Mean-Variance Hedging Under Multiple Defaults Risk

We solve a mean-variance hedging problem in an incomplete market where multiple defaults can occur. For this purpose, we use a default-density modeling approach. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the dependence of the default times is modelled using a conditional density hypothesis. We prove the quadratic form of each value process between consecutive default times and recursively solve systems of coupled quadratic backward stochastic differential equations (BSDEs). We demonstrate the existence of these solutions using BSDE techniques. Then, using a verification theorem, we prove that the solutions of each subcontrol problem are related to the solution of our global mean-variance hedging problem. As a byproduct, we obtain an explicit formula for the optimal trading strategy. Finally, we illustrate our results for certain specific cases and for a multiple defaults case in particular.     

The dislocation equation as a generalization of Peierls equation

A fundamental equation is derived for the structure of dislocations in solids. With the interaction potential that can be obtained properly from the first principle, the equation provides a complete basis for a comprehensive study of the dislocation structure. In particular, the full structural feature and related properties of dislocation can be predicted theoretically, which makes it possible to compare precisely the theoretical results and what is produced by experiments or numerical simulations.     

Landau damping in a bounded magnetized plasma column

The damping decrement of Landau damping and the effect of thermal velocity on the frequency spectrum of a propagating wave in a bounded plasma column are investigated.The magnetized plasma column partially filling a cylindrical metallic tube is considered to be collisionless and non-degenerate.The Landau damping is due to the thermal motion of charge carriers and appears whenever the phase velocity of the plasma waves exceeds the thermal velocity of carriers.The analysis is based on a self-consistent kinetic theory and the solutions of the wave equation in a cylindrical plasma waveguide are presented using Vlasov and Maxwell equations.The hybrid mode dispersion equation for the cylindrical plasma waveguide is obtained through the application of appropriate boundary conditions to the plasma-vacuum interface.The dependence of Landau damping on plasma parameters and the effects of the metallic tube boundary on the dispersion characteristics of plasma and waveguide modes are investigated in detail through numerical calculations.     

Effects of Quantum Nuclear Delocalisation on NMR Parameters from Path Integral Molecular Dynamics

The influence of nuclear delocalisation on NMR chemical shifts in molecular organic solids is explored using path integral molecular dynamics (PIMD) and density functional theory calculations of shielding tensors. Nuclear quantum effects are shown to explain previously observed systematic deviations in correlations between calculated and experimental chemical shifts, with particularly large PIMD‐induced changes (up to 23 ppm) observed for carbon atoms in methyl groups. The PIMD approach also enables isotope substitution effects on chemical shifts and J couplings to be predicted in excellent agreement with experiment for both isolated molecules and molecular crystals. An approach based on convoluting calculated shielding or coupling surfaces with probability distributions of selected bond distances and valence angles obtained from PIMD simulations is used to calculate isotope effects.     

Near-infrared spectroscopic measurements of volume expansion and composition of CO2-expanded ethyl acetate,acetone, tetrahydrofuran,acetonitrile, methanol-OD,and dimethyl sulfoxide

CO₂-expanded liquid (CXL) is a mixture of organic solvent with high-pressure CO₂ whose volume is increased by CO₂ dissolved in it. CXLs have attracted attention as tunable solvents, because the solvent properties can be widely controlled by the pressure. The volume expansion and the solubility of CO₂ were measured by near-infrared spectroscopy for 6 CXLs at various pressures up to 55 bar and 40 °C. The molarity of organic solvent was determined from the absorbance of the 3ν and 2ν + δ bands, and that of CO₂ was obtained from the area of the 3ν₃ band, whose peak shifted to higher frequency with increasing pressure due to a decrease in the molecular interaction around CO₂. The expansion coefficient was shown to be an increasing function of the pressure with larger slope at higher pressure, and the mole fraction of CO₂ in the liquid phase was an almost linearly increasing function of the pressure. The results were in quantitative agreement with the literature data measured by conventional sampling method, indicating the validity of the spectroscopic method.     

Prediction of polyurethane behaviour via time-temperature superposition: Meanings and limitations

Two main issues are essential nowadays for practitioners in the field of polymeric materials: how a polymer will behave under dynamic loading conditions and for how long a polymer is reliable. In this sense, the time-temperature superposition principle was applied to the main viscoelastic properties (E′, E″ and tan δ) of a series of polyurethane coatings (PU-DEG-TMP) tested for mechatronic devices. Polyurethanes are derived from an ester glycol (poly(ethylene adipate) glycol), an aromatic diisocyanate (4,4′-dibenzyldiisocyanate) and di/trifunctional chain extenders - diethylene glycol (DEG) and trimethylol propane (TMP). Despite polyurethane intrinsic rheologic complexity, the moduli/loss factor curves superimpose well over several decades of reduced frequency at the glass transition temperature (T_g), 0 °C and 15 °C, the last temperature being considered the midpoint of the practical testing range. Three criteria were for checking the applicability of the time-temperature superposition: the Cole-Cole plot, the similarity between the a_T calculated from both moduli (E′, E″) and the visual appearance of the final master curve. The presence of both hydrogen bonding and chemical joint points, along with some dangling chains put in a broader context the discussion of the microstructural features resulted from the application of the William-Landell-Ferry (WLF) equation.     

