Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios

We derive in closed form distribution free lower bounds and optimal subreplicating strategies for spread options in a one-period static arbitrage setting. In the case of a continuum of strikes, we complement the optimal lower bound for spread options obtained in [Rapuch, G., Roncalli, T., 2002. Pricing multiasset options and credit derivatives with copula, Credit Lyonnais, Working Papers] by describing its corresponding subreplicating strategy. This result is explored numerically in a Black-Scholes and in a CEV setting. In the case of discrete strikes, we solve in closed form the optimization problem in which, for each asset S₁ and S₂, forward prices and the price of one option are used as constraints on the marginal distributions of each asset. We provide a partial solution in the case where the marginal distributions are constrained by two strikes per asset. Numerical results on real NYMEX (New York Mercantile Exchange) crack spread option data show that the one discrete lower bound can be far and also very close to the traded price. In addition, the one strike closed form solution is very close to the two strike.     

Isostructural bisdithiazolyl and bisthiaselenazolyl radicals: trends in bandwidth and conductivity

Reaction of N-alkylated pyridine-bridged bisdithiazolylium cations [1]+ (R1 =Me, Et; R2 =Ph) with selenium dioxide in acetic acid provides a one-step high-yield synthetic route to bisthiaselenazolylium cations [2]+ (R1 = Me, Et; R2 = Ph). The corresponding radicals 1 and 2 can be prepared by chemical or electrochemical reduction of the cations. Structural analysis of the radicals has been achieved by a combination of single-crystal and powder X-ray diffraction methods. While the two sulfur radicals 1 adopt different space groups (P3(1)21 for R1 = Me and P(-)1 for R1 = Et), the two selenium radicals 2 (space groups P3(1)21 for R1 = Me and P3(2)21 for R1 =Et) are isostructural with each other and also with 1 (R1 = Me, R2 = Ph). Variable-temperature magnetic measurements on all four compounds confirm that they are undimerized S = 1/2 systems, with varying degrees of weak intermolecular antiferromagnetic coupling. Variable-temperature electrical conductivity measurements on the two selenium radicals provide conductivities sigma(300 K) = 7.4 x 10-6 (R1 = Et) and 3.3 x 10-5 S cm-1 (R1 = Me), with activation energies, E(act), of 0.32 (R1 = Et) and 0.29 eV (R1 = Me). The differences in conductivity within the isostructural series is interpreted in terms of their relative solid-state bandwidths, as estimated from Extended Hückel band-structure calculations.     

Comparison of a homology model and the crystallographic structure of human 11β-hydroxysteroid dehydrogenase type 1 (11βHSD1) in a structure-based identification of inhibitors

Summary Human 11β-hydroxysteroid dehydrogenase type 1 (11βHSD1) catalyzes the interconversion of cortisone into active cortisol. 11βHSD1 inhibition is a tempting target for the treatment of a host of human disorders that might benefit from blockade of glucocorticoid action, such as obesity, metabolic syndrome, and diabetes type 2. Here, we report an in silico screening study aimed at identifying new selective inhibitors of human 11βHSD1 enzyme. In the first step, homology modeling was employed to build the 3D structure of 11βHSD1. Further, molecular docking was used to validate the predicted model by showing that it was able to discriminate between known 11βHSD1 inhibitors or substrates and non-inhibitors. The homology model was found to reproduce closely the crystal structure that became publicly available in the final stages of this work. Finally, we carried out structure-based virtual screening experiments on both the homology model and the crystallographic structure with a database of 114’000 natural molecules. Among these, 15 molecules were consistently selected as inhibitors based on both the model and crystal structures of the enzyme, implying a good quality for the homology model. Among these putative 11βHSD1 inhibitors, two were flavonone derivatives that have already been shown to be potent inhibitors of the enzyme.     

High-spin [2 x 2] [Fe(III)2Ni(II)2] heterometallic square grid with an S = 3 ground state

A [2 x 2] heterometallic [Fe(III)2Ni(II)2] ferrimagnetic, square-grid complex has been synthesized by the self-assembly reaction of a mononuclear Fe(III) precursor with Ni(NO3)2. Intramolecular antiferromagnetic exchange through the resulting hydrazone O-bridging framework (M-O-M 133.3-136.4 degrees) leads to an S = 3 ground state. Structural and magnetic properties are discussed.     

Intramolecular pi-dimerization in a 1,1'-bis(verdazyl)ferrocene diradical

The solid state structure of 1,1'-bis(verdazyl)ferrocene reveals the two radical moieties associated intramolecularly to give the first example of a pi-dimer of a stable verdazyl radical. The pi-dimer structure is not maintained in solution. Magnetic characterization indicates that the radicals are sufficiently strongly antiferromagnetically coupled so as to render the molecule diamagnetic at room temperature.     

