Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Frugivores, seed dispersal and tree regeneration along a human disturbance gradient in East African tropical rainforests

Samenausbreitung und Regeneration von Bäumen sind wichtig für den langfristigen Bestand von Baum- und Frugivorengemeinschaften in tropischen Regenwäldern. Zunehmende Rohdung und Degradation gefährden den Ablauf dieser mutualistischen Prozesse in diesem Ökosystem. Um den Einfluss von kleinräumiger menschlicher Störung auf die Frugivorengemeinschaft und die zentralen Ökosystemprozesse Samenausbreitung und Regeneration zu erforschen, habe ich 1) die Frugivorengemeinschaft und die Samenausbreitungsrate von Celtis durandii (Ulmaceae) und 2) den Zusammenhang zwischen Baumarten mit fleischigen Früchten, Frugivoren und der Etablierung von Keimlingen dieser Baumarten in unterschiedlich stark gestörten Flächen dreier ostafrikanischer tropischer Regenwälder untersucht. Insgesamt konnte ich 40 frugivore Vogel- und Primatenarten in den drei untersuchten Waldgebieten nachweisen. Auf gering gestörten Flächen wurden mehr Frugivore als auf stark gestörten Flächen aufgenommen. Auch die Beobachtungen an C. durandii ergaben mehr frugivore Besucher in Bäumen auf gering gestörten als auf stark gestörten Flächen. Dies führte zu einer marginal signifikant höheren Samenausbreitungsrate auf den gering gestörten Flächen. Diese Ergebnisse waren auf regionaler Ebene in allen drei untersuchten Wäldern konsistent. Dies zeigt, dass kleinräumige Störung einen umfassenderen negativen Einfluss auf Frugivore und ihre Funktion als Samenausbreiter hat als zuvor angenommen. Bei der Vegetationserfassung nahm ich 131 verschiedene Baumarten mit fleischigen Früchten in den drei Regenwäldern auf. Kleinräumige menschliche Störung erhöhte den Artenreichtum dieser Baumarten marginal signifikant, hatte jedoch keinen direkten Einfluss auf die Frugivorendichte und den Artenreichtum von Keimlingen dieser Baumarten. Der Artenreichtum von Baumarten mit fleischigen Früchten zeigte einen marginal signifikant positiven Einfluss auf die Frugivorendichte, allerdings nicht auf die Keimlinge. Allerdings führte die Dichte der Frugivoren zu signifikant erhöhtem Artenreichtum der Keimlinge. Folglich scheint kleinräumige Störung die Keimlingsetablierung indirekt durch erhöhten Baumartenreichtum und erhöhte Frugivorendichte zu beeinflussen. Die Frugivorendichte hatte einen größeren Einfluss auf die Waldregeneration als kleinräumige Störung und Baumartenreichtum. Demnach scheint kleinräumige menschliche Störung sowohl positive als auch negative Effekte auf Samenausbreitung und Regeneration zu haben. Somit sind weitere Studien notwendig, die den Einfluss von kleinräumiger menschlicher Störung auf Mutualismen tropischer Regenwälder aufklären.

Elektrochemisch gesteuerte zeitaufgelöste Infrarotspektroskopie an Redox-Membranproteinen in einer biomimetischen Membran-Architektur

