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.     

The role of alkali content in the devitrification mechanisms of SiO2–Fe2O3–Na2O–PbO SYSTEM

Three batch compositions of pure oxides (SiO₂, Fe₂O₃, PbO, Na₂O) with equivalent SiO₂, Fe₂O₃ and PbO contents and a gradually increased Na₂O content were vitrified through heating in a high temperature electric furnace and subsequent quenching. The resulting vitreous products were thermally treated in order to study the devitrification behaviour, under conditions designated from differential thermal analysis experiments. Depending on the Na₂O content, crystal phase separation gave rise to the growth of acmite and hematite or maghemite. A uniformly phase separated glass-ceramic material, with crystallites of similar size and population density, was produced from devitrification of the vitreous product with the higher Na₂O content.     

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.