bluuebunny/crossref_metadata_2025_split huggingface dataset:
Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading
Authors: Föllmer H. , Schweizer M. 
Published: June 2006

It is widely acknowledge that there has been a major breakthrough in the mathematical theory of option trading. This breakthrough, which is usually summarized by the Black–Scholes formula, has generated a lot of excitement and a certain mystique. On the mathematical side, it involves advanced probabilistic techniques from martingale theory and stochastic calculus which are accessible only to a small group of experts with a high degree of mathematical sophistication; hence the mystique. In its practical implications it offers exciting prospects. Its promise is that, by a suitable choice of a trading strategy, the risk involved in handling an option can be eliminated completely.Since October 1987, the mood has become more sober. But there are also mathematical reasons which suggest that expectations should be lowered. This will be the main point of the present expository account. We argue that, typically, the risk involved in handling an option has an irreducible intrinsic part. This intrinsic risk may be much smaller than the a priori risk, but in general one should not expect it to vanish completely. In this more sober perspective, the mathematical technique behind the Black–Scholes formula does not lose any of its importance. In fact, it should be seen as a sequential regression scheme whose purpose is to reduce the a priori risk to its intrinsic core.We begin with a short introduction to the Black–Scholes formula in terms of currency options. Then we develop a general regression scheme in discrete time, first in an elementary two-period model, and then in a multiperiod model which involves martingale considerations and sets the stage for extensions to continuous time. Our method is based on the interpretation and extension of the Black–Scholes formula in terms of martingale theory. This was initiated by Kreps and Harrison; see, e.g. the excellent survey of Harrison and Pliska (1981,1983). The idea of embedding the Black–Scholes approach into a sequential regression scheme goes back to joint work of the first author with D. Sondermann. In continuous time and under martingale assumptions, this was worked out in Schweizer (1984) and Föllmer and Sondermann (1986). Schweizer (1988) deals with these problems in a general semimartingale model.
What is a Sports Car?
Authors: Ingenbleek Jean-François , Lemaire Jean 
Published: June 2006

AbstractPrincipal component analysis is employed to construct a new formula defining ‘sports cars’, a classification variable commonly used by Belgian insurers in motor insurance. Five hundred and eighty-one different car models were used in the design of the formula. It is based solely on the cars' technical characteristics and hence does not rely on the subjective opinion of experts; the resulting classification is independent of units of measurement employed. Thus the definition is suitable for application world-wide.
The Aggregate Claims Distribution in the Individual Model with Arbitrary Positive Claims
Authors: De Pril Nelson 
Published: June 2006

AbstractIn an earlier paper the author derived a recursion formula which permits the exact computation of the aggregate claims distribution in the individual life model. To save computing time he also proposed an approximative procedure based on the exact recursion.In the present contribution the exact recursion formula and the related approximations are generalized to the individual risk theory model with arbitrary positive claims. Error bounds for the approximations are given and it is shown that they are smaller than those of the Kornya-type approximations.
An analysis of the effect of elongational viscosity on the flow in a spiral–mandrel die
Authors: Sun Y. , Gupta M. 
Published: June 2006

AbstractA three‐dimensional flow of a low‐density polyethylene in a spiral–mandrel die for a blown‐film extrusion is simulated. The effect of elongational viscosity on the flow in the spiral–mandrel die is analyzed. Elongational viscosity is found to have only a minor effect on the velocity distribution, but a significant effect on the pressure and temperature distributions in the die. © 2006 Wiley Periodicals, Inc. Adv Polym Techn 25: 90–97, 2006; Published online in Wiley InterScience (www.interscience.wiley.com). DOI 10.1002/adv.20061
CHD7 gene and non‐syndromic cleft lip and palate
Authors: Félix Têmis M. , Hanshaw Benjamin C. , Mueller Robert , Bitoun Pierre , Murray Jeffrey C. 
Published: June 2006

