Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Experimental Measurement of Water Diffusion through Fine Aggregate Mixtures

The water diffusion attributable to concentration gradients is among the main mechanisms of water transport into the asphalt mixture. The transport of small molecules through polymeric materials is a very complex process, and no single model provides a complete explanation because of the small molecule`s complex internal structure. The objective of this study was to experimentally determine the diffusion of water in different fine aggregate mixtures (FAM) using simple gravimetric sorption measurements. For the purposes of measuring the diffusivity of water, FAMs were regarded as a representative homogenous volume of the hot-mix asphalt (HMA). Fick`s second law is generally used to model diffusion driven by concentration gradients in different materials. The concept of the dual mode diffusion was investigated for FAM cylindrical samples. Although FAM samples have three components (asphalt binder, aggregates, and air voids), the dual mode was an attempt to represent the diffusion process by only two stages that occur simultaneously: (1) the water molecules are completely mobile, and (2) the water molecules are partially mobile. The combination of three asphalt binders and two aggregates selected from the Strategic Highway Research Program`s (SHRP) Materials Reference Library (MRL) were evaluated at room temperature [23.9 degrees C (75 degrees F)] and at 37.8 degrees C (100 degrees F). The results show that moisture uptake and diffusivity of water through FAM is dependent on the type of aggregate and asphalt binder. At room temperature, the rank order of diffusivity and moisture uptake for the three binders was the same regardless of the type of aggregate. However, this rank order changed at higher temperatures, suggesting that at elevated temperatures different binders may be undergoing a different level of change in the free volume. DOI: 10.1061/(ASCE)MT.1943-5533.0000190. (C) 2011 American Society of Civil Engineers.

NMR imaging of fluid pathways during drainage of softwood in a pressure membrane chamber

An experiment was implemented to study fluid flow in a pressure media. This procedure successfully combines nuclear magnetic resonance imaging with a pressure membrane chamber in order to visualize the non-wetting and wetting fluid flows with controlled boundary conditions. A specially designed pressure membrane chamber, made of non-magnetic materials and able to withstand 4 MPa, was designed and built for this purpose. These two techniques were applied to the drainage of Douglas fir sapwood. In the study of the longitudinal flow, narrow drainage fingers are formed in the latewood zones. They follow the longitudinal direction of wood and spread throughout the sample length. These fingers then enlarge in the cross-section plane and coalesce until drainage reaches the whole latewood part. At the end of the experiments, when the drainage of liquid water in latewood is completed, just a few sites of percolation appear in earlywood zones. This difference is a result of the wood anatomical structure, where pits, the apertures that allow the sap to flow between wood cells, are more easily aspirated in earlywood than in latewood. (C) 2007 Elsevier Ltd. All rights reserved.

Cu and Fe metallic ions-mediated oxidation of low-density lipoproteins studied by NMR, TEM and Z-scan technique

In this work we report on a study of the morphological changes of LDL induced in vitro by metallic ions (Cu(2+) and Fe(3+)). These modifications were characterized by transmission electron microscopy, nuclear magnetic resonance and the Z-scan technique. The degree of oxidative modification of LDL was determined by the TBARS and lipid hydroperoxides assays. It is shown that distinct pathways for modifying lipoproteins lead to different morphological transformations of the particles characterized by changes in size and/or shape of the resulting particles, and by the tendency to induce aggregation of the particles. There were no evidence of melting of particles promoted by oxidative processes with Cu and Fe. (C) 2010 Elsevier Ireland Ltd. All rights reserved.

(1)H NMR determination of beta-N-methylamino-L-alanine (L-BMAA) in environmental and biological samples

A nuclear magnetic resonance ((1)H NMR) method for the determination of beta-N-methylamino-L-alanine (L-BMAA) in environmental aqueous samples was developed and validated. L-BMAA is a neurotoxic modified amino acid that can be produced by cyanobacteria in aqueous environments. This toxin was extracted from samples by means of solid-phase extraction (SPE) and identified and quantified by (1)H NMR without further derivatization steps. The lower limit of quantification (LLOQ) was 5 mu g/mL Good inter and intra-assay precision was also observed (relative standard deviation <8.5%) with the use of 4-nitro-DL-phenylalanine as an internal standard (IS). This method of 1H NMR analysis is not time consuming and can be readily utilized to monitor L-BMAA and confirm its presence in environmental and biological samples. (C) 2008 Elsevier Ltd. All rights reserved.

