Heston Model: The Variance Swap Calibration

This paper features a market implied methodology to infer adequate starting values for the spot and long-run variances and for the mean reversion rate of a calibration exercise under the Heston model. More particularly, these initial parameters are obtained by matching the term structure of the future expected total variance, inferred from the volatility surface, with the model term structure. In the numerical study, we compare the goodness of fit and the parameter stability of the Heston model calibrated by using either plausible random or market implied starting values for a one-year sample period including the recent credit crunch. In particular, we show that the proposed methodology avoids getting stuck in one “bad” local minimum and stabilizes the calibrated parameters through time.     

Inter‐laboratory comparison of a WDS–EDS quantitative X‐ray microanalysis of a metallic glass

We conducted an inter‐laboratory study of a metallic glass whose main component is nickel. Two determinations of the mass fractions of the different elements present within the sample were asked to the participants: one at an acceleration voltage of 15 or 20 kV and another one at 5 kV. We compare the mass fractions obtained from wavelength dispersive (WDS) and energy dispersive spectrometries (EDS) and also try to find an influence of the kind of EDS detector and its entrance window, the background subtraction method, the use or not of standards as well as the quantification method. Both means of WDS and EDS mass fractions are close to the reference values. The dispersion of the results was larger at 5 kV than at 15–20 kV owing to the use of the L lines rather than K lines and to the lowest collected intensities. There is an exception with the case of boron because at the lowest voltage, the excitation condition is more favorable for the production of the K line. It appears that the dispersion of the results is larger with EDS than with WDS, but it was not possible to find a correlation between the large dispersion and one of the considered experimental parameters and quantification factors. Thus, one can think that electron microprobes are inherently better for the determination of mass fractions or that the implementation of quantitative analysis must be optimized for some cases, especially in scanning electron microscopes. Copyright © 2014 John Wiley & Sons, Ltd.     

Total Synthesis,Stereochemical Assignment,and Biological Activity of Chamuvarinin and Structural Analogues

A highly stereocontrolled synthesis of (+)‐chamuvarinin has been completed in 1.5 % overall yield over 20 steps. The key fragment coupling reactions were the addition of alkyne 8 to aldehyde 7 (under Felkin–Anh control), followed by the two step activation/cyclization to close the C20–C23 2,5‐cis‐substituted tetrahydrofuran ring and a Julia–Kocienski olefination at C8–C9 to introduce the terminal butenolide. The inherent flexibility of our coupling strategy led to a streamlined synthesis with 17 steps in the longest sequence (2.2 % overall yield), in which the key bond couplings are reversed. In addition, a series of structural analogues of chamuvarinin have been prepared and screened for activity against HeLa cancer cell lines and both the bloodstream and insect forms of Trypanosoma brucei, the parasitic agent responsible for African sleeping sickness.     

Computed CH Acidity of Biaryl Compounds and Their Deprotonative Metalation by Using a Mixed Lithium/Zinc‐TMP Base

With the aim of synthesizing biaryl compounds, several aromatic iodides were prepared by the deprotonative metalation of methoxybenzenes, 3‐substituted naphthalenes, isoquinoline, and methoxypyridines by using a mixed lithium/zinc‐TMP (TMP=2,2,6,6‐tetramethylpiperidino) base and subsequent iodolysis. The halides thus obtained, as well as commercial compounds, were cross‐coupled under palladium catalysis (e.g., Suzuki coupling with 2,4‐dimethoxy‐5‐pyrimidylboronic acid) to afford various representative biaryl compounds. Deprotometalation of the latter compounds was performed by using the lithium/zinc‐TMP base and evaluated by subsequent iodolysis. The outcome of these reactions has been discussed in light of the CH acidities of these substrates, as determined in THF solution by using the DFT B3LYP method. Except for in the presence of decidedly lower pK_a values, the regioselectivities of the deprotometalation reactions tend to be governed by nearby coordinating atoms rather than by site acidities. In particular, azine and diazine nitrogen atoms have been shown to be efficient in inducing the reactions with the lithium/zinc‐TMP base at adjacent sites (e.g., by using 1‐(2‐methoxyphenyl)isoquinoline, 4‐(2,5‐dimethoxyphenyl)‐3‐methoxypyridine, or 5‐(2,5‐dimethoxyphenyl)‐2,4‐dimethoxypyrimidine as the substrate), a behavior that has already been observed upon treatment with lithium amides under kinetic conditions. Finally, the iodinated biaryl derivatives were involved in palladium‐catalyzed reactions.     

Synthesis of Polysiloxane-Immobilized Monoamine,Diamine, and Triamine Ligand Systems in the Presence of CTAB and Their Applications

Abstract

Polysiloxane-immobilized monoamine, diamine, and triamine ligand systems of the general formula P-(CH₂)₃-X [where P represents a polysiloxane three-dimension silica like network, and X represents monoamine(-NH₂), diamine (-NH(CH₂)₂NH₂), or triamine (-NH(CH₂)₂NH(CH₂)₂NH₂) functional ligand groups] were prepared by hydrolytic polycondensation of the tetraethylorthosilicate (TEOS) and the appropriate amine silane coupling agent (RO)₃Si-(CH₂)₃X in the presence of cetyltrimethylammonium bromide (CTAB) as surfactant using the sol-gel method. The polysiloxane-immobilized amine ligand systems exhibit a higher potential for divalent metal ions (Cu²⁺, Ni²⁺, Co²⁺) when CTAB was used as surfactant than those of the corresponding polysiloxane ligand systems prepared without CTAB. X-ray Photoelectron Spectroscopy (XPS) analyses show a significant change in the surface composition as resulting from the incorporation of CTAB, which can be related to the increase in the uptake of metal ions.     

