Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

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Completely Simple Semigroups,Lie Algebras,and the Road Coloring Problem

Consider a semigroup generated by matrices associated with an edge-coloring of a strongly connected, aperiodic digraph. We call the semigroup Lie-solvable if the Lie algebra generated by its elements is solvable. We show that if the semigroup is Lie-solvable then its kernel is a right group. Next, we study the Lie algebra generated by the kernel. Lie algebras generated by two idempotents are analyzed in detail. We find that these have homomorphic images that are generalized quaternion algebras. We show that if the kernel is not a direct product, then the Lie algebra generated by the kernel is not solvable by describing the structure of these algebras. Finally, we discuss an infinite class of examples that are shown to always produce strongly connected aperiodic digraphs having kernels that are not right groups.     

Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models

This paper examines the performance of Commodity Trading Advisors (CTAs) using fixed and variable benchmarking models. In order to avoid the troublesome passive and active commodity and managed futures benchmarks (indices) when examining the performance of CTAs, we innovate by using data envelopment analysis (DEA). Because this alternative class has non-linear returns due to long/short positions, and derivatives (i.e., dynamic trading strategies), DEA can alleviate the problems usually associated with these indices. The effectiveness of using benchmarking models in a DEA setting will provide investors with an alternative technique in assessing the performance and identifying efficient CTAs.     

3D molecular imaging SIMS

Thin monolayer and bilayer films of spin cast poly(methyl methacrylate) (PMMA), poly(2-hydroxyethyl methacrylate) (PHEMA), poly(lactic) acid (PLA) and PLA doped with several pharmaceuticals have been analyzed by dynamic SIMS using SF₅⁺ polyatomic primary ion bombardment. Each of these systems exhibited minimal primary beam-induced degradation under cluster ion bombardment allowing molecular depth profiles to be obtained through the film. By combing secondary ion imaging with depth profiling, three-dimensional molecular image depth profiles have been obtained from these systems. In another approach, bevel cross-sections are cut in the samples with the SF₅⁺ primary ion beam to produce a laterally magnified cross-section of the sample that does not contain the beam-induced damage that would be induced by conventional focussed ion beam (FIB) cross-sectioning. The bevel surface can then be examined using cluster SIMS imaging or other appropriate microanalysis technique.     

Structure–electrical property study of anisotropic polyaniline films

The relationships of the structure and electrical properties of anisotropic HCl‐doped polyaniline (PANI) films cast from N,N′‐dimethylpropylene urea (DMPU) solutions and stretched to different draw ratios were studied. The anisotropic structure of the stretched PANI films was examined by X‐ray diffraction, near‐infrared wave‐guide coupling, and polarized infrared measurements. The PANI emeraldine base (EB) films cast from DMPU solutions had a single‐phase noncrystalline structure, and stretching of the films did not cause crystallization to occur. The transition moment angles of two weakly absorbing infrared bands were determined, and the Hermans' orientation functions for the PANI EB films were calculated. The PANI films were then doped with HCl, and the electrical properties were determined by impedance spectroscopy. With a specially designed test fixture, the in‐plane and through‐plane impedance was obtained. The conductivity along the stretch direction increased with orientation. The in‐plane conductivity was significantly higher than the through‐plane conductivity. © 2003 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 41: 823–841, 2003     

Design,synthesis, and evaluation of 6-carboxyalkyl and 6-phosphonoxyalkyl derivatives of 7-oxo-8-ribitylaminolumazines as inhibitors of riboflavin synthase and lumazine synthase

A series of 6-carboxyalkyl and 6-phosphonoxyalkyl derivatives of 7-oxo-8-D-ribityllumazine were synthesized as inhibitors of both Escherichia coli riboflavin synthase and Bacillus subtilis lumazine synthase. The compounds were designed to bind to both the ribitylpurine binding site and the phosphate binding site of lumazine synthase. In the carboxyalkyl series, maximum activity against both enzymes was observed with the 3'-carboxypropyl compound 22. Lengthening or shortening the chain linking the carboxyl group to the lumazine by one carbon resulted in decreased activity. In the phosphonoxyalkyl series, the 3'-phosphonoxypropyl compound 33 was more potent than the 4'-phosphonoxybutyl derivative 39 against lumazine synthase, but it was less potent against riboflavin synthase. Molecular modeling suggested that the terminal carboxyl group of 6-(3'-carboxypropyl)-7-oxo-8-D-ribityllumazine (22) may bind to the side chains of Arg127 and Lys135 of the enzyme. A hypothetical molecular model was also constructed for the binding of 6-(2'-carboxyethyl)-7-oxolumazine (15) in the active site of E. coli riboflavin synthase, which demonstrated that the active site could readily accommodate two molecules of the inhibitor.