An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve

This paper presents a model for optimally designing a collateralized mortgage obligation (CMO) with a planned amortization class (PAC)-companion structure using dynamic cash reserve. In this structure, the mortgage pool’s cash flow is allocated by rule to the two bond classes such that PAC bondholders receive substantial prepayment protection, that protection being provided by the companion bondholders. The structure we propose provides greater protection to the PAC bondholders than current structures during periods of rising interest rates when this class of bondholders faces greater extension risk. We do so by allowing a portion of the cash flow from the collateral to be reserved to meet the PAC’s scheduled cash flow in subsequent periods. The greater protection is provided by the companion bondholders exposure to interest loss. To tackle this problem, we transform the problem of designing the optimal PAC-companion structure into a standard stochastic linear programming problem which can be solved efficiently. Moreover, we present an extended model by considering the quality of the companion bond and by relaxing the PAC bondholder shortfall constraint. Based on numerical experiments through Monte Carlo simulation, we show the utility of the proposed model.     

Primal-dual proximal point algorithm for linearly constrained convex programming problems

A primal-dual version of the proximal point algorithm is developed for linearly constrained convex programming problems. The algorithm is an iterative method to find a saddle point of the Lagrangian of the problem. At each iteration of the algorithm, we compute an approximate saddle point of the Lagrangian function augmented by quadratic proximal terms of both primal and dual variables. Specifically, we first minimize the function with respect to the primal variables and then approximately maximize the resulting function of the dual variables. The merit of this approach exists in the fact that the latter function is differentiable and the maximization of this function is subject to no constraints. We discuss convergence properties of the algorithm and report some numerical results for network flow problems with separable quadratic costs.     

Analysis of Spectral Reflectance Using Normalization Method from Endoscopic Spectroscopy System

Objective assessment of gastrointestinal mucosal color is extremely important in the endoscopic diagnosis of digestive tract disease. In this paper, we propose a method to clarify the spectral characteristics of gastric and colon cancer. A large number of spectral reflectance data of mucous membrane are measured by the endoscopic spectroscopy system (ESS) in the National Cancer Center Hospital East, Kashiwa, Japan and the Department of Internal Medicine, Self-Defense Force Center Hospital, Tokyo, Japan. We assume that early cancer appears primarily in the spectral data of short wavelength, because it is usually present in a superficial cell where short wavelength light is scattered more strongly than long wavelength light. To identify the features in the short wavelength components, the spectral reflectance was divided by the reflectance of a long wavelength. We investigated the possibility of distinguishing early cancer from normal spectral data through statistical analysis, employing the projection axis as the mean difference between them. Early cancer and normal spectral data were projected on the projection axis, and the Student’s T-test was applied to evaluate the mean of the distribution between these data.     

Different acute effects of oral and intratracheal administration of disodium arsenate and gallium arsenide on heme synthesis in rats

The acute influences of arsenic compounds on the metabolism of porphyrins and heme in various organs of rats after oral or intratracheal administration of disodium arsenate (Na₂HAsO₄) and gallium arsenide (GaAs) were examined and compared. For the oral administration experiments, 21 or 84 mg of Na₂HAsO₄, or 2 or 4 g of GaAs, per cm³ saline per kg body weight of each animal was administered to Jcl: Wistar male rats and the organs were removed after exsanguination from the vein of the right axilla under anesthesia with ether, 16 h after administration. In the case of intratracheal administration, rats given 8.2 or 16.4 mg of Na₂HAsO₄, or 0.2 or 0.4 g GaAs per cm³ saline per kg body weight were examined under the same experimental conditions as for the administration route. Increase in the body weight of rats was suppressed after intratracheal administration of the two arsenic compounds. In these rats the hematocrit value increased significantly. These changes were not shown by the orally administered rats. Elevation in δ-aminolevulinate synthase (ALA-S, EC 2.3.1.37) activity in erythroblasts by Na₂HAsO₄ was much higher after intratracheal administration than after oral administration. Suppression in the activities of δ-aminolevulinate dehydratase (ALA-D, EC 4.2.1.24) and porphobilinogen deaminase (PBG-D, EC 4.3.1.8) in peripheral erythrocytes by Na₂HAsO₄ and GaAs were stronger by intratracheal administration than by the oral route. Influences of GaAs on the activity of PBG-D in rat liver were shown to be more effective by oral administration than by the intratracheal route. Oral administration of Na₂HAsO₄ and GaAs had a stronger suppression effect on the activities of ALA-D and PBG-D in rat kidney. It seems from these results that the different extents of the influence of arsenic compounds might depend on the routes of intake.     

