VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

In this paper, we generalize the Linear VaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones. We treat both the Expected Shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a mixture of multivariate t-distributions. This is a part of J. SADEFO-KAMDEM PhD Thesis[12] of the Université de Reims, France . It has been presented at the workshop on modelling and computation in Financial Engineering at Bad Herrenalb, Germany May 6-8, 2003. The author is an associate professor at the Department of mathematics, université d’Evry Val d’Essonne.     

Temperature-dependent transparency of poly(HPMA-co-DMA) hydrogels: effect of synthesis parameters

The acrylic comonomers hydroxypropyl methacrylate (HPMA) and N,N-dimethylaminoethyl methacrylate (DMA) have been used in several earlier studies to produce pH-responsive hydrogels. However, these same monomers can also be used to prepare hydrogels that are highly responsive to temperature. One manifestation of this temperature sensitivity is a sharp decrease in hydrogel optical transparency that occurs when the temperature exceeds a critical transition value. For example, a hydrogel that exhibits a swelling transition at the physiological pH value of 7.4 has a transition temperature of about 45 °C when the environmental salt concentration is 0.15 M. The value of the transparency transition temperature is shown to depend on hydrogel synthesis parameters such as comonomer mole ratio, crosslinker mole ratio, and even initiator concentration. By reducing the mole ratio of the crosslinker tetraethylene glycol dimethacrylate (TEGDMA), the transition temperature can be lowered by as much as 15 °C. Environmental salt concentration and solvent polarity are also shown to influence the transition temperature.     

The Sanaga discharge at the Edea Catchment outlet (Cameroon): An example of hydrologic responses of a tropical rain‐fed river system to changes in precipitation and groundwater inputs and to flow regulation

The Sanaga River is one of Sub‐Saharan Africa's largest and greatly regulated rivers. Available flow data for this hydrosystem largely cover the pre‐ and post‐regulation periods. From comparisons between unregulated (hypothetical) and observed scenarios, it has been possible to separate and to quantify hydro‐climatic (groundwater + rainfall) change effects from anthropogenic impacts (especially dam‐related alterations). To appreciate shifts in the river regime, discontinuity detection tests and the IHA model were applied to discharge data series reflecting average and extreme flow conditions, respectively. Results obtained principally from the Hubert segmentation method reveal that a major discontinuity occurred in 1970–1971 separating a surplus phase between 1945–1946 and 1969–1970, and a deficient and much contrasted one, from 1971/1972. This implies that the Sanaga catchment is dominantly affected by hydro‐climatic changes. However, wide land cover/land use changes experienced here since 1988 have resulted in an increase in surface runoff. Additional quickflows linked to these changes may have partly compensated for the substantial decline in the dry season rainfall and groundwater inputs observed from this date. Although at the monthly scale, dam‐related impacts on average flows increase with stage of regulation, the seasonal variability of the river regime remains generally unaffected. A comparison of the IHA statistics, calculated from unregulated and observed streamflow data, show that hydrologic shifts occurring in maximum and minimum discharges are mostly significant from 1971/1972 and are mainly due to the action of dams. Minimum flows appear, however, widely impacted, thus reflecting the prime objective assigned to the existing reservoirs, constructed to supplement flows for hydroelectricity production during the dry season. Copyright © 2010 John Wiley & Sons, Ltd.     

Electrical Characterization of a Joined Electroceramic, La0.85Sr0.15MnO3

Pieces of saw-cut La_0.85Sr_0.15MnO₃ were joined at 1150° and 1250°C under a compressive stress. The strains to form the joints were ∼0.1. Joints formed by plastic deformation were examined using scanning electron microscopy, and they were indistinguishable from the bulk. The room-temperature direct-current resistivity of the joined pieces was identical to that measured in the bulk material. This indicated that a sound, electrically conducting joint could be formed using plastic deformation (grain-boundary sliding) with little surface preparation.     

