Evaluating Option Pricing Models

This study evaluates three different time units in option pricing: trading time, calendar time and continuous time using discrete approximations (CTDA). The CTDA-time model partitions the trading day into 30-minute intervals, where each interval is given a weight corresponding to the historical volatility in the respective interval. Furthermore, the non-trading volatility, both overnight and weekend volatility, is included in the first interval of the trading day in the CTDA model. The three models are tested on market prices. The results indicate that the trading-time model gives the best fit to market prices in line with the results of previous studies, but contrary to expectations under non-arbitrage option pricing. Under non-arbitrage pricing, the option premium should reflect the cost of hedging the expected volatility during the option’s remaining life. The study concludes that the historical patterns in volatility are not fully accounted for by the market, rather the market prices options closer to trading time.

Solution structure of O-glycosylated C-terminal leucine zipper domain of human salivary mucin (MUC7)

Solution structures of a 23 residue glycopeptide II (KIS* RFLLYMKNLLNRIIDDMVEQ, where * denotes the glycan Gal-beta-(1-3)-alpha-GalNAc) and its deglycosylated counterpart I derived from the C-terminal leucine zipper domain of low molecular weight human salivary mucin (MUC7) were studied using CD, NMR spectroscopy and molecular modeling. The peptide I was synthesized using the Fmoc chemistry following the conventional procedure and the glycopeptide II was synthesized incorporating the O-glycosylated building block (N alpha-Fmoc-Ser-[Ac-4,-beta-D-Gal-(1,3)-Ac(2)alpha-D-GalN(3)]-OPfp) at the appropriate position in stepwise assembly of peptide chain. Solution structures of these glycosylated and nonglycosylated peptides were studied in water and in the presence of 50% of an organic cosolvent, trifluoroethanol (TFE) using circular dichroism (CD), and in 50% TFE using two-dimensional proton nuclear magnetic resonance (2D H-1 NMR) spectroscopy. CD spectra in aqueous medium indicate that the apopeptide I adapts, mostly, a beta-sheet conformation whereas the glycopeptide II assumes helical structure. This transition in the secondary structure, upon glycosylation, demonstrates that the carbohydrate moiety exerts significant effect on the peptide backbone conformation. However, in 50% TFE both the peptides show pronounced helical structure. Sequential and medium range NOEs, C alpha H chemical shift perturbations, (3)J(NH:C alpha H) couplings and deuterium exchange rates of the amide proton resonances in water containing 50% TFE indicate that the peptide I adapts alpha-helical structure from Ile2-Val21 and the glycopeptide II adapts alpha-helical structure from Ser3-Glu22. The observation of continuous stretch of helix in both the peptides as observed by both NMR and CD spectroscopy strongly suggests that the C-terminal domain of MUC7 with heptad repeats of leucines or methionine residues may be stabilized by dimeric leucine zipper motif. The results reported herein may be invaluable in understanding the aggregation (or dimerization) of MUC7 glycoprotein which would eventually have implications in determining its structure-function relationship.

Role of the environment in the interaction of nonintercalators with Z-DNA

Interaction of the DNA binding nonintercalators Netropsin, Distamycin and the mPD derivative with Z-DNA has been studied. It has been found that environmental factors like the solvent and added cations significantly modulate the interaction of these ligands with Z-DNA. However no definite Z to B transition in presence of these ligands was found in any case, in contrast to previously reported results (Ch. Zimmer, C. Marck and W. Guschlbauer, FEBS Lett. 154, 156-160 (1983)).

Simulation of magnetovolume effects in Fe65Ni35 nanoparticles

We compare magnetovolume effects in bulk and nanoparticles by performing Monte Carlo simulations of a spin-analogous model with coupled spatial and magnetic degrees of freedom and chemical disorder. We find that correlations between surface and bulk atoms lead with decreasing particle size to a substantial modification of the magnetic and elastic behavior at low temperatures.

Primary structure of belladonna mottle virus coat protein.

The coat protein of belladonna mottle virus (a tymovirus) was cleaved by trypsin and chymotrypsin, and the peptides were separated by high performance liquid chromatography using a combination of gel permeation, reverse phase, and ion pair chromatography. The peptides were sequenced manually using the 4-N, N-dimethylaminoazobenzene-4'-isothiocyanate/phenyl isothiocyanate double-coupling method. The chymotryptic peptides were aligned by overlapping sequences of tryptic peptides and by homology with another tymovirus, eggplant mosaic virus. The belladonna mottle virus is more closely related to eggplant mosaic virus than to turnip yellow mosaic virus, the type member of this group, as evident from the sequence homologies of 57 and 32%, respectively. The accumulation of basic residues at the amino terminus implicated in RNA-protein interactions in many spherical plant viruses was absent in all the three sequences. Interestingly, the amino-terminal region is the least conserved among the tymoviruses. The longest stretch of conserved sequence between belladonna mottle virus and eggplant mosaic virus was residues 34-44, whereas it was residues 96-102 in the case of belladonna mottle virus and turnip yellow mosaic virus. A tetrapeptide in the region (residues 154-157) was found to be common for all the three sequences. It is possible that these conserved regions (residues 34-44, 96-102, 154-157) are involved in either intersubunit or RNA-protein interactions.