A size-modified poisson–boltzmann ion channel model in a solvent of multiple ionic species: Application to voltage-dependent anion channel

We present a new size-modified Poisson–Boltzmann ion channel (SMPBIC) model and use it to calculate the electrostatic potential, ionic concentrations, and electrostatic solvation free energy for a voltage-dependent anion channel (VDAC) on a biological membrane in a solution mixture of multiple ionic species. In particular, the new SMPBIC model adopts a membrane surface charge density and a natural Neumann boundary condition to reflect the charge effect of the membrane on the electrostatics of VDAC. To avoid the singularity difficulties caused by the atomic charges of VDAC, the new SMPBIC model is split into three submodels such that the solution of one of the submodels is obtained analytically and contains all the singularity points of the SMPBIC model. The other two submodels are then solved numerically much more efficiently than the original SMPBIC model. As an application of this SMPBIC submodel partitioning scheme, we derive a new formula for computing the electrostatic solvation free energy. Numerical results for a human VDAC isoform 1 (hVDAC1) in three different salt solutions, each with up to five different ionic species, confirm the significant effects of membrane surface charges on both the electrostatics and ionic concentrations. The results also show that the new SMPBIC model can describe well the anion selectivity property of hVDAC1, and that the new electrostatic solvation free energy formula can significantly improve the accuracy of the currently used formula. © 2019 Wiley Periodicals, Inc.     

Distributed and multicore QuBiLS-MIDAS software v2.0: Computing chiral,fuzzy, weighted and truncated geometrical molecular descriptors based on tensor algebra

Advances to the distributed, multi-core and fully cross-platform QuBiLS-MIDAS software v2.0 ( http://tomocomd.com/qubils-midas ) are reported in this article since the v1.0 release. The QuBiLS-MIDAS software is the only one that computes atom-pair and alignment-free geometrical MDs (3D-MDs) from several distance metrics other than the Euclidean distance, as well as alignment-free 3D-MDs that codify structural information regarding the relations among three and four atoms of a molecule. The most recent features added to the QuBiLS-MIDAS software v2.0 are related (a) to the calculation of atomic weightings from indices based on the vertex-degree invariant (e.g., Alikhanidi index); (b) to consider central chirality during the molecular encoding; (c) to use measures based on clustering methods and statistical functions to codify structural information among more than two atoms; (d) to the use of a novel method based on fuzzy membership functions to spherically truncate inter-atomic relations; and (e) to the use of weighted and fuzzy aggregation operators to compute global 3D-MDs according to the importance and/or interrelation of the atoms of a molecule during the molecular encoding. Moreover, a novel module to compute QuBiLS-MIDAS 3D-MDs from their headings was also developed. This module can be used either by the graphical user interface or by means of the software library. By using the library, both the predictive models built with the QuBiLS-MIDAS 3D-MDs and the QuBiLS-MIDAS 3D-MDs calculation can be embedded in other tools. A set of predefined QuBiLS-MIDAS 3D-MDs with high information content and low redundancy on a set comprised of 20,469 compounds is also provided to be employed in further cheminformatics tasks. This set of predefined 3D-MDs evidenced better performance than all the universe of Dragon (v5.5) and PaDEL 0D-to-3D MDs in variability studies, whereas a linear independence study proved that these QuBiLS-MIDAS 3D-MDs codify chemical information orthogonal to the Dragon 0D-to-3D MDs. This set of predefined 3D-MDs would be periodically updated as long as new results be achieved. In general, this report highlights our continued efforts to provide a better tool for a most suitable characterization of compounds, and in this way, to contribute to obtaining better outcomes in future applications.     

Theoretic quantum information entropies for the generalized hyperbolic potential

The Shannon entropy (S) and the Fisher Information (I) entropies are investigated for a generalized hyperbolic potential in position and momentum spaces. First, the Schrodinger equation is solved exactly using the Nikiforov-Uvarov-Functional Analysis method to obtain the energy spectra and the corresponding wave function. By Fourier transforming the position space wave function, the corresponding momentum wave function was obtained for the low-lying states corresponding to the ground and first excited states. The positions and momentum of Shannon entropy and Fisher Information entropies were calculated numerically. Finally, the Bialynicki-Birula and Mycielski and the Stam-Cramer-Rao inequalities for the Shannon entropy and Fisher Information entropies, respectively, were tested and were found to be satisfied for all cases considered.     

对BJH方法计算孔径分布过程的解读

This paper introduces the geometric assumptions and neglects of the pore size distribution calculated by BJH method, the arithmetic approximation for simplified calculation, the derivation process of each parameter, the calculation steps and key points of the pore size distribution. This paper also introduces the application scope of BJH method at the current instrument level, and how to further integrate the data. In order to get the required analysis and test report, references are provided for the subsequent adjustment of test parameters and improvement of test methods. Some problems often encountered in reading experimental reports are also discussed.