Convexity Bias in Eurodollar Futures Prices: A Dimension-Free HJM Criterion

In the theory of interest rate futures, the difference between the futures rate and forward rate is called the “convexity bias,” and there are several widely offered reasons why the convexity bias should be positive. Nevertheless, it is not infrequent that the empirical the bias is observed to be negative. Moreover, in its most general form, the benchmark Heath–Jarrow–Morton (HJM) term structure model is agnostic on the question of the sign of the bias; it allows for models where the convexity bias can be positive or negative. In partial support of the practitioner’s arguments, we develop a simple scalar condition within the HJM framework that suffices to guarantee that the convexity bias is positive. Moreover, when we check this condition on the LIBOR futures data, we find strong empirical support for the new condition. The empirical validity of the sufficient condition and the periodic observation of negative bias, therefore leads one to a paradoxical situation where either (1) there are arbitrage possibilities or (2) a large subclass of HJM models provide interest rate dynamics that fail to capture a fundamental feature of LIBOR futures.     

Photophysics of boron difluoride chelates with dihalogenated tetraphenyl-<Emphasis Type="Italic">ms</Emphasis>-azadipyrromethenes

Spectral, luminescent, and photophysical properties of the BF₂ chelates with dichloroand dibromotetraphenyl-ms-azadipyrromethene (derivatives of tetraphenyl-aza-BODIPY) have been studied experimentally and theoretically by quantum chemistry methods. The positions of fluorescence bands, quantum yields, and lifetimes were measured experimentally. The rate constants of intramolecular photophysical processes have been estimated, and the quantum yields of fluorescence and phosphorescence and the lifetimes of excited states have been calculated. Complete energy schemes of electronically excited states and photophysical processes in the molecules of the compounds under study have been built on the basis of calculation results. The decrease in the fluorescence quantum yields upon excitation into the second absorption band and the absence of the phosphorescence of the chelates have been explained.     

Use of the helium medium for preparation of nano-sized powder materials by the example of industrial cement

Based on the phenomenon of the mechanodynamic diffusion of particles of the external medium in solids, a new in principle method has been proposed for the first time for producing nano-sized powder materials using industrial cement milled in a helium medium as an example. The temperature dependences of the extraction rate and the amount of helium in powders upon their heating in a temperature range of 20–1200°C have been obtained using mass spectrometry. It has been shown that milling of the cement powder of the M-400 brand using an MK-1 laboratory mill in helium leads to a considerable shift of its extraction curve towards lower temperatures compared with the air medium. The particle sizes of the powder milled in helium lie in a range of 5–10 nm, which is smaller than the powder size (～500 nm) after milling in the air medium by a factor of 100. The compression strength of cement samples obtained from the powders milled in helium increased by a factor of 2 compared with the strength of the samples from the initial material. The activation energies of helium extraction from the cement powders milled in helium and in air have been analyzed. The obtained results indicate a high efficiency of the method for producing nano-sized powder materials in the helium medium. The method can be used in the industrial scale based on the existing mill equipment with its minimal modernization.     

Features of the Crystal Structure of the Polyimide Derived from 3,3'-Diaminobenzophenone and 3,3',4,4'-Benzophenonetetracarboxylic Dianhydride

Changes occurring in the structural organization of the thermoplastic polyimide derived from 3,3'-diaminobenzophenone and 3,3',4,4'-benzophenonetetracarboxylic dianhydride on heat treatment at temperatures in the range 250-350°C were studied, and the influence of these changes on the rheological behavior of the polymer was examined.     

Photochemistry of cis,trans-[PtIV(en)(I)2(CH3COO)2] complex in aqueous solutions

Russian Chemical Bulletin - The photochemistry of aqueous solutions of the cis,trans-[PtIV(en)(I)2(CH3COO)2] complex (1) was studied by stationary photolysis, nanosecond laser flash photolysis and...     

Effect of random orthogonal-mode coupling on polarization characteristics of monomode fibers (MF) and MF-based ring interferometers part IV. Zero drift in simplified fiber ring interferometers with nonmonochromaticradiation depolarizers

We considered four fiber-ring-interferometer (FRI) schemes without polarizers made of weakly anisotropic monomode fibers which differ from one another in the location of depolarizer of nonmonochromatic Lyot radiation from a highly anisotropic MF. The results of calculations conducted by numerical simulation with allowance for the h-parameter of the circuit and depolarizer MF show that the FRI zero drift is practically the same for all the four FRI circuits and strongly depends on the accuracy of setting of the angle of mutual orientation of the Lyot depolarizer elements. If the Lyot depolarizer is located at the FRI input (before the first beam splitter or between the first and second beam splitters), the interference signal fadings at the FRI output are practically not eliminated. If, however, the Lyot depolarizer is inside the FRI circuit (at one of its ends or in the middle), the interference signal fadings are, in practice, entirely eliminated, which makes these FRI circuits preferable.Institute of Applied Physics and Institute of Microstructure Physics Russian Academy of Sciences, Nizhny Novgorod. Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 38, No. 12, pp. 1293–1304, December, 1995.     

Specific Features of Dimethyl Malonate Acylation by 1-Adamantylacetyl Chloride in the Presence of Solid NaOH

Russian Journal of Organic Chemistry -     

Nanostructures in a nematic liquid crystal

The effect of nanoobjects, molecular objects, and α particles introduced into a liquid-crystal matrix that is placed in a dc electric field is studied theoretically and experimentally. The introduced particles form a charged defect, the radius of which is much larger than the particle sizes, in the orientational structure of the liquid crystal. This defect is easily observed under an optical microscope, and its image agrees with calculated data. It is suggested that this effect be used for detection and diagnostics of small objects and for design of ionizing radiation detectors. The phenomena revealed in this work can help in producing new charged-defect-saturated liquid-crystal structures formed by introducing nanoparticles in a medium or by irradiating a medium by ionizing radiation. A nonmechanical principle of transport of nanoparticles and their regular incorporation into the lattice is implemented. The essence of this principle is control of molecular orientations in a liquid crystal by quasi-stationary electric fields.