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.     

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.     

Fatigue Loading and Life Prediction in Three Fretting Fatigue Fixtures

Three fixtures for conducting laboratory fretting fatigue tests are described and their respective testing methods and the results of the analysis are compared. Each of these fixtures has been used to investigate the effects of various parameters of interest in fretting fatigue. These fixtures include a unique apparatus in which all load applied to the specimen is transferred to the fretting pads, an apparatus similar to many found in the literature where partial load transfer occurs across the pads, and a simplified dovetail fixture in which the clamping load, P, and the shear load, Q, are varied in phase. Select test conditions from prior experiments performed on identical material and resulting in similar lives ranging from one to ten million cycles from these fixtures are identified. The various testing conditions were used to compute the unique stress field for each case. The resulting contact stresses were used to calculate crack initiation based criteria, and to calculate stress intensity factors. The three fixtures were shown to be able to accommodate a range of loads, fretting pad contours, and specimen geometries that produced a variety of stress fields. A crack-initiation-based criterion was shown to predict the failure lives of thinner specimens accurately. The stress intensity factor calculations showed the possibility of a crack arresting for a stress field that decays rapidly and the possibility of a local minimum for K as a function of depth. The fixtures are shown to be complementary in generating data for development of robust fretting fatigue models that use these criteria.     

Determination of 22 triazole compounds including parent fungicides and metabolites in apples, peaches, flour, and water by liquid chromatography/tandem mass spectrometry

A liquid chromatography/tandem mass spectrometry (LC/MS/MS) method has been developed for the determination of 14 parent triazole fungicides and 8 of their metabolites found in apples, peaches, flour, raw water, and tap water. The triazole fungicides chosen for this multiresidue method development project included propiconazole, fenbuconazole and its RH-9129 and RH-9130 metabolites, cyproconazole, difenoconazole, tebuconazole and its HWG 2061 metabolite, hexaconazole, bromuconazole (both stereoisomers), epoxiconazole, tetraconazole, triticonazole and its RPA-404886 and RPA-406341 metabolites, triadimefon, triadimenol, and myclobutanil. Of special concern to the U.S. Environmental Protection Agency were the metabolites common to all triazole fungicides: free triazole, 1,2,4-triazole (T), and its 2 conjugates: triazolylalanine (TA) and triazolylacetic acid (TAA). These metabolites were the primary focus of this project. All samples we cleaned up by a combination of C18 solid-phase extraction (SPE), mixed-mode cationic SPE, and mixed-mode anionic SPE columns. A triple-stage quadrupole mass spectrometer, equipped with electrospray ionization in the positive-ion mode, was used to determine the compounds of interest. T, TA, and TAA were quantitated using isotopically labeled internal standards (IS), in which the 1,2,4-triazole ring had been synthesized by using 13C and 15N (IS_T, IS_TA, and IS_TAA). These isotopically labeled internal standards were necessary to correct for matrix effects. The T, TA, and TAA metabolites were quantitated at the 25-50 parts-per-billion (ppb) level in food commodities and at 0.50 ppb in water. Recoveries were 70-101% from apples, 60-121% from peaches, 57-118% from flour, 75-99% from raw water, and 79-99% from tap water.     

Adamantane-like cluster complexes of mixed-valent copper-copper and nickel-copper thiolates

Square-planar copper(II) and nickel(II) derivatives of the cis-dithiolate N(2)S(2) ligand bis(N,N'-2-mercapto-2-methylpropyl)-1,5-diazocyclooctane, (bme*daco)M, nucleate four Cu(I)Cl moieties, forming M(II)(2)Cu(I)(4)S(4) clusters with unusual triply bridging thiolates, mu(3)-SR, in the topological form of adamantane. As determined by X-ray crystallography, the (bme*daco)M (M = Cu or Ni) metallothiolate serves as a bidentate ligand that bridges four Cu(I) ions, utilizing all lone pairs on sulfurs. Further characterization by electrochemical and electronic spectral measurements suggests greater electron delocalization in the all-copper complex as compared to the NiCu heterometallic complex. Mass spectral data imply that the mixed-metal Ni(II)(2)Cu(I)(4)S(4) is more stable toward CuCl loss than Cu(II)(2)Cu(I)(4)S(4), a result that is corroborated by extraction of Cu(I) by 1,2-bis(diphenylphosphino)ethane in the latter but not the former.