Light Spectral Composition Modifies Polyamine Metabolism in Young Wheat Plants

Although light-emitting diode (LED) technology has extended the research on targeted photomorphogenic, physiological, and biochemical responses in plants, there is not enough direct information about how light affects polyamine metabolism. In this study, the effect of three spectral compositions (referred to by their most typical characteristic: blue, red, and the combination of blue and red [pink] lights) on polyamine metabolism was compared to those obtained under white light conditions at the same light intensity. Although light quality induced pronounced differences in plant morphology, pigment contents, and the expression of polyamine metabolism-related genes, endogenous polyamine levels did not differ substantially. When exogenous polyamines were applied, their roborative effect were detected under all light conditions, but these beneficial changes were correlated with an increase in polyamine content and polyamine metabolism-related gene expression only under blue light. The effect of the polyamines on leaf gene expression under red light was the opposite, with a decreasing tendency. Results suggest that light quality may optimize plant growth through the adjustment of polyamine metabolism at the gene expression level. Polyamine treatments induced different strategies in fine-tuning of polyamine metabolism, which were induced for optimal plant growth and development under different spectral compositions.     

The propagation of pressure in a gelled waxy oil pipeline as studied by particle imaging velocimetry

Paraffinic crude oils in pipelines may form waxy gels during flow shutdowns. These gels can be dislodged by applying pressure if the wall shear stress, proportional to the local pressure gradient, exceeds the gel yield stress. The simplest models assume that the axial pressure profile becomes linear immediately after a jump in upstream pressure, but this fails to account for gel time‐dependent rheology or the effect of gel voids on pressure wave propagation. To investigate the former factor, pressure profile and particle imaging velocimetry (PIV) measurements were performed on a model oil gelled under pressure to reduce void formation. After a jump in upstream pressure to a value insufficient to restart flow, the axial pressure profile becomes linear in a two‐step process, with an immediate small rise in downstream pressure followed by a time‐delayed jump. The local downstream gel deformation measured by PIV exhibits similar two‐step time dependence. © 2011 American Institute of Chemical Engineers AIChE J, 2012     

Curcumin Loaded Nanocarriers with Varying Charges Augmented with Electroporation Designed for Colon Cancer Therapy

(1) Background: The size and surface charge are the most significant parameters of nanocarriers that determine their efficiency and potential application. The poor cell uptake of encapsulated drugs is the main limitation in anticancer treatment. The well-defined properties of nanocarriers will enable to target specific tissue and deliver an active cargo. (2) Methods: In the current study, poly(D,L -lactide) (PLA) nanocarriers loaded with curcumin (CUR) and differing surface charge were evaluated for transport efficacy in combination with electroporation (EP) in dependence on the type of cells. The obtained CUR-loaded nanoparticles with diameters ranging from 195 to 334 nm (derived from dynamic light scattering (DLS)) were characterized by atomic force microscopy (AFM) (morphology and shape) and Doppler electrophoresis (ζ-potential) as well as UV-vis spectroscopy (CUR encapsulation efficiency (about 90%) and photobleaching rate). The drug delivery properties of the obtained PLA nanocarriers enhanced by electroporation were assessed in human colon cancer cells (LoVo), excitable normal rat muscle cells (L6), and free of voltage-gated ion channels cells (CHO-K1). CLSM studies, viability, and ROS release were performed to determine the biological effects of nanocarriers. (3) Results: The highest photodynamic activity indicated anionic nanocarriers (1a) stabilized by C₁₂(COONa)₂ surfactant. Nanocarriers were cytotoxic for LoVo cells and less cytotoxic for normal cells. ROS release increased in cancer cells with the increasing electric field intensity, irradiation, and time after EP. Muscle L6 cells were less sensitive to electric pulses. (4) Conclusions: EP stimulation for CUR-PLA nanocarriers transport was considered to improve the regulated and more effective delivery of nanosystems differing in surface charge.