Search results for "Deriva"

Robust Recovery Risk Hedging: Only the First Moment Matters

2009

Credit derivatives are subject to at least two sources of risk: the default time and the recovery payment. This paper examines the impact of modeling the recovery payment on hedging strategies in a reduced-form model as well as a structural model. We show that all hedging approaches based on a quadratic criterion do only depend on the expected recovery payment at default and not the whole shape of the recovery payment distribution if the underlying hedging instrument (say, a defaultable zero coupon bond) jumps to or reaches a pre-specified value when the credit event occurs. This justifies assuming a \emph{certain} recovery rate conditional on default time and interest rate level. Hence, th…

Portfolio diversification in the sovereign credit swap markets

2018

We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified. However, we identify regime switching in the times series of CDS spreads and spread returns, and the optimal diversified strategies can be regime dependent. The developed models trade off the CVaR risk measure against expected return, consistently with the statistical properties of spreads. We consider three investment strategies suited for different CDS market participants: for investors with long positions, speculators that hold unco…

MICRODISSECTION AND DOP-PCR-BASED REVERSE CHROMOSOME PAINTING AS A FAST AND RELIABLE STRATEGY IN THE ANALYSIS OF VARIOUS STRUCTURAL CHROMOSOME ABNORM…

1996

Reverse chromosome painting has become a powerful tool in clinical genetics for the characterization of cytogenetically unclassifiable aberrations. In this report, the application of a sensitive and rapid procedure for the complete and precise identification of four different de novo structural chromosome abnormalities is presented. These chromosome rearrangements include a marker derived from chromosome 3(cen-q11), an interstitial deletion of chromosome 13 [del(13)(q14q22)], an unbalanced translocation [46,XY, -4, +der(4)t(4;8)(p 15.2;p21.1)] leading to Wolf-Hirschhorn syndrome, and a partial inverted duplication in conjunction with a partial deletion of chromosome 5p [46,XX, -5, +der(5)(:…

Structural Studies on Polyaza[n]paracyclophanes. A Molecular Mechanics and Crystallographic Study

1997

Abstract Structural analysis of polyaza[n]paracyclophanes 1-5 has been carried out by the use of molecular mechanics and other techniques. NMR data and molecular mechanics calculations show that conformations in which the polyamine chain is arching above the aromatic ring are prevalent in solution. The crystal structure of triprotonated durene derivative 2b agrees with those studies. Crystals of 3H+.2b are triclinic, space group P1, with a = 11.758(4) A, b = 13.870(5) A, c = 17.181(3) A, α = 96.66(2)°, β = 106.02(2)°, γ = 104.87(3)°, Z = 4, R1 = 0.072, wR2 = 0.18. Three different conformations are present in the crystal. Good agreement between the crystal structures and calculated conformat…

New polynuclear 4,4ˈ-bis-1,2,4-triazole Fe(II) spin crossover compounds

2001

L'interet porte aux materiaux moleculaires du Fe(II) presentant une transition entre un etat haut-spin (HS, S = 2) et un etat bas-spin (LS, S = 0), sous l'effet d'une variation de temperature, de pression ou d'une irradiation lumineuse, n'a cesse de croitre au cours de ces dix dernieres annees [1-4]. La famille des composes du Fe(II) a base de derives du 1,2,4-triazole substitues par un groupe R sur l'azote 4 a ete tres etudiee pour ses proprietes de transition de spin (TS), qui pourraient permettre des applications en electronique moleculaire [5-15, 29, 32, 36, 37]. Nous avons recemment presente le premier compose a TS possedant une structure tridimensionnelle (figure 2). Ce compose de for…

ChemInform Abstract: Asymmetrically Substituted Calix(4)arenes. A Two-Dimensional 1H NMR Study of a Tetraester Derivative in the cone-Conformation.

2010

Gallium-68 and scandium-44 labelled radiotracers based on curcumin structure linked to bifunctional chelators: Synthesis and characterization of pote…

2019

Abstract Curcumin metal complexes showed widespread applications in medicine and can be exploited as a lead structure for developing new tracers for nuclear medicine application. Herein, the synthesis, chemical characterization and radiolabelling with gallium-68 and scandium-44 of two new targeting vectors based on curcumin scaffolds and linked to the chelators 1,4,7-triazacyclononane,1-glutaric acid-4,7-acetic acid (NODAGA) and 1,4-bis(carboxymethyl)-6-[bis(carboxymethyl)]amino-6-methylperhydro-1,4-diazepine (AAZTA) are reported. Synthesis of the precursors could be achieved with a 13% and 11% yield and radiolabelling generally afforded rapid incorporation under mild conditions (>95%). Sta…

The exterior derivative as a Killing vector field

1996

Among all the homogeneous Riemannian graded metrics on the algebra of differential forms, those for which the exterior derivative is a Killing graded vector field are characterized. It is shown that all of them are odd, and are naturally associated to an underlying smooth Riemannian metric. It is also shown that all of them are Ricci-flat in the graded sense, and have a graded Laplacian operator that annihilates the whole algebra of differential forms.

Analysis and fractionation of natural source diacylglycerols as urethane derivatives by reversed-phase high-performance liquid chromatography

1991

Abstract Reversed-phase high-performance liquid chromatography on a thermostatted octadecylsilyl column was used to separate and fractionate mixtures of diacylglycerols after derivatization with 3,5-dinitrophenyl isocyanate (urethane derivatives). In addition to the separation of commercial diacylglycerol species, the separation of diacylglycerols obtained from peanut oil and cottonseed oil triacylglycerols by chemical hydrolysis is reported. Acetonitrile-acetone mixtures were used for elution of the diacylglycerol urethane derivatives. Unsaturated and saturated derivatives were detected by their refractive indices. They were then collected and their fatty acids analysed as methyl esters by…

Separation of monoacylglycerols by reversed-phase high-performance liquid chromatography

1992

Abstract Reversed-phase high-performance liquid chromatography on a thermostated octadecylsilyl column was used to separate complex mixtures of monoacyglycerols formed by chemical deacylation of natural triacyclycerols. Acetonitrile-water mixtures were used for elution of the underivatized monoacylglycerols and a different refractometer was used for their detection. The order of elution of monoacylglycerols in complex mixtures varies as a function of the chain length, unsaturation, positional isomerism, analysis temperature and eluent water concentration. The peak areas were representative of the amounts of monoacylglycerols detected. The method can be applied to compositional analysis and …