Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

Raman spectroscopic characterization of different regioisomers of monoacyl and diacyl chlorogenic acid

We have investigated the Raman spectra of different regioisomeric forms of monoacyl and diacyl chlorogenic acids. Raman spectra of 3-caffeoylquinic acid, 4-caffeoylquinic acid, 5-caffeoylquinic, 3,4-di-O-caffeoylquinic acid, 3,5-di-O-caffeoylquinic acid, 4,5-di-O-caffeoylquinic acid, and a synthetic derivative of 3-feruloylqunic acid were recorded using visible Raman spectroscopic technique and vibrational bands are assigned. Additionally, a theoretical study of 5-caffeoylquinic acid was performed using Gaussian 03. (C) 2012 Elsevier B.V. All rights reserved.

Tailoring the Magnetic and Optical Characteristics of Nanocrystalline BiFeO3 by Ce Doping

The Ce-doped BiFeO3 (BFO) nanoparticles (NPs) were synthesized using a facile solgel route with varying Ce concentrations in the range of 15 mol%. Ferroelectric transition temperature was found to shift from 723 degrees C +/- 5 degrees C for pristine BFO NPs to 534 degrees C +/- 3 degrees C for 5 mol% Ce-doped BFO NPs. UVVis absorption spectra of BFO NPs showed a significant blue shift of similar to 100 nm on Ce doping. The Fourier transformed infrared (FTIR) spectrum centered similar to 550 cm(-1) becomes considerably broadened on Ce doping which is due to additional closely spaced vibrational peaks as revealed by the second derivative FTIR analysis. High-frequency EPR measurements indicated that clustering occurs at high dopant levels, and that Fe is present as Fe(3+)corroborating Mossbauer measurements. The values of saturation and remanent magnetization for 3% Ce-doped BFO NPs are 3.03 and 0.49 emu/g, respectively, which are quite significant at room temperature, making it more suitable for technological applications.

Synthesis of benzofuran based 1,3,5-substituted pyrazole derivatives: As a new class of potent antioxidants and antimicrobials-A novel accost to amend biocompatibility

In search for a new antioxidant and antimicrobial agent with improved potency, we synthesized a series of benzofuran based 1,3,5-substituted pyrazole analogues (5a-l) in five step reaction. Initially, o-alkyl derivative of salicyaldehyde readily furnish corresponding 2-acetyl benzofuran 2 in good yield, on treatment with 1,8-diaza bicyclo5.4.0]undec-7-ene (DBU) in the presence of molecular sieves. Further, aldol condensation with vanillin, Claisen-Schmidt condensation reaction with hydrazine hydrate followed by coupling of substituted anilines afforded target compounds. The structures of newly synthesized compounds were confirmed by IR, H-1 NMR, C-13 NMR, mass, elemental analysis and further screened for their antioxidant and antimicrobial activities. Among the tested compounds 5d and 5f exhibited good antioxidant property with 50% inhibitory concentration higher than that of reference while compounds 5h and 5l exhibited good antimicrobial activity at concentration 1.0 and 0.5 mg/mL compared with standard, streptomycin and fluconazole respectively. (C) 2012 Elsevier Ltd. All rights reserved.

Optical, electrochemical and morphological investigations of poly (3,4-propylenedioxythiophene)-sultone (PProDOT-S) thin films

In this paper, we have carried out thin film characterization of poly(3,4-propylenedioxythiophene)-sultone (PProDOT-S), a derivative of electrochromic poly(3,4-propylenedioxythiophene) (PProDOT). PProDOT-S was deposited onto transparent conducting oxide coated glass substrates by solution casting method. Single wavelength spectrophotometry is used to monitor the switching speed and contrast ratio at maximum wavelength (lambda (max)). The percentage transmittance at the lambda (max) of the neutral polymer is monitored as a function of time when the polymer film is repeatedly switched. This experiment gives a quantitative measure of the speed with which a film is able to switch between the two states i.e. the coloured and the bleached states. PProDOT-S films were switched at a voltage of 1 center dot 9 V with a switching speed of 2 s at lambda (max) of 565 nm and showed a contrast of similar to 37%. Cyclic voltammetry performed at different scan rates have shown the characteristic anodic and cathodic peaks. The structural investigations of PProDOT-S films by IR spectra were in good agreement with previously reported results. Raman spectra of PProDOT-S showed a strong Raman peak at 1509 cm (-aEuro parts per thousand 1) and a weak peak at 1410 cm (-aEuro parts per thousand 1) due to the C = C asymmetric and symmetric stretching vibrations of thiophene rings. The morphological investigations carried out by using scanning electron microscope (SEM) of polymer films have shown that these polymers are found to be arranged in dense packed clusters with non-uniform distribution having an average width and length of 95 nm and 160 nm, respectively.

