A versatile approach for stochastic correlation using hyperbolic functions

It is well known that the correlation between financial products or financial institutions, e.g. plays an essential role in pricing and evaluation of financial derivatives. Using simply a constant or deterministic correlation may lead to correlation risk, since market observations give evidence that correlation is not a deterministic quantity. In this work, we propose a new approach to model the correlation as a hyperbolic function of a stochastic process. Our general approach provides a stochastic correlation which is much more realistic to model real- world phenomena and could be used in many financial application fields. Furthermore, it is very flexible: any mean-reverting process (with positive and negative values) can be regarded and no additional parameter restrictions appear which simplifies the calibration procedure. As an example, we compute the price of a Quanto applying our new approach. Using our numerical results we discuss concisely the effect of considering stochastic correlation on pricing the Quanto.     

The high-temperature ageing of a low-alloy steel in the presence and absence of strain

The effect of high-temperature ageing in the presence and absence of strain was investigated for a high-temperature hot-rolled low-alloy steel. Mechanical tests were conducted on artificially aged material and material removed from operating plant. The steel investigated was developed for less critical elevated-temperature applications, which do not require heat-treated pressure-vessel-quality alloy materials, such as the Cr-Mo steels. Wide scatter in the high-temperature creep properties was observed. Due to a very high phosphorous content, reversible temper embrittlement at temperatures above 400°C results in Chapry V-notch values of less than 4 J cm⁻² after exposure times of only a small fraction of the component's design life. There is a difference in creep mechanism for short-time creep-rupture tests and those executed beyond 10 000 h. Confidence can only be obtained in creep-rupture data if the test field is extended to temperatures and stresses below 480°C and 150 MPa, respectively, and also to yield rupture data for up to 30 000 h. The very low fracture toughness values at room temperature and the high ductile-to-brittle transition temperature of aged material necessitate that special design features be considered. From a utility point of view, the suitability and economics of this steel for large, high-temperature structural applications—where normal design, operating and maintenance philosophies are expected to be followed—are questioned.     

Focused electron beam induced deposition of gold catalyst templates for Si-nanowire synthesis

A new approach using focused electron beam induced deposition (FEBID) to deposit catalyst particles is reported for the synthesis of single crystalline silicon nanowires (SiNWs) grown by low pressure chemical vapor deposition (LPCVD). The FEBID deposited gold dot arrays fabricated from an acac-Au(III)-Me(2) precursor were investigated by AFM and EDX. The depositions were found to form a sharp tip and a surrounding halo and consist of only 10 at.% Au. However, SiNWs could be synthesized on the deposited catalyst using the vapor-liquid-solid (VLS) method with a mixture of 2% SiH(4) in He at 520?°C. NW diameters from 30 nm up to 150 nm were fabricated and the dependency of the NW diameter on the FEBID deposition time was observed. TEM analysis of the SiNWs revealed a [110] growth direction independent of the NW diameter. This new method provides a maskless and resistless approach for generating catalyst templates for SiNW synthesis on arbitrary surfaces.     

Atypical self-activation of Ga dopant for Ge nanowire devices

In this Letter we report the atypical self-activation of gallium (Ga) implanted by focused ion beam (FIB) into germanium nanowires (Ge-NWs). By FIB implantation of 30 keV Ga(+) ions at room temperature, the Ge-NW conductivity increases up to 3 orders of magnitude with increasing ion fluence. Cu(3)Ge heterostructures were formed by diffusion to ensure well-defined contacts to the NW and enable two point I/V measurements. Additional four point measurements prove that the conductivity enhancement emerges from the modification of the wires themselves and not from contact property modifications. The Ga distribution in the implanted Ge-NWs was measured using atom probe tomography. For high ion fluences, and beginning amorphization of the NWs, the conductivity decreases exponentially. Temperature dependent conductivity measurements show strong evidence for an in situ doping of the Ge-NWs without any further annealing. Finally the feasibility of improving the device performance of top-gated Ge-NW MOSFETs by FIB implantation was shown.     

