl sulfate polyacrylamide gel electrophoresis (1D-SDS-PAGE), in-gel digested and peptide sequences were then determined by performing on-line nano-liquid chromatography (LC)/MS/MS experiments using an ion trap mass spectrometer. Altogether, over 100 different proteins from nearly 700 unique peptide sequences were detected by MS/MS. The majority of the proteins identified are involved in ECM organization (35%), signal transduction and cell communication (14%), immune response (11%) and metabolism and energy pathways (11%). Proteins observed included several well-known cartilage components as well as lower abundant lesser known ECM proteins. Possible degradation products in the cartilage sample, such as from cartilage link protein, could also be detected by our mass spectrometry methods. We show here that mass spectrometry can be utilized as a tool for a fast, accurate and sensitive analysis of a complex mixture of cartilage proteins. It is believed that this type of proteomic analysis will aid future work centered on investigating the pathology of this and other related joint diseases.     

Preparation of Chitosan Based Scaffolds Using Supercritical Carbon Dioxide

A novel chitosan-formaldehyde porous derivative (scaffolds) was prepared by reaction of 85% deacetylated chitosan with 37% aq. formaldehyde using supercritical carbon dioxide (sc. CO₂). Prior to reaction, the chitosan hydrogel was prepared in 1% aq. acetic acid (AcOH) and formaldehyde. The prepared hydrogel was subjected to solvent exchange. The identity of the Schiff base was confirmed by Fourier transform infrared spectroscopy (FTIR). The chitosan-derivative was evaluated by thermal analysis, scanning electron microscopy, and porosimetry analysis. Overall, the sc. CO₂ assisted chitosan derivative opens new perspectives as biomedical material.     

Disappearing Wakes and Dispersion in Numerically Simulated Flows Through Tube Bundles

Flow through a staggered array or bundle of parallel rigid cylinders of diameter D is computed with the help of a three-dimensional direct numerical simulation (DNS) at various values of Reynolds number between 50 and 6000. Two different spacings L of the tubes, i.e. L/D= 2 and L/D= 3, have been considered. When Re 500 the flow is laminar. In that case the converging flow between a pair of adjacent cylinders brings the oppositely signed vorticity at the two edges of the wake closer together behind the upstream cylinder so that the vorticity decreases quickly due to cancellation by diffusion. At Re 6000, when the flow is highly turbulent, the wake vorticity disappears rather by turbulent diffusion. This disappearance of the wakes in the closely packed flows (i.e. L/D 2) causes the mean flow in a cell, which consists of the region around a single cylinder, to be effectively independent of that in other cells. Another consequence is that the mean velocity field can be very well approximated by potential flow except in a thin boundary layer along the cylinder and a short wake behind it. The results have been applied to the transport of scalars in closely packed arrays. As in other complex flows, the dispersion of the scalars is dominated by the divergence and convergence of the streamlines around the cylinder rather than by the wake turbulence. Approximate expressions are derived for this topologically influenced dispersion in terms of the geometry of the array. The fact when most of the flow in the array can be approximated by a potential flow, allows us to introduce a fast approximate calculation method to compute the dispersion.     

An indirect probe of the possible half-metallic nature of LiFePO4 using resonant inelastic X-ray scattering

The Fe site in LiFePO₄ was probed resonantly and non-resonantly at the L_2,3 edge. A suspected half-metal, the experimental results were compared to band structure calculations to understand the electronic structure. We found that the probability of promoting an electron to the unoccupied band through simple photoexcitation or through scattering is highly influenced by magnon-exciton coupling. We have also found evidence that the correlation self-energy has a momentum-dependant component, causing spectral renormalization of the Fe 3d PDOS. Our experimental results are consistent with the predicted band, structure of LiFePO₄.     

Ultrafast dynamics of polybutadiene probed by optically heterodyne-detected optical-Kerr-effect spectroscopy

The ultrafast dynamics of polybutadiene have been studied using ultrafast optical-Kerr-effect spectroscopy. The data are compared with measurements on 1,3- and 1,4-pentadiene. The two diene derivatives have quite distinct subpicosecond dynamics, with an important contribution from an intramolecular torsional mode in the 1,4-derivative. The main part of the polymer spectral density can be assigned, by analogy with the data for 1,4-pentadiene, to intramolecular torsional motion about carbon–carbon single bonds. The picosecond diffusive orientational relaxation times of the dienes are not well described by simple hydrodynamics.     

Front-End Electron Transfer Dissociation Coupled to a 21 Tesla FT-ICR Mass Spectrometer for Intact Protein Sequence Analysis

High resolution mass spectrometry is a key technology for in-depth protein characterization. High-field Fourier transform ion cyclotron resonance mass spectrometry (FT-ICR MS) enables high-level interrogation of intact proteins in the most detail to date. However, an appropriate complement of fragmentation technologies must be paired with FTMS to provide comprehensive sequence coverage, as well as characterization of sequence variants, and post-translational modifications. Here we describe the integration of front-end electron transfer dissociation (FETD) with a custom-built 21 tesla FT-ICR mass spectrometer, which yields unprecedented sequence coverage for proteins ranging from 2.8 to 29 kDa, without the need for extensive spectral averaging (e.g., ~60% sequence coverage for apo-myoglobin with four averaged acquisitions). The system is equipped with a multipole storage device separate from the ETD reaction device, which allows accumulation of multiple ETD fragment ion fills. Consequently, an optimally large product ion population is accumulated prior to transfer to the ICR cell for mass analysis, which improves mass spectral signal-to-noise ratio, dynamic range, and scan rate. We find a linear relationship between protein molecular weight and minimum number of ETD reaction fills to achieve optimum sequence coverage, thereby enabling more efficient use of instrument data acquisition time. Finally, real-time scaling of the number of ETD reactions fills during method-based acquisition is shown, and the implications for LC-MS/MS top-down analysis are discussed.

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Dynamics of turbulent air-flow in droplet driven sprays

This paper presents a study of the fundamental mechanics of droplet and gas motion in sprays. Only vertical sprays are considered and our theoretical analysis identifies two main flow zones, corresponding to where the droplet velocity is much greater than or of the same order as the induced air velocity. Analytical asymptotic results for the induced air velocity for small and large downstream distances confirmed a full numerical calculation and also agreed with experimental results. The second half of the paper deals with some of the most important aspects of spray jets in a cross flow. We find that the ratio of the cross-wind speed to the induced air jet speedU ₀/V _j is a crucial factor for specifying the dynamical behaviour. We present results for an axi-symmetric spray in uniform cross flow for bothweak andstrong cross-winds.