Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

Ebselen is a potent non-competitive inhibitor of extracellular nucleoside diphosphokinase

Nucleoside di- and triphosphates and adenosine regulate several components of the mucocilairy clearance process (MCC) that protects the lung against infections, via activation of epithelial purinergic receptors. However, assessing the contribution of individual nucleotides to MCC functions remains difficult due to the complexity of the mechanisms of nucleotide release and metabolism. Enzymatic activities involved in the metabolism of extracellular nucleotides include ecto-ATPases and secreted nucleoside diphosphokinase (NDPK) and adenyl kinase, but potent and selective inhibitors of these activities are sparse. In the present study, we discovered that ebselen markedly reduced NDPK activity while having negligible effect on ecto-ATPase and adenyl kinase activities. Addition of radiotracer gamma P-32]ATP to human bronchial epithelial (HBE) cells resulted in rapid and robust accumulation of P-32]-inorganic phosphate ((32)Pi). Inclusion of UDP in the incubation medium resulted in conversion of gamma P-32]ATP to P-32]UTP, while inclusion of AMP resulted in conversion of gamma P-32]ATP to P-32]ADP. Ebselen markedly reduced P-32]UTP formation but displayed negligible effect on (32)Pi or P-32]ADP accumulations. Incubation of HBE cells with unlabeled UTP and ADP resulted in robust ebselen-sensitive formation of ATP (IC50=6.9 +/- 2 mu M). This NDPK activity was largely recovered in HBE cell secretions and supernatants from lung epithelial A549 cells. Kinetic analysis of NDPK activity indicated that ebselen reduced the V-max of the reaction (K-i=7.6 +/- 3 mu M), having negligible effect on KM values. Our study demonstrates that ebselen is a potent noncompetitive inhibitor of extracellular NDPK.

Surface chemical studies on the competitive adsorption of poly(acrylic acid) and poly(vinyl alcohol) onto alumina

The adsorption of poly(acrylic acid) (PAA) and poly(vinyl alcohol) (PVA) onto alumina has been studied as a function of pH, both individually and in the presence of each other. The adsorption density of PAA is found to decrease with an increase of pH while that of PVA shows the opposite trend. In a binary system containing PAA and PVA, the presence of PVA does not affect the adsorption of PAA onto alumina, but the addition of PAA diminishes the adsorption of PVA in the pH range investigated. The adsorption isotherm of PAA at acidic pH exhibits high-affinity Langmuirian behavior. The isotherms for PVA appear rounded and are of the low-affinity type, Once again the adsorption isotherms of PAA remain unaltered in the presence of PVA whereas those of PVA are significantly affected resulting in a lowering of the adsorption density consequent to PAA addition. A variation in the sequence of addition of PAA and PVA does not affect the adsorption behavior of either of the polymers, The electrokinetic behavior of alumina with PAA is hardly influenced by the addition of PVA, On the other hand, the electrophoretic mobility of alumina in the presence of PVA is significantly altered in the presence of PAA and closely resembles the trend observed with PAA alone. Desorption studies reveal that over 80% of PVA could be desorbed in the pH range 3-9 whereas in the case of PAA, the percent desorption increases from 20 to about 70% as the pH is increased from about 3 to 8. Solution conductivity tests confirm interaction of aluminum species and PAA in the bulk solution. FTIR spectroscopic data provide evidence in support of hydrogen bonding and chemical interaction in the case of the PAA-alumina system and hydrogen bonding with respect to the PVA-alumina interaction. (C) 1999 Academic Press.

Total Factor Productivity in Indian Electronic Sector after Liberalisation: Sources and Outcomes

This paper analyses the efficiency and productivity growth of the Electronic Sector of India in the liberalization era since 1991. The study gives an insight into the process of the growth of one of the most upcoming sector of this decade. This sector has experienced a vast structural change along with the changing economic structures in India after liberalisation. With the opening up of this sector to foreign market and incoming of multinational companies, the environment has become highly competitive. The law that operates is that of Darwin’s ‘Survival of the fittest’. Existing industries experience a continuous threat of exit due to entrance of new potential entrants. Thus, it becomes inevitable for the existing industries in this sector to improve productivity growth for their survival. It is thus important to analyze how the industries in this sector have performed over the years and what are the factors that have contributed to the overall output growth.

The substrate dependent competitive formation of cyclobutanones and cyclopentanones in an intramolecular rhodium carbenoid CH insertion reaction: enantiospecific total synthesis of silphiperfol-6-ene

The enantiospecific total synthesis of silphiperfol-6-ene has been accomplished starting from the readily available monoterpene (R)-limonene, employing a rhodium carbenoid insertion into the CH bond of a tertiary methyl group. A substrate dependent competitive insertion of the rhodium carbenoid in the gamma- and beta-CH bonds to form cyclopentanone and cyclobutanones, respectively, has been described. (C) 2012 Elsevier Ltd. All rights reserved.

Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

Competitive protein adsorption studied with atomic force microscopy and imaging ellipsometry

The adsorption and competitive adsorption of collagen and bovine serum albumin (BSA) were directly visualized and quantified using atomic force microscopy (AFM) and imaging ellipsometry. Chemically modified silicon surfaces were used as hydrophilic and hydrophobic substrates. The results showed that collagen and BSA in single component solution adsorbed onto a hydrophobic surface two times more than that onto a hydrophilic surface. The competitive adsorption between collagen and BSA showed that serum albumin preferentially adsorbed onto a hydrophobic surface, while collagen on a hydrophilic surface. In the binary solution of BSA (1 mg/ml BSA) and collagen (0.1 mg/ml), nearly 100% of the protein adsorbed onto the hydrophobic surface was BSA, but on the hydrophilic surface only about 6% was BSA. Surface affinity was the main factor controlling the competitive adsorption.

The international economic crisis from point of view of the social market economy

Conferencia dictada el día miércoles 8 de agosto de 2012 como parte de la Cátedra Konrad Adenauer, “Escuela de Economía Francisco Valsecchi” de la Pontificia Universidad Católica Argentina (UCA).

Competitive adsorption between bovine serum albumin and collagen observed by atomic force microscope

Atomic force microscopy (AFM) was used to study the competitive adsorption between bovine serum albumin (BSA) and type I collagen on hydrophilic and hydrophobic silicon wafers. BSA showed a grain shape and the type I collagen displayed fibril-like molecules with relatively homogeneous height and width, characterized with clear twisting (helical formation). These AFM images illustrated that quite a lot of type I collagen appeared in the adsorption layer on hydrophilic surface in a competitive adsorption state, but the adsorption of BSA was more preponderant than that of type I collagen on hydrophobic silicon wafer surface. The experiments showed that the influence of BSA on type I collagen adsorption on hydrophilic surface was less than that on hydrophobic surface.

Competitive adsorption of collagen and bovine serum albumin - effect of the surface wettability

The competitive adsorption of collagen and bovine serum albumin (BSA) on surfaces with varied wettability was investigated with imaging ellipsometry, and ellipsometry. Silane modified silicon surfaces were used as substrates. The results showed that surface wettability had an important effect on protein competitive adsorption. With the decrease of surface wettability, the adsorption of collagen from the mixture solution of collagen and BSA decreased, while the adsorption of BSA increased. (C) 2003 Elsevier B.V. All rights reserved.