The application of response surface methodology to the production of phenolic extracts of lemon grass, galangal, holy basil and rosemary

The effects of independent variables (ethanol:water ratio, temperature and time) on the extraction yield and antioxidant properties of phenolic extracts from lemon grass, galangal, holy basil and rosemary were studied. The extraction solvent ratio of ethanol to water was found to have a significant (P < 0.05) influence on extraction yield, reducing power and total phenolic content, but not on the antioxidant activity of all herb and spice samples, while extraction temperature had only minor effects. Extraction time had a significant (P < 0.05) effect only on the reducing power of holy basil extracts. The optimum extraction conditions, i.e. extraction solvent ratio of ethanol to water, extraction temperature and extraction time for maximum total phenolic content, were 3:1 at 25 °C for 30 min for lemon grass, 3:1 at 75 °C for 90 min for galangal and holy basil and 3:1 at 75 °C for 30 min for rosemary.     

1H low- and high-field NMR study of the effects of plasma treatment on the oil and water fractions in crude heavy oil

The chemical and physical properties of a Brazilian heavy oil submitted to plasma treatment were investigated by ¹H low- and high-field nuclear magnetic resonance (NMR) combined to the characterization of rheological properties, thermogravimetry and measurement of basic sediments and water (BSW) content. The crude oil was treated in a dielectric barrier discharge plasma reactor, using natural gas, CO₂ or H₂ as working gas. The results indicated a large drop in the water content of the plasma-treated samples as compared to the crude oil, giving rise to a reduction in the viscosity. No significant chemical change was produced in the oil portion itself, as observed by ¹H NMR. The water contents determined by ¹H low-field NMR analyses agreed well with those obtained by BSW, indicating the low-field NMR methods as a useful tool for following the effects of plasma treatments on heavy oils, allowing the separation of the effects caused on the water and oil fractions.     

Serum beta(2)-microglobulin and serum thymidine kinase are independent predictors of progression-free survival in chronic lymphocytic leukemia and immunocytoma

Chronic lymphocytic leukemia (CLL) and immunocytoma (IC) are remarkably heterogeneous with regard to their clinical course. The current staging systems can distinguish prognostic subgroups, but do not seem to predict the risk of disease progression of an individual patient with sufficient accuracy. Given the increase of treatment options for CLL and IC, additional parameters are needed to decide which patients may benefit from early or intensified treatment. It has been shown that two biochemical markers, serum beta 2-microglobulin (s-beta 2M) and serum thymidine kinase (s-TK), might identify CLL and IC patients at high risk of disease progression. Therefore, the prognostic value of these two serum parameters was compared with a panel of several established prognostic factors in a prospective clinical trial. 113 patients with CLL and 41 patients with IC (mean age +/- SD 63.9 +/- 10.7 years) were included. The following parameters were determined: histopathological diagnosis (IC vs. CLL), age, sex, performance status (Karnofsky index), B symptoms, peripheral blood lymphocyte count, platelet count, blood hemoglobin, serum lactate dehydrogenase (s-LDH), s-beta 2M, s-TK, serum creatinine, number of lymph node areas involved, prior therapy, and the time from diagnosis to inclusion in the study. Univariate analyses showed that nine parameters (Karnofsky index, peripheral blood lymphocytosis, platelet count, blood hemoglobin, lymph node areas involved, pretreatment, s-LDH, s-beta 2M, and s-TK) significantly predicted progression-free survival. In a Cox regression model, only four of these parameters provided independent prognostic information on progression-free survival: 1. s-beta 2M, 2. Karnofsky index, 3. platelet count, and 4. s-TK. The results show that s-beta 2M and s-TK independently predict progression-free survival in patients with CLL and IC, and suggest that these prognostic factors may allow an improved prediction of progression-free survival, particularly in early disease stages.