AbstractCleft lip and palate is a common birth defect that has a complex etiology resulting from an interaction of genetic and environmental factors. Few genes are known to contribute to its etiology. CHARGE syndrome is a common multiple malformation syndrome in which 20–36% of the cases have clefting. CHARGE is caused by mutations or deletions in the CHD7 gene. We analyzed the coding regions of CHD7 in nine CHARGE cases and identified five mutations, four of which were novel. We sequenced selected CHD7 exons in non‐syndromic clefting cases from Iowa and Philippines populations, as well as matched controls. Variants in non‐syndromic cases were found, however, the numbers were not statistically different from the controls. Association analysis of three single nucleotide polymorphisms (SNPs) using 878 case‐parent triads from Iowa and Philippines population showed no significant overtransmission. Mutations in CHD7 are not common in isolated clefting cases and we found minimal evidence that CHD7 can act as a modifier for non‐syndromic clefting. © 2006 Wiley‐Liss, Inc.
Relevance criteria identified by health information users during Web searches
Authors: Crystal Abe , Greenberg Jane 
Published: June 2006

AbstractThis article focuses on the relevance judgments made by health information users who use the Web. Health information users were conceptualized as motivated information users concerned about how an environmental issue affects their health. Users identified their own environmental health interests and conducted a Web search of a particular environmental health Web site. Users were asked to identify (by highlighting with a mouse) the criteria they use to assess relevance in both Web search engine surrogates and full‐text Web documents. Content analysis of document criteria highlighted by users identified the criteria these users relied on most often. Key criteria identified included (in order of frequency of appearance) research, topic, scope, data, influence, affiliation, Web characteristics, and authority/person. A power‐law distribution of criteria was observed (a few criteria represented most of the highlighted regions, with a long tail of occasionally used criteria). Implications of this work are that information retrieval (IR) systems should be tailored in terms of users' tendencies to rely on certain document criteria, and that relevance research should combine methods to gather richer, contextualized data. Metadata for IR systems, such as that used in search engine surrogates, could be improved by taking into account actual usage of relevance criteria. Such metadata should be user‐centered (based on data from users, as in this study) and context‐appropriate (fit to users' situations and tasks)
Vom Einfluß des Analysewerkzeugs auf die Modellbildung – Zur statischen Analyse des Wiegmann‐Polonceau‐Trägers in der 2. Hälfte des 19. Jahrhunderts
Authors: Holzer Stefan M. 
Published: June 2006

AbstractZu den beliebtesten Tragsystemen des Eisenhochbaus der zweiten Hälfte des 19. Jahrhunderts zählte der Wiegmann‐Polonceau‐Träger. Das erste größere Bauwerk in Deutschland, an dem dieser Träger eingesetzt wurde, war die Schrannenhalle in München (erbaut 1851–53). Die Wiedereröffnung der wieder aufgestellten Schrannenhalle im September 2005 gibt den Anlaß, die statische Modellbildung für diese Trägerart durch die Literatur zum Eisenhochbau der Zeit zu verfolgen und die Wechselwirkung von Berechnungsmethoden und Modellbildung zu analysieren.
Drug‐eluting stent implantation for treatment of recurrent renal artery in‐stent restenosis
Authors: Kakkar Aman K. , Fischi Michael , Narins, Craig R. 
Published: June 2006

AbstractPercutaneous renal artery stenting has become the treatment of choice for renal artery stenosis. In‐stent restenosis (ISR) still remains a persistent problem. Drug eluting stents have significantly reduced the incidence of ISR in coronary arteries. We report a case in which recurrent renal ISR was successfully treated with paclitaxel‐eluting stent implantation, using intravascular ultrasound guidance, with maintained stent patency at 6 months. © 2006 Wiley‐Liss, Inc.
o‐Nitrobenzyl Photolabile Protecting Groups with Red‐Shifted Absorption: Syntheses and Uncaging Cross‐Sections for One‐ and Two‐Photon Excitation
Authors: Aujard Isabelle , Benbrahim Chouaha , Gouget Marine , Ruel Odile , Baudin Jean‐Bernard , Neveu Pierre , Jullien Ludovic 
Published: June 2006

