926 resultados para Derivative securities


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We investigate Fréchet differentiability of the scattered field with respect to variation in the boundary in the case of time–harmonic acoustic scattering by an unbounded, sound–soft, one–dimensional rough surface. We rigorously prove the differentiability of the scattered field and derive a characterization of the Fréchet derivative as the solution to a Dirichlet boundary value problem. As an application of these results we give rigorous error estimates for first–order perturbation theory, justifying small perturbation methods that have a long history in the engineering literature. As an application of our rigorous estimates we show that a plane acoustic wave incident on a sound–soft rough surface can produce an unbounded scattered field.

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In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %.

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Real estate securities have a number of distinct characteristics that differentiate them from stocks generally. Key amongst them is that under-pinning the firms are both real as well as investment assets. The connections between the underlying macro-economy and listed real estate firms is therefore clearly demonstrated and of heightened importance. To consider the linkages with the underlying macro-economic fundamentals we extract the ‘low-frequency’ volatility component from aggregate volatility shocks in 11 international markets over the 1990-2014 period. This is achieved using Engle and Rangel’s (2008) Spline-Generalized Autoregressive Conditional Heteroskedasticity (Spline-GARCH) model. The estimated low-frequency volatility is then examined together with low-frequency macro data in a fixed-effect pooled regression framework. The analysis reveals that the low-frequency volatility of real estate securities has strong and positive association with most of the macroeconomic risk proxies examined. These include interest rates, inflation, GDP and foreign exchange rates.

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This paper seeks to increase the understanding of the performance implications for investors who choose to combine an unlisted real estate portfolio (in this case German Spezialfonds) with a (global) listed real estate element. We call this a “blended” approach to real estate allocations. For the avoidance of doubt, in this paper we are dealing purely with real estate equity (listed and unlisted) allocations, and do not incorporate real estate debt (listed or unlisted) or direct property into the process. A previous paper (Moss and Farrelly 2014) showed the benefits of the blended approach as it applied to UK Defined Contribution Pension Schemes. The catalyst for this paper has been the recent attention focused on German pension fund allocations, which have a relatively low (real estate) equity content, and a high bond content. We have used the MSCI Spezialfonds Index as a proxy for domestic German institutional real estate allocations, and the EPRA Global Developed Index as a proxy for a global listed real estate allocation. We also examine whether a rules based trading strategy, in this case Trend Following, can improve the risk adjusted returns above those of a simple buy and hold strategy for our sample period 2004-2015. Our findings are that by blending a 30% global listed portfolio with a 70% allocation (as opposed to a typical 100% weighting) to Spezialfonds, the real estate allocation returns increase from 2.88% p.a. to 5.42% pa. Volatility increases, but only to 6.53%., but there is a noticeable impact on maximum drawdown which increases to 19.4%. By using a Trend Following strategy raw returns are improved from 2.88% to 6.94% p.a. , The Sharpe Ratio increases from 1.05 to 1.49 and the Maximum Drawdown ratio is now only 1.83% compared to 19.4% using a buy and hold strategy . Finally, adding this (9%) real estate allocation to a mixed asset portfolio allocation typical for German pension funds there is an improvement in both the raw return (from 7.66% to 8.28%) and the Sharpe Ratio (from 0.91 to 0.98).

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In recent years, scholars have devoted increased attention to the agency of small states in International Relations. However, the conventional wisdom remains that while not completely powerful, small states are unlikely to achieve much of significance when faced by great power opposition. This argument, however, implicitly rests on resource-based and compulsory understandings of power. This article explores the implicit connections between the concept of "small state" and diverse concepts of power, asking how we should understand these states' attempts to gain influence and achieve their international political objectives. By connecting the study of small states with additional understandings of power, the article elaborates the broader avenues for influence that are open to many states but are particularly relevant for small states. The article argues that small states' power can be best understood as originating in three categories: “derivative,” collective, and particular-intrinsic. Derivative power, coined by Michael Handel, relies upon the relationship with a great power. Collective power involves building coalitions of supportive states, often through institutions. Particular-intrinsic power relies on the assets of the small state trying to do the influencing. Small states specialize in the bases and means of these types of power, which may have unconventional compulsory, institutional, structural, and productive aspects.

