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.     

Working group report: Quantum chromodynamics

This is the report of the subgroup QCD of Working Group-4 at WHEPP-9. We present the activities that had taken place in the subgroup and report some of the partial results arrived at following the discussion at the working group meetings.     

Synthesis and thermal behaviour of salicylaldimine-based liquid crystalline symmetrical dimers

A series of symmetrical dimers consisting of salicylaldimine moieties connected by flexible alkylene central spacer via ether linkages has been synthesized. In order to validate the empirical rule suggested by Date et al. to account for the smectic behaviour of such dimers, the chain length of the terminal alkoxy chain has been kept constant (C₈) while the number of methylene units in the central spacer was varied from C₃ to C₁₁. Another aim of the present investigation was to understand structure-property relationship in these dimers in which the salicylaldimine mesogenic segment has been used for the first time in dimers. The mesomorphic behaviour of these dimers was evaluated using optical microscopy and differential scanning calorimetry and the structure of some of the mesophases has been further investigated with the help of X-ray diffraction. Our studies reveal that the dimers consisting of 3 to 8 methylene units in the flexible spacer show only smectic (smectic C and smectic A) phases. For the dimers containing 4, 6 and 8 methylene units in the central spacer, a unique filament growth pattern has been observed in the smectic A phase while cooling from the isotropic phase. The dimers containing of C₉ to C₁₁ methylene groups exhibit the nematic phase in addition to smectic modifications. This observation indicates that when the terminal chains are shorter than the spacer, the tendency to form smectic phases is not fully extinguished but is perhaps reduced.     

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.     

Construction of spiro[5.5]undecanes containing a quaternary carbon atom adjacent to a spirocentre via an Ireland ester Claisen rearrangement and RCM reaction sequence. Total syntheses of (±)-α-chamigrene, (±)-β-chamigrene and (±)-laurencenone C

Starting from cyclohexanecarboxylic acid, a combination of an Ireland ester Claisen rearrangement and RCM reactions was exploited for an efficient construction of spiro[5.5]undecanes containing a quaternary carbon atom adjacent to the spirocentre and the methodology was extended to complete total syntheses of three chamigrenes.     

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.     

An Experimental Investigation into the Acoustic Characteristics of Fluid-filled Porous Structures—A Simplified Model of the Human Skull Cancellous Structure

In nature, shape and structure evolve from the struggle for better performance. Often, biological structures combine multiple beneficial properties, making research into mimicking them very complex. Presented here is a summary of observations from a series of experiments performed on a material that closely resembles the human skull bone’s cancellous structure under acoustic loads. Transmission loss through flat and curved open-cell polyurethane foam samples is observed using air and water as the two interstitial fluids. Reduction in strength and stiffness caused by porosity can be recovered partially by filling the interstitial pores with a fluid. The test findings demonstrate the influence of the interstitial fluid on the mechanical characteristics of a porous structure in a quantitative manner. It is also demonstrated that the transmission loss does not depend only on the mass per unit area of the structure as predicted by acoustic mass law. Current tests also demonstrate that the transmission loss is more sensitive to the interstitial fluid than the shape and support conditions of the structures. Test observations thus support the concepts of “moisture-sensitivity of biological design” and the “law of hierarchy in natural design”.