A Ca2+-sensitive cyclic-3',5'-nucleotide phosphodiesterase from sheep lung modulated by a tightly bound endogenous calmodulin.

Highly purified sheep lung cyclic-3',5'-nucleotide phosphodiesterase was sensitive to Ca2+/EGTA but insensitive to exogenous calmodulin. The Ca2+-sensitivity was inhibited by trifluoperazine. Heat-treated enzyme could activate a calmodulin-deficient phosphodiesterase, suggesting the presence of endogenous calmodulin in sheep lung cyclic-3',5'-nucleotide phosphodiesterase, possibly associated with the enzyme in a Ca2+-independent manner.

Filter design using radial basis function neural network and genetic algorithm for improved operational health monitoring

The problem of denoising damage indicator signals for improved operational health monitoring of systems is addressed by applying soft computing methods to design filters. Since measured data in operational settings is contaminated with noise and outliers, pattern recognition algorithms for fault detection and isolation can give false alarms. A direct approach to improving the fault detection and isolation is to remove noise and outliers from time series of measured data or damage indicators before performing fault detection and isolation. Many popular signal-processing approaches do not work well with damage indicator signals, which can contain sudden changes due to abrupt faults and non-Gaussian outliers. Signal-processing algorithms based on radial basis function (RBF) neural network and weighted recursive median (WRM) filters are explored for denoising simulated time series. The RBF neural network filter is developed using a K-means clustering algorithm and is much less computationally expensive to develop than feedforward neural networks trained using backpropagation. The nonlinear multimodal integer-programming problem of selecting optimal integer weights of the WRM filter is solved using genetic algorithm. Numerical results are obtained for helicopter rotor structural damage indicators based on simulated frequencies. Test signals consider low order polynomial growth of damage indicators with time to simulate gradual or incipient faults and step changes in the signal to simulate abrupt faults. Noise and outliers are added to the test signals. The WRM and RBF filters result in a noise reduction of 54 - 71 and 59 - 73% for the test signals considered in this study, respectively. Their performance is much better than the moving average FIR filter, which causes significant feature distortion and has poor outlier removal capabilities and shows the potential of soft computing methods for specific signal-processing applications.

Binding of deoxyadenylate and deoxycytidylate antibodies to double-stranded DNA

Antibodies raised against deoxyadenylate and deoxycytidylate were found to react with double stranded DNA as assessed by highly sensitive avidin-biotin microELISA. The binding was specific as it was completely inhibited by the homologous hapten. The antibodies did not react with tRNA and rRNA. These antibodies were also shown to react with supercoiled and relaxed forms of pBR322 DNA as demonstrated by gel retardation assay. ssDNA, single-stranded DNA; dsDNA, double-stranded DNA; CT DNA, calf thymus DNA; AB microELISA, avidin-biotin microELISA; dpA, deoxyadenylate; dpC, deoxycytidylate; avidin-HRP, avidin-horseradish peroxidase

Purification and properties of 4-hydroxyphenylacetic acid 3-hydroxylase from pseudomonas putida

4-Hydroxyphenylacetic acid 3-hydroxylase is a key enzyme in the pathway for the microbial degradation of phenylalanine, tyrosine and many aromatic amines. This enzyme was purified to homogeneity from Image by affinity chromatography. The protein had a molecular weight of 91,000 and was a dimer of identical subunits. It was a typical external flavoprotein monooxygenase and showed an absolute requirement of NADH for activity. The enzyme had a pH optimum of 7.5 and the Km values for 4-hydroxyphenylacetic acid and NADH were 2×10−4 M and 5.9×10−5 M respectively. It was strongly inhibited by heavy metal ions and thiol reagents, suggesting the possible involvement of -SH group(s) in enzyme reaction.

Functional linkages can reveal protein complexes for structure determination

The study of molecular machines, and protein complexes in general, is a growth area of biology. Is there a computational method for inferring which combinations of proteins in an organism are likely to form a crystallizable complex? We use the Protein Data Bank (PDB) to assess the usefulness of inferred functional protein linkages for this task. We find that of 242 nonredundant prokaryotic protein complexes (complexes excluding structural variants of the same protein) from organisms that are shared between the current PDB and the Prolinks functional linkage database, 44% (107/242) contain proteins that are linked at high-confidence by one or more methods of computed functional linkages. This suggests that computing functional linkages will be useful in defining protein complexes for structural studies. We offer a database of such inferred linkages corresponding to likely protein complexes for some 629,952 pairs of proteins in 154 prokaryotes and archea.