Detailed H-1 and C-13 NMR structural assignment and relative stereochemistry determination for three closely related sesquiterpene lactones

A complete analysis of H-1 and C-13 NMR spectra of the trypanocidal sesquiterpene lactone eremantholide C and two of its analogues is described. These structurally similar sesquiterpene lactones were submitted to H-1 NMR, C-13 (H-1) NMR, gCOSY, gHSQC, gHMBC, J-resolved and DPFGSE-NOE NMR techniques. The detailed analysis of those results, correlated to some computational calculations (molecular mechanics), led to the total and unequivocal assignment of all H-1 and C-13 NMR data. The determination of all H-1/H-1 coupling constants and all signal multiplicities, together with the elimination of previous ambiguities were also achieved. Copyright (C) 2008 John Wiley & Sons, Ltd.

HPLC separation, NMR and QTOF/MS/MS structure elucidation of a prominent nitric oxide donor agent based on an isomeric composition of a nitrosyl ruthenium complex

A new and promising nitrosyl ruthenium complex, [Ru(NO)(bdqi-COOH)(terpy)](PF(6))(3), bdqi-COOH is 3,4-diiminebenzoic acid and terpy is 2,2`-terpyridine, has been synthesized as a NO donor agent. The procedure used for [Ru(NO)(bdqi-COOH)(terpy)](PF(6))(3) synthesis has, apparently, yielded the formation of two isomers in which the ligand bdqi-COOH appears to be coordinated in its reduced form (bdcat-COOH), which could have differences in their pharmacological properties. Therefore, it was intended to separate the two possible isomers by high-performance liquid chromatography (HPLC) and to characterize them by high resolution mass spectrometry (QTOF MS) and by magnetic nuclear resonance spectroscopy (NMR). The results obtained by MS showed that the ESI-MS mass spectra of both HPLC column fractions, e.g. peak 1 and peak 2, are essentially equal, showing that both isomers display nearly identical gas-phase behavior with clusters of isotopologue ions centered at m/z 573, m/z 543 and m/z 513. Regarding the NMR analysis, the results showed that the positional isomerism is located in the bdqi-COOH ligand. From the observed results it can be concluded that the synthesis procedure that has been used results in the formation of two [Ru(terpy)(bdqi-COOH)NO](PF(6))(3) isomers. (c) 2009 Elsevier B.V. All rights reserved.

Quantum-chemical, NMR and X-ray diffraction studies on (+/-)-1-[3,4-(methylenedioxy)phenyl]-2-methylaminopropane

Time-averaged conformations of (+/-)-1-[3,4-(methylenedioxy)phenyl]-2-methylaminopropane hydrochloride (MDMA, ""ecstasy"") in D(2)O, and of its free base and trifluoroacetate in CDCl(3), were deduced from their (1)H NMR spectra and used to calculate their conformer distribution. Their rotational potential energy surface (PES) was calculated at the RHF/6-31G(d,p), 133LYP/6-31G(d,p), B3LYP/cc-pVDZ and AM1 levels. Solvent effects were evaluated using the polarizable continuum model. The NMR and theoretical studies showed that, in the free base, the N-methyl group and the ring are preferentially trans. This preference is stronger in the salts and corresponds to the X-ray structure of the hydrochloride. However, the energy barriers separating these forms are very low. The X-ray diffraction crystal structures of the anhydrous salt and its monohydrate differed mainly in the trans or cis relationship of the N-methyl group to the a-methyl, although these two forms interconvert freely in solution. (C) 2007 Elsevier Inc. All rights reserved.

A finite integral transform technique for solving the diffusion-reaction equation with Michaelis-Menten kinetics

An approximate analytical technique employing a finite integral transform is developed to solve the reaction diffusion problem with Michaelis-Menten kinetics in a solid of general shape. A simple infinite series solution for the substrate concentration is obtained as a function of the Thiele modulus, modified Sherwood number, and Michaelis constant. An iteration scheme is developed to bring the approximate solution closer to the exact solution. Comparison with the known exact solutions for slab geometry (quadrature) and numerically exact solutions for spherical geometry (orthogonal collocation) shows excellent agreement for all values of the Thiele modulus and Michaelis constant.

