Managing value-at-risk for a bond using bond put options

This paper studies a strategy that minimizes the Value-at-Risk (VaR) of a position in a zero-coupon bond by buying a percentage of a put option, subject to a fixed budget available for hedging. We elaborate a formula for determining the optimal strike price for this put option in case of a Vasicek stochastic interest rate model. We demonstrate the relevance of searching the optimal strike price, since moving away from the optimum implies a loss, either due to an increased VaR or due to an increased hedging expenditure. In this way, we extend the results of [Ahn, Boudoukh, Richardson, and Whitelaw (1999). Journal of Finance, 54, 359–375] who minimize VaR for a position in a share. In addition, we look at the alternative risk measure Tail Value-at-Risk.     

Semiochemicals Mediating Spacing Behavior of Bird Cherry-Oat Aphid, Rhopalosiphum padi Feeding on Cereals

Olfactometry using an apterous individual of Rhopalosiphum padi (L.) showed an arresting effect by volatiles from a wheat seedling and a repellent effect by volatiles from a wheat seedling infested with aphids at a high population density (ca. 9 aphids/cm²). Four compounds, 6-methyl-5-hepten-2-one, (?)- and (+)-6-methyl-5-hepten-2-ol, and 2-tridecanone, were identified by GC-MS in air entrainments from the wheat seedlings with high aphid density but not from the wheat seedlings alone. The mixture of the four compounds in the natural proportion counteracted the attractivity of the volatiles from the intact uninfested wheat seedling. The likely role of these compounds in the spacing behavior of this aphid species, when present in high densities on wheat, is discussed.     

Trace metal ion retention properties of crosslinked poly(4‐vinylpyridine) and poly(acrylic acid)

The crosslinked resins poly(4‐vinylpiridine) (PVPy) and poly(acrylic acid) (PAA) were obtained by radical polymerization. PVPy shows monodentate ligands and PAA at basic pH is basically as acrylate anion, which can contain end‐carboxylates groups or form a bridge acting as mono‐ or bidentate ligands. The retention properties for trace metal ions from saline aqueous solutions and natural seawaters of these two resins were investigated by Batch equilibrium procedure. The metal ions studied were Cu(II), Pb(II), Cd(II), and Ni(II). The following effects were studied: pH, contact time, amount of the adsorbent, temperature, and salinity. The resin PVPy showed a high affinity for Cd(II) and PAA for Cu(II) and Cd(II). The metal ions were determined in the filtrate by atomic absorption spectrometry. By the treatment of the loaded resin with 4M HNO₃, it was possible to remove completely the Cu(II) ions. The retention properties of the resins were studied for trace metal ions present in the natural seawaters. Both resins showed a high affinity for Cd(II) when the natural seawater contained Cu(II) and Cd(II). © 2004 Wiley Periodicals, Inc. J Appl Polym Sci 92: 2908–2916, 2004     

A Method for Determining Equivalence in Industrial Settings: Defining and Testing the Equivalence of Two Methods or Two Laboratories

A common practice in industrial settings is to determine the equivalence between two methods or two laboratories. Average equivalence is the preferred method. Average equivalence focuses only on the comparison of the means. However, it may be also of interest to compare the variabilities. We propose an equivalence method that considers the means and the variabilities when comparing two methods or two laboratories. We develop bounds for conducting statistical tests using the proposed equivalence criterion. Simulation is conducted to study the performance of the bounds. The criteria are the ability to maintain the stated confidence level, as well as the stated test size, and the simulated power of the tests using these bounds. Bounds that perform well for small sample size are also desirable.     

Evolution of aroma compounds of murtilla fruits (Ugni molinae Turcz) during storage

BACKGROUND: ‘Murtilla’, ‘mutilla’ or ‘murta’ (Ugni molinae Turcz) is a native Chilean species that produces a small berry fruit with a special aroma, whose volatile compounds have not yet been identified. The fruit may be consumed raw and also as jams, juice, canned products, confections and liquor. RESULTS: At the beginning and end of the storage, 24 volatile compounds were identified in murtilla fruit aroma and the concentration of these compounds in murtilla fruit ranged from 1.2 to 250.5 µg kg^?1 fresh weight. Methyl 2‐methyl butanoate, ethyl butanoate, ethyl 2‐methyl butanoate, methyl hexanoate, ethyl hexanoate, methyl benzoate and ethyl benzoate were the major components, all of which have been reported as potent odors in other aromatic fruits. Based on estimated odor activity value, the most potent compound in the murtilla fruit aroma were ethyl hexanoate and 4‐methoxy‐2,5‐dimethyl‐furan‐3‐one. The statistical analysis showed that the storage produced a distinct effect on the same volatile compounds released from the murtilla ecotypes. CONCLUSION: The volatile compounds identified in murtilla fruit aroma, which may be described as fruity, sweet and floral, have been found in other aromatic fruits. Concerning the aroma, the murtilla fruit from ecotype 19‐1 was shown to be the best in cooled storage. Copyright © 2007 Society of Chemical Industry     

