Hedging Options with Different Time Units in the Pricing Models

This study examined the effects of the Greeks of the options and the trading results of delta hedging strategies, with three different time units or option-pricing models. These time units were calendar time, trading time and continuous time using discrete approximation (CTDA) time. The CTDA time model is a pricing model, that among others accounts for intraday and weekend, patterns in volatility. For the CTDA time model some additional theta measures, which were believed to be usable in trading, were developed. The study appears to verify that there were differences in the Greeks with different time units. It also revealed that these differences influence the delta hedging of options or portfolios. Although it is difficult to say anything about which is the most usable of the different time models, as this much depends on the traders view of the passing of time, different market conditions and different portfolios, the CTDA time model can be viewed as an attractive alternative.

Non-unitary-weight Space-Time Block Codes with Minimum Decoding Complexity

Space-Time Block Codes (STBCs) from Complex Orthogonal Designs (CODs) are single-symbol decodable/symbol-by-symbol decodable (SSD); however, SSD codes are obtainable from designs that are not CODs. Recently, two such classes of SSD codes have been studied: (i) Coordinate Interleaved Orthogonal Designs (CIODs) and (ii) Minimum-Decoding-Complexity (MDC) STBCs from Quasi-ODs (QODs). The class of CIODs have non-unitary weight matrices when written as a Linear Dispersion Code (LDC) proposed by Hassibi and Hochwald, whereas the other class of SSD codes including CODs have unitary weight matrices. In this paper, we construct a large class of SSD codes with nonunitary weight matrices. Also, we show that the class of CIODs is a special class of our construction.

Characterization of unitary processes with independent and stationary increments

This is a continuation of the earlier work (Publ. Res. Inst. Math. Sci. 45 (2009) 745-785) to characterize unitary stationary independent increment Gaussian processes. The earlier assumption of uniform continuity is replaced by weak continuity and with technical assumptions on the domain of the generator, unitary equivalence of the process to the solution of an appropriate Hudson-Parthasarathy equation is proved.

Complete Pick positivity and unitary invariance

The characteristic function for a contraction is a classical complete unitary invariant devised by Sz.-Nagy and Foias. Just as a contraction is related to the Szego kernel k(S) (z, w) = (1 - z (w) over tilde)(-1) for |z|, |w| < 1, by means of (1/k(S))(T,T*) >= 0, we consider an arbitrary open connected domain Omega in C-n, a complete Pick kernel k on Omega and a tuple T = (T-1, ..., T-n) of commuting bounded operators on a complex separable Hilbert space H such that (1/k)(T,T*) >= 0. For a complete Pick kernel the 1/k functional calculus makes sense in a beautiful way. It turns out that the model theory works very well and a characteristic function can be associated with T. Moreover, the characteristic function is then a complete unitary invariant for a suitable class of tuples T.

A Series of Cu-II-Azide Polymers of Cu-6 Building Units and the Role of Chelating Diamine in Controlling their Dimensionality: Synthesis, Structures, and Magnetic Behavior

Four new neutral copper-azido polymers Cu-6(N-3)(12)(aem)(2)](n)(1), Cu-6(N-3)(12)(dmeen)(2)(H2O)(2)](n) (2), Cu-6(N-3)(12)(N,N'-dmen)(2)](n) (3), and Cu-6(N-3)(12)(hmpz)(2)](n) (4) aem = 4-(2-aminoethyl)morpholine; dmeen = N,N-dimethyl-N'-ethylethylenediamine; N,N'-dmen = N,N'-dimethylethylenediamine and hmpz = homopiperazine] have been synthesized by using 0.33 mol equiv of the chelating diamine ligands with Cu(NO3)(2)center dot 3H(2)O/CuCl2 center dot 2H(2)O and an excess of NaN3. Single crystal X-ray structures show that the basic unit of these complexes, especially 1-3, contains very similar Cu-6(II) building blocks. But the overall structures of these complexes vary widely in dimensionality. While 1 is three-dimensional (3D) in nature, 2 and 3 have a two-dimensional (2D) arrangement (with different connectivity) and 4 has a one-dimensional (1D) structure. Cryomagnetic susceptibility measurements over a wide range of temperature exhibit dominant ferromagnetic behavior in all the four complexes. The experimental susceptibility data have been analyzed by some theoretical model equations.

