Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

In the natural gas market, many derivative contracts have a large degree of flexibility. These are known as Swing or Take-Or-Pay options. They allow their owner to purchase gas daily, at a fixed price and according to a volume of their choice. Daily, monthly and/or annual constraints on the purchased volume are usually incorporated. Thus, the valuation of such contracts is related to a stochastic control problem, which we solve in this paper using new numerical methods. Firstly, we extend the Longstaff–Schwarz methodology (originally used for Bermuda options) to our case. Secondly, we propose two efficient parameterizations of the gas consumption, one is based on neural networks and the other on finite elements. It allows us to derive a local optimal consumption law using a stochastic gradient ascent. Numerical experiments illustrate the efficiency of these approaches. Furthermore, we show that the optimal purchase is of bang-bang type.      

Kinetics of the esterification of palmitic acid with isobutyl alcohol

Kinetics of the sulfuric acid catalyzed esterification of palmitic acid with isobutyl alcohol has been studied and reviewed critically. A theoretical rate equation is derived by the following reaction mechanism: (1) The reaction of sulfuric acid and isobutyl alcohol produces isobutyl sulfuric acid which acts as a catalyst; (2) Palmitic acid is protonated by the catalyst to form the reaction intermediate; and (3) The esterification proceeds reversibly. The experimental results are consistent with this rate equation.     

Antiviral phytochemicals identification from Azadirachta indica leaves against HCV NS3 protease: an in silico approach

Hepatitis C virus (HCV) is a major health problem across the world affecting the people of all age groups. It is the main cause of hepatitis and at chronic stage causes liver cirrhosis and hepatocellular carcinoma. Various therapeutics are made against HCV but still there is a need to find out potential therapeutics to combat the virus. The goal of this study is to identify the phytochemicals of Azadirachta indica leaves having antiviral activity against HCV NS3 protease through molecular docking and simulation approach. Results show that the compound 3-Deacetyl-3-cinnamoyl-azadirachtin possesses good binding properties with HCV NS3/4A protease. It can be concluded from this study that Deacetyl-3-cinnamoyl-azadirachtin may serve as a potential inhibitor against NS3/4A protease.     

Synthesis and antioxidant activity study of carbothioamide and their corresponding thiazole derivatives

A novel series of 5-(p-(prop-2-ynyloxy)phenyl)-3-aryl-4,5-dihydropyrazole-1-carbothioamides 2a-f and functionalized 2-(3-(aryl)-5-(4-(prop-2-ynyloxy)phenyl)-4,5-dihydropyrazol-1-yl)-4-(3-arylsydnone-4-yl)thiazoles 4a-l were synthesized. The newly synthesized compounds were elucidated by analytical and spectral analysis. From the single-crystal X-ray diffraction method, it was observed that 2d crystallizes in a monoclinic crystal system with P21/n space group. The compounds 2d crystallized with cell parameters a = 15.0614 (19) Å, b = 6.0805 (7) Å, c = 20.903 (7) Å, α = 114.136 (6)^o, β = 110.709 (14) ^o, γ = 96.553 (5) ^o, V = 1790.6 (4) ų, Z = 4. From the Hirshfeld surface computational method, the major intercontacts present in these molecules are H…H (31.6%), C…H (18.2%) and S…H (12.2%), respectively. The newly synthesized compounds were tested for their ability to bleach 2,2'-diphenyl-1-picrylhydrazyl (DPPH) radical using DPPH scavenging assay. Among the synthesized compounds carbothioamide compounds 2c (90.7%) and 2b (89.8%) exhibited good DPPH scavenging activity compared to the rest of the compounds. Most of the synthesized carbothioamide molecules ( 2a-f ) found to be potent compared to the thiazole derivatives ( 4a-l ).     