Pricing credit derivatives

The financial crisis set off by the default of Lehman Brothers in 2008 leading to disastrous consequences for the global economy has focused attention on regulation and pricing issues related to credit derivatives. Credit risk refers to the potential losses that can arise due to the changes in the credit quality of financial instruments. These changes could be due to changes in the ratings, market price (spread) or default on contractual obligations. Credit derivatives are financial instruments designed to mitigate the adverse impact that may arise due to credit risks. However, they also allow the investors to take up purely speculative positions. In this article we provide a succinct introduction to the notions of credit risk, the credit derivatives market and describe some of the important credit derivative products. There are two approaches to pricing credit derivatives, namely the structural and the reduced form or intensity-based models. A crucial aspect of the modelling that we touch upon briefly in this article is the problem of calibration of these models. We hope to convey through this article the challenges that are inherent in credit risk modelling, the elegant mathematics and concepts that underlie some of the models and the importance of understanding the limitations of the models.

On isentropic lines and isentropic exponents

The three indicators of isentropic lines, namely, the isentropic index, the ratio of pressure and density p/rho and the derivative (partial derivative p/partial derivative rho)s are investigated for all of the fluids in the RefProp 9.0 program. The behaviour of these three entities is evaluated along the saturated vapour line as well as in the superheated vapour region. There is a distinct demarcation of fluids whose isentropic indices can be less than 1 and others for which this behaviour is absent. The critical molar volume is found to be the characterizing feature. Several other interesting features of those three thermodynamic properties are also highlighted. It is observed that most practical engineering compression and expansion processes occur along the decreasing direction of the sound speed.

Model Pseudoconvex Domains and Bumping

The Levi geometry at weakly pseudoconvex boundary points of domains in C-n, n >= 3, is sufficiently complicated that there are no universal model domains with which to compare a general domain. Good models may be constructed by bumping outward a pseudoconvex, finite- type Omega subset of C-3 in such a way that: (i) pseudoconvexity is preserved, (ii) the (locally) larger domain has a simpler defining function, and (iii) the lowest possible orders of contact of the bumped domain with partial derivative Omega, at the site of the bumping, are realized. When Omega subset of C-n, n >= 3, it is, in general, hard to meet the last two requirements. Such well-controlled bumping is possible when Omega is h-extendible/semiregular. We examine a family of domains in C-3 that is strictly larger than the family of h-extendible/semiregular domains and construct explicit models for these domains by bumping.

Charge-transfer interaction mediated organogels from bile acid appended anthracenes: rheological and microscopic studies

In this article we present dual-component charge-transfer interaction (CT) induced organogel formation with bile acid anthracene conjugates as donors and 2,4,7-trinitrofluorenone (TNF) as the acceptor. The use of TNF (1) as a versatile electron acceptor in the formation of gels is demonstrated through the formation of gels with different steroidal groups on the anthracene moiety in a variety of solvents ranging from aromatic hydrocarbons to long chain alcohols. Thermal stability and variable temperature fluorescence experiments were performed on these CT gels. Dynamic rheological experiments conducted on these gels suggest that these are viscoelastic soft materials and with the gel strength can be modulated by varying the donor/acceptor ratios.

Path-integral formulation for Levy flights: Evaluation of the propagator for free, linear, and harmonic potentials in the over- and underdamped limits

Levy flights can be described using a Fokker-Planck equation, which involves a fractional derivative operator in the position coordinate. Such an operator has its natural expression in the Fourier domain. Starting with this, we show that the solution of the equation can be written as a Hamiltonian path integral. Though this has been realized in the literature, the method has not found applications as the path integral appears difficult to evaluate. We show that a method in which one integrates over the position coordinates first, after which integration is performed over the momentum coordinates, can be used to evaluate several path integrals that are of interest. Using this, we evaluate the propagators for (a) free particle, (b) particle subjected to a linear potential, and (c) harmonic potential. In all the three cases, we have obtained results for both overdamped and underdamped cases. DOI: 10.1103/PhysRevE.86.061105

Synthesis and supramolecular assembly of the bifunctional borinic acid 1,2-fcB(OH)](2)

Treatment of the chloro-substituted diboradiferrocene derivative 1 with Me3SiOMe and subsequent hydrolysis resulted in formation of the novel organometallic bis(borinic acid) derivative 3. The assembly of 3 into supramolecular structures via hydrogen bonding and reversible covalent boron-oxygen bond formation was explored. Upon crystallization from acetone or THF one-dimensional chains form in which molecules of 3 alternately serve as hydrogen bond donors and acceptors. The additional OH hydrogens that are not involved in hydrogen bonding within the polymeric chains undergo hydrogen bonding to the solvent molecules. Removal of the solvent was achieved at moderate temperature under high vacuum. While the polymeric chains remain intact, in the absence of the solvent as a hydrogen bond acceptor, short contacts to the Cp rings of neighboring polymer strands lead to a network-like structure. At higher temperatures, further dehydration occurs with formation of B-O-B linkages as confirmed by MALDI-TOF mass spectrometry. Oligomers with up to 15 repeating units (30 ferrocenes) were detected.