Accelerating frequency-domain diffuse optical tomographic image reconstruction using graphics processing units

Diffuse optical tomographic image reconstruction uses advanced numerical models that are computationally costly to be implemented in the real time. The graphics processing units (GPUs) offer desktop massive parallelization that can accelerate these computations. An open-source GPU-accelerated linear algebra library package is used to compute the most intensive matrix-matrix calculations and matrix decompositions that are used in solving the system of linear equations. These open-source functions were integrated into the existing frequency-domain diffuse optical image reconstruction algorithms to evaluate the acceleration capability of the GPUs (NVIDIA Tesla C 1060) with increasing reconstruction problem sizes. These studies indicate that single precision computations are sufficient for diffuse optical tomographic image reconstruction. The acceleration per iteration can be up to 40, using GPUs compared to traditional CPUs in case of three-dimensional reconstruction, where the reconstruction problem is more underdetermined, making the GPUs more attractive in the clinical settings. The current limitation of these GPUs in the available onboard memory (4 GB) that restricts the reconstruction of a large set of optical parameters, more than 13, 377. (C) 2010 Society of Photo-Optical Instrumentation Engineers. DOI: 10.1117/1.3506216]

Surfactant lipids containing aromatic units produce vesicular membranes with high thermal stability

Six new vesicle-forming, cationic surfactant lipids are synthesized. Four of them contain 'flat' aromatic units at different locations of hydrophobic segments. In order to estimate the influence of aromatic units in the lipid monomer two other surfactant lipids of related structure with n-butyloxy units in the places of aromatic groups were also prepared. Transmission electron microscopy confirmed the vesicular membrane formation from these newly synthesized lipids. DSC or temperature-dependent keto-enol tautomerism of benzoylacetanilide-doped vesicles reveal a remarkable increase in the thermal stability of the membranes formed from aromatic surfactant lipids in contradistinction to their counterparts that contain n-butyloxy units. The enhanced thermal stability originates presumably as a consequence of inter-monomer stacking.

Synthesis and characterization of photo-crosslinkable main-chain liquid-crystalline polymers containing bis(benzylidene)cycloalkanone units

A series of new photo-crosslinkable main-chain liquid-crystalline polymers containing bis(benzylidene)cycloalkanone units have been studied. These units in the polymers function as mesogens as well as photoactive centres. Polyesters with three different bis(4-hydroxybenzylidene)cycloalkanones corresponding to three cycloalkanones, namely cyclopentanone, cyclohexanone and cycloheptanone, have been prepared. Three dicarboxylic acids with ether linkages, which were derived from oligoethylene oxides, namely triethylene glycol, tetraethylene glycol and pentaethylene glycol, have been used as spacers in these polymers. Polymerization was carried out by both solution and interfacial polycondensation; the latter method gave high-molecular-weight polymers. Structural characterizations were done by ultra-violet, infra-red and H-1 nuclear magnetic resonance spectroscopy. Liquid-crystalline properties were studied by differential scanning calorimetry and polarized-light optical microscopy. These polymers show a nematic mesophase. Liquid-crystalline transition temperatures were correlated with polymer structure. The decrease in transition temperature with increase in cycloalkanone ring size was explained in terms of the change in geometrical anisotropy of bis(benzylidene)cycloalkanone units. MNDO (modified neglect of differential overlap) calculations were performed on the model compounds, bis(4-acetyloxybenzylidene)cycloalkanone to elucidate the geometrical variation of the mesogenic units with cycloalkanone ring size. Studies of photolysis reveal the two kinds of photoreactions that proceed in these polymer systems, namely photoisomerization and photo-crosslinking. The former reaction disrupts the parallel stacking of the chromophores and is reflected as an increase in the ultra-violet spectral intensity. The favourability of these two reactions depends on the mobility of the polymer chains. When the photolysis was done below T-g, photo-crosslinking dominates over photoisomerization. Above T-g, photoisomerization is followed by photo-crosslinking. The photosensitivity of the polymers decreases with increase in size of the cycloalkanone ring.

