Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility

Multiscale stochastic volatilities models relax the constant volatility assumption from Black-Scholes option pricing model. Such models can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. Christoffersen et al. Manag Sci 55(2):1914–1932 (2009) presented a model where the underlying price is governed by two volatility components, one changing fast and another changing slowly. Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) transformed Christoffersen’s model and computed an approximate formula for pricing American options. They used Duhamel’s principle to derive an integral form solution of the boundary value problem associated to the option price. Using method of characteristics, Fourier and Laplace transforms, they obtained with good accuracy the American option prices. In a previous research of the authors (Canhanga et al. 2014), a particular case of Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) model is used for pricing of European options. The novelty of this earlier work is to present an asymptotic expansion for the option price. The present paper provides experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013).     

Local velocity measurements in the shear-thickening transition of dilute micellar solutions of surfactants

Local velocimetry and rheometric measurements are performed on three dilute micellar solutions which undergo the shear-thickening transition. The three surfactants, namely, alkyltrimethyl ammonium bromide (C(n)TAB), all belong to the same family and only differ by the length of the aliphatic chain. Simultaneous ultrasonic velocimetry and rheometry recordings provide convincing evidence for a heterogeneous flow in the shear-thickening domain. A detailed analysis allows us to demonstrate surprisingly similar evolutions of the wall slip magnitude and of the apparent viscosity as well as subtle differences between the three systems. Together with the velocimetry results, the direct observation of the flow in the vorticity-velocity plane reveals that the shear-thickening transition is associated with the emergence of a three-dimensional unstable flow.     

Nonribosomal peptide synthesis in animals: the cyclodipeptide synthase of Nematostella

Cyclodipeptide synthases (CDPSs) are small enzymes structurally related to class-I aminoacyl-tRNA synthetases (aaRSs). They divert aminoacylated tRNAs from their canonical role in ribosomal protein synthesis, for cyclodipeptide formation. All the CDPSs experimentally characterized to date are?bacterial. We show here that a predicted CDPS from the sea anemone Nematostella vectensis is an active CDPS catalyzing the formation of various cyclodipeptides, preferentially containing tryptophan. Our findings demonstrate that eukaryotes encode active CDPSs and suggest that all CDPSs have?a similar aminoacyl-tRNA synthetase-like architecture and ping-pong mechanism. They also raise questions about the biological roles of the cyclodipeptides produced in bacteria and eukaryotes.     

Fragment-based drug design: computational & experimental state of the art

Fragment-based screening is an emerging technology which is used as an alternative to high-throughput screening (HTS), and often in parallel. Fragment screening focuses on very small compounds. Because of their small size and simplicity, fragments exhibit a low to medium binding affinity (mM to μM) and must therefore be screened at high concentration in order to detect binding events. Since some issues are associated with high-concentration screening in biochemical assays, biophysical methods are generally employed in fragment screening campaigns. Moreover, these techniques are very sensitive and some of them can give precise information about the binding mode of fragments, which facilitates the mandatory hit-to-lead optimization. One of the main advantages of fragment-based screening is that fragment hits generally exhibit a strong binding with respect to their size, and their subsequent optimization should lead to compounds with better pharmacokinetic properties compared to molecules evolved from HTS hits. In other words, fragments are interesting starting points for drug discovery projects. Besides, the chemical space of low-complexity compounds is very limited in comparison to that of drug-like molecules, and thus easier to explore with a screening library of limited size. Furthermore, the "combinatorial explosion" effect ensures that the resulting combinations of interlinked binding fragments may cover a significant part of "drug-like" chemical space. In parallel to experimental screening, virtual screening techniques, dedicated to fragments or wider compounds, are gaining momentum in order to further reduce the number of compounds to test. This article is a review of the latest news in both experimental and in silico virtual screening in the fragment-based discovery field. Given the specificity of this journal, special attention will be given to fragment library design.     

Chemical composition of the essential oil of Cachrys libanotis from Algeria

The essential oil of aerial parts of Cachrys libanotis L. (Apiaceae) from east Algeria was extracted by hydrodistillation and analyzed by GC-FID and GC-MS. Thirty-one compounds were identified, the main components being germacrene-D (18.0%), gamma-terpinene (6.4%), p-cymene (5.5%), caryophyllene oxide (5.1%), and limonene (5.1%).     

Measurement and Interpretation of Ethanol 13C Chemical Shifts Variations in Different Organic Solvents - Comparison with Aqueous Solvent

The carbon chemical shifts of ethanol are measured in varied aqueous and organic solvents. We determine the hydrogen bonding effect between alcohol and bases by correcting the experimental values from anisotropy and non specific medium effects.     

Regioselective Radical Additions to 7-Oxabicyclo[2.2.1]hept-5-en-2-one

Radical addition to 7-oxabicylco[2.2.1]hept-5-en-2-one ( 1 ) was examined from a regiochemical point of view, and despite the small electronic anisotropy of the double bond, electrophilic radicals were found to add preferentially at C(5) with selectivities of up to 5:1. We also report the first case of an inversion of the regioselectivity of a radical reaction using Lewis acids.     

Superparamagnetic iron oxide particles and positive enhancement for myocardial perfusion studies assessed by subsecond T1-weighted MRI

Superparamagnetic iron oxide particles (SPIOs) are usually referred to as T₂ MR contrast agents, reducing signal intensity (SI) on T₂-weighted MR images (negative enhancement). This study reports the original use of SPIOs as T₁-enhancing contrast agents, primarily assessed in vitro, and then applied to an in vivo investigation of a myocardial perfusion defect. Using a strongly T₁-weighted subsecond MR sequence with SPIOs intravenous (IV) bolus injection, MR imaging of myocardial vascularization after reperfusion was performed, on a dog model of coronary occlusion followed by reperfusion. Immediately after the intravenous bolus injection of 20 μmol/kg of SPIOs, a positive signal intensity enhancement was observed respectively, in the right and left ventricular cavity and in the nonischemic left myocardium. Moreover, compared to normal myocardium, the remaining ischemic myocardial region (anterior wall of the left ventricle) appeared as a lower and delayed SI enhancing area (cold spot). Mean peak SIE in the nonischemic myocardium (posterior wall) was significantly higher than in the ischemic myocardium (anterior wall) (110 ± 23% vs. 74 ± 22%, Mann-Whitney test < 1%, n₁ = 6, n₂ − n₁ = 0, U > 2). In conclusion, the T₁ effect of SPIOs at low dose, during their first intravascular distribution, suggests their potential use as positive markers to investigate the regional myocardial blood flow and some perfusion defects such as the “no-reflow phenomenon”.     

Power scaling of diffusion-cooled lasers

An excitation and optical extraction geometry suitable for compact high power gas lasers is described. Multiple slab discharges are established in a diffusion-cooled radial electrode array. Each gain channel is independently driven from a common RF source via a resonant-cavity power distribution system. Radial excitation augmented with multi-channel self-injection phase locking provides stable optical power extraction at good efficiency. The concept is easily scalable to very high powers while dramatically reducing unit size and cost.