Static arbitrage bounds on basket option prices

We consider the problem of computing upper and lower bounds on the price of an European basket call option, given prices on other similar options. Although this problem is hard to solve exactly in the general case, we show that in some instances the upper and lower bounds can be computed via simple closed-form expressions, or linear programs. We also introduce an efficient linear programming relaxation of the general problem based on an integral transform interpretation of the call price function. We show that this relaxation is tight in some of the special cases examined before.     

Relation between radon concentrations and morphotectonics of the Dead Sea transform in Wadi Araba, Jordan

Radon concentrations were measured along six profiles crossing three morphotectonic features of the Dead Sea transform fault in Wadi Araba. Two profiles of detectors were placed across a fault scarp, a sag pond and a pressure ridge formed along the active Wadi Araba strike-slip fault. The maximum radon peak was measured in the pressure ridges . This high concentration may be due to the up squeezing and heterogeneous fracturing of the Cretaceous and the Pleistocene Lisan beds beneath the pressure ridges. The minimum radon readings were measured in the sag pond floor , the fractures are concentrated at the pond borders and not in the pond floor. The sag ponds are filled with fine sediments, which decreases the porosity and hence the upward radon migration. The fault scarp has intermediate radon radiation, with concentration values ranging between 1.1 and .     

Approximation of the Hilbert Transform on the real semiaxis using Laguerre zeros

The authors propose two new algorithms for the computation of Cauchy principal value integrals on the real semiaxis. The proposed quadrature rules use zeros of Laguerre polynomials. Theoretical error estimates are proved and some numerical examples are showed.     

Detection of osmotic damages in GRP boat hulls

Infrared thermography as a tool of non-destructive testing is method enabling visualization and estimation of structural anomalies and differences in structure’s topography. In presented paper problem of osmotic damage in submerged glass reinforced polymer structures is addressed. The osmotic damage can be detected by a simple humidity gauging, but for proper evaluation and estimation testing methods are restricted and hardly applicable. In this paper it is demonstrated that infrared thermography, based on estimation of heat wave propagation, can be used. Three methods are addressed; Pulsed thermography, Fast Fourier Transform and Continuous Morlet Wavelet. An additional image processing based on gradient approach is applied on all addressed methods. It is shown that the Continuous Morlet Wavelet is the most appropriate method for detection of osmotic damage.     

FTIR和Raman用于盐酸曲马多的结构分析

采用AVATAR 360型傅里叶变换红外光谱仪和RM-1000型激光共聚焦拉曼光谱仪测定盐酸曲马多的红外光谱和拉曼光谱。拉曼光谱和红外光谱中均显示出了盐酸曲马多的特征峰,都能够用于其结构鉴别。采用红外、拉曼光谱这两种方法互相印证,互相补充,可增强鉴定的准确性、可靠性。     

Utilizing a constant peak width transform for isothermal gas chromatography

A computational approach to partially address the general elution problem (GEP), and better visualize, isothermal gas chromatograms is reported. The theoretical computational approach is developed and applied experimentally. We report a high speed temporally increasing boxcar summation (TIBS) transform that, when applied to the raw isothermal GC data, converts the chromatographic data from the initial time domain (in which the peak widths in isothermal GC increase as a function of their retention factors, k), to a data point based domain in which all peaks have the same peak width in terms of number of points in the final data vector, which aides in preprocessing and data analysis, while minimizing data storage size. By applying the TIBS transform, the resulting GC chromatogram (initially collected isothermally), appears with an x-axis point scale as if it were instrumentally collected using a suitable temperature program. A high speed GC isothermal separation with a test mixture containing 10 compounds had a run time of ～25 s. The peak at a retention factor k ～0.7 had a peak width of ～55 ms, while the last eluting peak at k ～89 (i.e., retention time of ～22 s) had a peak width of ～2000 ms. Application of the TIBS transform increased the peak height of the last eluting peak 45-fold, and S/N ～20-fold. All peaks in the transformed test mixture chromatogram had the width of an unretained peak, in terms of number of data points. A simulated chromatogram at unit resolution, studied using the TIBS transform, provided additional insight into the benefits of the algorithm.     

Possible key intermediates in arsenic biochemistry: Synthesis and identification by liquid chromatography electrospray ionization mass spectrometry and high resolution mass spectrometry