Graphics Processing Units for the Real-time Linear Elastostatic Simulation of Liver

Biomedical engineering solutions like surgical simulators need High Performance Computing (HPC) to achieve real-time performance. Graphics Processing Units (GPUs) offer HPC capabilities at low cost and low power consumption. In this work, it is demonstrated that a liver which is discretized by about 2500 finite element nodes, can be graphically simulated in realtime, by making use of a GPU. Present work takes into consideration the time needed for the data transfer from CPU to GPU and back from GPU to CPU. Although behaviour of liver is very complicated, present computer simulation assumes linear elastostatics. One needs to use the commercial software ANSYS to obtain the global stiffness matrix of the liver. Results show that GPUs are useful for the real-time graphical simulation of liver, which in turn is needed in simulators that are used for training surgeons in laparoscopic surgery. Although the computer simulation should involve rendering also, neither rendering, nor the time needed for rendering and displaying the liver on a screen, is considered in the present work. The present work is just a demonstration of a concept; the concept is not really implemented and validated. Future work is to develop software which can accomplish real-time and very realistic graphical simulation of liver, with rendered image of liver on the screen changing in real-time according to the position of the surgical tool tip approximated as the mouse cursor in 3D.

Synthesis, crystal structure and magnetic properties of a polymeric copper(II) Schiff-base complex having binuclear units covalently linked by isonicotinate ligands

The polynuclear copper(II) complex [{Cu2L(O2CC5H4N)}. C2H5OH](x) (1), where H3L is a 1∶2 Schiff base derived from 1,3-diaminopropan-2-ol and salicylaldehyde, has been prepared and structurally characterized. The structure consists of a one-dimensional zigzag chain in which the binuclear [Cu2L](+) units are covalently linked by isonicotinate ligands to give a syndiotactic arrangement of the copper ions protruding outside the chain. In the basic unit, the copper(II) centres are bridged by an alkoxo and a carboxylato ligand, giving a Cu ... Cu distance of 3.492(3) Angstrom and a Cu-O-Cu angle of 130.9(2)degrees. While one copper centre has a square-planar geometry, the other copper is square-pyramidal with the pyridine nitrogen being the axial ligand. The visible electronic spectrum of 1 shows a broad d-d band at 615 nm. The complex shows a rhombic X-band EPR spectral pattern in the polycrystalline phase at 77 K. Magnetic susceptibility measurements in the temperature range 22 to 295 K demonstrate the antiferromagnetic behaviour of 1. A theoretical fit to the magnetic data is based on a model assuming 1 as an equimolar mixture of copper atoms belonging to an antiferromagnetically coupled one-dimensional Heisenberg chain with the other copper atoms outside the chain behaving like paramagnetic centres.

Synthesis of phospholipids with fatty acid chains containing aromatic units at various depths

A series of diacyl phosphatidylcholine lipid derivatives, which contain aromatic units at various depths of their fatty acid chains, have been synthesized. These lipids produced stable aqueous suspensions. Electron microscopy revealed the presence of vesicular aggregates in the suspensions of these newly synthesized lipids. These membranes were oxidatively stable and maintained fluid character at ambient temperature making them ideal candidates for membrane protein reconstitution studies.

Maximum rate of 3- and 4-real-symbol ML decodable unitary weight STBCs

It has been shown recently that the maximum rate of a 2-real-symbol (single-complex-symbol) maximum likelihood (ML) decodable, square space-time block codes (STBCs) with unitary weight matrices is 2a/2a complex symbols per channel use (cspcu) for 2a number of transmit antennas [1]. These STBCs are obtained from Unitary Weight Designs (UWDs). In this paper, we show that the maximum rates for 3- and 4-real-symbol (2-complex-symbol) ML decodable square STBCs from UWDs, for 2a transmit antennas, are 3(a-1)/2a and 4(a-1)/2a cspcu, respectively. STBCs achieving this maximum rate are constructed. A set of sufficient conditions on the signal set, required for these codes to achieve full-diversity are derived along with expressions for their coding gain.