Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Hedging na produção de açúcar e álcool: uma integração de decisões financeiras e de produção

O risco financeiro ao qual o produtor agrícola está exposto no momento da comercialização do produto final demanda o uso de instrumentos de redução de risco, a fim de assegurar um preço que viabilize economicamente o processo produtivo. Este artigo analisa o problema de elaboração de estratégias de proteção financeira na presença de restrições de produção, através de um modelo de otimização multiperíodo determinístico. A incerteza é descrita através de árvores de cenários e o risco analisado através das abordagens clássicas de média-variância. O comportamento do modelo proposto é analisado no caso do mercado sucroalcooleiro, para a gestão financeira de usinas sucroalcooleiras, sendo as estratégias de hedging construídas com base no mercado futuro de álcool e açúcar.

Comparison of the n-Alkanes and Polycyclic Aromatic Hydrocarbons Concentrations in the Atmosphere during the Preparation of Warm and Hot Mixtures Asphalt for Pavements

Asphalt binder is used in the production of hot mixes asphalt (HMA) for paving and, due to the high temperatures used, generates fumes thatcontainn-alkanes and polycyclic aromatic hydrocarbons (PAH). Asphalt mixes prepared at lower temperatures, such as warm mixes asphalt (WMA), may contribute to reduce the emissions of those compounds and save energy. This paper investigatesn-alkanes and PAH in the total suspended particles during the preparation of WMA, in comparison with HMA, in laboratory. The results showed that the n-alkanes of the WMA and HMA presented C-max at n-C-26 and n-C-28, respectively; also, the total content of n-alkanes was higher for the HMA than forthe WMA. Besides, benzo[b]fluoranthene and benzo[a]anthracene were the major PAH in the WMA, while the higher temperatures of the HMA were observed to volatilize all larger PAH, demonstrating higher potential of inhalation exposure.