Pricing bounds for discrete arithmetic Asian options under Lévy models

Analytical bounds for Asian options are almost exclusively available in the Black-Scholes framework. In this paper we derive bounds for the price of a discretely monitored arithmetic Asian option when the underlying asset follows an arbitrary Lévy process. Explicit formulas are given for Kou’s model, Merton’s model, the normal inverse Gaussian model, the CGMY model and the variance gamma model. The results are compared with the comonotonic upper bound, existing numerical results, Monte carlo simulations and in the case of the variance gamma model with an existing lower bound. The method outlined here provides lower and upper bounds that are quick to evaluate, and more accurate than existing bounds.     

Stable isotopic labelling-assisted untargeted metabolic profiling reveals novel conjugates of the mycotoxin deoxynivalenol in wheat

An untargeted screening strategy for the detection of biotransformation products of xenobiotics using stable isotopic labelling (SIL) and liquid chromatography–high resolution mass spectrometry (LC-HRMS) is reported. The organism of interest is treated with a mixture of labelled and non-labelled precursor and samples are analysed by LC-HRMS. Raw data are processed with the recently developed MetExtract software for the automated extraction of corresponding peak pairs. The SIL-assisted approach is exemplified by the metabolisation of the Fusarium mycotoxin deoxynivalenol (DON) in planta. Flowering ears were inoculated with 100 μg of a 1?+?1 (v/v) mixture of non-labelled and fully labelled DON. Subsequent sample preparation, LC-HRMS measurements and data processing revealed a total of 57 corresponding peak pairs, which originated from ten metabolites. Besides the known DON and DON-3-glucoside, which were confirmed by measurement of authentic standards, eight further DON-biotransformation products were found by the untargeted screening approach. Based on a mass deviation of less than ±5 ppm and MS/MS measurements, one of these products was annotated as DON-glutathione (GSH) conjugate, which is described here for the first time for wheat. Our data further suggest that two DON-GSH-related metabolites, the processing products DON-S-cysteine and DON-S-cysteinyl-glycine and five unknown DON conjugates were formed in planta. Future MS/MS measurements shall reveal the molecular structures of the detected conjugates in more detail.     

Ultrafast Dynamics of Solvation and Charge Transfer in a DNA‐Based Biomaterial

Charge migration along DNA molecules is a key factor for DNA‐based devices in optoelectronics and biotechnology. The association of a significant amount of water molecules in DNA‐based materials for the intactness of the DNA structure and their dynamic role in the charge‐transfer (CT) dynamics is less documented in contemporary literature. In the present study, we have used a genomic DNA–cetyltrimethyl ammonium chloride (CTMA) complex, a technological important biomaterial, and Hoechest 33258 (H258), a well‐known DNA minor groove binder, as fluorogenic probe for the dynamic solvation studies. The CT dynamics of CdSe/ZnS quantum dots (QDs; 5.2 nm) embedded in the as‐prepared and swollen biomaterial have also been studied and correlated with that of the timescale of solvation. We have extended our studies on the temperature‐dependent CT dynamics of QDs in a nanoenvironment of an anionic, sodium bis(2‐ethylhexyl)sulfosuccinate reverse micelle (AOT RMs), whereby the number of water molecules and their dynamics can be tuned in a controlled manner. A direct correlation of the dynamics of solvation and that of the CT in the nanoenvironments clearly suggests that the hydration barrier within the Arrhenius framework essentially dictates the charge‐transfer dynamics.     

The Pulsed Ultrasonic Backscatter Polar Scan and its Applications for NDT and Material Characterization

In a conventional ultrasonic polar scan (UPS) experiment, the amplitude or time-of-flight-diffraction (TOFD) values of the transmitted and/or reflected acoustic pulse are recorded for a wide range of incidence angles, in view of gaining knowledge about the elastic properties at the insonified material spot. Here we apply the pulsed UPS technique and investigate the backscattered signal, resulting in the ultrasonic backscatter polar scan (UBPS). It is shown that a UPBS contains a blueprint of geometrically related features of the insonified material spot which can be of particular interest for various industrial applications. We applied the UBPS for (i) the determination of the stacking sequence of a cross-ply composite laminate, (ii) the semi-quantification of a multidirectional microscopic surface corrugation, (iii) the detection of corrosion in an early stage as well as (iv) the detection and the localization of a closed surface breaking crack.     

