Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Experimental Measurement of Water Diffusion through Fine Aggregate Mixtures

The water diffusion attributable to concentration gradients is among the main mechanisms of water transport into the asphalt mixture. The transport of small molecules through polymeric materials is a very complex process, and no single model provides a complete explanation because of the small molecule`s complex internal structure. The objective of this study was to experimentally determine the diffusion of water in different fine aggregate mixtures (FAM) using simple gravimetric sorption measurements. For the purposes of measuring the diffusivity of water, FAMs were regarded as a representative homogenous volume of the hot-mix asphalt (HMA). Fick`s second law is generally used to model diffusion driven by concentration gradients in different materials. The concept of the dual mode diffusion was investigated for FAM cylindrical samples. Although FAM samples have three components (asphalt binder, aggregates, and air voids), the dual mode was an attempt to represent the diffusion process by only two stages that occur simultaneously: (1) the water molecules are completely mobile, and (2) the water molecules are partially mobile. The combination of three asphalt binders and two aggregates selected from the Strategic Highway Research Program`s (SHRP) Materials Reference Library (MRL) were evaluated at room temperature [23.9 degrees C (75 degrees F)] and at 37.8 degrees C (100 degrees F). The results show that moisture uptake and diffusivity of water through FAM is dependent on the type of aggregate and asphalt binder. At room temperature, the rank order of diffusivity and moisture uptake for the three binders was the same regardless of the type of aggregate. However, this rank order changed at higher temperatures, suggesting that at elevated temperatures different binders may be undergoing a different level of change in the free volume. DOI: 10.1061/(ASCE)MT.1943-5533.0000190. (C) 2011 American Society of Civil Engineers.

Electrochemical and spectroscopic characterization of screen-printed gold-based electrodes modified with self-assembled monolayers and Tc85 protein

This work investigates the formation of self-assembled monolayers (SAMs) of cystamine and cystamine-glutaraldehyde on a screen-printed electrode, and the immobilization of the Tc85 protein (from Trypanosoma cruzi) on these monolayers. The methods used included infrared techniques, cyclic voltammetry, and electrochemical impedance spectroscopy. The electrochemical studies were performed at pH 6.9 in 0.1 mol L(-1) phosphate buffer solution containing Fe(CN)(6)(-3/-4) redox species. The surface coverage (0) of the electrode was 0.10 (cystamine), 0.35 (cystamine-glutaraldehyde) and 0.84 (Tc85). Interpretation of electrochemical impedance spectroscopy results was based on a charge-transfer reaction involving Fe(CN)(6)(-3/-4) species at high frequencies, followed by a diffusion through the monolayers at lower frequencies. Estimates of the electrode surface coverage, active site radius, and distance between two adjacent sites assumed that charge transfer occurred at the active sites, and that there was a planar diffusion of redox species to these sites. (C) 2009 Elsevier B.V. All rights reserved.

QTL mapping for reaction to Phaeosphaeria leaf spot in a tropical maize population

Phaeosphaeria leaf spot (PLS) is an important disease in tropical and subtropical maize (Zea mays, L.) growing areas, but there is limited information on its inheritance. Thus, this research was conducted to study the inheritance of the PLS disease in tropical maize by using QTL mapping and to assess the feasibility of using marker-assisted selection aimed to develop genotypes resistance to this disease. Highly susceptible L14-04B and highly resistant L08-05F inbred lines were crossed to develop an F(2) population. Two-hundred and fifty six F(2) plants were genotyped with 143 microsatellite markers and their F(2:3) progenies were evaluated at seven environments. Ten plants per plot were evaluated 30 days after silk emergence following a rating scale, and the plot means were used for analyses. The heritability coefficient on a progeny mean basis was high (91.37%), and six QTL were mapped, with one QTL on chromosomes 1, 3, 4, and 6, and two QTL on chromosome 8. The gene action of the QTL ranged from additive to partial dominance, and the average level of dominance was partial dominance; also a dominance x dominance epistatic effect was detected between the QTL mapped on chromosome 8. The phenotypic variance explained by each QTL ranged from 2.91 to 11.86%, and the joint QTL effects explained 41.62% of the phenotypic variance. The alleles conditioning resistance to PLS disease of all mapped QTL were in the resistant parental inbred L08-05F. Thus, these alleles could be transferred to other elite maize inbreds by marker-assisted backcross selection to develop hybrids resistant to PLS disease.

