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.     

Solution-phase, triangular ag nanotriangles fabricated by nanosphere lithography

A novel method to produce solution-phase triangular silver nanoparticles is presented. Ag nanoparticles are prepared by nanosphere lithography and are subsequently released into solution. The resulting nanoparticles are asymmetrically functionalized to produce either single isolated nanoparticles or dimer pairs. The structural and optical properties of Ag nanoparticles have been characterized. Mie theory and the Discrete Dipole Approximation method (DDA) have been used to model and interpret the optical properties of the released Ag nanoparticles.     

Transparent conducting oxides: texture and microstructure effects on charge carrier mobility in MOCVD-derived CdO thin films grown with a thermally stable, low-melting precursor

A series of low-melting, thermally stable cadmium metal-organic chemical vapor deposition (MOCVD) precursors have been synthesized, structurally and spectroscopically characterized, and implemented in growth of highly conductive and transparent CdO thin films. One member of the series, bis(1,1,1,5,5,5-hexafluoro-2,4-pentanedionato)(N,N-diethyl-N',N'-dimethyl-ethylenediamine)cadmium(II), Cd(hfa)(2)()(N,N-DE-N',N'-DMEDA), represents a particularly significant improvement over previously available Cd precursors, owing to the low melting point and robust thermal stability. High-quality CdO films were grown by MOCVD on glass and single-crystal MgO(100) between 300 and 412 degrees C. Film growth parameters and substrate surface have large effects on microstructure and electron carrier transport properties. Enhanced mobilities observed for highly biaxially textured films grown on MgO(100) vs glass are attributed, on the basis of DC charge transport and microstructure analysis, to a reduction in neutral impurity scattering and/or to a more densely packed grain microstructure. Although single-grained films grown on MgO(100) exhibit greater mobilities than analogues with discrete approximately 100 nm grains and similar texture, this effect is attributed, on the basis of charge transport and Hall effect measurements as well as optical reflectivity analysis, to differences in carrier concentration rather than to reduced grain boundary scattering. Unprecedented conductivities and mobilities as high as 11,000 S/cm and 307 cm(2)/V.s, respectively, are obtained for epitaxial single-grained films (X-ray diffraction parameters: fwhm(omega) = 0.30 degrees, fwhm(phi) = 0.27 degrees ) grown in situ on MgO(100) at a relatively low temperature (400 degrees C).     

Encapsulating bis(beta-ketoiminato) polyethers. Volatile, fluorine-free barium precursors for metal-organic chemical vapor deposition

The synthesis, characterization, and incorporation in volatile metal-organic chemical vapor deposition (MOCVD) precursors of a new class of linked beta-ketoiminate-polyether-beta-ketoiminate ligands is presented. These ligands are designed to encapsulate alkaline-earth cations having low charges and large ionic radii. Barium complexes having the general formula Ba[(RCOCHC(R')N)2(R")] (R = tert-butyl or CF3; R' = tert-butyl, methyl, or CF3; R" = -(CH2CH2O)4CH2CH2- or -(CH2CH2O)5CH2CH2)-) were prepared and characterized by 1H and 13C NMR spectroscopy, elemental analysis, and mass spectrometry. Single-crystal X-ray diffraction analysis of 2,2,5,25,28,28-hexamethyl-9,12,15,18,21-pentaoxa-4,25-diene-6,24- diimino-3,27-pentacosadionatobarium(II) reveals a monomeric, nine-coordinate, tricapped trigonal prismatic coordination geometry. Single-crystal X-ray structural analysis of 1,1,1,24,24,24-hexafluoro-4,21-ditrifluoromethyl-8,11,14,17- tetraoxa-3,21-diene-5,20-diimino-2,23-tetracosadionatobarium(II).2DMSO reveals a monomeric, ten-coordinate, distorted tetracapped trigonal prismatic coordination geometry. Volatility data are presented for these barium complexes, demonstrating viability as MOCVD precursors. In addition, it is demonstrated that thin epitaxial films of BaTiO3 can be grown on (001) MgO by low-pressure MOCVD techniques using one of these barium complexes and Ti(dipivaloylmethanate)2(isopropoxide)2 as precursors.