On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

This paper analyses the robustness of Least-Squares Monte Carlo, a techniquerecently proposed by Longstaff and Schwartz (2001) for pricing Americanoptions. This method is based on least-squares regressions in which theexplanatory variables are certain polynomial functions. We analyze theimpact of different basis functions on option prices. Numerical resultsfor American put options provide evidence that a) this approach is veryrobust to the choice of different alternative polynomials and b) few basisfunctions are required. However, these conclusions are not reached whenanalyzing more complex derivatives.

Credit derivatives in emerging markets

Credit Derivatives are securities that offer protection against credit or default risk ofbonds or loans. The credit derivatives emerging market has grown rapidly and creditderivatives are widely used. This paper describes the emerging credit derivativesmarket structure. The current market activity is analyzed through elementary pricingdynamics and the study of the term structure of default risk. Focusing on theperformance of credit derivatives in stress situation, including legal and market risks,we discuss the potential consequences of a debt restructuring in a large emergingmarket borrower. The contribution of credit derivatives to the risk sharing in emergingmarkets is also examined.

Programació d'una aplicació gràfica per l'anàlisi de senyals usant LDB (Local Discriminant Bases) i MLDB (Modified LDB)

Tot seguit presentem un entorn per analitzar senyals de tot tipus amb LDB (Local Discriminant Bases) i MLDB (Modified Local Discriminant Bases). Aquest entorn utilitza funcions desenvolupades en el marc d’una tesi en fase de desenvolupament. Per entendre part d’aquestes funcions es requereix un nivell de coneixement avançat de processament de senyals. S’han extret dels treballs realitzats per Naoki Saito [3], que s’han agafat com a punt de partida per la realització de l’algorisme de la tesi doctoral no finalitzada de Jose Antonio Soria. Aquesta interfície desenvolupada accepta la incorporació de nous paquets i funcions. Hem deixat un menú preparat per integrar Sinus IV packet transform i Cosine IV packet transform, tot i que també podem incorporar-n’hi altres. L’aplicació consta de dues interfícies, un Assistent i una interfície principal. També hem creat una finestra per importar i exportar les variables desitjades a diferents entorns. Per fer aquesta aplicació s’han programat tots els elements de les finestres, en lloc d’utilitzar el GUIDE (Graphical User Interface Development Enviroment) de MATLAB, per tal que sigui compatible entre les diferents versions d’aquest programa. En total hem fet 73 funcions en la interfície principal (d’aquestes, 10 pertanyen a la finestra d’importar i exportar) i 23 en la de l’Assistent. En aquest treball només explicarem 6 funcions i les 3 de creació d’aquestes interfícies per no fer-lo excessivament extens. Les funcions que explicarem són les més importants, ja sigui perquè s’utilitzen sovint, perquè, segons la complexitat McCabe, són les més complicades o perquè són necessàries pel processament del senyal. Passem cada entrada de dades per part de l’usuari per funcions que ens detectaran errors en aquesta entrada, com eliminació de zeros o de caràcters que no siguin números, com comprovar que són enters o que estan dins dels límits màxims i mínims que li pertoquen.

Perpendicular magnetic anisotropy in chemically disordered FePd-FeV(100) alloy thin films

We find that the use of V(100) buffer layers on MgO(001) substrates for the epitaxy of FePd binary alloys yields to the formation at intermediate and high deposition temperatures of a FePd¿FeV mixed phase due to strong V diffusion accompanied by a loss of layer continuity and strong increase of its mosaic spread. Contrary to what is usually found in this kind of systems, these mixed phase structures exhibit perpendicular magnetic anisotropy (PMA) which is not correlated with the presence of chemical order, almost totally absent in all the fabricated structures, even at deposition temperatures where it is usually obtained with other buffer layers. Thus the observed PMA can be ascribed to the V interdiffusion and the formation of a FeV alloy, being the global sample saturation magnetization also reduced.

Gas sensing properties of catalytically modified WO3 with copper and vanadium for NH3 detection

Ammonia gas detection by pure and catalytically modified WO3 based gas sensor was analysed. The sensor response of pure WO3 to NH3 was not only rather low but also presented an abnormal behaviour, probably due to the unselective oxidation of ammonia to NOx. Copper and vanadium were introduced in different concentrations and the resulting material was annealed at different temperatures in order to improve the sensing properties for NH3 detection. The introduction of copper and vanadium as catalytic additives improved the response to NH3 and also eliminated the abnormal behaviour. Possible mechanisms of NH3 reaction over these materials are discussed. Sensor responses to other gases like NO2 or CO and the interference of humidity on ammonia detection were also analysed so as to choose the best sensing element.