Real-time Polymerase Chain Reaction Quantification of Porphyromonas gingivalis and Tannerella forsythia in Primary Endodontic Infections

Introduction: Porphyromonas gingivalis and Tannerella forsythia are anaerobic bacteria commonly involved in root canal infections. Although previous investigations have assessed these species by strictly qualitative approaches, accurate determination of their cell levels by a sensitive quantitative technique may contribute with additional information regarding relevance in pain of endodontic origin. Method: The root canal levels of P gingivalis, T forsythia, and total bacteria were investigated by a quantitative polymerase chain reaction (PCR) assay based on unique copy molecular markers. A total of 32 symptomatic (n = 14) and asymptomatic (n = 18) cases of endodontic infections were analyzed. Root canal samples were collected; genomic DNA was extracted and submitted to SYBR Green I real-time PCR targeting the rgpB (P gingivalis), bspA (T forsythia), and rpoB (total bacteria) single copy genes. Results: Overall, R gingivalis, T forsythia, and the coexistence of both species were encountered in 28%, 66%, and 22% of the subjects, respectively. P gingivalis and T forsythia levels ranged from 5.65 x 10(-6) to 1.20 x 10(-2) and from 5.76 x 10(-6) to 1.35 x 10(-1). T forsythia was highly prevalent and numerous in the study groups, whereas P gingivalis was moderately frequent and less abundant, displaying 19-fold lower average levels than the former. Conclusions: The endodontic levels of P gingivalis and T forsythia, individually or in conjunction, did not display significant associations with the manifestation of pain of endodontic origin. (J Endod 2009,35:1518-1524)

Detection of the TLR4 1196C > T Polymorphism by Mismatched-Polymerase Chain Reaction Using Plasmid DNA as Internal Control in Restriction Fragment Length Polymorphism Assays

Background: Restriction fragment length polymorphism (RFLP) is a common molecular assay used for genotyping, and it requires validated quality control procedures to prevent mistyping caused by impaired endonuclease activity. We have evaluated the usefulness of a plasmid-based internal control in RFLP assays. Results: Blood samples were collected from 102 individuals with acute myocardial infarction (AMI) and 108 non-AMI individuals (controls) for DNA extraction and laboratory analyses. The 1196C> T polymorphism in the toll-like receptor 4 (TLR4) gene was amplified by mismatched-polymerase chain reaction (PCR). Amplicons and pBluescript II SK-plasmid were simultaneously digested with endonuclease HincII. Fragments were separated on 2% agarose gels. Plasmid was completely digested using up to 55.2 nmL/L DNA solutions and 1 mu L PCR product. Nevertheless, plasmid DNA with 41.4 nM or higher concentrations was incompletely digested in the presence of 7 mL PCR product. In standardized conditions, TLR4 1196C> T variant was accurately genotyped. TLR4 1196T allele frequency was similar between AMI (3.1%) and controls (2.0%, p = 0.948). TLR4 SNP was not associated with AMI in this sample population. In conclusion, the plasmid-based control is a useful approach to prevent mistyping in RFLP assays, and it is validate for genetic association studies such as TLR4 1196C> T.

Copper salt-catalyzed homo-coupling reaction of potassium alkynyltrifluoroborates: a simple and efficient synthesis of symmetrical 1,3-diynes

The copper-catalyzed dimerization of alkynyltrifluoroborates proceeds readily with good yields. The homo-coupling reaction can be effected in DMSO, in the open air, using Cu(OAc)(2) as catalyst in the absence of any other additives. A variety of functional groups are tolerated. (C) 2008 Elsevier Ltd. All rights reserved.

Ultrasound-assisted synthesis of functionalized 1,3-enynes by palladium-catalyzed cross-coupling reaction of alpha-styrylbutyltelluride with alkynyltrifluoroborate salts

An ultrasound-assisted synthesis of functionalized 1,3-enyne scaffolds is described and illustrated by palladium-catalyzed cross-coupling of potassium alkynyltrifluoroborate salts and alpha-styrylbutyltellurides. This procedure offers easy access to 1,3-enyne architecture that contains aliphatic and aromatic groups in good to excellent yields.

Application of high-resolution electrospray mass spectrometry for the elucidation of the disproportionation reaction of iodobenzene diacetate

Disproportionation reactions take place in solution of (diacetoxyiodo)benzene (DIB) in acetonitrile in the presence of water, giving iodine(V) and iodine(l) species. This redox reaction is accelerated by the presence of water and by increasing the temperature. Several species of the solution of DIB were identified by high-resolution ESI-MS/MS, which allowed the elucidation of the mechanisms of disproportionation for DIB in gas phase and in solution. Key species in the process are the dimers [PhI(CH)OlPh](+) at m/z 440.8864, [PhI(OAc)OlPh](+) at m/z 482.8947, and [PhI(O)(OAc)OlPh](+) at m/z 498.8887. (C) 2008 Elsevier B.V. All rights reserved.