Filter design using radial basis function neural network and genetic algorithm for improved operational health monitoring

The problem of denoising damage indicator signals for improved operational health monitoring of systems is addressed by applying soft computing methods to design filters. Since measured data in operational settings is contaminated with noise and outliers, pattern recognition algorithms for fault detection and isolation can give false alarms. A direct approach to improving the fault detection and isolation is to remove noise and outliers from time series of measured data or damage indicators before performing fault detection and isolation. Many popular signal-processing approaches do not work well with damage indicator signals, which can contain sudden changes due to abrupt faults and non-Gaussian outliers. Signal-processing algorithms based on radial basis function (RBF) neural network and weighted recursive median (WRM) filters are explored for denoising simulated time series. The RBF neural network filter is developed using a K-means clustering algorithm and is much less computationally expensive to develop than feedforward neural networks trained using backpropagation. The nonlinear multimodal integer-programming problem of selecting optimal integer weights of the WRM filter is solved using genetic algorithm. Numerical results are obtained for helicopter rotor structural damage indicators based on simulated frequencies. Test signals consider low order polynomial growth of damage indicators with time to simulate gradual or incipient faults and step changes in the signal to simulate abrupt faults. Noise and outliers are added to the test signals. The WRM and RBF filters result in a noise reduction of 54 - 71 and 59 - 73% for the test signals considered in this study, respectively. Their performance is much better than the moving average FIR filter, which causes significant feature distortion and has poor outlier removal capabilities and shows the potential of soft computing methods for specific signal-processing applications. (C) 2005 Elsevier B. V. All rights reserved.

Exact static polarizabilities of correlated finite model systems

A finite-field method for calculating exact polarizabilities of correlated conjugated model systems within the valence bond (VB) framework is presented. The correlations reduce the polarizabilities from their noninteracting values and extend the range of linearity to higher external fields. The large nonlinear polarizabilities observed in strongly correlated conjugated organic molecules cannot be directly attributed to electron correlations. The method described can be employed to calculate static polarizabilities for any desired state of a correlated system.

Effect of soil preparation of boreal spruce forest on air and soil temperature conditions in forest regeneration areas.

The effect of scarification, ploughing and cross-directional plouhing on temperature conditions in the soil and adjacent air layer have been studied during 11 consecutive growth periods by using an unprepared clear-cut area as a control site. The maximum and minimum temperatures were measured daily in the summer months, and other temperature observations were made at four-hour intervals by means of a Grant measuring instrument. The development of the seedling stand was also followed in order to determine its shading effect on the soil surface. Soil preparation decreased the daily temperature amplitude of the air at the height of 10 cm. The maximum temperatures on sunny days were lower in the tilts of the ploughed and in the humps of the cross-directional ploughed sites compared with the unprepared area. Correspondingly, the night temperatures were higher and so the soil preparation considerably reduced the risk of night frost. In the soil at the depth of 5 cm, soil preparation increased daytime temperatures and reduced night temperatures compared with unprepared area. The maximum increase in monthly mean temperatures was almost 5 °C, and the daily variation in the surface parts of the tilts and humps increased so that excessively high temperatures for the optimal growth of the root system were measured from time to time. The temperature also rose at the depths of 50 and 100 cm. Soil preparation also increased the cumulative temperature sum. The highest sums accumulated during the summer months were recorded at the depth of 5 cm in the humps of cross-directional ploughed area (1127 dd.) and in the tilts of the ploughed area (1106 dd.), while the corresponding figure in the unprepared soil was 718 dd. At the height of 10 cm the highest temperature sum was 1020 dd. in the hump, the corresponding figure in the unprepared area being 925 dd. The incidence of high temperature amplitudes and percentage of high temperatures at the depth of 5 cm decreased most rapidly in the humps of cross-directional ploughed area and in the ploughing tilts towards the end of the measurement period. The decrease was attributed principally to the compressing of tilts, the ground vegetation succession and the growth of seedlings. The mean summer temperature in the unprepared area was lower than in the prepared area and the difference did not diminish during the period studied. The increase in temperature brought about by soil preparation thus lasts at least more than 10 years.

Characterization of electroless nickel by esca

Eiectroless nickel (EN) deposits obtained from alkaline EN baths employing citrate or glycine as complexing agents and triethanoiamine as an additive are characterized by ESCA. This study reveals that Ni and P in EN are present as Niδ+ and Pδ− species. Besides these, NiO and NiPO4 are present as surface species. They confer passivity on EN and thereby contribute to its corrosion resistance.

Structure of disocium uridine 5'-Phosphate heptahydrate

Na2[CgHllN2OgP].7H20, M r = 494.0,orthorhombic, C222~, a = 22.880 (7), b = 8.877 (3),c = 19.592 (9) A, Z = 8, V = 3979.2 A 3. The Cu Ka intensity data consisted of 1005 unique reflections. Final R -- 14.5%. This nucleotide shows no unusual conformational features. The uracil base has an anti conformation about the glycosidic bond (tpo o = 44.4°). The furanose ring conformation is C(2')-endo,gauchegauche with tpo o = -75.5 ° and ~Poc = 49"6°.