On the option valuation and decomposition of exchange option

In this paper, we shall find the uniquerational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option.     

Determinant formulas for class numbers in function fields

In this paper, by extending Kucera's idea to the function field case, we obtain several determinant formulas involving the real class number and the relative class number of any subfield of cyclotomic function fields. We also provide several examples using these determinant formulas.

     

Fourier-Feynman transform, convolution and first variation

We examine several interesting relationships and expressions involving Fourier-Feynman transform, convolution product and first variation for functionals in the Fresnel class F(B) of an abstract Wiener space B. We also prove a translation theorem and Parseval's identity for the analytic Feynman integral. This revised version was published online in June 2006 with corrections to the Cover Date.     

Generation of highly stable amidate anion in anionic polymerization of 3‐(triethylsilyl)propyl isocyanate

To study living anionic polymerization, 3‐(triethylsilyl)propyl isocyanate (TEtSPI) monomer was synthesized by hydrosilylation of allylamine with triethylsilane and treatment of the resulting amine with triphosgene. The polymerization of TEtSPI was performed with sodium naphthalenide (Na‐Naph) as an initiator and in the absence and presence of sodium tetraphenylborate (NaBPh₄) as an additive in tetrahydrofuran (THF) at ?78 and at ?98 °C. A highly stabilized amidate anion for living polymerization of isocyanates was generated for the first time with the combined effect of the bulky substituent and the shielding action of the additive NaBPh₄, extending the living character at least up to 120 min at ?98 °C. Even the anion could exist at ?78 °C for 10 min. A block copolymer, poly(n‐hexyl isocyanate)‐b‐poly[(3‐triethylsilyl)propyl isocyanate]‐b‐poly(n‐hexyl isocyanate), was synthesized with quantitative yields and controlled molecular weights via living anionic polymerization in THF at ?78 °C for TEtSPI and ?98 °C for n‐hexyl isocyanate, respectively, with Na‐Naph with three times of NaBPh₄ as a common ion salt. © 2004 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 42: 933–940, 2004     

Electrospinning of ultrafine cellulose acetate fibers: Studies of a new solvent system and deacetylation of ultrafine cellulose acetate fibers

Electrospinning of cellulose acetate (CA) in a new solvent system and the deacetylation of the resulting ultrafine CA fibers were investigated. Ultrafine CA fibers (∼2.3 μm) were successfully prepared via electrospinning of CA in a mixed solvent of acetone/water at water contents of 10–15 wt %, and more ultrafine CA fibers (0.46 μm) were produced under basic pH conditions. Ultrafine cellulose fibers were regenerated from the homogeneous deacetylation of ultrafine CA fibers in KOH/ethanol. It was very rapid and completed within 20 min. The crystal structure, thermal properties, and morphology of ultrafine CA fibers were changed according to the degree of deacetylation, finally to those of pure cellulose, but the nonwoven fibrous mat structure was maintained. The activation energy for the deacetylation of ultrafine CA fibers was 10.3 kcal/mol. © 2003 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 42: 5–11, 2004     

Novel fixed‐site–carrier polyvinylamine membrane for carbon dioxide capture

Fixed‐site–carrier membranes were prepared for the facilitated transport of CO₂ by casting polyvinylamine (PVAm) on various supports, such as poly(ether sulfone) (PES), polyacrylonitrile (PAN), cellulose acetate (CA), and polysulfone (PSO). The cast PVAm on the support was crosslinked by various methods with glutaraldehyde, hydrochloric acid, sulfuric acid, and ammonium fluoride. Among the membranes tested, the PVAm cast on polysulfone and crosslinked by ammonium fluoride showed the highest selectivity of CO₂ over CH₄ (>1000). The permeance of CO₂ was then measured to be 0.014 m³ (STP)/(m² bar h) for a 20 μm thick membrane. The effect of the molecular weight of PVAm and feed pressure on the permeance was also investigated. The selectivity increased remarkably with increasing molecular weight and decreased slightly with increased pressure in the range of 1 to 4 bar. © 2004 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 42: 4326–4336, 2004     

Enhanced ferromagnetic properties of diluted Fe doped ZnO with hydrogen treatment

The single-phase diluted magnetic Fe-ion (5%) doped ZnO powders were prepared by solid-state reaction method. The powders were annealed in Ar or Ar/H₂(5%) atmosphere at 1200 °C. The crystal structure, electric and magnetic properties for the Zn_0.95Fe_0.05O powders have been studied with X-ray diffraction (XRD) vibrating sample magnetometer, resistance and Hall measurement. All the peaks for the XRD pattern of samples belong to the hexagonal (P6₃mc) lattice of ZnO, and no indication of a secondary phase. The lattice parameters for the Zn_0.95Fe_0.05O with an annealing in Ar/H₂(5%) atmosphere were a₀=3.256 Å and c₀=5.206 Å at room temperature. The hysteresis curve for the Zn_0.95Fe_0.05O at room temperature was enhanced ferromagnetic behaviour with an annealing in Ar/H₂(5%) atmosphere. We give an explanation for enhanced ferromagnetic behaviour with H₂ treatment by electric properties.     

Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier

Based on the matrix-analytic approach to fluid flows initiated by Ramaswami, we develop an efficient time dependent analysis for a general Markov modulated fluid flow model with a finite buffer and an arbitrary initial fluid level at time 0. We also apply this to an insurance risk model with a dividend barrier and a general Markovian arrival process of claims with possible dependencies in successive inter-claim intervals and in claim sizes. We demonstrate the implementability and accuracy of our algorithms through a set of numerical examples that could also serve as test cases for comparing other solution approaches.      

On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals

In this paper, we consider an insurance risk model governed by a Markovian arrival claim process and by phase-type distributed claim amounts, which also allows for claim sizes to be correlated with the inter-claim times. A defective renewal equation of matrix form is derived for the Gerber-Shiu discounted penalty function and solved using matrix analytic methods. The use of the busy period distribution for the canonical fluid flow model is a key factor in our analysis, allowing us to obtain an explicit form of the Gerber-Shiu discounted penalty function avoiding thus the use of Lundberg’s fundamental equation roots. As a special case, we derive the triple Laplace transform of the time to ruin, surplus prior to ruin, and deficit at ruin in explicit form, further obtaining the discounted joint and marginal moments of the surplus prior to ruin and the deficit at ruin.