Arsenic is a type 1 carcinogen and its toxicity is critically dependent on chemical speciation. However, after decades of research, the biogenesis of at least fifty naturally occurring arsenic species is still not well understood.Here, based on experimental work, it is proposed a set of pathways for the formation of multiple arsenic species that might help to clarify the present situation.These are focused on the thiol protein arsenic bond and on its interaction with reactive metabolites. In fact, arsenic bound to glutathione interacting with sulfur adenosyl methionine (SAM), MethylCB₁₂ and AdoCB₁₂, forms a number of complexes that might be key intermediates in arsenic biochemistry. These include dimethylarsino glutathione (DMAG) m/z 412 [M + H]⁺, synthesized non-enzymatically from glutathione and cacodylate. Trimethylarsonio glutathione (TMAG) m/z 426 [M]⁺ synthesized from DMA, GSH and SAM, apparently by a classical Challenger methylcarbonium attack. Tetramethyl arsonium ion m/z 135 [M]⁺ is formed in a third step, apparently by carbanion methylation. The presence of trimethylarsine oxide (TMAO) m/z 137 [M + H]⁺ is attributed to the hydrolysis of TMAG or TMA, or to carbanion methylation of dimethylarsinoyl glutathione (m/z 428 [M]⁺) formed from cacodylate and GSH. Cantoni type attacks of DMAG on SAM were unsuccessful, eventually due to competition of the trivalent S⁺ atom of SAM for the As^III atom attack. The presence of dimethylarsonio diglutathione (DMADG m/z 717 [M]⁺), is suggested to result from a GS^- attack on dimethylarsenoyl glutathione (m/z 428 [M + H]⁺). The presence of dimethylarsenoyladenosine (m/z 372 [M + H]⁺), trimethylarsenosugar adenine (m/z 370 [M]⁺), and dimethylthioarsenosugar adenine (m/z 388 [M + H]⁺), is explained by the synthesis of the pecursor dimethylarsonio-adenosine glutathione DMAAG (m/z 661 [M]⁺), a likely source of oxo-and trimethylated arsenosugars, as well as of thio-arsenosugars by the cleavage of its S-C bond. The results gathered suggest that cell vacuoles might play a major role in arsenic metabolism, and that the dominance of oxo-As sugars, in algae extracts, may be supported by a mechanism of synthesis independent of DMAAG (m/z 661).They also offer an explanation for the reason why arsenobetaine, and tetramethylarsonium are loosely bound to biotic tissues. Four arsenic species new to science, to the best of our knowledge, and a number of known arsenic compounds were synthesized in this work, identified by HPLC–ESI-MSⁿ and FTICR–ESI-MS, and suggestions regarding their mechanisms of synthesis were advanced. These results provide a framework for arsenic biochemistry which may explain the origin of a significant part of arsenic known metabolites.     

Structural and functional characterisation of a biohybrid material based on acetylcholinesterase and layered double hydroxides

This work describes the use of layered double hydroxides (LDHs) for the immobilisation of acetylcholinesterase (AChE) on insulator/semiconductor solid supports. Different LDHs have been synthesised by a co-precipitation method. Afterwards, biohybrid materials based on AChE-LDH mixtures have been produced using wild and recombinant enzymes. Spectroscopic techniques have confirmed the LDH phase identity and the links created between the LDH and AChE. Spectrophotometric assays have demonstrated that most of the biohybrid materials are functional and stable. Several configurations have been used for AChE immobilisation. The highest catalytic responses have been observed when using wild enzyme and immobilising AChE-LDH mixtures on LDHs previously deposited on the solid supports. LDHs have been demonstrated to be suitable host matrices for AChE immobilisation on electrodes for the subsequent development of electrochemical biosensors.     

Setting reaction of new bioceramic root canal sealers

Objective: This study aimed to evaluate setting reaction and the time of three bioceramics (Endosequence, iRoot-SP, and Smartpastebio) compared with glass ionomer (ActiV-GP) root canal sealers.

Materials and methods: Setting reaction was tested using Fourier Transform Infrared Spectroscopy and X-ray Diffraction; setting time was measured using a Vicat needle.

Results: Three-bioceramic sealers composed of calcium hydroxide, calcium phosphate, calcium silicate, silicon oxide, and zirconium oxide. During their setting, calcite and calcium phosphate silicate were detected. Their setting took longer time than ActiV-GP that have aluminum polyacrylate and calcium phosphate silicate in set mass.

Conclusions: Bioceramic sealers took longer time to set than expected.     

A robust high-resolution method for the time–frequency analysis of vortex-induced-vibration signals

The dynamic interaction between ocean current and marine riser is complex in nature, and the riser׳s vortex-induced vibration (VIV) due to the current often strongly exhibits a non-stationary phenomenon. For investigating the time-varying dominant frequencies of the VIV motion, a joint time–frequency analysis is necessary. Traditional methods for time–frequency analysis include the Short Time Fourier Transform (STFT) and Wavelet Transform (WT) methods, though both methods have significant drawbacks. Specifically, the STFT method suffers frequency resolution and leakage problems, while the WT method is highly sensitive to its basic wavelet selection. This paper newly introduces a robust high-resolution method, named the STPT-SS method, which is the Short Time Prony Transform (STPT) using a State-Space (SS) model. In particular, the STPT algorithm contributes to the high-resolution feature of the proposed method, and the SS model to the robustness. Using test VIV data that include a synthesized signal and measurements from laboratory and field experiments, the STPT-SS method is found to significantly outperform the STFT and WT methods in the time–frequency analysis.