The Structural Characterization of Folded Peptides Containing the Conformationally Constrained beta-Amino Acid Residue beta(2,2)Ac(6)c

Backbone alkylation has been shown to result in a dramatic reduction in the conformational space that is sterically accessible to a-amino acid residues in peptides. By extension, the presence of geminal dialkyl substituents at backbone atoms also restricts available conformational space for beta and ? residues. Five peptides containing the achiral beta 2,2-disubstituted beta-amino acid residue, 1-(aminomethyl)cyclohexanecarboxylic acid (beta 2,2Ac6c), have been structurally characterized in crystals by X-ray diffraction. The tripeptide Boc-Aib-beta 2,2Ac6c-Aib-OMe (1) adopts a novel fold stabilized by two intramolecular H-bonds (C11 and C9) of opposite directionality. The tetrapeptide Boc-Aib-beta 2,2Ac6c]2-OMe (2) and pentapeptide Boc-Aib-beta 2,2Ac6c]2-Aib-OMe (3) form short stretches of a hybrid a beta C11 helix stabilized by two and three intramolecular H-bonds, respectively. The structure of the dipeptide Boc-Aib-beta 2,2Ac6c-OMe (5) does not reveal any intramolecular H-bond. The aggregation pattern in the crystal provides an example of an extended conformation of the beta 2,2Ac6c residue, forming a polar sheet like H-bond. The protected derivative Ac-beta 2,2Ac6c-NHMe (4) adopts a locally folded gauche conformation about the C beta?Ca bonds (?=-55.7 degrees). Of the seven examples of beta 2,2Ac6c residues reported here, six adopt gauche conformations, a feature which promotes local folding when incorporated into peptides. A comparison between the conformational properties of beta 2,2Ac6c and beta 3,3Ac6c residues, in peptides, is presented. Backbone torsional parameters of H-bonded a beta/beta a turns are derived from the structures presented in this study and earlier reports.

Formulation development and evaluation of lamivudine controlled release tablets using cross-linked sago starch

Objectives: Modified starches based polymeric substances find utmost applicability in pharmaceutical formulation development. Cross-linked starches showed very promising results in drug delivery application. The present investigation concerns with the development of controlled release tablets of lamivudine using cross-linked sago starch. Methods: The cross-linked derivative was synthesized with phosphorous oxychloride and native sago starch in basic pH medium. The cross-linked sago starch was tested for acute toxicity and drug-excipient compatibility study. The formulated tablets were evaluated for various physical characteristics, in vitro dissolution release study and in vivo pharmacokinetic study in rabbit model. Results: In vitro release study showed that the optimized formulation exhibited highest correlation (R) in case of zero order kinetic model and the release mechanism followed a combination of diffusion and erosion process. There was a significant difference in the pharmacokinetic parameters (T-max, C-max, AUC, V-d, T-1/2, and MDT) of the optimized formulation as compared to the marketed conventional tablet Lamivir (R). Conclusion: The cross-linked starch showed promising results in terms of controlling the release behavior of the active drug from the matrix. The hydrophilic matrix synthesized by cross-linking could be used with a variety of active pharmaceutical ingredients for making their controlled/sustained release formulations.

Fluorescent Tris-Imidazolium Sensors for Picric Acid Explosive

Two new anthracene-functionalized fluorescent tris-imidazolium salts have been synthesized, characterized, and proven to be selective sensors for picric acid, which is a common constituent of many powerful explosives. Theoretical studies revealed an unusual ground-state electron transfer from picrate anion to the sensor molecules.

A Savitzky-Golay Filtering Perspective of Dynamic Feature Computation

We address the classical problem of delta feature computation, and interpret the operation involved in terms of Savitzky- Golay (SG) filtering. Features such as themel-frequency cepstral coefficients (MFCCs), obtained based on short-time spectra of the speech signal, are commonly used in speech recognition tasks. In order to incorporate the dynamics of speech, auxiliary delta and delta-delta features, which are computed as temporal derivatives of the original features, are used. Typically, the delta features are computed in a smooth fashion using local least-squares (LS) polynomial fitting on each feature vector component trajectory. In the light of the original work of Savitzky and Golay, and a recent article by Schafer in IEEE Signal Processing Magazine, we interpret the dynamic feature vector computation for arbitrary derivative orders as SG filtering with a fixed impulse response. This filtering equivalence brings in significantly lower latency with no loss in accuracy, as validated by results on a TIMIT phoneme recognition task. The SG filters involved in dynamic parameter computation can be viewed as modulation filters, proposed by Hermansky.