Capillary zone electrophoresis and capillary electrophoresis-mass spectrometry for analyzing qualitative and quantitative variations in therapeutic albumin

The present study describes a reproducible and quantitative capillary zone electrophoresis (CZE) method, which leads to the separation of nine forms (native, oxidized and glycated) of human serum albumin (HSA). In an attempt to identify the different species separated by this CZE method, the capillary electrophoresis was coupled to mass spectrometry using a sheath liquid interface, an optimized capillary coating and a suitable CE running buffer. CE-MS analyses confirmed the heterogeneity of albumin preparation and revealed new truncated and modified forms such as Advanced Glycation End products (AGEs). Assignment of the CZE peaks was carried out using specific antibodies, carboxypeptidase A or sample reduction before or during the CE separation. Thus, five HSA forms were unambiguously identified. Using this CZE method several albumin batches produced by slightly different fractionation ways could be discriminated. Furthermore, analyses of HSA preparations marketed by five pharmaceutical industries revealed that two therapeutic albumins, including that marketed by LFB, contained the highest proportion of native form and lower levels of oxidized forms.     

1,3‐Dipolar Cycloadditions of Aldehydes or Imines with Carbonyl Ylides Generated from Epoxides: Classical Heating and Microwave Irradiation

Abstract

Cycloadditions of aldehydes with carbonyl ylides to give dioxolanes have been carried out without solvent under microwave irradiation. The reactions proceeded in similar yields and stereoselectivities, but in shorter reaction times, than those obtained in toluene at reflux using an oil bath. Cycloadditions conducted between imines and carbonyl ylides using the same protocol were less efficient because the oxazolidines formed proved unstable under the reaction conditions.     

Optimization of the Microwave-Assisted Ortho Ester Claisen Rearrangement: Application to Monoterpenols

Two monoterpenols, perillyl alcohol and nerol, have been converted into their γ,δ-unsaturated ester derivatives following a modified process of microwave-assisted ortho ester Claisen rearrangement. The yields obtained (>90%) are better than those previously obtained. The optimized process needs less reaction time (5 min), smaller amount of reagent, and no solvent.     

Vesicles in ionic liquids

The formation of vesicles from 1,2-dipalmitoyl-sn-glycero-3-phosphatidylcholine (DPPC) in several room-temperature ionic liquids, namely, 1-butyl-3-methylimidazolium tetrafluoroborate (BmimBF(4)), 1-butyl-3-methylimidazolium hexafluorophosphate (BmimPF(6)), 1-ethyl-3-methylimidazolium bis(trifluoromethylsulfonyl)imide (EmimNTf(2)), and N-benzylpyridinium bis(trifluoromethylsulfonyl)imide (BnPyNTf(2)), as well as in a water/BmimBF(4) mixture, was investigated. In pure ionic liquids, observations by staining transmission electron microscopy demonstrated clearly the formation of spherical structures with diameters of 200-400 nm. The morphological characteristics of these vesicles in ionic liquids, in particular, the membrane thicknesses, were first investigated by small-angle neutron scattering measurements. The mean bilayer thickness was found to be ～63 ± 1 ? in a deuterated ionic liquid (BnPyNTf(2)-d). This value was similar to that observed in water. The effect of ILs on the modification of the phase physical properties of multilamellar vesicles (MLVs) was then investigated by differential scanning calorimetry. In pure IL as in water, DPPC exhibited an endothermic pretransition followed by the main transition. These transition temperatures and the associated enthalpies in ILs were higher than those in water because of a reduction of the electrostatic repulsion between zwitterionic head groups. To better understand the effect of ionic liquid on the formation of multilamellar vesicles, mixtures of BmimBF(4) and water, which are miscible in all proportions, were analyzed (BmimBF(4)/water ratio from 0% to 100%). SANS and DSC experiments demonstrated that the bilayer structure and stability were strongly modified by the IL content. Moreover, matching SANS experiments showed that BmimBF(4) molecules prefer to be located inside the DPPC membrane rather than in water.     

Precision studies in supramolecular chemistry: a 1H NMR study of hydroxymethoxyacetophenone/β-cyclodextrin complexes

The association constants for the interactions of 2-hydroxy-4-methoxyacetophenone, 2-hydroxy-5-methoxyacetophenone, 2-hydroxy-6-methoxyacetophenone, 3-hydroxy-4-methoxyacetophenone and 4-hydroxy-3-methoxyacetophenone with β-cyclodextrin in water were measured by (1)H NMR and by isothermal titration calorimetry. Very good agreement was obtained between the different methods. The errors associated with the NMR method for measuring mM binding affinities were estimated to be 10-30%, and by isothermal titration calorimetry, 10-20%. Rotating frame nuclear Overhauser effect spectroscopy studies show that the solution phase host-guest complexes formed by β-cyclodextrin with these hydroxymethoxyacetophenone derivatives are not structurally well defined but that the hydroxymethoxyacetophenone derivatives are mostly associated with the narrow primary hydroxyl rim.