Liquid-liquid phase transition for soft-core attractive potential

Using event-driven molecular dynamics simulations, we study a three-dimensional one-component system of spherical particles interacting via a discontinuous potential combining a repulsive square soft core and an attractive square well. In the case of a narrow attractive well, it has been shown that this potential has two metastable gas-liquid critical points. Here we systematically investigate how the changes of the parameters of this potential affect the phase diagram of the system. We find a broad range of potential parameters for which the system has both a gas-liquid critical point C1 and a liquid-liquid critical point C2. For the liquid-gas critical point we find that the derivatives of the critical temperature and pressure, with respect to the parameters of the potential, have the same signs: they are positive for increasing width of the attractive well and negative for increasing width and repulsive energy of the soft core. This result resembles the behavior of the liquid-gas critical point for standard liquids. In contrast, for the liquid-liquid critical point the critical pressure decreases as the critical temperature increases. As a consequence, the liquid-liquid critical point exists at positive pressures only in a finite range of parameters. We present a modified van der Waals equation which qualitatively reproduces the behavior of both critical points within some range of parameters, and gives us insight on the mechanisms ruling the dependence of the two critical points on the potential¿s parameters. The soft-core potential studied here resembles model potentials used for colloids, proteins, and potentials that have been related to liquid metals, raising an interesting possibility that a liquid-liquid phase transition may be present in some systems where it has not yet been observed.

Fusion of the extended modified liquid drop model for nucleation and dynamical nucleation theory

We present a new phenomenological approach to nucleation, based on the combination of the extended modified liquid drop model and dynamical nucleation theory. The new model proposes a new cluster definition, which properly includes the effect of fluctuations, and it is consistent both thermodynamically and kinetically. The model is able to predict successfully the free energy of formation of the critical nucleus, using only macroscopic thermodynamic properties. It also accounts for the spinodal and provides excellent agreement with the result of recent simulations.

Solid-Phase Synthesis of New Trp(Nps)-Containing Dipeptide Derivatives as TRPV1 Channel Blockers

Trp(Nps)-Lys-NH2 derivatives, bearing alkyl or guanidine groups either at the N-terminus or on the Lys side-chain or at both positions were conveniently prepared on solid-phase and evaluated as TRPV1 channel antagonists.

Concentrations of resveratrol and derivatives in foods and estimation of dietary intake in a Spanish population: European Prospective Investigation into Cancer and Nutrition (EPIC)-Spain cohort

Resveratrol has been shown to have beneficial effects on diseases related to oxidant and/or inflammatory processes and extends the lifespan of simple organisms including rodents. The objective of the present study was to estimate the dietary intake of resveratrol and piceid (R&P) present in foods, and to identify the principal dietary sources of these compounds in the Spanish adult population. For this purpose, a food composition database (FCDB) of R&P in Spanish foods was compiled. The study included 40 685 subjects aged 3564 years from northern and southern regions of Spain who were included in the European Prospective Investigation into Cancer and Nutrition (EPIC)-Spain cohort. Usual food intake was assessed by personal interviews using a computerised version of a validated diet history method. An FCDB with 160 items was compiled. The estimated median and mean of R&P intake were 100 and 933 mg/d respectively. Approximately, 32% of the population did not consume RΠ The most abundant of the four stilbenes studied was trans-piceid (53·6 %), followed by trans-resveratrol (20·9 %), cis-piceid (19·3 %) and cis-resveratrol (6·2 %). The most important source of R&P was wines (98·4 %) and grape and grape juices (1·6 %), whereas peanuts, pistachios and berries contributed to less than 0·01 %. For this reason the pattern of intake of R&P was similar to the wine pattern. This is the first time that R&P intake has been estimated in a Mediterranean country.

Synthesis and multi-target biological profiling of a novel family of rhein derivatives as disease-modifying anti-Alzheimer agents

We have synthesized a family of rheinhuprine hybrids to hit several key targets for Alzheimer"s disease. Biological screening performed in vitro and in Escherichia coli cells has shown that these hybrids exhibit potent inhibitory activities against human acetylcholinesterase butyrylcholinesterase, and BACE-1, dual Aβ42 and tau anti-aggregating activity, and brain permeability. Ex vivo studies with the leads (+)- and ()-7e in brain slices of C57bl6 mice have revealed that they efficiently protect against the Aβ-induced synaptic dysfunction , preventing the loss of synaptic proteins and/or have a positive effect on the induction of long term potentiation. In vivo studies in APP-PS1 transgenic mice treated i.p. for 4 weeks with (+)- and ()-7e have shown a central soluble Aβ lowering effect, accompanied by an increase in the levels of mature amyloid precursor protein (APP). Thus, (+)- and ()-7e emerge as very promising disease-modifying anti-Alzheimer drug candidates.

