Optimal Investment in a Levy Market

In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric Levy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are incomplete and there are many equivalent martingale measures. However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios based in stocks and bonds, showing that the new assets are superfluous for certain martingale measures that depend on the utility function we use.     

Dispersion Characteristics of Waveguide Arrays in Optical Spectrum Analyzers

Formulas for calculating the spectral characteristics of waveguide arrays, which are incorporated into waveguide spectrum analyzers based on planar waveguides, channel waveguides, and fiber optical waveguides, are derived taking into account the contribution of both the waveguide dispersion and the material dispersion to the dispersion factor. These formulas are used to study the dependence of the dispersion factor on the waveguide-system parameters for specific models of waveguide arrays. It is shown that consideration of contributions of the waveguide dispersion and material dispersion can affect profoundly the spectral characteristics of waveguide arrays.     

Incubation period in the 2,2,4,4‐tetramethyl‐1‐piperidinyloxy‐mediated thermal autopolymerization of styrene: Kinetics and simulations

Mechanisms and simulations of the induction period and the initial polymerization stages in the nitroxide‐mediated autopolymerization of styrene are discussed. At 120–125 °C and moderate 2,2,4,4‐tetramethyl‐1‐piperidinyloxy (TEMPO) concentrations (0.02–0.08 M), the main source of radicals is the hydrogen abstraction of the Mayo dimer by TEMPO [with the kinetic constant of hydrogen abstraction (k_h)]. At higher TEMPO concentrations ([N?] > 0.1 M), this reaction is still dominant, but radical generation by the direct attack against styrene by TEMPO, with kinetic constant of addition k_ad, also becomes relevant. From previous experimental data and simulations, initial estimates of k_h ≈ 1 and k_ad ≈ 6 × 10^?7 L mol^?1 s^?1 are obtained at 125 °C. From the induction period to the polymerization regime, there is an abrupt change in the dominant mechanism generating radicals because of the sudden decrease in the nitroxide radicals. Under induction‐period conditions, the simulations confirm the validity of the quasi‐steady‐state assumption (QSSA) for the Mayo dimer in this regime; however, after the induction period, the QSSA for the dimer is not valid, and this brings into question the scientific basis of the well‐known expression k_th[M]³ (where [M] is the monomer concentration and k_th is the kinetic constant of autoinitiation) for the autoinitiation rate in styrene polymerization. © 2006 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 44: 6962‐6979, 2006     

A parametric study of surface-discharge nitrogen lasers

A parametric study of sandwich-type discharge chamber nitrogen lasers has been carried out. A non-monotonic dependence of the energy emitted by the laser and the discharge chamber thickness is found. Discharge chambers with = 1 have the best electro-optical efficiency. The ratio between the electrode gap,d, and is found to be a scaling parameter. The possible influence of wall ablation in the comportment is also discussed.     

Analysis of citrates and benzoates used in poly(vinyl chloride) by supercritical fluid extraction and gas chromatography

Supercritical fluid extraction (SFE) has been demonstrated to be a useful tool in the determination of additives in polymeric materials. This paper describes the determination of some citrates and benzoates in poly(vinyl chloride) blended with 33–34% of plasticizer using off-line SFE followed by gas chromatography. Experimental factors affecting SFE have been studied by gravimetric analysis, followed by analysis of the extracts using a gas chromatograph equipped with a flame ionization detector. The extraction process is governed by the solubility of the plasticizers in the supercritical fluid or by their diffusion through the polymer matrix, which depend on the pressure and temperature used. Maximum extraction (>99%) is obtained at pressures and temperatures higher than 40 MPa and 80 °C, respectively. Due to purge losses, the collection efficiency of plasticizers into a liquid solvent ranges from 85 to 90%. The applicability of the SFE method is demonstrated using real samples and comparing the results with those obtained by conventional Soxhlet extraction.     

Preparative chromatography of xylanase using expanded bed adsorption

Expanded bed adsorption was used to purify a marketable xylanase often used in the kraft pulp bleaching process. Experiments in packed and expanded beds were carried out mainly to study the adsorption of xylanase on to a cationic adsorbent (Streamline SP) in the presence of cells. In order to study the presence of cells, a Bacillus pumilus mass (5% wet mass) was mixed with the enzyme extract and submitted to an expanded bed adsorption system. One xylanase was purified to homogeneity in the packed bed. However, the 5% cell content hampered purification.     

Pyranopyrazoles. II. Synthesis and reactions of 1H,6H-pyrano[2,3-c]pyrazol-6-ones

Various 1H,6H-pyrano[2,3-c]pyrazol-6-ones (III-XXIII) were obtained from β-keto esters and 1H-pyrazol-5-ones or hydrazines. Nitrations, chlorinations and brominations of these pyranopyrazoles were also carried out giving the corresponding derivatives (XXIV-LXIV). The pyrone ring is the more reactive one in these reactions and the preferred position of attack is the 5-position. The substitution products are formed by the addition-elimination route.     

Dynamics and energetics of the self-assembly of a hydrophobically modified polyelectrolyte: Naphthalene-labeled poly(acrylic acid)

Steady-state and time-resolved fluorescence studies were performed on aqueous solutions of poly(acrylic acid) hydrophobically modified with two very different levels of naphthalene (Np). It is demonstrated that unique information on association phenomena involving hydrophobe-modifed polymers can be obtained from an extended fluorescence study by using data for a less-modified polymer as a reference. For the more highly modified polymer, the presence of excited-state (as well as ground-state) dimers in addition to monomer emission due to locally excited naphthalene gives evidence for hydrophobic association between naphthalene groups. This association becomes, as expected, much less important at higher pH due to the electrostatic repulsion between different chain segments. However, it is noted that even at high pH there is a significant self-association. The coexistence of static and dynamic quenching phenomena of the Np monomer label was also revealed in the time-resolved fluorescence data. The data are compatible with the existence of two types of monomers and one excimer and suggest that the essential contribution to the monomer emission comes from isolated chromophores, whereas excimer formation arises from both a dynamic route (excited Np chromophores able to produce a dynamic excimer) and a static route (excitation of ground-state Np dimers). At room temperature, the dissociative reaction, excimer-to-monomer, can be neglected, and thus the rate constant for excimer formation and decay could be obtained with and without considering the influence of preformed dimers. Temperature has shown to induce different behavior in the polymer photophysics. In the case of the less-labeled polymer, the decays were found to be single-exponential with the fluorescence lifetime decreasing with increasing temperature. From the temperature dependence of the steady-state fluorescence data, the activation energy for excimer formation and the binding energy of the excimer were evaluated at different pH values, through the Stevens-Ban-type plots of the excimer-to-monomer intensity ratio. With the time-resolved data, measured in the temperature range of 5-60 degrees C, it was possible to extract the intrinsic activation energies for excimer formation. The thermodynamic driving force for the intrapolymeric association was found to be dependent on a balance between hydrophobic and electrostatic interactions, which are dependent on the pH, temperature, and hydrophobic content of the polymer.