AbstractWe evaluated the o‐nitrobenzyl platform for designing photolabile protecting groups with red‐shifted absorption that could be photolyzed upon one‐ and two‐photon excitation. Several synthetic pathways to build different conjugated o‐nitrobenzyl backbones, as well as to vary the benzylic position, are reported. Relative to the reference 4,5‐dimethoxy‐2‐nitrobenzyl group, several o‐nitrobenzyl derivatives exhibit a large and red‐shifted one‐photon absorption within the near‐UV range. Uncaging after one‐photon excitation was studied by measuring UV‐visible absorption and steady‐state fluorescence emission on model caged ethers and esters. In the whole series investigated, the caged substrates were released cleanly upon photolysis. Quantum yields of uncaging after one‐photon absorption lie within the 0.1–1 % range. We observed that these drop as the maximum wavelength absorption of the o‐nitrobenzyl protecting group is increased. A new method based on fluorescence correlation spectroscopy (FCS) after two‐photon excitation was used to measure the action uncaging cross section for two‐photon excitation. The series of o‐nitrobenzyl caged fluorescent coumarins investigated exhibit values within the 0.1–0.01 Goeppert–Mayer (GM) range. Such results are in line with the low quantum yields of uncaging associated with cross‐sections of 1–50 GM for two‐photon absorption. Although the cross‐sections for one‐ and two‐photon absorption of o‐nitrobenzyl photolabile protecting groups can be readily improved, we emphasize the difficulty in enlarging the corresponding action uncaging cross‐sections in view of the observed trend of their quantum yield of uncaging.
Identification of groundwater flow paths in complex aquifer systems
Authors: Lamouroux Christian , Hani Azzedine 
Published: June 2006

AbstractA methodology was developed and applied to the Tindouf (southwestern Algeria) and the Annaba–Bouteldja aquifers (northeastern Algeria) in order to understand better the hydrogeology of the complex aquifers despite the scarcity of the available data. Graphical representation of deuterium versus oxygen‐18 and principal components analysis (PCA) are statistical techniques used to combine various disciplinary data in order to identify chemical and isotopic groups, which are in turn used to define groundwater flow paths. The results of this study agree with the generally accepted hydrogeological conceptual model of the aquifers. In addition, we obtained new results using the PCA method: (1) a description of the complex flow system by grouping various qualitative and quantitative parameters; (2) the definition and characterization of the main groundwater flow paths from their sources to the discharge zones. These flow paths are defined by their water categories, which are represented by salinity and origin of groundwater. This approach is useful for analysing aquifers despite the lack of important database and may also be helpful for studying other complex groundwater basins. Copyright © 2006 John Wiley & Sons, Ltd.
Rates, processes and morphology of freshwater calving at Miage Glacier (Italian Alps)
Authors: Diolaiuti G. , Citterio M. , Carnielli T. , D'Agata C. , Kirkbride M. , Smiraglia C. 
Published: June 2006

AbstractThe rates and processes of freshwater calving at Miage Glacier (Mont Blanc Massif, Italy) are described. Calving at Miage Glacier has occurred for two centuries on its right‐lateral side, into a small ice‐marginal lake (Miage Lake). Field surveys identified the main processes leading to iceberg production and quantified the calving losses over a summer season. Calving losses were compared (1) with the surface ablation of the debris‐covered tongue, evaluated through a simple model based on measured ablation rates at different altitudes and debris cover thicknesses, and (2) with other inputs to the lake (stream inflow discharge) and with the lake volume. Results show that thermal undercutting by warmer surface water plays an important role in driving ice‐cliff evolution. Thermal notches grow at ∼30–35m year−1 and cause a similar amount of cliff retreat. Calving contributes ∼2% of the estimated summer runoff from the debris‐covered part of the ablation zone, but this is equivalent to ∼38% of the lake volume, and is of the same magnitude as the mean discharge from the inflow streams. These data indicate that calving of the ice cliff is one of the main water sources for maintaining the lake at the maximum summer volume, with the surface at the level of the subaerial outlet stream. A survey of Italian calving glaciers shows that calving is becoming more widespread, and that debris covers are present at all calving ice margins. The lake–ice interactions described in this study can, therefore, be considered to have wider representativeness. Copyright © 2006 John Wiley & Sons, Ltd.
Firn layer impact on glacial runoff: a case study at Hofsjökull, Iceland
Authors: de Woul Mattias , Hock Regine , Braun Matthias , Thorsteinsson Thorsteinn , Jóhannesson Tómas , Halldórsdóttir Stefanía 
Published: June 2006

