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.     

The Largest Eigenvalue of Rank One Deformation of Large Wigner Matrices

The purpose of this paper is to establish universality of the fluctuations of the largest eigenvalue for some non-necessarily Gaussian complex Deformed Wigner Ensembles. The real model is also considered. Our approach is close to the one used by A. Soshnikov (cf. [11]) in the investigations of classical real or complex Wigner Ensembles. It is based on the computation of moments of traces of high powers of the random matrices under consideration.     

Grafting of silica during the processing of silica‐filled SBR: Comparison between length and content of the silane

The treatment of nanoscopic silica grafted in the blend during the processing of silica‐filled styrene butadiene rubber was performed with silane, introduced at different concentrations, or at a constant concentration with a given length of alkyl chain. From swelling measurements in water and in solvent, the maximum silane content that can be grafted has been calculated as a function of the length of the silane alkyl chains as well as their efficiency to cover the silica surface. The found values are close to the values found in the literature for grafting in solution. Moreover, a direct correspondence between the length of the silane alkyl chains and their concentration has been deduced. © 2005 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 44: 143–152, 2006     

In vitro determination of the release kinetics of peptides and free amino acids during the digestion of food proteins

The kinetics of peptide release during in vitro digestion of 4 protein sources (casein, cod protein, soy protein, and gluten) were investigated. Samples were sequentially hydrolyzed with pepsin (30 min) and pancreatin (2, 4, or 6 h) in a dialysis cell with continuous removal of digestion products. Nondialyzed digests were fractionated by ion-exchange chromatography and ultrafiltration. Animal proteins were digested at a greater rate than plant proteins. Target amino acids of specific enzymes appeared more rapidly in the dialyzed fractions when compared to other amino acids. Throughout the hydrolysis, nondialyzed digests contained a higher proportion of peptide mixtures with basic-neutral properties. Except for gluten, peptide fractions with molecular weights that exceeded 10 kDa (basic-neutral, BN > 10) were rapidly hydrolyzed during the first 2 h of pancreatin digestion. The kinetics of release and the composition of peptide fractions were different when the protein sources were compared. The analysis of amino acids revealed that threonine and proline proportions were relatively high in BN > 10 and in peptide fractions with molecular weight between 10-1 kDa (BN 10-1), while tyrosine, phenylalanine, lysine, and arginine predominated in the low molecular weight (<1 kDa) fractions. More resistant peptides were generally rich in proline and glutamic acid. The role of in vitro digestion assays in dietary protein quality evaluation is discussed.     

Effect of included guest molecules on the normal state conductivity and superconductivity of beta''-(ET)(4)[(H(3)O)Ga(C(2)O(4))(3)].G (G = pyridine,nitrobenzene)

Normal state conductivity and superconductivity together with bulk magnetic susceptibility and magnetization measurements have been measured for two molecular charge-transfer salts: beta' '-(ET)4[(H3O)Ga(C2O4)3]G (ET = bis(ethylenedithio)tetrathiafulvalene, G = pyridine for compound I and nitrobenzene for compound II). With the exception of the included guest molecules (G) the crystal structures are almost identical. Both show minima in their electrical transport at 130 K for I and at 160 K for II, but at lower temperatures their behaviors differ markedly. The resistance of I reaches a maximum at 50 K with a further small peak at 2 K and possible superconductivity only below 2 K, whereas that of II increases continuously down to 7.5 K, where an abrupt transition to a superconducting state occurs.     

Non-chair six-membered-ring conformations. Preference for a twist-boat (or skew) structure in α- -sorbopyranose derivatives

The conformational preferences for 2,3-O-isopropylidene-α- -sorbopyranose derivatives 3–6 were determined by using ¹H NMR data and empirical force field calculations. Proton NMR studies of 3–6 indicate that a twist-boat (or skew) conformation (³S₀) prevails over possible chair forms for each compound. Force-field calculations (MM2, MNDO, AM1) on a model 2,3-O-isopropylidene-α- -sorbopyranose system (18) indicate that the ³S₀ conformation is among the low-energy structures. X-Ray crystallographic analysis of α- -sorbopyranose sulfamate 3, a compound with potent anticonvulsant activity, demonstrates that the ³S₀ skew conformation is manifested in the solid state, as well.     

Enantioselective Preparation of 2‐Aminomethyl Carboxylic Acid Derivatives: Solving the β2‐Amino Acid Problem with the Chiral Auxiliary 4‐Isopropyl‐5,5‐diphenyloxazolidin‐2‐one (DIOZ). Preliminary Communication

Multigram amounts of suitably protected β²‐amino acids with 17 of the 20 proteinogenic side chains are prepared by diastereoselective reactions of Li, B, or Ti enolates of the corresponding 3‐acyl‐4‐isopropyl‐5,5‐diphenyloxazolidin‐2‐ones (acyl‐DIOZ; 1 ) with appropriate electrophiles (amidomethylation, hydroxyalkylation, (benzyloxycarbonyl)methylation) in yields of 55–90% and with diastereoselectivities of 80 to >97% (Scheme). The primary products 2 – 8 thus obtained are converted to protected β²‐amino acids by standard procedures (Table 1). Many of the DIOZ derivatives are highly crystalline compounds (31 X‐ray crystal structures in Table 2). The chiral auxiliary DIOZ, readily prepared in either enantiomeric form, is recovered with high yield.