A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S&P 500 futures options data from 1987 to 1991.

New mono- and dinuclear ruthenium complexes containing the 3,5-bis(2-pyridyl)pyrazole ligand. Synthesis, characterization and applications

Se han sintetizado dos nuevos complejos mononucleares de Ru, con formula [RuCl2(Hbpp)(dmso)2], a partir de la reacción entre [RuCl2(dmso)4] y Hbpp (3,5-bis(2-piridil)pirazola). El hecho que sólo tres de los seis posibles estereoisómeros se obtengan a partir de esta reacción, se ha racionalizado en base a factores estructurales y electrónicos. Estos complejos se han caracterizado de forma estructural, espectroscópica y electroquímica. En acetonitrilo en medio básico, el isómero trans,cis-[RuCl2(Hbpp)(dmso)2] da lugar a procesos de isomerización de enlace de un ligando dmso cuando el Ru(II) se oxida a Ru(III). Las constantes termodinámicas y cinéticas para el proceso se han determinado por voltametria cíclica. La irradiación de trans,cis-[RuCl2(Hbpp)(dmso)2] y cis(out),cis-[RuCl2(Hbpp)(dmso)2] con luz UV o solar da lugar a reacciones de fotosustitución de un ligando dmso por una molécula de acetonitrilo para dar un nuevo compuesto el cual ha sido caracterizado en solución por técnicas espectroscópicas y electroquímicas. Ambos complejos resultan catalizadores útiles en la transferencia de hidrógeno de isopropanol a acetofenona, obteniéndose 1-feniletanol como único producto y un 42.1% de conversión (36.1 ciclos metálicos) a 80ºC con el isómero trans,cis-[RuCl2(Hbpp)(dmso)2], que resulta significativamente más eficaz que el complejo cis(out),cis-[RuCl2(Hbpp)(dmso)2]. La reacción de cis(out),cis-[RuCl2(Hbpp)(dmso)2] con trpy (2,2':6',2"-terpiridina) da lugar a los dos isómeros geométricos del complejo [Ru(Hbpp)(trpy)(Cl)]+, el in y el out. Estos complejos se han aislado y caracterizado por técnicas estructurales, espectroscópicas y electroquímicas. Estos cloro complejos han sido utilizados como precursores para la síntesis de los complejos análogos con ligandos aqua (in,out-[Ru(Hbpp)(trpy)(H2O)]2+) y piridina (in,out-[Ru(Hbpp)(trpy)(py)]2+), los cuales también han sido aislados y caracterizados. Las propiedades ácido-base de los aqua complejos, y del complejo out-py se han estudiado detalladamente por voltametria cíclica y mediante valoraciones espectrofotométricas ácido-base. El tratamiento matemático de los datos así obtenidos nos ha permitido determinar los valores de pKa para los distintos equilibrios de protonación de los complejos en los estados de oxidación II y III. El complejo out-aqua ha demostrado ser un buen catalizador para la oxidación electroquímica del alcohol benzílico, presumiblemente a benzaldehido. La constante de velocidad de segundo orden para el proceso ha sido determinada como 17.1 M-1 s-1, por simulación matemática. El dímero con un puente cloro, [Ru2Cl(bpp)(trpy)2]2+ ha sido preparado por dos rutas sintéticas diferentes. El dímero análogo con un puente acetato se ha obtenido por reacción del cloro dímero con un exceso de acetato sódico. El dímero con dos ligandos aqua [Ru2(bpp)(trpy)2(OH2)2]3+ puede obtenerse por hidrólisis ácida del complejo con un acetato puente o por hidrólisis básica del complejo con un puente cloro. Estos complejos han sido caracterizados por técnicas estructurales, espectroscópicas y electroquímicas. Las soluciones del dímero con dos ligandos aqua en medio ácido resultan inestables a la coordinación de aniones de la solución con el tiempo. Las propiedades ácido-base del dímero con dos aguas coordinadas han sido estudiadas por voltametria cíclica y mediante experimentos de electrólisis a potencial controlado. El pKa para la desprotonación de uno de los ligandos aqua ha sido determinado mediante una valoración espectrofotométrica ácido-base como 6.7. Este valor tan bajo de pKa se atribuye a la formación de la entidad {Ru2O2H3}, favorable termodinámicamente. Los espectros UV-vis para los distintos estados de oxidación del aqua dímero, de RuIIRuII a RuIIIRuIV, han sido obtenidos por oxidación química y electroquímica del complejo. Se han llevado a cabo estudios cinéticos de la oxidación, paso a paso, de RuII,II a RuIV,IV , y se han determinado las constantes de oxidación de segundo orden para los distintos procesos de oxidación. La capacidad del aqua dímero en la oxidación del agua a oxígeno molecular ha sido investigada en solución homogénea utilizando CeIV como oxidante. La evolución de oxígeno se ha demostrado por cromatografia de gases. Se ha obtenido una eficiencia del 73% y 18.6 ciclos catalíticos, cuando 1.83 x 10-6 moles de dímero se han mezclado con un exceso de 100 equivalentes de cerio. El dímero con dos aguas cataliza también la oxidación del agua de forma heterogénea, con el complejo adsorbido sobre una membrana de nafion, aunque la eficiencia es menor. Se ha propuesto un mecanismo intramolecular para la reacción de oxidación del agua. Consiste en la oxidación a 4 electrones del dímero, de RuII,II a RuIV,IV, el cual reacciona con el agua para formar oxígeno y revierte nuevamente al estado de oxidación II,II. Este modelo es consistente con estudios catalíticos de la evolución de oxígeno en función de las concentraciones de cerio y catalizador, llevados a cabo en solución ácida homogénea, que demuestran que la oxidación a 4 electrones del agua se encuentra catalizada por una sola molécula de complejo bajo concentraciones elevadas de cerio. La constante de pseudo-primer-orden para la evolución de oxígeno tiene un valor de 1.4 x 10-2 s-1, que es uno de los valores de constante más elevados obtenidos hasta la fecha. Desafortunadamente, el aqua dímero se desactiva durante el proceso de catálisis dando lugar a una especie naranja, la cual estamos actualmente tratando de caracterizar.