AbstractA mass balance–runoff model is applied to Hofsjökull, an 880 km2 ice cap in Iceland, in order to assess the importance of the firn layer for glacial runoff. The model is forced by daily temperature and precipitation data from a nearby meteorological station. Water is routed through the glacier using a linear reservoir model assuming different storage constants for firn, snow and ice. The model is calibrated and validated using mass balance data and satellite‐derived snow facies maps. Simulated mass balances and snowline retreats are generally in good agreement with observations. Modelled cumulative mass balance for the entire ice cap over the period 1987/1988 to 2003/2004 is − 7·3 m, with uninterrupted negative mass balances since 1993/1994. Perturbing the model with a uniform temperature (+1 K) and precipitation (+10%) increase yields static mass balance sensitivities of − 0·95 m a−1 and +0·23 m a−1 respectively. Removing the firn layer under otherwise likewise conditions results in almost unchanged total runoff volumes, but yields a redistribution of discharge within the year. Early summer discharge (June to mid August) is amplified by roughly 5–10%, whereas late‐summer/autumn discharge (mid August to November) is reduced by 15–20% as a result of accelerated water flow through the glacial hydrological system. In comparison, applying a climate‐model‐based temperature and precipitation scenario for Iceland until 2050 results in higher runoff throughout the year, increasing total runoff by roughly one‐third. The results emphasize the role of the firn layer in delaying water flow through glaciers, and the influence on discharge seasonality when firn areas shrink in response to climate‐change‐induced glacier wastage. Copyright © 2006 John Wiley & Sons, Ltd.
Snowmelt contribution to discharge from a large mountainous catchment in subarctic Canada
Authors: Woo Ming‐Ko , Thorne Robin 
Published: June 2006

AbstractSnowmelt is responsible for much of the annual runoff and most of the peak discharges in subarctic mountainous regions. It also provides a significant amount of freshwater inflow to the polar seas, which has implications for Arctic Ocean circulation. Owing to considerable topographic contrasts in large mountainous basins, snow accumulation and melt patterns are highly variable in time and space, but the scarcity of data in these regions prevents the patterns from being discerned. Application of a macro‐scale hydrological model (using reanalysis data from the European Centre for Medium‐Range Weather Forecasts, the National Centers for Environmental Prediction and the North American Regional Reanalysis) offers one suitable approach to estimate the magnitude and timing of snowmelt contribution to discharge from large mountainous catchments. The Liard basin, subarctic Canada, is used as an example and the SLURP (Semi‐distributed Land‐use‐based Runoff Processes) model allows hydrograph simulation for the Liard and its sub‐basins. Three sets of reanalysis temperature and precipitation data provide inputs to assess the sensitivity of model simulation. The spatial patterns of snowmelt, runoff and stream discharge for four water years were simulated. The SLURP model was found to be sensitive to a plausible range of input conditions as depicted by the three sets of reanalysis data. Despite differences in detail among the three sets of simulation results, several generalities emerged. A comparison of simulated snow cover with satellite data confirms that there are altitudinal delays in spring flow generation though latitude has no apparent influence. Runoff lags snowmelt while the catchment integrates flows of its tributaries, yet different combinations of winter snowfall and spring melt rates cause large interannual variations in snowmelt discharge. Streamflow measured and simulated at four stations along the main river permits an evaluation of runoff contribution from various sectors of the basin. The overall pattern of melt runoff generation and the modelling approach used in this investigation are applicable to other large mountainous basins in high latitudes. Copyright © 2006 John Wiley & Sons, Ltd.
Regional differences in response of flow in glacier‐fed Himalayan rivers to climatic warming
Authors: Rees H. Gwyn , Collins David N. 
Published: June 2006