Synthesis and multi-target biological profiling of a novel family of rhein derivatives as disease-modifying anti-Alzheimer agents

We have synthesized a family of rheinhuprine hybrids to hit several key targets for Alzheimer"s disease. Biological screening performed in vitro and in Escherichia coli cells has shown that these hybrids exhibit potent inhibitory activities against human acetylcholinesterase butyrylcholinesterase, and BACE-1, dual Aβ42 and tau anti-aggregating activity, and brain permeability. Ex vivo studies with the leads (+)- and ()-7e in brain slices of C57bl6 mice have revealed that they efficiently protect against the Aβ-induced synaptic dysfunction , preventing the loss of synaptic proteins and/or have a positive effect on the induction of long term potentiation. In vivo studies in APP-PS1 transgenic mice treated i.p. for 4 weeks with (+)- and ()-7e have shown a central soluble Aβ lowering effect, accompanied by an increase in the levels of mature amyloid precursor protein (APP). Thus, (+)- and ()-7e emerge as very promising disease-modifying anti-Alzheimer drug candidates.

On the origin of the inertia: the modified Newtonian dynamics theory

The sameness between the inertial mass and the gravitational mass is an assumption and not a consequence of the equivalent principle is shown. In the context of the Sciama’s inertia theory, the sameness between the inertial mass and the gravitational mass is discussed and a certain condition which must be experimentally satisfied is given. The inertial force proposed by Sciama, in a simple case, is derived from the Assis’ inertia theory based in the introduction of a Weber type force. The origin of the inertial force is totally justified taking into account that the Weber force is, in fact, an approximation of a simple retarded potential, see [18, 19]. The way how the inertial forces are also derived from some solutions of the general relativistic equations is presented. We wonder if the theory of inertia of Assis is included in the framework of the General Relativity. In the context of the inertia developed in the present paper we establish the relation between the constant acceleration a0 , that appears in the classical Modified Newtonian Dynamics (M0ND) theory, with the Hubble constant H0 , i.e. a0 ≈ cH0 .

From symmetric glycerol derivatives to dissymmetric chlorohydrins

The anticipated worldwide increase in biodiesel production will result in an accumulation of glycerol for which there are insufficient conventional uses. The surplus of this by-product has increased rapidly during the last decade, prompting a search for new glycerol applications. We describe here the synthesis of dissymmetric chlorohydrin esters from symmetric 1,3-dichloro-2-propyl esters obtained from glycerol. We studied the influence of two solvents: 1,4-dioxane and 1-butanol and two bases: sodium carbonate and 1-butylimidazole, on the synthesis of dissymmetric chlorohydrin esters. In addition, we studied the influence of other bases (potassium and lithium carbonates) in the reaction using 1,4-dioxane as the solvent. The highest yield was obtained using 1,4-dioxane and sodium carbonate.

The membrane-permeable calmodulin inhibitors (W-7/W-13) bind to membranes changing the electrostatic surface potential. Dual effect of W-13 on EGFR activation

Membrane-permeable calmodulin inhibitors, such as the napthalenesulfonamide derivatives W-7/W-13, trifluoperazine, and calmidazolium, are used widely to investigate the role of calcium/calmodulin (Ca2+/CaM) in living cells. If two chemically different inhibitors (e.g. W-7 and trifluoperazine) produce similar effects, investigators often assume the effects are due to CaM inhibition. Zeta potential measurements, however, show that these amphipathic weak bases bind to phospholipid vesicles at the same concentrations as they inhibit Ca 2 /CaM; this suggests that they also bind to the inner leaflet of the plasma membrane, reducing its negative electrostatic surface potential. This change will cause electrostatically bound clusters of basic residues on peripheral (e.g. Src and K-Ras4B) and integral (e.g. epidermal growth factor receptor (EGFR)) proteins to translocate from the membrane to the cytoplasm. We measured inhibitor-mediated translocation of a simple basic peptide corresponding to the calmodulin-binding juxtamembrane region of the EGFR on model membranes; W-7/W-13 causes translocation of this peptide from membrane to solution, suggesting that caution must be exercised when interpreting the results obtained with these inhibitors in living cells. We present evidence that they exert dual effects on autophosphorylation of EGFR;W-13 inhibits epidermal growth factordependent EGFR autophosphorylation under different experimental conditions, but in the absence of epidermal growth factor, W-13 stimulates autophosphorylation of the receptor in four different cell types. Our interpretation is that the former effect is due toW-13inhibition of Ca 2 /CaM, but thelatter results could be due to binding of W-13 to the plasma membrane.

Diphenyl urea derivatives as inhibitors of transketolase: a structure-based virtual screening.

Transketolase is an enzyme involved in a critical step of the non-oxidative branch of the pentose phosphate pathway whose inhibition could lead to new anticancer drugs. Here, we report new human transketolase inhibitors, based on the phenyl urea scaffold, found by applying structure-based virtual screening. These inhibitors are designed to cover a hot spot in the dimerization interface of the homodimer of the enzyme, providing for the first time compounds with a suggested novel binding mode not based on mimicking the thiamine pyrophosphate cofactor.