Microscopic evidence of spin state order and spin state phase separation in layered cobaltites RBaCo2O5.5 with R=Y, Tb, Dy, and Ho

We report muon-spin relaxation measurements on the magnetic structures of RBaCo2O(5.5) with R=Y, Tb, Dy, and Ho. Three different phases, one ferrimagnetic and two antiferromagnetic, are identified below 300 K. They consist of different ordered spin state arrangements of high-, intermediate-, and low-spin Co3+ of CoO6 octahedra. Phase separation into well separated regions with different spin state order is observed in the antiferromagnetic phases. The unusual strongly anisotropic magnetoresistance and its onset at the FM-AFM phase boundary is explained.     

Direct Observation of Kinetic Pathways of Biomolecular Recognition

The pathways of molecular recognition, which is a central event in all biological processes, belong to the most important subjects of contemporary research in biomolecular science. By using fluorescence spectroscopy in a microfluidics channel, it can be determined that molecular recognition of α‐chymotrypsin in hydrous surroundings at two different pH values (3.6 and 6.3) follows two distinctly different pathways. Whereas one corroborates an induced‐fit model (pH 3.6), the other one (pH 6.3) is consistent with the selected‐fit model of biomolecular recognition. The role of massive structural perturbations of differential recognition pathways could be ruled out by earlier XRD studies, rather was consistent with the femtosecond‐resolved observation of dynamic flexibility of the protein at different pH values. At low concentrations of ligands, the selected‐fit model dominates, whereas increasing the ligand concentration leads to the induced‐fit model. From molecular modelling and experimental results, the timescale associated with the conformational flexibility of the protein plays a key role in the selection of a pathway in biomolecular recognition.     

Approaching the ground state of the kagomé antiferromagnet

Y0.5Ca0.5BaCo4O7 contains kagomé layers of Co ions, whose spins are strongly coupled, with a Curie-Weiss temperature of -2200 K. At low temperature, T=1.2 K, our diffuse neutron scattering study with polarization analysis reveals characteristic spin correlations close to a predicted two-dimensional coplanar ground state with staggered chirality. The absence of three-dimensional long-range antiferromagnetic order indicates negligible coupling between the kagomé layers. The scattering intensities are consistent with high spin S=3/2 states of Co2+ in the kagomé layers and low spin S=0 states for Co3+ ions on interlayer sites. Our observations agree with previous Monte Carlo simulations indicating a ground state of effectively short range, staggered chiral spin order.     

Transmission Electron Microscopy Study of Polymorphism in Barium Gallate BaGa2O4

Polymorphism in barium gallate BaGa₂O₄ was studied using electron diffraction and high resolution electron microscopy. Three modifications of BaGa₂O₄ with structures closely related to the high-temperature α-form were observed. The phase transitions from γ-BaGa₂O₄ (a _γ = 18.6143(2) Å = 2<formula><radical><radicand>3</radicand></radical></formula>a _α, c _γ = 8.6544(1) Å = c _α, S.G. P6₃) to β-BaGa₂O₄ (a _β = 2a _α, c _β = c _α S.G. P6₃) and to the new δ-polymorph having a monoclinic structure (a _δ = c _α, b _δ = 2a _α + b _α, c _δ = 2b _α and β ≈ 92°, S.G. P2₁/c) were induced by electron beam irradiation. High resolution electron microscopy (HREM) observations allow to establish the close similarity between the structures of δ-BaGa₂O₄ and β-SrGa₂O₄. The γ→β and β→δ transitions involve a rearrangement of oxygen atoms in the BaO layers together with a tilting distortion of the tetrahedral framework. The microstructure of the δ-phase is characterised by the presence of numerous translation and orientation domains.     

Designed Asymmetric Protein Assembly on a Symmetric Scaffold

Cellular signaling is regulated by the assembly of proteins into higher‐order complexes. Bottom‐up creation of synthetic protein assemblies, especially asymmetric complexes, is highly challenging. Presented here is the design and implementation of asymmetric assembly of a ternary protein complex facilitated by Rosetta modeling and thermodynamic analysis. The wild‐type symmetric CT32–CT32 interface of the 14‐3‐3–CT32 complex was targeted, ultimately favoring asymmetric assembly on the 14‐3‐3 scaffold. Biochemical studies, supported by mass‐balance models, allowed characterization of the parameters driving asymmetric assembly. Importantly, our work reveals that both the individual binding affinities and cooperativity between the assembling components are crucial when designing higher‐order protein complexes. Enzyme complementation on the 14‐3‐3 scaffold highlighted that interface engineering of a symmetric ternary complex generates asymmetric protein complexes with new functions.     

Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.