AbstractRiver flow from glacierized areas in the Himalaya is influenced both by intra‐annual variations in precipitation and energy availability, and by longer term changes in storage of water as glacier ice. High specific discharge from ice melt often dominates flow for considerable distances downstream, particularly where other sources of runoff are limited, providing a major water resource. Should Himalayan glaciers continue to retreat rapidly, water shortages might be widespread within a few decades. However, given the difference in climate between the drier western and monsoonal eastern ends of the region, future warming is unlikely to affect river flow uniformly throughout.A simple temperature‐index‐based hydro‐glaciological model, in which glacier dimensions are allowed to decline through time, has been developed with a view to assessing, in data‐sparse areas, by how much and when climate warming will reduce Himalayan glacier dimensions and affect downstream river flows. Two glaciers having the same initial geometries were located (one each) in the headwaters of two identical nests of hypothetical catchments, representing contrasting climates in the west and east of the region. The hypothetical catchments were nested such that percentage ice cover declined with increasing basin area. Model parameters were validated against available but limited mass‐balance and river flow measurements. The model was applied for 150 years from an arbitrary start date (1990), first with standard‐period (1961–1990) climate data and then with application of a 0·06 °C year−1 transient climatic warming scenario.Under this warming scenario, Himalayan rivers fed by large glaciers descending through considerable elevation range will respond in a broadly similar manner, except that summer snowfall in the east will suppress the rate of initial flow increase, delay peak discharge and postpone eventual disappearance of the ice. Impacts of declining glacier area on river flow will be greater in smaller and more highly glacierized basins in both the west and east, and in the west, where precipitation is scarce, for considerable distances downstream. Copyright © 2006 John Wiley & Sons, Ltd.
Influence of the calcination temperature on the Au/FeOx/Al2O3 catalyst
Authors: Wang Donghui , Hao Zhengping , Cheng Daiyun , Shi Xicheng 
Published: June 2006

AbstractThe effect of calcination temperature on the electronic structure of gold catalyst was investigated in this paper. CO oxidation was employed as a test reaction to correlate the phase changes to the catalytic activity. The TPR, XPS and XRD characterization showed that the highly active Au/FeOx/Al2O3 catalyst contained both gold atoms and ions. The catalytic performance of gold catalyst may depend on the Au0/Au3+ ratio. The best activity in the present work was obtained when the Au0/Au3+ ratio was about 0.89. Copyright © 2006 Society of Chemical Industry
Preparation and evaluation of a novel chiral stationary phase based on covalently bonded chitosan for ligand‐exchange chromatography
Authors: Liu Yueqi , Zou Hanfa , Haginaka Jun 
Published: June 2006

AbstractA novel chiral stationary phase based on chitosan covalently bonded onto silica gels has been prepared and used for the separation of various α‐amino acid enantiomers as well as α‐hydroxycarboxylic acid enantiomers by chiral ligand‐exchange chromatography with copper(II) as a complexing ion. The methanol content and copper(II) ion concentration in the eluent affected retentivity and enantioselectivity. Furthermore, a plausible chiral recognition mechanism for resolution of α‐amino acids was proposed.
Optimisation of the derivatization in cellulose‐type chiral selectors for enantioseparation by centrifugal partition chromatography
Authors: Pérez Eva , Minguillón Cristina 
Published: June 2006

AbstractCellulose was chemically modified with hydrophobic dodecanoyl groups followed by 3,5‐dimethylphenylcarbamoyl substituents forming mixed ester/carbamate derivatives in order to improve the solubility in lipophilic solvents compared to the corresponding homosubstituted cellulose tris(3,5‐dimethylphenylcarbamate). Two mixed derivatives of different degree of substitution were prepared, tested as chiral selectors (CSs) in counter‐current chromatography (CCC) and compared to the homo‐substituted derivative. Alternatively, cellulose tris(3,5‐dichlorophenylcarbamate), was synthesised and tested with the same purpose. The racemic drugs pindolol and warfarin were used as test compounds. Biphasic organic/aqueous solvent systems, composed of methyl isobutyl ketone, t‐butyl methyl ether or ethyl acetate and aqueous ammonium acetate or sodium phosphate buffer, were used. Centrifugal partition chromatography, a variety of CCC, in the classical elution mode and the pH‐zone‐refining displacement mode was applied. The enantioseparation of pindolol and warfarin was achieved in the latter conditions. The presence of dodecanoyl chains on the CS increased solubility in the organic solvents used. The selectivity of the mixed dodecanoyl/3,5‐dimethylphenylcarbamoyl cellulose derivative with low degree of dodecanoyl groups (degree of substitution 0.3/degree of substitution 2.6, respectively) was similar to that of the homo‐substituted derivative. Furthermore, the loading capacity for pindolol was increased by a factor of three compared to cellulose tris(3,5‐dimethylphenylcarbamate). Nevertheless, the increasing degree of substitution with dodecanoyl groups on the CS, although improved solubility in the stationary phase, contributed negatively to the enantioselectivity, where warfarin was more affected than pindolol.