Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Using a New Criterion to Identify Sites for Mean Soil Water Storage Evaluation

Establishing a few sites in which measurements of soil water storage (SWS) are time stable significantly reduces the efforts involved in determining average values of SWS. This study aimed to apply a new criterion the mean absolute bias error (MABE)-to identify temporally stable sites for mean SWS evaluation. The performance of MABE was compared with that of the commonly used criterion, the standard deviation of relative difference (SDRD). From October 2004 to October 2008, SWS of four soil layers (0-1.0, 1.0-2.0,2.0-3.0, and 3.0-4.0 m) was measured, using a neutron probe, at 28 sites on a hillslope of the Loess Plateau, China. A total of 37 SWS data sets taken over time were divided into two subsets, the first consisting of 22 dates collected during the calibration period from October 2004 to September 2006, and the second with 15 dates collected during the validation period from October 2006 to October 2008. The results showed that if a critical value of 5% for MABE was defined, more than half the sites were temporally stable for both periods, and the number of temporally stable sires generally increased with soil depth. Compared with SDRD, MABE was more suitable for the identification of time-stable sites for mean SS prediction. Since the absolute prediction error of drier sites is more sensitive to changes in relative difference in terms of mean SWS prediction, the sites of wet sectors should be preferable for mean SWS prediction for the same changes in relative difference.

Using indicators of deforestation and land-use dynamics to support conservation strategies: A case study of central Rondonia, Brazil

In Rondonia State, Brazil, settlement processes have cleared 68,000 km 2 of tropical forests since the 1970s. The intensity of deforestation has differed by region depending on driving factors like roads and economic activities. Different histories of land-use activities and rates of change have resulted in mosaics of forest patches embedded in an agricultural matrix. Yet, most assessments of deforestation and its effects on vegetation, soil and water typically focus on landscape patterns of current conditions, yet historical deforestation dynamics can influence current conditions strongly. Here, we develop and describe the use of four land-use dynamic indicators to capture historical land-use changes of catchments and to measure the rate of deforestation (annual deforestation rate), forest regeneration level (secondary forest mean proportion), time since disturbance (mean time since deforestation) and deforestation profile (deforestation profile curvature). We used the proposed indices to analyze a watershed located in central Rondonia. Landsat TM and ETM+ images were used to produce historical land-use maps of the last 18 years, each even year from 1984 to 2002 for 20 catchments. We found that the land-use dynamics indicators are able to distinguish catchments with different land-use change profiles. Four categories of historical land-use were identified: old and dominant pasture cover on small properties, recent deforestation and dominance of secondary growth, old extensive pastures and large forest remnants and, recent deforestation, pasture and large forest remnants. Knowing historical deforestation processes is important to develop appropriate conservation strategies and define priorities and actions for conserving forests currently under deforestation. (C) 2009 Elsevier B.V. All rights reserved.

Effectiveness of the CAGE questionnaire, gamma-glutamyltransferase and mean corpuscular volume of red blood cells as markers for alcohol-related problems in the workplace

Objective: To evaluate the usefulness of gamma-glutamyltransferase (GGT) and mean corpuscular volume (MCV), as well as that of the CAGE questionnaire, in workplace screening for alcohol abuse/dependence. Methods: A total of 183 male employees were submitted to structured interviews (Structured Clinical Interview for DSM-IV 2.0 and CAGE questionnaire). Blood samples were collected. Diagnostic accuracy and odds ratio were determined for the CAGE, GGT and MCV. Results: The CAGE questionnaire presented the best sensitivity for alcohol dependence (91%; specificity, 87.8%) and for alcohol abuse (87.5%, specificity, 80.9%), which increased when the questionnaire was used in combination with GGT (sensitivity, 100% and 87.5%, respectively; specificity, 68% and 61.5, respectively). CAGE positive results and/or alterations in GGT were less likely to occur among employees not presenting alcohol abuse/ dependence than among those presenting such abuse (OR for CAGE = 13, p < 0.05; OR for CAGE-GGT = 11, p < 0.05) or dependence (OR for CAGE = 76, p < 0.0 1; OR for GGT = 5, p < 0.0 1). Employees not presenting alcohol abuse/dependence were also several times more likely to present negative CAGE or GGT results. Conclusions: The use short, simple questionnaires, combined with that of low-cost biochemical markers, such as GGT, can serve as an initial screening for alcohol-related problems, especially for employees in hazardous occupations. The data provided can serve to corroborate clinical findings. (C) 2008 Elsevier Ltd. All rights reserved.

Absence of lymph nodes in the resected specimen after radical surgery for distal rectal cancer and neoadjuvant chemoradiation therapy: What does it mean?

Purpose: The number of retrieved lymph nodes during radical surgery has been considered of great importance to ensure adequate staging and radical resection. However, this finding may not be applicable after neoadjuvant therapy in which, not only is there a decrease in lymph nodes recovered, but also a subgroup of patients with absence of lymph nodes in the resected specimen. Methods: Patients with absence of lymph nodes were compared with patients with ypN0 disease and patients with ypN+ disease. Results: Thirty-two patients (11 percent) had absence of lymph nodes, 171 patients (61 percent) had ypN0 disease, and 78 patients (28 percent) had ypN+ disease. Patients with absence of lymph nodes had significantly lower ypT status (ypT0-1, 40 vs. 13 percent; P < 0.001) and decreased risk of perineural invasion (6 vs. 21 percent; P = 0.04) compared with ypN0 patients. Five-year disease-free survival (74 percent) was similar to patients with ypN0 (59 percent; P = 0.2), and both were significantly better than patients with ypN+ disease (30 percent; P < 0.001). Conclusions: Absence of lymph nodes retrieved from the resected specimen is associated with favorable pathologic features (ypT and perineural invasion status) and good disease-free survival rates. In this setting, absence of retrieved lymph nodes may reflect improved response to neoadjuvant chemoradiation therapy rather than inappropriate or suboptimal oncologic radicality.

