Válság és hitelderivatívák. A szintetikus fedezett adósságkötelezettségek (CDO-k) árazása és kockázataik (Crisis and loan derivatives. The pricing and risks of synthetic collateralized debt obligations)

A dolgozat első részében röviden áttekintjük a 2007-ben kezdődött pénzügyi válság lefolyását és a válsághoz vezető okokat. A bemutatás során igyekszünk végig a mögöttes folyamatokra és azok mozgatórugóira koncentrálni, ezzel megragadva a válság egyfajta "elméletét". A bemutatásból láthatóvá válik a hitelderivatívák kiemelt szerepe a válság során. A dolgozat második részében az egyik legnépszerűbb hitelderivatív termék, a szintetikus fedezett adósságkötelezettségek (CDO-k) matematikai modellezését és annak problémáit mutatjuk be. Sokak szerint ezek a matematikai modellek okozták - vagy legalábbis felerősítették - a válságot. Az elemzés során megmutatjuk, hogy nemcsak a modellezési eszközök nem voltak megfelelők, hanem az árazás elve sem állta meg a helyét a kockázatsemleges árazási keretben. Ez az eredmény élesen rámutat a mögöttes elméletek válságára. / === / The first part of the paper examines briefly the financial crisis of 2007 and its causes, focusing on its driving processes and key motifs. This shows clearly the importance and centrality of credit derivatives in the crisis. The second part presents a mathematical modelling of one of the most popular credit derivative products: synthetic collateralized debt obligations, along with the drawbacks and problems of the modelling process. It is widely claimed that these products caused or at least precipitated the crises. The authors show not only that the modelling tools were inappropriate, but that the principle for pricing did not match adequately the risk-neutral valuation framework.

A kockázat megjelenése a származtatott pénzügyi termékekben (The risk appearing in financial derivatives)

A pénzügyi kockázatok szerepe, modellezése, kezelése az utóbbi évtizedekben vált egyre hangsúlyosabbá az elméletben és a gyakorlatban egyaránt. A 2007-ben kezdődő pénzügyi válság egyik kiváltó oka a kockázatok nem megfelelő felmérése volt. A válság egyik tanulsága, hogy bár a matematika és a fizika hozzájárulása rendkívül mély módszertani apparátust biztosított a kockázatok számszerűsítésére, ezen eredmények pénzügyi alkalmazása csak akkor sikeres, ha pontosan értjük a modellek feltételeit és korlátait. Jelen cikk a pénzügyi derivatívák értékelésének alapelveit, valamint a származtatott ügyletekben megjelenő kockázatokat tekinti át, illetve bemutatja azokat a bizonytalansági tényezőket, amelyek megkérdőjelezik az értékelés objektivitását. / === / The modeling and management of financial risks became one of the most important topics of the last decade both in theory and fi nancial practice. The mismanagement of fi nancial risks can be mentioned among the reasons contributing to the eruption of the recent crisis. In order to use successfully the methodology of mathematics and physics in pricing of derivatives, we have to consider the assumptions and limits of the models. This paper introduces the main concepts – no arbitrage pricing and risk neutral valuation – in derivatives’ pricing, then presents and quantifies the risk of some derivative products. I am arguing that the assumptions of the Black–Scholes and Merton model are injured at several points, so the pricing can not be perfectly cleared from all the risk preferences. All those risks, deriving from the difference of the reality and the model are priced in the volatility parameter in the practice.

Derivatív pénzügyi termékek árdinamikája és az új típusú kamatlábmodellek (Interest rate models and the price processes of financial derivatives)

Ennek a cikknek az a célja, hogy áttekintést adjon annak a folyamatnak néhány főbb állomásáról, amit Black, Scholes és Merton opcióárazásról írt cikkei indítottak el a 70-es évek elején, és ami egyszerre forradalmasította a fejlett nyugati pénzügyi piacokat és a pénzügyi elméletet. / === / This review article compares the development of financial theory within and outside Hungary in the last three decades starting with the Black-Scholes revolution. Problems like the term structure of interest rate volatilities which is in the focus of many research internationally has not received the proper attention among the Hungarian economists. The article gives an overview of no-arbitrage pricing, the partial differential equation approach and the related numerical techniques, like the lattice methods in pricing financial derivatives. The relevant concepts of the martingal approach are overviewed. There is a special focus on the HJM framework of the interest rate development. The idea that the volatility and the correlation can be traded is a new horizon to the Hungarian capital market.