Das Protein Cytochrom c Oxidase (CcO) ist ein Enzym der mitochondrialen Atmungskette. Als letzter Komplex (Komplex IV) einer Elektronentransportkette katalysiert sie die Reduktion von molekularem Sauerstoff zu Wasser. Hierbei werden Elektronen von Cytochrom c (Cc) in das Enzym geleitet. Die durch den Redoxprozess freiwerdende freie Enthalpie wird dazu genutzt, einen Protonengradienten über die innere Mitochondrien-Membran aufzubauen. Die zurückwandernden Protonen treiben in der ATP-Synthase die Produktion von Adenosintriphosphat (ATP) an, dem universellen Energieträger in lebenden Organismen. Gegenstand dieser Dissertation sind zeitaufgelöste ATR-FTIR-Messungen des direkten Elektronentransfers in die CcO. Das Protein wird hierzu orientiert auf einer Goldelektrode immobilisiert und in eine künstliche Membran rekonstituiert (Protein-tethered Bilayer Lipid Membrane, ptBLM). Das ptBLM-System wird hinsichtlich einer möglichst hohen Protein-Aktivität optimiert. Elektronen werden durch elektrochemische Anregung von der Elektrode in die CcO injiziert. Die Goldoberfläche wird auf die reflektierende Oberfläche eines Silizium-ATR-Kristalls aufgebracht. Durch die Präparation einer rauen Oberfläche (RMS-Rauigkeit ca. 5 nm) wird eine Verstärkung der IR-Absorption erreicht. Die mit den Ladungstransferprozessen einhergehenden Konformationsänderungen der die Redoxzentren umgebenden Gruppen (CONH-Gerüst und Aminosäure-Seitenketten) können durch Infrarot-Spektroskopie nachgewiesen werden. Phasensensitive Detektion (PSD) wird zur Rauschminderung eingesetzt, um Geschwindigkeitskonstanten für die Redox-Übergänge zu bestimmen. Im Bereich der Amid-I-Bande werden etliche Peaks identifiziert, die sich mit dem Redoxzustand des Proteins ändern. Für das CuA-Zentrum, welches als erstes der vier Redoxzentren der CcO reduziert wird, wird die schnellste Geschwindigkeitskonstante ks=4870/s ermittelt. Für das Häm a3-Zentrum wird eine Geschwindigkeitskonstante von ks=13,8/s ermittelt. Die Ergebnisse sind konsistent zu elektrochemischen und Raman-Spektroskopie-Experimenten, welche ebenfalls in unserer Gruppe durchgeführt wurden. Weitere Themen dieser Dissertation sind der Nachweis der Anwendbarkeit des ptBLM-Systems für andere Membranproteine (Beispiel: bakterielles photosynthetisches Reaktionszentrum) und der Einsatz des ATR-FTIR-Setups für verschiedene künstliche Membransysteme (Aktivitätsnachweis des OR5-Geruchsrezeptors in einer peptidgestützten Membran, Eigenschaften eines Oligoethylenglycol-Spacers).

High gradient magnetic separation (HGMS) of erythrocytes infected with plasmodium falciparum

This thesis was undertaken to explore possible applications of high gradient magnetic separation (HGMS) for the separation of RBCs infected with Plasmodium falciparum, with the dual aim of establishing a novel and superior method for isolating late-stage infected cells, and of obtaining synchronized cell cultures.rnThe presented work presents protocols for HGMS of parasitized RBCs that fulfil these aims. Late-stage parasitized cell can be isolated essentially devoid of contamination with non-infected and ring-stage infected cells. Such an easy method for a highly quantitative and qualitative purification has not yet been reported. Synchronous cultures can be obtained both following depletion of late-stage infected cells, and following isolation of the latter. The quality of synchronization cultures matches that of sorbitol lysis, the current standard method for malaria culture synchronization. An advantage of HGMS is the avoidance of osmotic stress for RBCs. The new methods further have the appeal of high reproducibility, cost-effectiveness, and simple protocol.rnIt should be possible to take the methods beyond Plasmodium infected RBCs. Most magnetic separation techniques in the sector of biomedical research employ columns with a hydrophilic polymer-coated matrix. Our procedure employs an optimized buffer system. Polymer coating becomes unnecessary and uncoated columns are available at a fraction of the cost.

Investigation of the lithium ion mobility in cyclic model compounds and their ion conducting properties

