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.     

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.     

Stabilisation d'ondes électromagnétiques dans un domaine extérieur 2D

We consider the stabilization of Maxwell equations in two dimensional on the exterior of an arbitrary bounded obstacle. Using some results concerning of wave equations with Neumann boundary condition in the exterior domain. We deduce under the ‘exterior geometric control condition’ the behavior of the solution for large time. To cite this article: A. Moulahi, C. R. Acad. Sci. Paris, Ser. I 342 (2006).     

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.     

Spiro compounds with fragments of 4-azafluorene-[indeno)2,3-e)-1,2-dihydropyridine] and pyrazoline

9-Phenacylidene-4-azaf luorene and 9-bromo-9-(-bromophenacyl)-4-azafluorene have been used in the synthesis of spiro compounds with fragments of substituted pyrazolines. 1-Methyl-2-oxo-5 phenacylidene-indeno[2, 3-e]-1,2-dihydropyridine and hydrazine gave 1-methyl-2-oxo-3 phenylspiro[indeno(2, 3-e)-1,2-dihydropyridine-5,5-pyrazoline-2].     

Synthesis of Inorganic Compounds (Metal, Oxide and Hydroxide) in Polyol Medium: A Versatile Route Related to the Sol-Gel Process

A new route for the preparation of powdery metal, oxide and hydroxide materials is presented as a chimie douce alternative to the sol-gel method. It consists in the reduction or the hydrolysis of a metal salt dissolved and heated in a polyol medium. It appears through zinc and cobalt examples that the use of acetate precursors contrarily to chloride or sulfate ones leads to the precipitation of a solid (metal, oxide, hydroxide) whose nature depends on two main factors: the hydrolysis ratio, defined by the water to metal molar ratio, and the reaction temperature. As in the sol-gel method, acetate leads to the formation of intermediate alkoxyacetate complex. The absence of water favors metal formation while its presence favors oxide or hydroxyacetate formation.