General derivative relations for anharmonic force fields

The brace notation, introduced by Allen and Csaszar (1993, J. chem. Phys., 98, 2983), provides a simple and compact way to deal with derivatives of arbitrary non-tensorial quantities. One of its main advantages is that it builds the permutational symmetry of the derivatives directly into the formalism. The brace notation is applied to formulate the general nth-order Cartesian derivatives of internal coordinates, and to provide closed forms for general, nth-order transformation equations of anharmonic force fields, expressed as Taylor series, from internal to Cartesian or normal coordinate spaces.

Square planar mononuclear Pd(II) complexes of substituted 2-(pyrazole-1-yl)phenylamines with a helical twist

X-ray crystal structure shows that 3,5-dimethyl-1-(2-nitrophenyl)-1H-pyrazole (DNP) belongs to the rare class of helically twisted synthetic organic molecules. Hydrogenation of DNP gives 2-(3,5-dimethylpyrazole-1-yl)phenylamine (L) which on methylation yields [2-(3,5-dimethylpyrazole-1-yl)phenyl]dimethylamine (L'). Two Pd(II) complexes, PdLCl2 (1) and PdL'Cl-2 (2), are synthesized and characterized by NMR. X-ray crystallography reveals that 1 and 2 are unprecedented square planar complexes which possess well discernible helical twists. (C) 2007 Elsevier B.V. All rights reserved.

