Convexity Bias in the Pricing of Eurodollar Swaps

The traditional use of LIBOR futures prices to obtain surrogates for the Eurodollar forward rates is proved to yield a systematic bias in the pricing of Eurodollar swaps when one assumes that the yield curve is well described by the Heath-Jarrow-Morton model. The resulting theoretical inequality is consistent with the empirical observations of Burghardt and Hoskins (1995), and it provide a theoretical basis for price anomalies that are suggested by more recent empirical data.     

Guaranteed-accuracy approximation of reachable sets for a linear dynamic system subject to impulse actions

A method is proposed for approximating the reachable set of a dynamic system with a state space dimension no higher than six-eight considered on a finite time interval. The system is governed by linear differential equations with piecewise constant coefficients and impulse actions specified at prescribed times. The method is based on guaranteed-accuracy polyhedral approximations of reachable sets at researcher-specified times. Every approximation is constructed using the preceding one. A procedure is described for choosing parameters of the method that ensure the required accuracy with close-to-minimal time costs.     

Characterization of semiconductor laser frequency chirp based on signal distortion in dispersive optical fiber

In the paper, the simple method of laser chirp parameters estimation is presented. It is based on measuring time-domain distortions of chirped signal transmitted through dispersive fiber and finding laser chirp parameters by matching measured distortions to calculated ones. Experiments undertaken with 1.55 μm telecommunication grade distributed feedback (DFB) lasers and standard single-mode fiber are described, together with some practical remarks on measurement setup and main conclusions.     

直线加速器驻波腔中的瞬态束流负载效应

在高能加速器中, 随着单个束团和束团串中电荷量的提高, 当粒子束穿过加速腔的时候, 感应出的瞬态束流负载电压也越来越高. 但是, 在通常分析束流负载的时候, 往往对稳态束流负载研究的比较多, 而对瞬态束流负载的研究要相对少一些. 本文首先对束流负载的瞬态特性和束团穿过加速腔时高频源所看到谐振腔谐振频率的变化方式进行了分析, 然后又对两种情况下谐振腔的最优失谐条件进行了讨论, 并给出了相应的解析公式. 在第1种情况下, 当粒子束穿过加速腔的时候, 谐振腔的自然谐振频率能够及时地得到调节, 从而使高频源的电流与谐振腔的腔压同相, 以提高高频源的效率; 在第2种情况下, 当粒子束穿过加速腔的时候, 谐振腔的自然谐振频率保持不变, 不能被调节. 最后, 还对BEPCⅡ现有预注入器的预聚束腔、BEPCⅡ未来预注入器的两个次谐波聚束腔中的瞬态束流负载效应进行了分析.     

Reliable evaluation of temperature-independent parameters in correlation of vapour–liquid equilibrium data

A new algorithm/program has been elaborated for simultaneous processing of different sets of vapour–liquid equilibrium data. The program was tested with six binary hexane + isomeric pentanol systems, each of them measured at three different isobaric conditions and one isothermal system of tert-butyl-methyl-ether + 2-methyl-2-propanol measured at three different temperatures. The correlation uses the maximum likelihood method, taking into account real behaviour of vapour phase. The parameters obtained are valid within the whole temperature range of the data, and are consistent in comparison with those obtained from individual correlations of isobars or isotherms. Results are presented for the Wilson and NRTL equations.     

尖晶石锂锰氧化物锂离子嵌脱过程的交流阻抗谱研究

用粉末微电极研究了尖晶石锂锰氧化物在不同嵌锂状态下嵌脱锂过程的交流阻 抗图谱，提出了新的等效电路模型。描述锂离子在固体中扩散的Warburg阻抗与累 积或消耗的嵌入电容在Lix MnO4中的x≤0．5时串联，0．5＜x≤1时并联。用提出 的等效电路模型分阶段拟合了实验所得的交流阻抗谱，拟合值与实验值相当吻合， 由拟合结果得到不同电位下锂离子在表面膜中的迁移电阻和电容，界面电荷传递电 阻，双层电容，锂离子在固体中扩散系数和累积或消耗的嵌入电容。     

pH,Definition and measurement at high temperatures

In this review paper, the NBS scale and its limitations are briefly discussed. The magnitude of liquid junction potentials and some calculated values are presented. The use of a molality scale for hydrogen electrode concentration cells at high temperatures is described, and results from measurements on ionization equilibria are summarized. Use of this scale is also recommended for certain circumstances with cells without liquid junction. As an alternative activity scale, use of the Pitzer ion-interaction treatment for ions is recommended for special cases. Finally, reference data are presented for _±HCl in HCl(aq) to 350°C and (HCl+NaCl)(aq) to 200°C that were derived by use of the Pitzer ion-interaction treatment.Presented at the Second International Symposium on Chemistry in High Temperature Water, Provo, UT, August 1991.     

Mechanistic aspects of the Wolff-Kishner reaction. V. The cation effect on the reaction of benzophenone hydrazone in butyl carbitol and decyl alcohol

The rate of the Wolff-Kishner reaction of benzophenone hydrazone in butyl carbitol increases as the cation of the alkoxide base is varied in the order K>Na>Li>Mg. The replacement of butyl carbitol by 1-decanol also accelerates the reaction, and an additional increase is caused by the presence of crown ether. On the basis of changes in the activation parameters, it is concluded that the reactivity of the hydrazone anion increases as the contact ion pair becomes more fully solvated and dissociated.     

线性分析法来解热脱附动力学参数

TPD方法是研究表面常规手段之一.对于如何从实验结果获得正确的脱附动力学参数,已有不少工作发表。然而,现有方法均存在一定的适用范围,尤其是重叠谱解叠,仍然没有很好地解决。本文介绍的线性分析法,不仅适用于简单的一级和二级脱附TPD谱的解析,而且也适用于重叠谱解叠,从而为实验上确定动力学级数和复杂谱解叠提供了依据。     

Ab initio calculations of vibronic activity in phosphorescence microwave double resonance spectra of p-dichlorobenzene

The phosphorescence spectrum of p-dichlorobenzene has been calculated using multiconfiguration self-consistent-field wave functions and the quadratic response technique. Attention has been paid to the intensity distribution of the singlet–triplet (³B_1u¹A_g) transition through a number of vibronic subbands. The second order spin–orbit coupling (SOC) contribution to the spin splitting of the ³B_1u (^3*) state is found to be almost negligible, and the calculations therefore provide a good estimate for the zero-field splitting (ZFS) parameters based only on the electron spin–spin coupling expectation values. Nuclear quadrupole resonance constants for the different Cl isotopes are also calculated to accomplish the ZFS assignment. The electric dipole activity of the spin sublevels in the triplet–singlet transitions to the ground-state vibrational levels is estimated by calculations of derivatives using distorted geometries which are shifted from the equilibrium position along different vibrational modes. A vibrational analysis of the phosphorescence spectrum, based on the SOC-induced mixing of the singlet and triplet states calculated along different vibrational modes, provides reasonable agreement with experimental data.Acknowledgment O. R.-P. would like to thank the European MOLPROP network for support. The authors thank Alexander Baev for fruitful discussions. This work was supported by the Swedish Royal Academy of Science (KVA).