Efficient energy storage and conversion is playing a key role in overcoming the present and future challenges in energy supply. Batteries provide portable, electrochemical storage of green energy sources and potentially allow for a reduction of the dependence on fossil fuels, which is of great importance with respect to the issue of global warming. In view of both, energy density and energy drain, rechargeable lithium ion batteries outperform other present accumulator systems. However, despite great efforts over the last decades, the ideal electrolyte in terms of key characteristics such as capacity, cycle life, and most important reliable safety, has not yet been identified. rnrnSteps ahead in lithium ion battery technology require a fundamental understanding of lithium ion transport, salt association, and ion solvation within the electrolyte. Indeed, well-defined model compounds allow for systematic studies of molecular ion transport. Thus, in the present work, based on the concept of ‘immobilizing’ ion solvents, three main series with a cyclotriphosphazene (CTP), hexaphenylbenzene (HBP), and tetramethylcyclotetrasiloxane (TMS) scaffold were prepared. Lithium ion solvents, among others ethylene carbonate (EC), which has proven to fulfill together with pro-pylene carbonate safety and market concerns in commercial lithium ion batteries, were attached to the different cores via alkyl spacers of variable length.rnrnAll model compounds were fully characterized, pure and thermally stable up to at least 235 °C, covering the requested broad range of glass transition temperatures from -78.1 °C up to +6.2 °C. While the CTP models tend to rearrange at elevated temperatures over time, which questions the general stability of alkoxide related (poly)phosphazenes, both, the HPB and CTP based models show no evidence of core stacking. In particular the CTP derivatives represent good solvents for various lithium salts, exhibiting no significant differences in the ionic conductivity σ_dc and thus indicating comparable salt dissociation and rather independent motion of cations and ions.rnrnIn general, temperature-dependent bulk ionic conductivities investigated via impedance spectroscopy follow a William-Landel-Ferry (WLF) type behavior. Modifications of the alkyl spacer length were shown to influence ionic conductivities only in combination to changes in glass transition temperatures. Though the glass transition temperatures of the blends are low, their conductivities are only in the range of typical polymer electrolytes. The highest σ_dc obtained at ambient temperatures was 6.0 x 10-6 S•cm-1, strongly suggesting a rather tight coordination of the lithium ions to the solvating 2-oxo-1,3-dioxolane moieties, supported by the increased σ_dc values for the oligo(ethylene oxide) based analogues.rnrnFurther insights into the mechanism of lithium ion dynamics were derived from 7Li and 13C Solid- State NMR investigations. While localized ion motion was probed by i.e. 7Li spin-lattice relaxation measurements with apparent activation energies E_a of 20 to 40 kJ/mol, long-range macroscopic transport was monitored by Pulsed-Field Gradient (PFG) NMR, providing an E_a of 61 kJ/mol. The latter is in good agreement with the values determined from bulk conductivity data, indicating the major contribution of ion transport was only detected by PFG NMR. However, the μm-diffusion is rather slow, emphasizing the strong lithium coordination to the carbonyl oxygens, which hampers sufficient ion conductivities and suggests exploring ‘softer’ solvating moieties in future electrolytes.rn

Intra- and interspecific competition in western barbastelle bats (Barbastella barbastellus, SCHREBER 1774)

In the present thesis I examined individual and sex-specific habitat use and site fidelity in the western barbastelle bat, Barbastella barbastellus, using data from a four-year monitoring in a Special Area of Conservation in Rhineland-Palatinate, Germany. The western barbastelle occurs in central and southern Europe from Portugal to the Caucasus, but is considered to be rare in large parts of its range. Up to now, long-term field studies to assess interannual site fidelity and the possible effects of intra- and interspecific competition have not been studied in this species. Nevertheless, such data provide important details to estimate the specific spatial requirements of its populations, which in turn can be incorporated in extended conservation actions. I used radio-telemetry, home range analyses und automated ultrasound detection to assess the relation between landscape elements and western barbastelle bats and their roosts. In addition, I estimated the degree of interspecific niche overlap with two selected forest-dwelling bat species, Bechstein's bat (Myotis bechsteinii) and the brown long-eared bat (Plecotus auritus). Intra- and interannual home range overlap analyses of female B. barbastellus revealed that fidelity to individual foraging grounds, i.e. a traditional use of particular sites, seems to effect the spatial distribution of home ranges more than intraspecific competition among communally roosting females. The results of a joint analysis of annual maternity roost selection and flight activities along commuting corridors highlight the necessity to protect roost complexes in conjunction with commuting corridors. Using radio-tracking data and an Euclidean distance approach I quantified the sex-specific and individual habitat use by female and male western barbastelle bats within their home ranges. My data indicated a partial sexual segregation in summer habitats. Females were found in deciduous forest patches and preferably foraged along linear elements within the forest. Males foraged closer to forest edges and in open habitats. Finally, I examined the resource partitioning between the western barbastelle bat and two syntopic bat species with a potential for interspecific competition due to similarities in foraging strategies, prey selection and roost preferences. Simultaneous radio-tracking of mixed-species pairs revealed a partial spatial separation of the three syntopic bat species along a gradient from the forest to edge habitats and open landscape. Long-eared bats were found close to open habitats which were avoided by the other two species. B. barbastellus preferred linear landscape elements (edge habitats) and forests, M. bechsteinii also preferred forest habitats. Only little overlap in terms of roost structure and tree species selection was found.