X-ray crystallographic study of DNA duplex cross-linking: simultaneous binding to two d(CGTACG)(2) molecules by a bis(9-aminoacridine-4-carboxamide) derivative

Acridine-4-carboxamides form a class of known DNA mono-intercalating agents that exhibit cytotoxic activity against tumour cell lines due to their ability to inhibit topoisomerases. Previous studies of bis-acridine derivatives have yielded equivocal results regarding the minimum length of linker necessary between the two acridine chromophores to allow bis-intercalation of duplex DNA. We report here the 1.7 angstrom resolution X-ray crystal structure of a six-carbon-linked bis(acridine-4-carboxamide) ligand bound to d(CGTACG)(2) molecules by non-covalent duplex cross-linking. The asymmetric unit consists of one DNA duplex containing an intercalated acridine-4-carboxamide chromophore at each of the two CG steps. The other half of each ligand is bound to another DNA molecule in a symmetry-related manner, with the alkyl linker threading through the minor grooves. The two crystallographically independent ligand molecules adopt distinct side chain interactions, forming hydrogen bonds to either O6 or N7 on the major groove face of guanine, in contrast to the semi-disordered state of mono-intercalators bound to the same DNA molecule. The complex described here provides the first structural evidence for the non-covalent cross-linking of DNA by a small molecule ligand and suggests a possible explanation for the inconsistent behaviour of six-carbon linked bis-acridines in previous assays of DNA bis-intercalation.

Synthesis and characterization of carbamoyl methyl pyrazole(CMPz) compounds of palladium(II) chloride: the crystal and molecular structure of [PdCl2{(C3H3N2CH2CONBu2)-Bu-i}(2)]

Carbamoyl methyl pyrazole compound of palladium(II) chloride of the type [PdCl2L2] (where L = C5H7N2CH2CON(C4H9)(2), C5H7N2CH2CON((C4H9)-C-i)(2), C3H3N2CH2CON(C4H9)(2), or C3H3N2CH2CON((C4H9)-C-i)(2)) has been synthesized and characterized by IR and H-1 NMR spectroscopy. The structure of the compound [PdCl2{(C3H3N2CH2CONBu2}2)-Bu-i] has been determined by single crystal X-ray diffraction and shows that the ligands are bonded through the soft pyrazolyl nitrogen atom to the palladium(II) chloride in a trans disposition. (c) 2007 Elsevier B.V. All rights reserved.

Coordination and extraction studies of an unexplored bi-functional ligand, carbamoyl methyl pyrazole (CMPz) with uranium(VI), lanthanum(III) and cerium(III) nitrates

The bi-functional carbamoyl methyl pyrazole ligands, C5H7N2CH2CONBu2 (L-1), (C5H7N2CH2CONBu2)-Bu-i (L-2), C3H3N2CH2CONBu2 (L-3), (C3H3N2CH2CONBu2)-Bu-i (L-4) and C5H7N2CH2CON(C8H17)(2) (L-5) were synthesized and characterized by spectroscopic and elemental analysis methods. The selected coordination chemistry of L-1 to L-4 with [UO2(NO3)(2)center dot 6H(2)O], [La(NO3)(3)center dot 6H(2)O] and [Ce(NO3)(3)center dot 6H(2)O] has been evaluated. Structures for the compounds [UO2(NO3)(2) C5H7N2CH2CONBu2] (6) [UO2(NO3)(2) (C5H7N2CHCONBu2)-Bu-i] (7) and [Ce(NO3)(3){C(3)H(3)N(2)CH(2)CON(i)Bu2}(2)] (11) have been determined by single crystal X-ray diffraction methods. Preliminary extraction studies of the ligand L-5 with U(VI) and Pu(IV) in tracer level showed an appreciable extraction for U(VI) and Pu(TV) up to 10 M HNO3 but not for Am(III). Thermal studies of the compounds 6 and 7 in air revealed that the ligands can be destroyed completely on incineration. (c) 2007 Elsevier Ltd. All rights reserved.