Hydrogel‐like elastic membrane consisting of semi‐interpenetrating polymer networks based on a phosphorylcholine polymer and a segmented polyurethane

To obtain a hydrogel‐like elastic membrane, we prepared semi‐interpenetrating polymer networks (IPNs) by the radical polymerization of methacrylates such as 2‐methacryloyloxyethyl phosphorylcholine (MPC), 2‐hydroxyethylmethacrylate, and triethyleneglycol dimethacrylate diffused into segmented polyurethane (SPU) membranes swollen with a monomer mixture. The values of Young's modulus for the hydrated semi‐IPN membranes were less than that for an SPU membrane because of higher hydration, but they were much higher than that for a hydrated MPC polymer gel (non‐SPU). According to a thermal analysis, the MPC polymer influenced the segment association of SPU. The diffusion coefficient of 8‐anilino‐1‐naphthalenesulfonic acid sodium salt from the semi‐IPN membrane could be controlled with different MPC unit concentrations in the membrane, and it was about 7 × 10² times higher than that of the SPU membrane. Fibroblast cell adhesion on the semi‐IPN membrane was effectively reduced by the MPC units. We concluded that semi‐IPNs composed of the MPC polymer and SPU may be novel polymer materials possessing attractive mechanical, diffusive‐release, and nonbiofouling properties. © 2002 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 41: 68–75, 2003     

Influence of the network chain orientation on the fracture toughness of a mesogenic epoxy resin modified with CTBN

A biphenol‐type epoxy resin, which had a mesogenic group in the backbone moiety, was modified with carboxy‐terminated butadiene acrylonitrile copolymer (CTBN) as a reactive elastomer, and its fracture toughness was measured. With the addition of CTBN, the fracture toughness of the biphenol‐type epoxy resin significantly increased and became significantly higher than that of a bisphenol A‐type epoxy resin modified with CTBN. The network chain orientation in the cured biphenol‐type epoxy resin system was clearly observed during the fracture process with polarized microscopy Fourier transform infrared measurements, although such a phenomenon was not observed in the bisphenol A‐type epoxy resin system. The high toughness of the cured biphenol‐type system was clearly due to the consumption of the mechanical energy by a large deformation of the matrix resin due to the orientation of the network chains during the fracture process. © 2003 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 41: 1198–1209, 2003     

Crystal structure of the clathrate of 5,12-dihydro-5,12-o-benzenonaphthacene-1,4-dione with benzene (2:1).

In the crystal of the title compound, the quinone fragment of the host (1) participates in weak D-A interactions with a neighboring naphthalene moiety of 1 and with the guest molecule via fairly short intermolecular face-to-face contacts. An intermolecular electrostatic interaction between a quinone-oxygen atom and a neighboring quinone ring is suggested by short O...C contacts. There exist several C-H...O hydrogen bonds, one of which seems to contribute to the formation of a centrosymmetric dimer of 1.     

Preparation of a cyclodextrin dimer linked with a bis(picolinyl)cystine moiety and its intra- and intermolecular inclusion behavior

A novel cyclodextrin (CD) dimer linked with a bis(picolinyl)cystine (Cys) moiety was prepared by the coupling of Boc-protected Cys with amino-modified CDs, followed by deprotection of the Boc groups and bispicolinylation. The dimer showed less affinity to an organic guest molecule compared to that of a native CD monomer. It was attributed to an intramolecular inclusion of the pyridine moiety into CD cavity. The dimer caused significant increase of its organic guest affinity by an addition of a copper ion. The included pyridine group may come out of a CD cavity to bind the copper ion and the two CDs included cooperatively and intermolecularly a guest molecule with high affinity.