Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Thermodynamic and structural studies of cavity formation in proteins suggest that loss of packing interactions rather than the hydrophobic effect dominates the observed energetics

The hydrophobic effect is widely believed to be an important determinant of protein stability. However, it is difficult to obtain unambiguous experimental estimates of the contribution of the hydrophobic driving force to the overall free energy of folding. Thermodynamic and structural studies of large to small substitutions in proteins are the most direct method of measuring this contribution. We have substituted the buried residue Phe8 in RNase S with alanine, methionine, and norleucine, Binding thermodynamics and structures were characterized by titration calorimetry and crystallography, respectively. The crystal structures of the RNase S F8A, F8M, and F8Nle mutants indicate that the protein tolerates the changes without any main chain adjustments, The correlation of structural and thermodynamic parameters associated with large to small substitutions was analyzed for nine mutants of RNase S as well as 32 additional cavity-containing mutants of T4 lysozyme, human lysozyme, and barnase. Such substitutions were typically found to result in negligible changes in Delta C-p and positive values of both Delta Delta H degrees and aas of folding. Enthalpic effects were dominant, and the sign of Delta Delta S is the opposite of that expected from the hydrophobic effect. Values of Delta Delta G degrees and Delta Delta H degrees correlated better with changes in packing parameters such as residue depth or occluded surface than with the change in accessible surface area upon folding. These results suggest that the loss of packing interactions rather than the hydrophobic effect is a dominant contributor to the observed energetics for large to small substitutions. Hence, estimates of the magnitude of the hydrophobic driving force derived from earlier mutational studies are likely to be significantly in excess of the actual value.

Mode-dependent dispersion in Raman line shapes: Observation and implications from ultrafast Raman loss spectroscopy

Ultrafast Raman loss spectroscopy (URLS) enables one to obtain the vibrational structural information of molecular systems including fluorescent materials. URLS, a nonlinear process analog to stimulated Raman gain, involves a narrow bandwidth picosecond Raman pump pulse anda femtosecond broadband white light continuum. Under nonresonant condition, the Raman response appears as a negative (loss) signal, whereas, on resonance with the electronic transition the line shape changes from a negative to a positive through a dispersive form. The intensities observed and thus, the Franck-Condon activity (coordinate dependent), are sensitive to the wavelength of the white light corresponding to a particular Raman frequency with respect to the Raman pump pulse wavelength, i.e., there is a mode-dependent response in URLS. (C) 2010 American Institute of Physics.

Study of the electronic structures of high Tc cuprate superconductors by electron energy loss and secondary electron emission spectroscopies

Energy loss spectra of superconducting YBa2Cu3O6.9' Bi1.5Pb0.5Ca2.5Sr1.5Cu3O10+δ and Tl2CaBa2Cu3O8 obtained at primary electron energies in the 170–310 eV range show features reflecting the commonalities in their electronic structures. The relative intensity of the plasmon peak shows a marked drop across the transition temperature. Secondary electron emission spectra of the cuprates also reveal some features of the electronic structure.

Electronic-Transitions In Hydrogen-Bonded Dimers Of Carboxylic-Acids In The Vapor-Phase - An Electron-Energy Loss Spectroscopic Study

An electron energy loss spectroscopic study of the formic acid dimer has shown bands centred around 7.2, 8.5, 9.8, and 11.1 eV, of which the first and the third bands are assigned to n- rc* transitions and the other two to n-n* transitions; similar transitions are found in the acetic acid dimer.

Electron-Paramagnetic-Res study of LiKSO4 in phase IV below -138 degrees C

A detailed single-crystal EPR study of phase IV of lithium potassium sulphate below -138 degrees C has been carried out using NH3+, which substitutes for K+, as the paramagnetic probe. The spin-Hamiltonian parameters have been evaluated at -140 degrees C and yield an isotropic g=2.0034; (AH)XX=(AH)YY=25.3 G and (AH)ZZ=23.8 G; (AN)XX=8.1 G, (AN)YY=21.2 G and (AN)ZZ=25.9 G. In this phase there are 12 magnetically inequivalent K+ sites and their occurrence is ascribed to the loss of a c glide.

Critical leg ischaemia with tissue loss : a challenge for the vascular surgeon

There is a widespread reporting habit of combining the outcomes for patients with rest pain (Fontaine III) and tissue loss (Fontaine IV) under the single category of critical leg ischaemia (CLI). This study focused on patients with ischaemic tissue loss treated with infrainguinal bypass surgery (IBS). All patients included in the study were treated at Helsinki University Central Hospital in 2000-2007. First, ulcer healing time after IBS and factors influencing healing time were prospectively assessed in 2 studies including 148 and 110 patients, respectively. Second,the results of redo IBS were retrospectively evaluated in 593 patients undergoing primary IBS for CLI with tissue loss . Third,long-term outcome were retrospectively analysed in 636 patients who underwent IBS for CLI with tissue loss . Fourth, the outcome of IBS was retrospectively compared with endovascular treatment (PTA) of the infrapopliteal arteries in 1023 CLI patients. Fifth, the influence multidrug resistant Pseudomans aeruginosa (MDR Pa) bacteria contamination in CLI patients treated with IBS was retropectively assessed. Sixty-four patients with positive MDR Pa -culture were matched with 64 MDR Pa - negative controls. Complete ulcer healing rate, including the ischemic ulcers and incisional wounds, was 40% at 6 months after IBS and 75% at one year. Diabetes was a risk factor for prolonged complete ulcer healing time. Ischaemic tissue lesions located in mid-and hindfoot healed poorly. At one year after IBS 50% of the patients were alive with salvaged leg and completely healed ulcers. The absence of gap between tertiary graft patency and leg salvage rates indicates the importance of a patent infrainguinal graft to save a leg with ischaemic tissue loss. Long-term survival for patients with ischaemic tissue loss was poor, 38% at 5 years. Only 30% of the patients were alive without amputation at 5 years. Several of the patient comorbidities increased independently the mortality risk; coronary artery disease, renal insufficiency, chronic obstructive lung disease and high age. When both PTA and bypass is feasible, infrapopliteal PTA as a first-line strategy is expected to achieve similar long-term results to bypass surgery in CLI when redo surgery is actively utilized. MDR Pa in a patient with CLI should be considered as a serious event with increased risk of early major amputation or death. Conclusion: Despite a successful infrainguinal bypass healing of the ischaemic ulcers and incisional wounds ulcer healing is a slow process especially in diabetics. Bypass surgery and PTA improve the outcome of the ischaemic leg but the mortality rate of the patients is high due to their severe comorbidities.

Performance prediction and loss analysis of low specific speed submersible pumps

A performance prediction procedure is presented for low specific speed submersible pumps with a review of loss models given in the literature. Most of the loss theories discussed in this paper are one dimensional and improvements are made with good empiricism for the prediction to cover the entire range of operation of the low specific speed pumps. Loss correlations, particularly in the low flow range, are discussed. Prediction of the shape of efficiency-capacity and total head-capacity curves agrees well with the experimental results in almost the full range of operating conditions. The approach adopted in the present analysis, of estimating the losses in the individual components of a pump, provides means for improving the performance and identifying the problem areas in existing designs of the pumps. The investigation also provides a basis for selection of parameters for the optimal design of the pumps in which the maximum efficiency is an important design parameter. The scope for improvement in the prediction procedure with the nature of flow phenomena in the low flow region has been discussed in detail.