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Shiga-like toxin 2 (Stx2)-producing enterohemorrhagic Escherichia coli (referred to as EHEC or STEC) strains are the primary etiologic agents of hemolytic-uremic syndrome (HUS), which leads to renal failure and high mortality rates. Expression of Stx2 is the most relevant virulence-associated factor of EHEC strains, and toxin neutralization by antigen-specific serum antibodies represents the main target for both preventive and therapeutic anti-HUS approaches. In the present report, we describe two Salmonella enterica serovar Typhimurium aroA vaccine strains expressing a nontoxic plasmid-encoded derivative of Stx2 (Stx2 Delta AB) containing the complete nontoxic A2 subunit and the receptor binding B subunit. The two S. Typhimurium strains differ in the expression of flagellin, the structural subunit of the flagellar shaft, which exerts strong adjuvant effects. The vaccine strains expressed Stx2 Delta AB, either cell bound or secreted into the extracellular environment, and showed enhanced mouse gut colonization and high plasmid stability under both in vitro and in vivo conditions. Oral immunization of mice with three doses of the S. Typhimurium vaccine strains elicited serum anti-Stx2B (IgG) antibodies that neutralized the toxic effects of the native toxin under in vitro conditions (Vero cells) and conferred partial protection under in vivo conditions. No significant differences with respect to gut colonization or the induction of antigen-specific antibody responses were detected in mice vaccinated with flagellated versus nonflagellated bacterial strains. The present results indicate that expression of Stx2 Delta AB by attenuated S. Typhimurium strains is an alternative vaccine approach for HUS control, but additional improvements in the immunogenicity of Stx2 toxoids are still required.

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The gravitational properties of a straight cosmic string are studied in the linear approximation of higher-derivative gravity. These properties are shown to be very different from those found using linearized Einstein gravity: there exists a short range gravitational (anti-gravitational) force in the nonrelativistic limit; in addition, the derection angle of a light ray moving in a plane orthogonal to the string depends on the impact parameter.

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The properties of Langmuir and Langmuir-Blodgett (LB) films from a block copolymer with polyethylene oxide and phenylene-vinylene moieties are reported. The LB films were successfully transferred onto several types of substrates, with sufficient quality to allow for evaporation of a metallic electrode on top of the LB films to produce polymer light emitting diodes (PLEDs). The photoluminescence and electroluminescence spectra of the LB film and device were similar, featuring an emission at ca. 475 nm, from which we could infer that the emission mechanisms are essentially the same as in poly(p-phenylene) derivatives. Analogously to other PLEDs the current versus voltage characteristics of the LB-based device could be explained with the Arkhipov model according to which charge transport occurs among localized sites. The implications for nanotechnology of the level of control that may be achieved with LB devices will also be discussed.

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This paper presents the structural characterization of the indan derivative (+/-)-1-trans-3-(3,4-dichlorophenyl)-2,3-dihydro-1H-indene-1-carboxamide, which was unambiguously determined by X-ray diffraction (XRD) to be a racemate (R/S: 50/50) crystallizing in an achiral crystal structure (P2(1)/c, a = 9.3180(1) , b = 7.9070(2) , c = 19.7550(4) , beta = 103.250(1)A degrees, V = 1416.75(5) (3) and Z = 4). The diastereomers are related by the inversion symmetry and linked by H bond forming a dimer. The crystal packing is stabilized by hydrogen bonds, including the classical one responsible for the formation of centrosymmetric dimers, and non-classical ones involving C-H center dot center dot center dot O and C-H center dot center dot center dot pi-aryl interactions. The intra and intermolecular geometry of the title compound is compared to the (+/-)-1-trans-3-(3,4-dichlorophenyl)-2,3-dihydro-1H-indene-1-carboxylic acid one, which also present an achiral crystal structure from racemates (R/S: 50/50). The two indan derivatives crystallize in a very similar unit cell.

