Risk management of a bond portfolio using options

In this paper, we elaborate a formula for determining the optimal strike price for a bond put option, used to hedge a position in a bond. This strike price is optimal in the sense that it minimizes, for a given budget, either Value-at-Risk or Tail Value-at-Risk. Formulas are derived for both zero-coupon and coupon bonds, which can also be understood as a portfolio of bonds. These formulas are valid for any short rate model that implies an affine term structure model and in particular that implies a lognormal distribution of future zero-coupon bond prices. As an application, we focus on the Hull-White one-factor model, which is calibrated to a set of cap prices. We illustrate our procedure by hedging a Belgian government bond, and take into account the possibility of divergence between theoretical option prices and real option prices. This paper can be seen as an extension of the work of Ahn and co-workers [Ahn, D., Boudoukh, J., Richardson, M., Whitelaw, R., 1999. Optimal risk management using options. J. Financ. 54, 359-375], who consider the same problem for an investment in a share.     

Photoreactions of benzonitrile with cyclic enol ethers

Upon irradiation, cyclic enol ethers such as 1-methoxy-cyclopentene (4) mainly add across the cyano group of benzonitrile (1), under formation of 2-azabutadienes of an imidoester type. This is in agreement with the so-called Δ G-correlation which was reported earlier (ref. 5 and 6). 4-Phenyloxazole (9) is formed from 1 and 1,3-dioxole (5) probably by a similar photochemical process followed by electrocyclic ring opening and hydrolysis. The low yield of the latter photoreaction and the almost exergonic electron transfer between 5 and 1 may point to back electron transfer as the main energy wasting process. From 1 and 2,3-dihydrido-furan (2) only the ortho cycloadduct 6 has been isolated in low yields.     

Algorithms for finding connected separators between antipodal points

A set (or a collection of sets) contained in the Euclidean space Rm is symmetric if it is invariant under the antipodal map. Given a symmetric unicoherent polyhedron X (like an n-dimensional cube or a sphere) and an odd real function f defined on vertices of a certain symmetric triangulation of X, we algorithmically construct a connected symmetric separator of X by choosing a subcollection of the triangulation. Each element of the subcollection contains the vertices v and u such that f(v)f(u)?0.     

Backward extensions of subnormal operators

The concept of backward extension for subnormal weighted shifts is generalized to arbitrary subnormal operators. Several differences and similarities in these contexts are explored, with emphasis on the structure of the underlying measures.

     

General covariance of the non-abelian DBI-action: checks and balances

We perform three tests on our proposal to implement diffeomorphism invariance in the non-abelian D0-brane DBI action as a base-point independence constraint between matrix Riemann normal coordinate systems. First, we show that T-duality along an isometry correctly interchanges the potential and kinetic terms in the action. Second, we show that the method to impose base-point independence using an auxiliary dN²-dimensional nonlinear sigma model also works for metrics which are curved along the brane, provided a physical gauge choice is made at the end. Third, we show that without alteration this method is applicable to higher order in velocities. Testing specifically to order 4, we elucidate the range of validity of the symmetrized trace approximation to the non-abelian DBI action.     

JET: Preparing the future in fusion

JET (Joint European Torus) is the largest tokamak in the world and the only fusion facility able to operate with Tritium, the fusion fuel, and Beryllium, the ITER first wall material. JET also features the most complete remote handling equipment for invessel maintenance. As a multinational research center, JET provides logistic experience in preparing for operation of the global facility, tokamak ITER.Experiments on JET are focused on ITER-relevant studies, in particular on detailing the operational scenarios (EL My H-modes and advanced regimes), on enhancing the heating systems, on developing diagnostics for burning plasmas etc. Pioneering real-time control techniques have been implemented that maximize performance and minimize internal disturbances of JET plasmas. In helium plasmas, ion cyclotron heating (ICRH) created fast α-particles, mimicking their populations in future burning plasmas. The recent successful Trace Tritium campaign provided important new data on fuel transport. Current enhancements on JET include a new ITER-like ELM-resilient high power ICRH antenna (7 MW) and over twenty new diagnostics that will further extend the JET scientific capabilities and push the facility even closer to the ITER parameters.A special mention is given to the involvement of the fusion experts from Association EURATOM-IPP.CR, who have been actively participating in the collective use of JET facility for more than three years.