Extraction of decision rules via imprecise probabilities

Data analysis techniques can be applied to discover important relations among features. This is the main objective of the Information Root Node Variation (IRNV) technique, a new method to extract knowledge from data via decision trees. The decision trees used by the original method were built using classic split criteria. The performance of new split criteria based on imprecise probabilities and uncertainty measures, called credal split criteria, differs significantly from the performance obtained using the classic criteria. This paper extends the IRNV method using two credal split criteria: one based on a mathematical parametric model, and other one based on a non-parametric model. The performance of the method is analyzed using a case study of traffic accident data to identify patterns related to the severity of an accident. We found that a larger number of rules is generated, significantly supplementing the information obtained using the classic split criteria.     

Methane Transformation using Light Gasoline as Co-Reactant over Zn/H-ZSM11

The catalytic conversion of methane (C1) to aromatic hydrocarbons (AH) such as benzene, toluene and xylenes (BTX) over a Zn/H-ZSM-11 catalyst using Light Gasoline (C5+C6) as co-reactant was studied. AH yields were as high as 30 %mol at 500 °C, w/f = 40 g h mol⁻¹ at C1 molar fraction = 0.20. The contact time and time-on-stream effects on the product distribution, were analyzed in detail in order to obtain information about the evolution of different species. The C1 conversion reached 36 mol% C using Zn/HZSM-11 with content of 2.13 mol of Zn²⁺ per cell unit.     

Reviewing Rare Earth Succinate Frameworks from the Reticular Chemistry Point of View: Structures,Nets, Catalytic and Photoluminescence Applications

The intense development that Metal-Organic Frameworks have experienced along the last two decades, reflects the interest on these compounds as a new generation of multifunctional materials with diverse applications. The first works of Prof. Omar Yaghi devoted to obtain open frameworks by combining rigid aromatic linkers and a variety of metal centers, encouraged the creativity of the scientific community to designcoordination polymers employing aliphatic ligands as multitopic building blocks . Here, a revision of the literature dedicated to rare earth coordination networks mainly based in succinate ligand and derivatives is performed. A structural analysis of 2D and 3D frameworks based on rare earth elements and succinate, was carried out considering their inner connectivities and topologies with focus on those compounds with potential photoluminescent and catalytic technological applications. Thus, a variety of optical behaviours regarding the emission mechanisms, colours, lifetimes, quantum yields as well as chemical/thermal sensing properties are presented and compared with related phases found in literature. The catalytic performance of several rare earth-succinates in three important reactions is discussed in terms of their acidity, dimensionality and available active centers towards the formation of the desired products analysing parameters such as selectivity, yields and TOFs.     

PAH fluxes in the Laja Lake of south central Chile Andes over the last 50 years: evidence from a dated sediment core

This paper reports the occurrence of polyaromatic hydrocarbons (PAHs) deposition inferred from a sediment core of an Andean lake in south central Chile. Sediments were carefully collected from one of the deepest section of the lake and sliced every 1 cm. The samples were analyzed for PAHs, (137)Cs, (210)Pb, organic carbon and grain-size. The stratigraphic chronology and the sedimentation rates were estimated using the sedimentary signature left by the (137)Cs and (210)Pb fallout as temporal markers. PAHs were quantified by HPLC-fluorescence detection (HPLC-Fluorescence). 15 priority EPA PAHs were analyzed in this study. Based on these results, PAH deposition over the last 50 years was estimated (a period characterized by an important intervention in the area). PAH concentration ranged from 226 to 620 ng g(-1) d.w. The highest concentrations of PAHs were found in the core's bottom. The PAH profile is dominated by the presence of perylene indicating a natural source of PAH. In addition, two clear PAH deposition periods could be determined: the most recent with two-four rings PAHs, the older one with five-seven rings predomination. Determined fluxes where 71 to 972 microg m(-2) year(-1), dominated by perylene deposition. PAH levels and fluxes are lower compared to the levels found in sediments from remote lakes in Europe and North America. It is concluded that the main source of PAHs into the Laja Lake sediments are of natural origin.