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.     

Remote stereocontrol by the sulfinyl group: Mukaiyama aldol reactions of (S)-2-[2-(p-tolylsulfinyl)phenyl]acetaldehyde in the asymmetric synthesis of β-hydroxyacids and 1,3-diols

(S)-2-[2-(p-Tolylsulfinyl)phenyl]acetaldehyde reacts with different O-silylated ketenethioacetals in the presence of Yb(OTf)₃ yielding β-hydroxythioesters in high yields and diastereoselectivities. The obtained compounds were readily transformed into β-hydroxyacids and their corresponding diols. These Mukaiyama aldol reactions are a direct evidence of the ability of the sulfinyl group to control 1,5- and 1,6-asymmetric induction processes.     

Asymmetric synthesis of phosphonic acid analogues for acylcarnitine

Phosphonic acid analogues of acylcarnitine were prepared in an optically active form expecting CPT I inhibitory activities. The synthetic methodology was based on catalytic asymmetric dihydroxylation of β,γ-unsaturated phosphonates and subsequent regioselective amination via the cyclic sulfates.     

中国证券市场股指波动的条件异方差特性分析

股指的波动具有持续性、集聚性 ,如何进行判别 ?本文用 Garch模型理论探讨沪深股指的这种条件异方差特征 ,进一步分析波动是否影响股指未来变化 ,以及股市对利好、利空的消息是否存在不对称的反映。同时 ,比较不同类型的股指的共性及差异 ,并对上述现象作了解释和说明。     

Statistical Inference with Fractional Brownian Motion

We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models.     

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

The rational design of modified Cinchona alkaloid catalysts. Application to a new asymmetric synthesis of chiral chromanes

A new asymmetric synthesis of 2-substituted chiral chromanes has been achieved. The key step is the intramolecular conjugate addition of a phenolic nucleophile on a α,β-unsaturated ester catalyzed by Cinchona alkaloids. The high ee’s obtained with cinchonine and its derivatives have been rationalized by ab initio quantum chemistry calculations of transition state structures.     

Design, Synthesis of Chiral Ketone and Application in Asymmetric Epoxidation

A class of chiral ketone was synthesized for asymmetric epoxidation. High ee values have been obtained for a number of cis olefin and trans olefin. The epoxidation was stereospecific with no isomerizatiom observed in the epoxidation of acyclic system. Encourageingly high ee value has also been obtained for a number of terminal olefins. Mechanistic studies show that electronic interactions play an important role in the stereodifferentiation. O O O O O O NBoc O O t-BuO2CH2CN O O O …     

Analytic Feynman integrals of transforms of variation of cylinder type functions over Wiener paths in abstract Wiener space

In this paper, we evaluate various analytic Feynman integrals of first variation, conditional first variation, Fourier-Feynman transform and conditional Fourier-Feynman transform of cylinder type functions defined over Wiener paths in abstract Wiener space. We also derive the analytic Feynman integral of the conditional Fourier-Feynman transform for the product of the cylinder type functions which define the functions in a Banach algebra introduced by Yoo, with n linear factors.     

Diffusive behavior of asymmetric zero-range processes

We investigate a new interpretation for the Navier-Stokes corrections to the hydrodynamic equation of asymmetric interacting particle systems. We consider a system that starts from a measure associated with a profile that is constant along the drift direction. We show that under diffusive scaling the macroscopic behavior of the process is described by a nonlinear parabolic equation whose diffusion coefficient coincides with the diffusion coefficient of the hydrodynamic equation of the symmetric version of the process.