The 4-aza-S-ribosyl-L-homocysteine derivatives and the related gamma-lactam and azahemiacetal analogs: Synthesis, inhibition and quorum sensing activity

Quorum sensing (QS) is a population-dependent signaling process bacteria use to control multiple processes including virulence, critical for establishing infection. There are two major pathways of QS systems. Type 1 is species specific or intra-species communication in which N-acylhomoserine lactones (Gram-negative bacteria) or oligopeptides (Gram-positive bacteria) are employed as signaling molecules (autoinducer one). Type 2 is inter-species communication in which S-4,5-dihydroxy-2,3-pentanedione (DPD) or its borate esters are used as signaling molecules. The DPD is biosynthesized by LuxS enzyme from S-ribosylhomocysteine (SRH). Recent increase in prevalence of bacterial strains resistant to antibiotics emphasizes the need for the development of new generation of antibacterial agents. Interruption of QS by small molecules is one of the viable options as it does not affect bacterial growth but only virulence, leading to less incidence of microbial resistance. Thus, in this work, inhibitors of both N-acylhomoserine lactone (AHL) mediated intra-species and LuxS enzyme, involved in inter-species QS are targeted. The γ-lactam and their reduced cyclic azahemiacetal analogs, bearing the additional alkylthiomethyl substituent, were designed and synthesized targeting AHL mediated QS systems in P. aeruginosa and Vibrio harveyi. The γ-lactams with nonylthio or dodecylthio chains acted as inhibitors of las signaling in P. aeruginosa with moderate potency. The cyclic azahemiacetal with shorter propylthio or hexylthio substituent were found to strongly inhibit both las and rhl signaling in P. aeruginosa at higher concentrations. However, lactam and their azahemiacetal analogs were found to be inactive in V. harveyi QS systems. The 4-aza-S-ribosyl-L-homocysteine (4-aza-SRH) analogs and 2-deoxy-2-substituted-S-ribosyl-L-homocysteine analogs were designed and synthesized targeting Bacillus subtilis LuxS enzyme. The 4-aza-SRH analogs in which oxygen in ribose ring is replaced by nitrogen were further modified at anomeric position to produce pyrrolidine, lactam, nitrone, imine and hemiaminal analogs. Pyrrolidine and lactam analogs which lack anomeric hydroxyl, acted as competitive inhibitors of LuxS enzyme with KI value of 49 and 37 µM respectively. The 2,3-dideoxy lactam analogs were devoid of activity. Such findings attested the significance of hydroxyl groups for LuxS binding and activity. Hemiaminal analog of SRH was found to be a time-dependent inhibitor with IC50 value of 60 µM.

Study of Ammonia Borane and its Derivatives: Influence of Nanoconfinements and Pressures

Recently, ammonia borane has increasingly attracted researchers’ attention because of its merging applications, such as organic synthesis, boron nitride compounds synthesis, and hydrogen storage. This dissertation presents the results from several studies related to ammonia borane. The pressure-induced tetragonal to orthorhombic phase transition in ammonia borane was studied in a diamond anvil cell using in situ Raman spectroscopy. We found a positive Clapeyron-slope for this phase transformation in the experiment, which implies that the phase transition from tetragonal to orthorhombic is exothermic. The result of this study indicates that the rehydrogenation of the high pressure orthorhombic phase is expected to be easier than that of the ambient pressure tetragonal phase due to its lower enthalpy. The high pressure behavior of ammonia borane after thermal decomposition was studied by in situ Raman spectroscopy at high pressures up to 10 GPa. The sample of ammonia borane was first decomposed at ~140 degree Celcius and ~0.7 GPa and then compessed step wise in an isolated sample chamber of a diamond anvil cell for Raman spectroscopy measurement. We did not observe the characteristic shift of Raman mode under high pressure due to dihydrogen bonding, indicating that the dihydrogen bonding disappears in the decomposed ammonia borane. Although no chemical rehydrogenation was detected in this study, the decomposed ammonia borane could store extra hydrogen by physical absorption. The effect of nanoconfinement on ammonia borane at high pressures and different temperatures was studied. Ammonia borane was mixed with a type of mesoporous silica, SBA-15, and restricted within a small space of nanometer scale. The nano-scale ammonia borane was decomposed at ~125 degree Celcius in a diamond anvil cell and rehydrogenated after applying high pressures up to ~13 GPa at room temperature. The successful rehydrogenation of decomposed nano-scale ammonia borane gives guidance to further investigations on hydrogen storage. In addition, the high pressure behavior of lithium amidoborane, one derivative of ammonia borane, was studied at different temperatures. Lithium amidoborane (LAB) was decomposed and recompressed in a diamond anvil cell. After applying high pressures on the decomposed lithium amidoborane, its recovery peaks were discovered by Raman spectroscopy. This result suggests that the decomposition of LAB is reversible at high pressures.

