Option pricing and perfect hedging on correlated stocks

We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time τ0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a riskless strategy which results in a closed and exact expression for the European call price which is always lower than Black-Scholes price. We obtain the same price and a modified delta hedging if we start from an effective one-dimensional market model. We compare these strategies and study the sensitivity of the call price to several parameters where the correlation effects are also observed.     

Polymer bound pyrrole compounds. Reversible anchoring of bilirubin and biliverdin to a polystyrene matrix

Both bilirubin and biliverdin, $\text{via}$ their cesium salts, have been covalently attached to an insoluble polystyrene matrix (the so-called Nbb-resin), some chemical transformations have been carried out upon the supported pigments, and the resulting products have been detached by alkaline methanol.     

Chemical shifts calculation in a CNDO framework. I. Formulation and analysis of the model

Expressions for the second-row nuclei chemical shifts calculation using a CNDO-SCF wave function are outlined. In collating it with the Pugmire and Grant's equations, a term with a changed sign appears. Both sets of equations are applied to a study of carbon-13 chemical shifts in alkanes down to C₇; results are interpreted with aid of the Lindeman–Adams' empirical equation. Expressions proposed are confirmed for an excellent agreement with experimental data.     

Hybrid Turbo FEC/ARQ Systems and Distributed Space-Time Coding for Cooperative Transmission

Cooperative transmission can be seen as a “virtual” MIMO system, where the multiple transmit antennas are in fact implemented distributed by the antennas both at the source and the relay terminal. Depending on the system design, diversity/multiplexing gains are achievable. This design involves the definition of the type of retransmission (incremental redundancy, repetition coding), the design of the distributed space-time codes, the error correcting scheme, the operation of the relay (decode & forward or amplify & forward) and the number of antennas at each terminal. Proposed schemes are evaluated in different conditions in combination with forward error correcting codes (FEC), both for linear and near-optimum (sphere decoder) receivers, for its possible implementation in downlink high speed packet services of cellular networks. Results show the benefits of coded cooperation over direct transmission in terms of increased throughput. It is shown that multiplexing gains are observed even if the mobile station features a single antenna, provided that cell wide reuse of the relay radio resource is possible.     

Banzhaf Measures for Games with Several Levels of Approval in the Input and Output

An axiomatic characterization of ‘a Banzhaf score’ notion is provided for a class of games called (j,k) simple games with a numeric measure associated to the output set, i.e., games with n players, j ordered qualitative alternatives in the input level and k possible ordered quantitative alternatives in the output. Three Banzhaf measures are also introduced which can be used to determine a player's ‘a priori’ value in such a game. We illustrate by means of several real world examples how to compute these measures. Research partially supported by Grant BFM 2003-01314 of the Science and Technology Spanish Ministry and the European Regional Development Fund.     

Re-entrant nematic behavior in the 7OCB+9OCB mixtures: evidence for multiple nematic-smectic tricritical points

The metastable phase diagram of the two-component system heptyloxycyanobiphenyl (7OCB)+nonyloxycyanobiphenyl (9OCB) was determined by means of modulated differential scanning calorimetry (MDSC) and optical microscopy measurements. It was experimentally established that the 7OCB+9OCB two-component system exhibits a monotropic re-entrant nematic behavior. A complete quantitative thermodynamic analysis, through Oonk's equal G analysis, was performed, allowing for the calculation of the monotropic re-entrant behavior and the prediction of two tricritical points, one of them experimentally accessible for the SmAd-to-N transition and the other non-experimentally accessible for the RN-to-SmAd transition. From specific-heat measurements, latent heats were obtained for those mixtures displaying a first-order SmAd-to-N transition. Additionally, for some mixtures, the specific-heat critical exponents (alpha), through the second-order SmAd-to-N transition, were obtained. Both batches of data enable us to access to the experimental tricritical temperature for the SmAd-to-N transition.