Hedging Entry and Exit Decisions: Activating and Deactivating Barrier Options

Investment projects and businesses can be entered or exited at a cost, and the theory of real option teaches us how to find optimal activity levels that should trigger entry or exit. However, in practice, different managers or owners operate under different constraints and might apply different thresholds to the same business. We are interested in the hedging of the risk related to the cost of sub-optimal entry or exit. We introduce a new class of derivative products that can hedge this risk. The pricing of these derivatives involves the joint law of a Brownian excursion and its supremum, which is calculated thanks to Bessel processes-related distribution laws.     

Localization effects and measure source terms in numerical schemes for balance laws

This paper investigates the behavior of numerical schemes for nonlinear conservation laws with source terms. We concentrate on two significant examples: relaxation approximations and genuinely nonhomogeneous scalar laws. The main tool in our analysis is the extensive use of weak limits and nonconservative products which allow us to describe accurately the operations achieved in practice when using Riemann-based numerical schemes. Some illustrative and relevant computational results are provided.

     

Many-Polaron States in the Holstein–Hubbard Model

A variational approach is proposed to study some properties of the adiabatic Holstein–Hubbard model which describes an assembly of fermionic charges interacting with a static atomic lattice. The sum of the electronic energy and the lattice elastic energy is proved to have minima with a many-polaron structure in a certain domain of model parameters. Our analytical work consists in expanding these energy minima from the zero electronic transfer limit which remarkably holds for a finite amplitude of the onsite Hubbard repulsion and for an unbounded lattice size.     

Un principe d'invariance relatif à un processus généralisant le mouvement brownien N-dimensionnel

We prove that the generalized random walks associated to a root system R in $\text{R}{}^{\mathrm{N}}$ and a nonnegative multiplicity function k defined on R, converge in distribution (if suitably normalized) to a Markov process with càdlàg trajectories and infinitesimal generator a differential-difference operator on $\text{R}{}^{\mathrm{N}}$ which generalizes the usual Laplacian. To cite this article: L. Gallardo, L. Godefroy, C. R. Acad. Sci. Paris, Ser. I 338 (2004).     

Synthesis and characterization of alt‐bipyridinylene‐phenylene copolymers containing ruthenium(II) complexes

Poly{bis(4,4′‐tert‐butyl‐2,2′‐bipyridine)–(2,2′‐bipyridine‐5,5′‐diyl‐[1,4‐phenylene])–ruthenium(II)bishexafluorophosphate} ( 3a ), poly{bis(4,4′‐tert‐butyl‐2,2′‐bipyridine)–(2,2′‐bipyridine‐4,4′‐diyl‐[1,4‐phenylene])–ruthenium(II)bishexafluorophosphate} ( 3b ), and poly{bis(2,2′‐bipyridine)–(2,2′‐bipyridine‐5,5′‐diyl‐[1,4‐phenylene])–ruthenium(II)bishexafluorophosphate} ( 3c ) were synthesized by the Suzuki coupling reaction. The alternating structure of the copolymers was confirmed by ¹H and ¹³C NMR and elemental analysis. The polymers showed, by ultraviolet–visible, the π–π* absorption of the polymer backbone (320–380 nm) and at a lower energy attributed to the d–π* metal‐to‐ligand charge‐transfer absorption (450 nm for linear 3a and 480 nm for angular 3b ). The polymers were characterized by a monomodal molecular weight distribution. The degree of polymerization was approximately 8 for polymer 3b and 28 for polymer 3d . © 2004 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 42: 2911–2919, 2004     

Design and synthesis of Ru(II-bipyridyl-containing conjugated polymers

A series of novel π-conjugated polymers containing ruthenium bipyridine complexes was synthesized by a cross-coupling reaction and characterized. These polymers exhibit absorption maxima around 330–350 nm (π-π*) and 460–500 nm metal-to-ligand charge transfer (MLCT), respectively. They are soluble in common organic solvents, and all polymers can be converted into transparent films. We investigated the influence of different donating and acceptor diethynylarenes of the ultraviolet-visible spectra. The oxidation potential, which was measured by cyclic- and square-wave voltametry, showed a typical Ru^2+/3+ exhibited at 1.25 V versus the saturated calomel electrode. The polymers were further characterized with photoluminescence measurements. When excited at 442 nm ( 11a ), the polymer exhibited an emission peak at 690 nm. This peak was attributed to the MLCT states. © 2003 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 42: 722–732, 2004     

Global expression analysis of CESA and CSL genes in Arabidopsis

We have used Affymetrix gene chips to measure the expression of 10 CESA and 29 CSL genes of Arabidopsis in different developmental stages or organs. These measurements reveal that many of the genes exhibit different levels of expression in the various organs. While several CESA genes are highly expressed in all the tissues examined, very few CSL genes approach such high levels of expression. This suggests that the CSL genes either encode enzymes for the synthesis of minor components of cell walls or are expressed only in specific cell types. The expression data also highlights the potential importance of the CESA genes for primary and secondary cell wall formation during different developmental stages and in the different organs examined.     

The Chaotic Mixmaster and the Suppression of Chaos in Scalar–Tensor Cosmologies

We show that there is a threshold in energy for the onset of chaos in cosmology for the Universe described as a dynamical system derived from the Einstein equations of General Relativity (GR). In the case of the mixmaster model (homogeneous and anisotropic cosmology with a Bianchi IX metric), the chaos occurs precisely at the prescribed necessary value H _vac=0 of the GR for the energy of the Universe while the system is found to be regular for H<0 and chaotic for H>0 with respect to its pure vacuum part. In the case of generalized scalar tensor theories within the Bianchi IX model, we show using the ADM formalism and a conformal transformation that the energy of the dynamical system as compared to vacuum lies below the zero energy threshold. The system is thus not exhibiting chaos and the conclusion still holds in the presence of ordinary matter as well. The suppression of chaos occurs in a similar way for stiff matter alone.     

Prime Fano threefolds and integrable systems

For a general K3 surface S of genus g, with 2 ≤ g ≤ 10, we prove that the intermediate Jacobians of the family of prime Fano threefolds of genus g containing S as a hyperplane section, form generically an algebraic completely integrable Hamiltonian system. The first author is partially supported by grant MI1503/2005 of the Bulgarian Foundation for Scientific Research.