Highly asymmetric phase diagram of a poly(1,2-octylene oxide)-poly(ethylene oxide) diblock copolymer system comprising a brush-like poly(1,2-octylene oxide) block

The phase diagram of a series of poly(1,2-octylene oxide)-poly(ethylene oxide) (POO-PEO) diblock copolymers is determined by small-angle X-ray scattering. The Flory-Huggins interaction parameter was measured by small-angle neutron scattering. The phase diagram is highly asymmetric due to large conformational asymmetry that results from the hexyl side chains in the POO block. Non-lamellar phases (hexagonal and gyroid) are observed near f(PEO) = 0.5, and the lamellar phase is observed for f(PEO) >= 0.5.

Asymmetric synthesis of cyclic β-amino acids and cyclic amines via sequential diastereoselective conjugate addition and ring closing metathesis

Diastereoselective conjugate addition of lithium (S)-N-allyl-N-alpha-methylbenzylamide to a range of alpha,beta-unsaturated esters followed by ring closing metathesis is used to afford efficiently a range of substituted cyclic beta-amino esters in high d.e. Alternatively, conjugate addition to alpha,beta-unsaturated Weinreb amides, functional group conversion and ring closing metathesis affords cyclic amines in high d.e. The further application of this methodology to the synthesis of a range of carbocyclic beta-amino esters via conjugate addition, enolate alkylation and ring closing metathesis is also described. Application of this methodology affords, after deprotection, (S)-homoproline, (S)-homopipecolic acid, (S)-coniine and (1S,2S)-trans-pentacin.

Silyl-Modified Analogues of 2-Tritylpyrrolidine: Synthesis and Applications in Asymmetric Organocatalysis

Silicon-based organocatalysts: In an effort to study the effects of substituting carbon by silicon within the catalyst backbone, we developed an efficient synthesis of (S)-2-triphenylsilylpyrrolidine [(S)-2]. The evaluation of (S)-2 against its carbon analogue (S)-1 in two organocatalytic reactions is complemented by computational studies.

The value premium and time-varying volatility

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.

Asymmetric adjustment in the City of London office market

Earlier estimates of the City of London office market are extended by considering a longer time series of data, covering two cycles, and by explicitly modeling of asymmetric space market responses to employment and supply shocks. A long run structural model linking real rental levels, office-based employment and the supply of office space is estimated and then rental adjustment processes are modeled using an error correction model framework. Rental adjustment is seen to be asymmetric, depending both on the direction of the supply and demand shocks and on the state of the space market at the time of the shock. Vacancy adjustment does not display asymmetries. There is also a supply adjustment equation. Two three-equation systems, one with symmetric rental adjustment and the other with asymmetric adjustment, are subjected to positive and negative shocks to employment. These illustrate differences in the two systems.

International financial centres, office market rents and volatility

Despite continuing developments in information technology and the growing economic significance of the emerging Eastern European, South American and Asian economies, international financial activity remains strongly concentrated in a relatively small number of international financial centres. That concentration of financial activity requires a critical mass of office occupation and creates demand for high specification, high cost space. The demand for that space is increasingly linked to the fortunes of global capital markets. That linkage has been emphasised by developments in real estate markets, notably the development of global real estate investment, innovation in property investment vehicles and the growth of debt securitisation. The resultant interlinking of occupier, asset, debt and development markets within and across global financial centres is a source of potential volatility and risk. The paper sets out a broad conceptual model of the linkages and their implications for systemic market risk and presents preliminary empirical results that provide support for the model proposed.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.

Volatility forecasting for risk management

Recent research has suggested that forecast evaluation on the basis of standard statistical loss functions could prefer models which are sub-optimal when used in a practical setting. This paper explores a number of statistical models for predicting the daily volatility of several key UK financial time series. The out-of-sample forecasting performance of various linear and GARCH-type models of volatility are compared with forecasts derived from a multivariate approach. The forecasts are evaluated using traditional metrics, such as mean squared error, and also by how adequately they perform in a modern risk management setting. We find that the relative accuracies of the various methods are highly sensitive to the measure used to evaluate them. Such results have implications for any econometric time series forecasts which are subsequently employed in financial decisionmaking.

A simplified pricing model for volatility futures

We develop a general model to price VIX futures contracts. The model is adapted to test both the constant elasticity of variance (CEV) and the Cox–Ingersoll–Ross formulations, with and without jumps. Empirical tests on VIX futures prices provide out-of-sample estimates within 2% of the actual futures price for almost all futures maturities. We show that although jumps are present in the data, the models with jumps do not typically outperform the others; in particular, we demonstrate the important benefits of the CEV feature in pricing futures contracts. We conclude by examining errors in the model relative to the VIX characteristics