Transient response of diffusion cell containing a porous solid

Transient response of an adsorbing or non-adsorbing tracer injected as step or square pulse input in a diffusion cell with two flowing streams across the pellet is theoretically investigated in this paper. Exact solutions and the asymptotic solutions in the time domain and in three different limits are obtained by using an integral transform technique and a singular perturbation technique, respectively. Parametric dependence of the concentrations in the top and bottom chambers can be revealed by investigating the asymptotic solutions, which are far simpler than their exact counterpart. In the time domain investigation, it is found that the bottom-chamber concentration is very sensitive to the value of the macropore effective diffusivity. Therefore this concentration could be used to extract diffusivity by fitting in the time domain. The bottom-chamber concentration is also sensitive to flow rate, pellet length chamber volume and the type of input (step and square input).

Short-term spatial diffusion in sigma o+ o- optical molasses

We have measured the spatial diffusion of atoms in a three-dimensional sigma(+)-sigma(-) optical molasses over twenty milliseconds timescale, starting from the initial interaction of the atoms with the molasses. We find that the diffusion constants agree well with a linear model for these short time scales and also compare favourably to other studies of diffusion made over longer time scales. These measurements enable us to quantify the detection method known as freezing molasses. We discuss this method, for detecting and measuring the momentum distribution of cold atoms, which relies on the slow diffusion of atoms in optical molasses to produce a freeze-frame of the spatial distribution of the atoms. This method enables a longer interrogation interval, providing a greatly increased signal-to-noise ratio. (C) 1998 Elsevier Science B.V.

NMR study of the radiation-induced cross-linking of poly(tetrafluoroethylene-co-perfluoromethyl vinyl ether)

The gamma-radiolysis of poly(tetrafluoroethylene-co-perfuoromethyl vinyl ether) (TFE/PMVE) was investigated using solid state F-19 and C-13 NMR spectroscopy. Chain scission products identified in the polymer were saturated chain ends -CF2CF3 (G = 1.0), methyl ether end groups -CF2OCF3 (G = 0.9), acid end groups -CF2COOH (G = 0.5), and a small amount of terminal unsaturation -CF=CF2 (G = 0.2). A mechanism for the formation of these scission products was proposed and the G value for main chain scission, G(S), was determined to be 1.4. Cross-linking of TFE/PMVE was found to proceed via a Y-linking mechanism. The G value for cross-linking, G(X), was determined to be 0.9. A maximum of 0.2 mol % cross-links were formed under the experimental conditions.

An ESR and NMR study of the gamma radiolysis of a bisphenol-A based polycarbonate and a phthalic acid ester

A study of the gamma-radiolysis of the commercial polymers U-polymer, UP (Unitake) and polycarbonate, PC, (Aldrich) has been undertaken using ESR spectroscopy. The G-value of radical formation at 77 K has been found to be 0.31 +/- 0.01 for UP and 0.5 +/- 0.02 for PC. By using thermal annealing and spectral subtraction, the paramagnetic species formed on irradiation has been assigned. The effect of radiation on the chemical structure of UP and PC has been investigated at ambient temperature and at 423 K. The NMR results show that a new phenol type chain end is formed in the polymers on exposure to gamma-radiation. The G-value of formation of the new phenol ends was estimated to be 0.7 for PC (423 K) and 0.4 for UP (300 K). (C) 1998 John Wiley & Sons, Ltd.

Synthesis, NMR studies and conformational analysis of oxazolidine derivatives of the beta-adrenoreceptor antagonists metoprolol, atenolol and timolol

Formaldehyde-derived oxazolidine derivatives 4-7 of the beta-adrenoreceptor antagonists metoprolol 1, atenolol 2 and timolol 3 have been synthesised. Conformational analysis of 1-3 and the oxazolidine derivatives 4-7 has been performed using H-1 NMR spectroscopy and computational methods. The H-1 NMR studies show that for the aryloxypropanolamine beta-adrenoreceptor antagonists there is a predominance of the conformer in which the amine group is approximately antiperiplanar or trans to the aryloxymethylene group. Both H-1 NMR data and theoretical studies indicate that the oxazolidine derivatives 4-7 and the aryloxypropanolamine beta-adrenoreceptor antagonists 1-3 adopt similar conformations around the beta-amino alcohol moiety. Thus, oxazolidine ring formation does not dramatically alter the preferred conformation adopted by the beta-amino alcohol moiety of 1-3. Oxazolidine derivatives of aryloxypropanolamine beta-adrenoreceptor antagonists may therefore be appropriate as prodrugs, or semi-rigid analogues, when greater lipophilicity is required for drug delivery.