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.     

Chopped CW laser-induced optogalvanic effect in a neon hollow cathode discharge

A detailed model for the optogalvanic effect in a neon hollow cathode discharge irradiated by a chopped CW dye laser is presented. A rate equation formalism is used to calculate the evolution of the first and second electronic configuration populations coupled by the laser and of the electric charges number density. Processes as ambipolar-like electrons loss, electronic collisional coupling of level populations and electron emission by the cathode due to VUV radiation from the 1s ₂ resonant level are taken into account and further discussed.The transients and steady-state magnitude of the optogalvanic signal are calculated, compared with experimental data and related to population changes. We predict sign changes of the optogalvanic signal when the laser is tuned over transitions originating from the resonant level with respect to transitions involving the metastables states. The optogalvanic signal is shown to be basically determined by the laser-induced variations of the excited-state populations while changes in the electron temperature, due to laser energy transfer by collisions between electrons and excited atoms, play a negligible role.     

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.     

Surface activity of thymol: implications for an eventual pharmacological activity

In the present work, we studied the ability of thymol to affect the organization of model membranes and the activity of an intrinsic membrane protein, the GABA(A) receptor (GABA(A)-R). In this last aspect, we tried to elucidate if the action mechanism of this terpene at the molecular level, involves its binding to the receptor protein, changes in the organization of the receptor molecular environment, or both. The self-aggregation of thymol in water with a critical micellar concentration approximately = 4 microM and its ability to penetrate in monomolecular layers of soybean phosphatidylcholine (sPC) at the air-water interface, even at surface pressures above the equilibrium, lateral pressure of natural bilayers were demonstrated. Thymol affected the self-aggregation of Triton X-100 and the topology of sPC vesicles. It also increased the polarity of the membrane environment sensed by the electrochromic dye merocyanine. A dipolar moment of 1.341 Debye was calculated from its energy-minimized structure. Its effect on the binding of [3H]-flunitrazepam ([3H]-FNZ) to chick brain synaptosomal membranes changed qualitatively from a tendency to the inhibition to a clear activatory regime, up on changing the phase state of the terpene (from a monomeric to a self-aggregated state). Above its CMC, thymol increased the affinity of the binding of [3H]-FNZ (K(d-control)= 2.9, K(d-thymol)= 1.7 nM) without changing the receptor density (B(max-control)= 910, B(max-thymol)= 895 fmol/mg protein). The activatory effect of thymol on the binding of [ [3H]-FNZ was observed even in the presence of the allosteric activator gamma-aminobutyric acid (GABA) at a concentration of maximal activity, and was blocked by the GABA antagonist bicuculline. Changes in the dipolar arrangement and in the molecular packing of GABA(A)-R environment are discussed as possible mediators of the action mechanism of thymol.     

Neighbouring group participation in formation of condensed azines. Formation of pyrazolo(3,4-b)pyrazines,isoxazolo(4,5-b)pyrazines and isothiazolo(5,4-b)pyridine

Pyrazine- and pyridinecarboxamidoximes with an amino, potentially tautomeric hydroxy or mercapto group inortho position could be transformed in the appropriate condensed azines. In this manner, representatives of pyrazolo(3,4-b)pyrazine, isoxazolo(4,5-b)pyrazine and isothiazolo(5,4-b)pyridine ring system were synthesized and some transformations investigated.Presented in part at the 8th International Congress of Heterocyclic Chemistry, Graz, 1981.     

A scaled quantum mechanical force field for the sulfuryl halides. I. The symmetric halides SO2X2 (X=F, Cl, Br)

Force fields and vibrational wavenumbers were calculated for the molecules SO2X2 (X=F, Cl, Br) using DFT techniques. The previously available experimental data and assignments for SO2F2 and SO2Cl2 were compared with the theoretical results and revised, and new low temperature infrared and Raman data were obtained for SO2Cl2. These data were subsequently used in the definition of scaled quantum mechanics force fields for such molecules. Adjusted wavenumbers were also predicted for the still unknown SO2Br2. A comparison is made with results published for the VO2X2- anions.