Tracking the interfacial dynamics of PNiPAM soft microgels particles adsorbed at the air–water interface and in thin liquid films

We report the behavior of thermosensitive soft microgel particles adsorbed at the air–water interface. We study the effect of temperature on the adsorption, interfacial diffusion, and surface rheology of pure N-isopropylacrylamide (NiPAM) microgel particles at the air–water interface. We find that the surface tensions of the solutions are the same as those of polyNiPAM solution; hence, their adsorption properties are dominated by the surface activity of the NiPAM repeat units of the particles. Particle-tracking experiments show that the particles adsorb irreversibly at the interface and form stable clusters at very low concentrations, e.g., 5.10^-3 wt%. We suggest that attractions between dangling arms or capillary interaction may be responsible for the formation of these clusters. For concentrations above 10^-2 wt%, the interface is filled with particles, and their Brownian diffusivity is arrested. The compression elastic moduli—measured using the pendant drop method—are one or two orders of magnitude below those obtained for hard particles and NiPAM chains, and their value is probably dominated by the intrinsic compressibility of the particles. The thin liquid films made from microgels exhibit a symmetric drainage, consistent with a high surface viscosity, but their lifetime is surprisingly short, illustrating the fragility of the films. We observed the formation of a monolayer of microgels bridging the two interfaces of the film outside the dimple. This zone grows and thins over time to a point where the microgels are highly compressed and stretched, resulting in the rupture of the film.     

Embedding copper nanoparticle-anchored conductive nano-blocks in polyelectrolyte

Conductive carbon nanotubes （CNTs） or alternatively polyaniline （PANI） nano-blocks was introduced into aqueous solutions of polyvinyl alcohol （PVA） and copper （II） salt, to assist the reduction of copper （II） ions and the anchoring of the resulting copper nanoparticles onto the conductive blocks. The mixture solutions of nano-blocks, copper （lI） salts and PVA were spin-coated onto the cathode surface, forming swollen cathode films （SCFs）. The copper （II） ions in the film assembled onto the surfaces of the conductive blocks and were then reduced under an appropriate voltage. It is important that the copper nanoparticles grew only on the surfaces of the conductive blocks. PVA which acted as the matrix of the composites played a role in stabilizing the resulting copper nanoparticles. Morphologies of these polymeric composite films were studied by various characterization methods. Moreover, the mechanism of migration of copper （II） ions, the formation of these polymeric composites, and the overall procedure were investigated in detail.     

Turbulence Models and Large Eddy Simulations Applied to Ascending Mixed Convection Flows

Coolant flows in the cores of current gas-cooled nuclear reactors consist of ascending vertical flows in a large number of parallel passages. Under post-trip conditions such heated turbulent flows may be significantly modified from the forced convection condition by the action of buoyancy, and the thermal-hydraulic regime is no longer one of pure forced convection. These modifications are associated primarily with changes to the turbulence structure. Flow laminarization may occur, and in that event heat transfer rates may be as low as 40% of those in the corresponding forced convection case. The present work is concerned with the modelling of such ??mixed?? convection flows in a vertical heated pipe. All fluid properties are assumed to be constant and buoyancy is accounted for within the Boussinesq approximation. Six different Eddy Viscosity Models (EVMs) are examined against experimental measurements and the direct numerical simulation (DNS) data of You et?al. (Int J Heat Mass Transfer 46:1613?C1627, 2003). The EVMs selected for study embody distinct physical refinements with respect to the parent high-Reynolds-number k-?? model. Large Eddy Simulations employing the classical Smagorinsky sub-grid-scale model are also presented. It is found that the early EVM scheme of Launder and Sharma (1974) is the turbulence model in the closest agreement with direct simulation results for the ratio of mixed-to-forced convection Nusselt number, Nu/Nu ₀; the model in the poorest accord with the DNS data is a k-??-SST formulation. However, in relation to comparisons with both numerical and experimental data for forced convection Nusselt number, Nu ₀, the present work reveals that some of the more recent models perform better than the Launder-Sharma scheme. No single scheme is in consistently close agreement with the numerical simulation flow profiles.     

Furthering Precision in Sentinel Node Navigational Surgery for Oral Cancer: a Novel Triple Targeting System

To describe an innovative sentinel lymph node (SLN) guidance approach using a radionuclide tracer, 3D augmented reality-guided imaging, and near infrared (NIR) fluorescence over-lay imaging with hand-held probes to optimize accuracy, efficiency, and precise navigation for sentinel node (SN) localization in head and neck cancer. In a cT1N0M0 squamous cell carcinoma of the tongue, pre-operative radionuclide lymphoscintigraphy was performed with a sentinel node-specific radiolabeled tracer. Intraoperatively, a 3D hand-held augmented reality (AR) scanning SPECT probe assessed concordance of the SN with pre-operative SPECT-CT images. The real-time optical video was linked to the SPECT-CT images for added precision. Final guidance to the SN was performed using ICG fluorescence imaging. Dynamic and SPECT-CT showed bilateral lymphatic drainage from the tumor. The 3D hand-held AR SPECT probe SN localization was concordant with pre-operative imaging. The optical video successfully demonstrated the lymphatic drainage in real-time through a unique overlay fluorescence image. The ICG localized to the same nodes identified by both the SPECT-CT and hand-held SPECT images. The use of dual radiation and fluorescence tracers improved SN detection, especially for SN close to the injection site. The hand-held probes allowed the surgeon to dissect continuously, without needing to change tools. The combination of augmented reality, nuclear medicine, and over-lay fluorescence imaging allowed greater accuracy for matching the preoperative imaging with intraoperative identification and precisely guiding the dissection. This method uniquely permitted the surgeon to efficiently dissect the SN with accurate visualization and optimal precision.