Pharmaceutical physical form characterisation with fast (>200 °C min<Superscript>−1</Superscript>) DSC heating rates

Differential scanning calorimetry (DSC) has many applications during preformulation screening of new drug candidates, but definitive assignment of peaks to specific events in the sample is difficult without supplementary data from other techniques. To some extent these problems can be overcome by running multiple experiments at different heating rates. Typically 2 and 20 °C min⁻¹ are indicated. However, modern instruments are capable of achieving much faster heating rates (up to 750 °C commercially); with this extended range comes a new capacity for investigating the physical form of materials. Here, the use of fast DSC heating rates for materials characterisation is explored, focussing on determination of melting temperatures, glass formation and polymorph screening.     

Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models

We study the robustness of options prices to model variation in a multidimensional jump-diffusion framework. In particular, we consider price dynamics in which small variations are modeled either by a Poisson random measure with infinite activity or by a Brownian motion. We consider both European and Exotic options and we study their deltas using two approaches: the Malliavin method and the Fourier method. We prove robustness of the deltas to model variation. We apply these results to the study of stochastic volatility models for the underlying and the corresponding options.     

Commuting Values of Generalized Derivations on Multilinear Polynomials

Let K be a commutative ring with unity, R a prime K-algebra of characteristic different from 2, U the right Utumi quotient ring of R, f(x ₁,…, x _n ) a noncentral multilinear polynomial over K, and G a nonzero generalized derivation of R. Denote f(R) the set of all evaluations of the polynomial f(x ₁,…, x _n ) in R. If [G(u)u, G(v)v] = 0, for any u, v ∈ f(R), we prove that there exists c ∈ U such that G(x) = cx, for all x ∈ R and one of the following holds: 1. f(x ₁,…, x _n )² is central valued on R;

2. R satisfies s ₄, the standard identity of degree 4.

     

Eigenvalues of the Laplacian and extrinsic geometry

We extend the results given by Colbois, Dryden and El Soufi on the relationships between the eigenvalues of the Laplacian and an extrinsic invariant called intersection index, in two directions. First, we replace this intersection index by invariants of the same nature which are stable under small perturbations. Second, we consider complex submanifolds of the complex projective space $\mathbb C P^N$ instead of submanifolds of $\mathbb R ^N$ and we obtain an eigenvalue upper bound depending only on the dimension of the submanifold which is sharp for the first non-zero eigenvalue.     

Phytochemical analysis and Enzyme Inhibition Assay of Aerva javanica for Ulcer

ABSTRACT: BACKGROUND: Aerva javanica (Burm. f.) Juss. ex Schult. (Amaranthacea) is traditionally used for the treatment of wound healings, cough, diarrhoea, ulcer and hyperglycaemia. The current study was aimed to fractionate and isolate bioactive compounds and ultimately to evaluate their anti-ulcereogenic potential. RESULTS: In order to achieve these aims, the fractionation, purifications and then biological potential determination of the isolated compounds was carried out. For purification purpose, initially extraction of the plant material was done with aqueous MeOH in the order of increasing polarity by using solvent-solvent extraction method. Phytochemical analysis revealed the presence of three compounds, 3-hydroxy-4 methoxybenzaldehyde (1), ursolic acid (2) and (E)-N-(4-hydroxy-3-methoxyphenethyl)-3-(4-hydroxy-3-ethoxyphenyl) acryl amide (3). Inhibition of urease activity of various fractions revealed that ethyl acetate fraction showed significant activity (P <0.05) as compared to other fractions. (E)-N-(4-hydroxy-3- methoxyphenethyl)-3-(4-hydroxy-3-ethoxyphenyl) acryl amide (3) showed marked anti ulcer activity (P <0.05). CONCLUSION: These results suggested the mild potential of A. javanica against ulcer.     

Application of tracer technique in remediation of Sr(II) from simulated low level radioactive waste

Journal of Radioanalytical and Nuclear Chemistry - Activity concentrations of natural (40K, 226Ra, 228Ra, 232Th, 238U) and artificial (134Cs, 137Cs) radionuclides were measured in powdered milk...