Design of a minimum variance multiple input-multiple output neuro self-tuning proportional-integral-derivative controller for non-linear dynamic systems

In this study a minimum variance neuro self-tuning proportional-integral-derivative (PID) controller is designed for complex multiple input-multiple output (MIMO) dynamic systems. An approximation model is constructed, which consists of two functional blocks. The first block uses a linear submodel to approximate dominant system dynamics around a selected number of operating points. The second block is used as an error agent, implemented by a neural network, to accommodate the inaccuracy possibly introduced by the linear submodel approximation, various complexities/uncertainties, and complicated coupling effects frequently exhibited in non-linear MIMO dynamic systems. With the proposed model structure, controller design of an MIMO plant with n inputs and n outputs could be, for example, decomposed into n independent single input-single output (SISO) subsystem designs. The effectiveness of the controller design procedure is initially verified through simulations of industrial examples.

Electronic energy transfer in a dinuclear Ru/Os complex containing a photoresponsive dithienylethene derivative as bridging ligand

In order to build up a multicomponent system able to perform useful light-induced functions, a dithienylethene-bridged heterodinuclear metal complex (Ru/Os) has been prepared. The compound was characterized and its photophysical properties studied in detail.

A neural network enhanced generalized minimum variance self-tuning proportional, integral and derivative control algorithm for complex dynamic systems

A neural network enhanced proportional, integral and derivative (PID) controller is presented that combines the attributes of neural network learning with a generalized minimum-variance self-tuning control (STC) strategy. The neuro PID controller is structured with plant model identification and PID parameter tuning. The plants to be controlled are approximated by an equivalent model composed of a simple linear submodel to approximate plant dynamics around operating points, plus an error agent to accommodate the errors induced by linear submodel inaccuracy due to non-linearities and other complexities. A generalized recursive least-squares algorithm is used to identify the linear submodel, and a layered neural network is used to detect the error agent in which the weights are updated on the basis of the error between the plant output and the output from the linear submodel. The procedure for controller design is based on the equivalent model, and therefore the error agent is naturally functioned within the control law. In this way the controller can deal not only with a wide range of linear dynamic plants but also with those complex plants characterized by severe non-linearity, uncertainties and non-minimum phase behaviours. Two simulation studies are provided to demonstrate the effectiveness of the controller design procedure.

Self-tuning proportional, integral and derivative controller based on genetic algorithm least squares

A self-tuning proportional, integral and derivative control scheme based on genetic algorithms (GAs) is proposed and applied to the control of a real industrial plant. This paper explores the improvement in the parameter estimator, which is an essential part of an adaptive controller, through the hybridization of recursive least-squares algorithms by making use of GAs and the possibility of the application of GAs to the control of industrial processes. Both the simulation results and the experiments on a real plant show that the proposed scheme can be applied effectively.

Eliminativism about derivative prima facie duties

Ross divides prima facie duties into derivative and foundational ones, but seems to understand the notion of a derivative prima facie duty in two very different ways. Sometimes he understands them in a non-eliminativist way. According to this understanding, basic prima facie duties ground distinct derivative ones. According to the eliminativist understanding, basic duties do not ground distinct derivative duties, but replace (eliminate) them. On the eliminativist view, discovering that a prima facie duty is derivative is discovering that it is not genuine. The genuine one is the basic one. I argue that Ross is best understood as an eliminativist.

The synthesis of dicobalt and dinickel complexes of trimethylsilylethynyl-1, 2-dihydrofullerene; characterisation by n.m.r. and structure of the first acyclic metal fullerene derivative: molecular structure of [η2-{2-H-1-(Me3SiC ≡ C)-C60}Ni2(η-C5H5)2]

The synthesis and characterisation of the complexes [η2-{2-H-1-(Me3SiC ≡ C)-C60}Co2(CO)6] (2)} and [η-2-{2-H-1-(Me3SiC ≡ C)-C60}Ni2η-C5H5)2] (3)} is reported, together with a single-crystal molecular structure for (3). This provides the first structural data for an acyclic metal derivative of [60]-fullerene.