Effect of the Maillard reaction on properties of casein and casein films

The use of biodegradable natural polymers has increased due to the over-solid packaging waste. In this study, a chemical modification of the casein molecule was performed by Maillard reaction, and the modified polymer was evaluated by polyacrylamide gel electrophoresis (PAGE), thermogravimetry/derivative thermogravimetry (TG/DTG), FT-IR, and (1)H-NMR spectroscopy. Subsequently, films based on the modified casein were obtained and characterized by mechanical analysis, water vapor transmission, and erosion behavior. The PAGE results suggested an increase of molecular mass of the modified polymer, and FT-IR spectroscopy data indicated inclusion of C-OH groups into this molecule. The TG/DTG curves of modified casein presented a different thermal decomposition profile compared to the individual compounds. Mechanical tests showed that the chemical modification of the casein molecules provided higher elongation rates (45.5%) to the films, suggesting higher plasticity, than the original molecules (13.4%). The modified casein films presented higher permeability (0.505 +/- A 0.006 mu g/h mm(3)) than the original polymer (0.387 +/- A 0.006 mu g/h mm(3)) films at 90% relative humidity (RH). In pH 1.2, modified casein films presented higher erosion rates (32.690 +/- A 0.692%) than casein films (19.910 +/- A 2.083%) after 8 h, suggesting an increased sensibility for erosion of the modified casein films in acid environment. In water (pH 7.0), the films erosion profiles were similar. Those findings indicate that the modification of molecule by Maillard reaction provided films more plastic, hydrophilic, and sensitive to erosion in acid environment, suggesting that a new polymer with changed properties was founded.

Functionalization of (2S)-Isopropyl-5-iodo-2,3-dihydro-4(H)-pyrimidin-4-ones by a Suzuki-Miyaura Cross-Coupling Reaction Using Aryltrifluoroborate Salts: Convenient Enantioselective Preparation of alpha-Substituted beta-Amino Acids

A simple protocol for the Pd(OAc)(2)-catalyzed cross-coupling reaction of 1-benzoyl-(2S)-isopropyl-5-iodo-2,3-dihydro-4(H)-pyrimidin-4-ones with potassium aryltrifluoroborates was developed. The reaction is performed at 110 degrees C with a ligand-free catalyst. In all cases, complete conversion of the 1-benzoyl-(2S)-isopropyl-5-iodo-2,3-dihydro-4(H)-pyrimidin-4-ones and aryltrifluoroborates into the C-C coupling products was observed within 30-360 min. It is noteworthy that a large variety of groups present in the potassium aryltrifluoroborates (-CF(3), -OMe, -SEt, -CN, -CHO, -Cl, -Cbz, -NCbz, -OH, -CO(2)H) could be tolerated. Hydrogenation of the endocyclic double bonds in the Suzuki-Miyaura products followed by acid hydrolysis afforded highly enantioenriched alpha-aryl-substituted beta-amino acids.

Synthesis of symmetrical 1,3-diynes via homocoupling reaction of n-butyl alkynyltellurides

An ultrasound-assisted synthesis of symmetrical 1,3-diyne compounds with electron-withdrawing or donating substituents is described and illustrated by the palladium-catalyzed homocoupling reaction of n-butyl alkynyltellurides. This procedure offers easy access to 1,3-diynes in very short reaction times, and the products are achieved in good to excellent yields. (C) 2009 Elsevier Ltd. All rights reserved.

Molecular Sieve Silica (MSS) Membranes for Gas Separation and Reaction Processes

Weakly branched silica films formed by the two-step sol-gel process allow for the formation of high selectivity membranes for gas separation. 29Si NMR and gas permeation showed that reduced crosslinking leads to He/CH4 selectivity improvement from 300 to 1000. Applied in membrane reactor for cyclohexane conversion to benzene, conversions were achieved at 14 fold higher than a conventional reactor at 250°C. Hydrothermal stability studies showed that carbon templating of silica is required for hydrothermally stable membranes. From our work it was shown that with correct application of chemistry, practical membrane systems can be built to suit gas separation (e. g. hydrogen fuel) and reactor systems.

Analysis of multiple gas solid reactions

Multiple gas solid reactions involving one solid and N gaseous reactants are investigated in this study by using a matched asymptotic expansion technique. Two cases are particularly studied. In the first case all N chemical reaction rates are faster than the diffusion rate. While in the second case only M (M < N) chemical reaction rates are faster than the diffusion rate and the rates of the remaining (N-M) chemical reactions are comparable to that of diffusion. For these two cases the solid concentration profile behaves like a travelling wave. In the first case the wave front velocity is contributed linearly by all gaseous reactants (additive law) while in the second case this law does not hold.

Approximate analytical solutions for porous catalysts with nonuniform activity

Using a novel finite integral transform technique, the problem of diffusion and chemical reaction in a porous catalyst with general activity profile is investigated theoretically. Analytical expressions for the effectiveness factor are obtained for pth order and Michaelis-Menten kinetics. Perturbation methods are employed to provide useful asymptotic solutions for large or small values of Thiele modulus and Biot number.