Computer assisted synthesis and in-vitro cytotoxic evaluation of new pyrazole-fused isoquinolinoquinones derivatives as PI3K receptor antagonist with promising antitumoral activity

The importance of pyrazole and isoquinoline-5,8-dione scaffolds in medical chemistry is underlined by the high number of drugs currently on trading that contains these active ingredients. Due to their cytotoxic capability, the interest of medicinal chemists in these heterocyclic rings has grown exponentially especially, for cancer therapy. In this project, the first synthesis of pyrazole-fused isoquinoline-5,8-diones has been developed. 1,3-Dipolar cycloaddition followed by oxidative aromatization, established by our research group, has been employed. Screening of reaction conditions and characterization studies about the regioselectivity have been successfully performed. A remote control of regioselectivity, to achieve the two possible regioisomers has been accomplished. Through Molecular Docking studies, Structure-Activity relationship of differently substituted scaffolds containing our central core proved that a family of PI3K inhibitors have been discovered. Finally, in order to verify the promising antitumor activity, a first test of cell viability in vitro on T98G cell line of a solid brain tumor, the Glioblastoma Multiforme, showed cytotoxic inhibition comparable to currently trade anticancer drugs.

Weak interactions in the crystal structures of two indole derivatives

Acknowledgements We thank the EPSRC National Crystallography Service (University of Southampton) for the data collections and the EPSRC National Mass Spectrometry Service (University of Swansea) for the HRMS data.

Reactions of nitrilium salts with indole and pyrrole and their derivatives in the synthesis of imines, ketones and secondary amines

I thank SERC for a CASE studentship (to RG. Giles) with the former Fisons Pharmaceuticals division (with Dr. S. C. Eyley) and Dr. B. R. Buckley, of this department, for provided helpful comments on an earlier version of the manuscript.

Reactions of nitrilium salts with indole and pyrrole and their derivatives in the synthesis of imines, ketones and secondary amines

I thank SERC for a CASE studentship (to RG. Giles) with the former Fisons Pharmaceuticals division (with Dr. S. C. Eyley) and Dr. B. R. Buckley, of this department, for provided helpful comments on an earlier version of the manuscript.

A critical review of both the synthesis approach and the receptor profile of the 8-chloro-1-(2′,4′-dichlorophenyl)-N-piperidin-1-yl-1,4,5,6-tetrahydrobenzo[6,7]cyclohepta[1,2-c]pyrazole-3-carboxamide and analogue derivatives

We thank European Commission (project “PET BRAIN: Mapping the brain with PET radiolabeled cannabinoid CB1 ligands”; FP7-People-2009-IAPP; Grant Agreement N.25142).

Reactions of nitrilium salts with indole and pyrrole and their derivatives in the synthesis of imines, ketones and secondary amines

I thank SERC for a CASE studentship (to RG. Giles) with the former Fisons Pharmaceuticals division (with Dr. S. C. Eyley) and Dr. B. R. Buckley, of this department, for provided helpful comments on an earlier version of the manuscript.

Single-crystal micro/nanostructures and thin films of lamellar molybdenum oxide by solid-state pyrolysis of organometallic derivatives of a cyclotriphosphazene

The solid-state pyrolysis of organometallic derivatives of a cyclotriphosphazene is demonstrated to be a new, simple and versatile solid-state templating method for obtaining single-crystal micro- and nanocrystals of transition and valve metal oxides. The technique, when applied to Mo-containing organometallics N3P3[OC6H4CH2CN·Mo(CO)5]6 and N3P3[OC6H4CH2CN·Mo(CO)4 py]6, results in stand-alone and surface-deposited lamellar MoO3 single crystals, as determined by electron and atomic force microscopies and X-ray diffraction. The size and morphology of the resulting crystals can be tuned by the composition of the precursor. X-ray photoelectron and infrared spectroscopies indicate that the deposition of highly lamellar MoO3 directly on an oxidized (400 nm SiO2) surface or (100) single-crystal silicon surfaces yields a layered uniphasic single-crystal film formed by cluster diffusion on the surface during pyrolysis of the metal-carbonyl derivatives. For MoO3 in its layered form, this provides a new route to an important intercalation material for high energy density battery materials.