Risk Minimizing Option Pricing in a Semi-Markov Modulated Market

We address risk minimizing option pricing in a semi-Markov modulated market where the floating interest rate depends on a finite state semi-Markov process. The growth rate and the volatility of the stock also depend on the semi-Markov process. Using the Föllmer–Schweizer decomposition we find the locally risk minimizing price for European options and the corresponding hedging strategy. We develop suitable numerical methods for computing option prices.

The rα structure, chemical shift anisotropy, and the abnormal orientation of methyldichlorophosphine from the NMR spectrum

NMR studies of methyldichlorophosphine have been undertaken in the nematic phase of mixed liquid crystals of opposite diamagnetic anisotropies. The rα structure is derived. The proton chemical-shift anisotropy has been determined from the studies without the use of a reference compound and without a change of experimental conditions. It is shown that the molecule orients in the liquid crystal with positive diamagnetic anisotropy in such a way that the C3 symmetry axis of the CH3P moiety is preferentially aligned perpendicular to the direction of the magnetic field, unlike other similar systems. This is interpreted in terms of the formation of a weak solvent-solute molecular complex. The heteronuclear indirect spin-spin coupling constants are determined. The sign of the two-bond JPH is found to be positive.

Portfolio Optimization in a Semi-Markov Modulated Market

We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.

A chitotetrose specific lectin from Luffa acutangula :Physico-chemical properties and the assignment of orientation of sugars in the lectin binding site

A chitooligosaccharide specific lectin (Luffa acutangula agglutinin) has been purified from the exudate of ridge gourd fruits by affinity chromatography on soybean agglutininglycopeptides coupled to Sepharose-6B. The affinity purified lectin was found homogeneous by polyacrylamide gel electrophoresis, in sodium dodecyl sulphate-polyacrylamide gels, by gel filtration on Sephadex G-100 and by sedimentation velocity experiments. The relative molecular weight of this lectin is determined to be 48,000 ± 1,000 by gel chromatography and sedimentation equilibrium experiments. The sedimentation coefficient (S20, w) was obtained to be 4·06 S. The Stokes’ radius of the protein was found to be 2·9 nm by gel filtration. In sodium dodecyl sulphate-polyacrylamide gel electrophoresis the lectin gave a molecular weight of 24,000 in the presence as well as absence of 2-mercaptoethanol. The subunits in this dimeric lectin are therefore held by non-covalent interactions alone. The lectin is not a glycoprotein and circular dichroism spectral studies indicate that this lectin has 31% α-helix and no ß-sheet. The lectin is found to bind specifically to chitooligosaccharides and the affinity of the lectin increases with increasing oligosaccharide chain length as monitored by near ultra-violetcircular dichroism and intrinsic fluorescence titration. The values of ΔG, ΔΗ and ΔS for the binding process showed a pronounced dependence on the size of the oligosaccharide. The values for both ΔΗ and ΔS show a significant increase with increase in the oligosaccharide chain length showing that the binding of higher oligomers is progressively more favoured thermodynamically than chitobiose itself. The thermodynamic data is consistent with an extended binding site in the lectin which accommodates a tetrasaccharide. Based on the thermodynamic data, blue shifts and fluorescence enhancement, spatial orientation of chitooligosaccharides in the combining site of the lectin is assigned.

On the orientation of grain boundaries in cadmium recrystallized during hot deformatio

The authors are grateful to Professor K. P. Abraham for the provision of facilities and encouragement. One of us (PRR) acknowledges the award of a National Associateship by the UGC which facilitated a short-time visit to the Indian Institute of Science.

Average Orientation of Molecules Dissolved in Nematic Liquid Crystals of Opposite Diamagnetic Anisotropies

ZLI-1167 is a ternary mixture of nematic liquid crystals with negative diamagnetic anisotropy. It has, therefore, been used as a solvent where the spinning of the samples around the vertical axis in the conventional electromagnets without destroying the orientation of the dissolved molecules is possible in NMR experiments. This results in sharp lines with widths up to 1 Hz in the spectra.1,2 In an NMR system using a superconducting magnet (where the magnetic field direction is along the axis of spinning of the sample), it is possible to use even the nematic liquid crystals with positive diamagnetic anisotropy such as N-(p'-methoxybenzylidene)-p-n-butylaniline (MBBA) or N-(p'-ethoxybenzylidene)-p-n-butylaniline (EBBA) to obtain the spectra with sample spinning with equally sharp lines.3 The orientational behaviour of the dissolved molecules as a function of relative concentrations of the two solvents is investigated and the results are reported in the present communication.

Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

Orientation Of Grain-Boundaries In Cadmium Recrystallized During Hot Deformation

The authors are grateful to Professor K. P. Abraham for the provision of facilities and encouragement. One of us (PRR) acknowledges the award of a National Associateship by the UGC which facilitated a short-time visit to the Indian Institute of Science.

DNA polymorphism and local variation in base-pair orientation: a theoretical rationale

Basepair stacking calculations have been carried out to understand the conformational polymorphism of DNA and its sequence dependence. The recently developed self-consistent parameter set, which is specially suitable for describing irregular DNA structures, has been used to describe the geometry of a basepair doublet. While for basepairs without any propeller, the favourable stacking patterns do not appear to have very strong features, much more noticeable sequence dependent stacking patterns emerge once a propeller is applied to the basepairs. The absolute minima for most sequences occurs for a doublet geometry close to the B-DNA fibre models. Hence in the B-DNA region, no strong sequence dependent features are found, but the range of doublet geometries observed in the crystal structures generally lie within the low energy contours, obtained from stacking energy calculations. The doublet geometry corresponding to the A-DNA fibre model is not energetically favourable for the purine-pyrimidine sequences, which prefer small roll angle values when the slide has a large negative value as in A-DNA. However positive roll with large negative slide is allowed for GG, GA, AG and the pyrimidine-purine steps. This is consistent with the observed geometries of various steps in A-DNA crystals. Thus the general features of the basepair doublets predicted from these theoretical studies agree very well with the results from crystal structure analysis. However, since most sequences show an overall preference for B-type doublet geometry, the B --> A transition for random sequence DNA cannot be explained on the basis of basepair stacking interactions.

Orientation dependence of the indentation impression morphology in a Mg alloy

The formation of anomalous indentations, with two opposite faces describing a pin-cushion effect and the other two faces normal, in long elongated grains of an extruded Mg-2Al-1Zn alloy is reported. Subsurface microstructural observations combined with Schmid factor calculations suggest that extension twinning accompanied by basal slip are the reasons for these. Johnson's expanding cavity model is invoked for further substantiation. (C) 2010 Acta Materialia Inc. Published by Elsevier Ltd. All rights reserved.

Conformational Polymorphism in Telomeric Structures: Loop Orientation and Interloop Pairing in d(G4TnG4),

Sequence repeats constituting the telomeric regions of chromosomes are known to adopt a variety of unusual structures, consisting of a G tetraplex stem and short stretches of thymines or thymines and adenines forming loops over the stem. Detailed model building and molecular mechanics studies have been carried out for these telomeric sequences to elucidate different types of loop orientations and possible conformations of thymines in the loop. The model building studies indicate that a minimum of two thymines have to be interspersed between guanine stretches to form folded-back structures with loops across adjacent strands in a G tetraplex (both over the small as well as large groove), while the minimum number of thymines required to build a loop across the diagonal strands in a G tetraplex is three. For two repeat sequences, these hairpins, resulting from different types of folding, can dimerize in three distinct ways-i.e., with loops across adjacent strands and on same side, with loops across adjacent strands and on opposite sides, and with loops across diagonal strands and on opposite sides-to form hairpin dimer structures. Energy minimization studies indicate that all possible hairpin dimers have very similar total energy values, though different structures are stabilized by different types of interactions. When the two loops are on the same side, in the hairpin dimer structures of d(G(4)T(n)G(4)), the thymines form favorably stacked tetrads in the loop region and there is interloop hydrogen bonding involving two hydrogen bonds for each thymine-thymine pair. Our molecular mechanics calculations on various folded-back as well as parallel tetraplex structures of these telomeric sequences provide a theoretical rationale for the experimentally observed feature that the presence of intervening thymine stretches stabilizes folded-back structures, while isolated stretches of guanines adopt a parallel tetraplex structure