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A polyfluorene derivative of the PPV, poly(9,9`-n-dihexyl-2,7-fluorenedilvinylene-alt-1,4-phenylenevinylene), with a strong tendency to aggregation was blended with several members of a series composed by poly(alkyl methacrylate)s with the following substituents in the ester position: methyl, ethyl, isopropyl, isobutyl, n-butyl, and cyclohexyl. The de-aggregation effect in blends was studied by steady-state photoluminescence spectroscopy using several blend compositions. The efficiency of each dispersing phase was discussed in terms of the polymer miscibility, controlled by interaction parameters between the polyfluorene and every poly(alkyl methacrylate)s, here described using Hilde-brand solubility parameters. (c) 2009 Elsevier Ltd. All rights reserved.

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A novel poly(p-xylylene), PPX, derivative bearing phenyl side groups was electrochemically synthesized in 85% yield. The polymer, poly(2-phenyl-p-xylylene) (PPPX), presented a major fraction (88%) soluble in common organic solvents. It showed to be thermally resistant up to 140 degrees C. UV-VIS analysis revealed an Egap of similar to 3.0 eV. Gas sensors made from thin films of CSA doped PPPX deposited on interdigitated electrodes exhibited significant changes in electrical conductance upon exposure to five carbonyl compounds: acetaldehyde, propionaldehyde. benzaldehyde, acetone and butanone. Three-dimensional plots of relative response vs. time of half-response vs. time of half-recovery showed good discrimination between the five carbonyl Compounds tested. (C) 2008 Elsevier B.V. All rights reserved.

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Polyfluorene end-capped with N-(2-benzothiazole)-1 8-naphthalimide (PF-BNI) is a highly fluorescent material with fluorescence emission modulated by solvent polarity Its low energy excited state is assigned as a mixed configuration state between the singlet S(1) of the fluorene backbone (F) with the charge transfer (CI) of the end group BNI The triexponential fluorescence decays of PF-BNI were associated with fast energy migration to form an intrachain charge-transfer (ICCT) state polyfluorene backbone decay and ICCT deactivation Time-resolved fluorescence anisotropy exhibited biexponential relaxation with a fast component of 12-16 ps in addition to a slow one in the range 0 8-1 4 ns depending on the solvent showing that depolarization occurs from two different processes energy migration to form the ICCT state and slow rotational diffusion motion of end segments at a longer time Results from femtosecond transient absorption measurements agreed with anisotropy decay and showed a decay component of about 16 ps at 605 nm in PF BNI ascribed to the conversion of S(1) to the ICCT excited state From the ratio of asymptotic and initial amplitudes of the transient absorption measurement the efficiency of intrachain ICCT formation is estimated in 0 5 which means that on average, half of the excited state formed in a BNI-(F)(n)-BNI chain with n = 32 is converted to its low energy intrachain charge-transfer (ICCT) state

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Regression analysis has shown that recovery rates are determined by a variety of conditions at the time of default. These conditions can be broken into five major categories: (1) a security's seniority within the capital structure of the defaulting firm, (2) the type of default event, (3) firm-specific factors, (4) industry-specific factors, and (5) macroeconomic factors. Expectations of these inputs determine the expected recovery rate if default were to occur, thereby determining credit ratings and security prices. Although it is widely understood how recovery rate estimates influence credit rating assignments (the higher the expected recovery rate, the higher the assigned credit rating), no research, to the best of my knowledge, has investigated the reasons why higher rated securities recover more than lower rated securities in the event of default. Specifically, this paper will empirically investigate why securities originally rated investment grade, fallen angels, recover more than securities originally rated high yield in the event of default.

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