| 1. |
- Bermin, Hans-Peter, et al.
(författare)
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Local vega index and variance reduction methods
- 2003
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Ingår i: Mathematical Finance. - : Wiley. - 1467-9965 .- 0960-1627. ; 13:1, s. 85-97
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Tidskriftsartikel (refereegranskat)abstract
- In this article we discuss a generalization of the Greek called vega which is used to study the stability of option prices and hedging portfolios with respect to the volatility in various models. We call this generalization the local vega index. We compute through Monte Carlo simulations this index in the cases of Asian options under the classical Black-Scholes setup. Simulation methods using Malliavin calculus and kernel density estimation are compared. Variance reduction methods are discussed.
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| 2. |
- Cisneros, David A., et al.
(författare)
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Inversion of the allosteric response of Escherichia coli glucosamine-6-P deaminase to N-acetylglucosamine 6-P, by single amino acid replacements
- 2004
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Ingår i: Archives of Biochemistry and Biophysics. - : Elsevier BV. - 0003-9861 .- 1096-0384. ; 421:1, s. 77-84
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Tidskriftsartikel (refereegranskat)abstract
- Amino acid replacements in the active site of glucosamine-6-P deaminase from Escherichia coli (GlcN6P deaminase, EC 3.5.99.6) involving the residues D141 and E148 produce atypical allosteric kinetics. These residues are located in the chain segment 139-156 which is part of the active site and which also forms several intersubunit contacts close to the allosteric site. In the D141N and E148Q mutant forms of this deaminase, there is an inversion of the effect of its physiological allosteric effector, N-acetylglucosamine 6-P, which becomes an inhibitor at substrate concentrations above a critical value. For both mutants, this particular point appears at low substrate concentration and the inhibition by the allosteric activator is the dominant effect in velocity versus substrate curves. These effects are analyzed as a particular case of the concerted allosteric model, assuming that the R state, the conformer displaying the higher affinity for the substrate, is the less catalytic state, thus producing an inverted allosteric response.
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| 3. |
- Montero, M. I., et al.
(författare)
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Flux pinning by regular nanostructures in Nb thin films : Magnetic vs. structural effects
- 2003
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Ingår i: Europhysics letters. - : IOP Publishing. - 0295-5075 .- 1286-4854. ; 63:1, s. 118-124
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Tidskriftsartikel (refereegranskat)abstract
- Periodic pinning effects in indented Nb films and Nb films with rectangular arrays of submicrometric Ni dots were studied. The indented samples consisted of Nb film deposited on top of Si substrates patterned with rectangular arrays of nanoholes. Pinning effects can be observed in the evolution of resistivity and critical current with the applied magnetic field, showing the same qualitative behavior, for both types of samples. The main difference between them is that the matching effects are more pronounced in the samples with magnetic dots. The analysis and comparison of these results allows determining the pinning as due to superconductivity suppression around the nanostructures (indentations or dots) due to a thickness reduction. For the samples with magnetic dots, this suppression of superconductivity is reinforced by the magnetic proximity effect.
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