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

Chemical communication in Ropalidia marginata: Dufour's gland contains queen signal that is perceived across colonies and does not contain colony signal

Queens of the primitively eusocial wasp Ropalidia marginata appear to maintain reproductive monopoly through pheromone rather than through physical aggression. Upon queen removal, one of the workers (potential queen, PQ) becomes extremely aggressive but drops her aggression immediately upon returning the queen. If the queen is not returned, the PQ gradually drops her aggression and becomes the next queen of the colony. In a previous study, the Dufour's gland was found to be at least one source of the queen pheromone. Queen-worker classification could be done with 100% accuracy in a discriminant analysis, using the compositions of their respective Dufour's glands. In a bioassay, the PQ dropped her aggression in response to the queen's Dufour's gland macerate, suggesting that the queen's Dufour's gland contents mimicked the queen herself. In the present study, we found that the PQ also dropped her aggression in response to the macerate of a foreign queen's Dufour's gland. This suggests that the queen signal is perceived across colonies. This also suggests that the Dufour's gland in R. marginata does not contain information about nestmateship, because queens are attacked when introduced into foreign colonies, and hence PQ is not expected to reduce her aggression in response to a foreign queen's signal. The latter conclusion is especially significant because the Dufour's gland chemicals are adequate to classify individuals correctly not only on the basis of fertility status (queen versus worker) but also according to their colony membership, using discriminant analysis. This leads to the additional conclusion (and precaution) that the ability to statistically discriminate organisms using their chemical profiles does not necessarily imply that the organisms themselves can make such discrimination. (C) 2010 Elsevier Ltd. All rights reserved.

C-13 MAS NMR spectra of cis,cis-mucononitrile in liquid-crystalline media and in the solid state. Orientation of the carbon chemical-shift tensors

The spinning sidebands observed in the C-13 MAS NMR spectra of cis,cis-mucononitrile oriented in liquid-crystalline media and of the neat sample in the solid state are studied. There are differences in the sideband intensity patterns in the two cases. These differences arise because the order parameters which characterize the orientation of the solute in the liquid-crystalline media differ for different axes. It is shown that, in general, the relative intensities of the sidebands contain information on the sign and magnitude of an effective chemical-shift parameter which is a function of the sum of the products of the principal components of the chemical-shift tensor and the corresponding order parameters with respect to the director. A method for obtaining the orientation of the carbon chemical-shift tensor is proposed. The carbon chemical-shift tensors obtained from gauge-including atomic orbital calculations are also presented for comparison. (C) 1996 Academic Press, Inc.

Conformation and orientation of alkyl chains in the layered organic-inorganic hybrids: (CnH2n+1NH3)(2)PbI4 (n=12,16,18)

Layered organic inorganic hybrids based on perovskite-derived alkylammonium lead halides have been demonstrated as important new materials in the construction of molecular electronic devices. Typical of this class of materials are the single-perovskite slab lead iodides of the general formula (CnH2n+1NH3)(2)PbI4. While for small n, these compounds are amenable to single-crystal structure determination, the increasing degree of disorder in the long chain (n = 12,14...) compounds makes such an analysis difficult. In this study, we use powder X-ray diffraction, and vibrational and C-13 NMR spectroscopies to establish the conformation, orientation and organization of hydrocarbon chains in the series of layered alkylammonium lead iodides (CnH2n+1NH3)(2)PbI4 (n = 12,16,18). We find that the alkyl chains adopt a tilted bilayer arrangement, while the structure of the inorganic layer remains invariant with respect to the value of n. Conformation-sensitive methylene stretching modes in the infrared and Raman spectra, as well as the C-13 NMR spectra indicate that bonds in the methylene chain are in trans configuration. The skeletal modes of the alkyl chain in the Raman spectra establish that there is a high degree of all-trans conformational registry for the values of n studied here. From the orientation dependence of the infrared spectra of crystals of (CnH2n+1NH3)(2)PbI4 ( n = 12,16), we find that the molecular axis of the all-trans alkyl chains are tilted away from the interlayer normal by an angle of 55degrees. This value of this tilt angle is consistent with the dependence of the c lattice expansion as a function of n, as determined from powder X-ray diffraction.