Pulmonary involvement in pleural tuberculosis: How often does it mean disease activity?

Objective: To evaluate in chest X-rays and high-resolution computed tomographies of patients with pleural tuberculosis, the incidence of parenchymal and mediastinal lung lesions suggestive of active disease. Methods: Prospective study (2008-2009) evaluating the radiographic and tomographic abnormalities of 88 HIV-negative patients with pleural tuberculosis (unilateral effusion). The images were reviewed by 3 independent specialists, and the observed changes were classified according to previously established criteria: presence or absence of signs suggestive of disease activity, and nonspecific findings. Results: Abnormal changes were observed in chest X-rays of 22 (25%) patients and in the computed tomography of 55 (63%). Images compatible with active pulmonary tuberculosis were detected by radiography in 9 (10%) patients and by tomography in 38 (43%). Only 4 (4.5%) patients had tomography images suggestive of residual disease. Conclusion: The present study demonstrates that pulmonary involvement is quite common in pleural tuberculosis. This finding is mainly observed in high-resolution computed tomography and has important epidemiological implications, since patients with pleural tuberculosis are significant sources of infection and disease dissemination. (C) 2011 Elsevier Ltd. All rights reserved.

SPINAL POSTURAL ALIGNMENT VARIANCE ACCORDING TO SEX AND AGE IN 7-AND 8-YEAR-OLD CHILDREN

Purpose: Children`s postural alignment undergoes many adjustments due to the changes in body proportions during the stages of growth. The objective of this study was to quantitatively characterize and analyze spinal postural standards in 7- and 8-year-old children to verify which of the differences found were correlated to age and sex. Methods: Two hundred thirty public school students (Amparo, Sao Paulo, Brazil) aged 7 to 8 years were divided into groups according to postural alignment, which were further subdivided by sex and age, for comparison. Digital photos of upright Subjects were analyzed to evaluate posture. Lumbar and thoracic curvature, pelvic inclination, head posture, and lateral spine deviation were measured using CorelDraw (Ottawa, Canada) software guidelines and bone landmarks. Descriptive statistics and analysis of variance data analysis were utilized to verify differences among the groups. This was a cross-sectional, descriptive study. Results: Mean values for the variables analyzed were calculated. For lumbar lordosis, 7-year-old boys showed 38.49 degrees +/- 15.32 degrees in comparison to all other groups (42.29 degrees +/- 7.13 degrees). For thoracic kyphosis, the 7-year-old children presented 28.07 degrees +/- 7.73 degrees. and the 8-year-olds 30.32 degrees +/- 7.73 degrees. Pelvic inclination presented a mean value of 15.82 degrees +/- 5.46 degrees and single lateral spine deviation mean value of 3.48 degrees +/- 2.12 degrees. Conclusion: For the sample studied, differences based on sex and age were found for some of the body segments analyzed. The values found in this study may contribute to improved physiotherapeutic treatment when associated with other aspects of the clinical assessment and symptomatology. (J Manipulative Physiol Ther 2009;32: 154-159)

The anatomy of two-rooted mandibular canines determined using micro-computed tomography

P>Aim To investigate the internal and external anatomy of extracted human mandibular canines with two roots and two distinct canals using micro-computed tomography (mu CT). Methodology Fourteen two-rooted human mandibular canines were scanned using a high-resolution mu CT system (SkyScan 1174v2; SkyScan N.V., Kontich, Belgium). The images were processed to evaluate the size of the roots, the furcation regions, the presence of accessory canals, the mean distances between several anatomical landmarks, the position of the apical foramina, the direction of root curvatures, the cross-sectional appearances (SMI index), the volume and surface areas of the root canals. Results Root bifurcation was located in both apical (44%, n = 6) and middle (58%, n = 8) thirds of the root. The size of the buccal and lingual roots was similar in 29% of the sample. From a buccal view, no curvature towards the lingual or buccal direction occurred in either roots. From a proximal view, no straight lingual root occurred. In both views, S-shaped roots were found in 21% of the specimens. Location of the apical foramen varied considerably, tending to the mesio-buccal aspect of both roots. Lateral and furcation canals were observed mostly in the cervical third in 29% and 65% of the sample, respectively. The structure model index (SMI) index ranged from 1.87 to 3.86, with a mean value of 2.93 +/- 0.46. Mean volume and area of the root canals were 11.52 +/- 3.44 mm3 and 71.16 +/- 11.83 mm2, respectively. Conclusions The evaluation of two-rooted mandibular canines revealed that bifurcations occurred in the apical and middle third. S-shaped roots were found in 21% of the specimens. Mean volume, surface area and SMI index of the root canals were 11.52 mm3, 71.16 mm2 and 2.93, respectively.

Rossby wave propagation tracks in southern hemisphere mean basic flows associated to generalized frosts over southern South America

Based on previous observational studies on cold extreme events over southern South America, some recent studies suggest a possible relationship between Rossby wave propagation remotely triggered and the occurrence of frost. Using the concept of linear theory of Rossby wave propagation, this paper analyzes the propagation of such waves in two different basic states that correspond to austral winters with maximum and minimum generalized frost frequency of occurrence in the Wet Pampa (central-northwest Argentina). In order to determine the wave trajectories, the ray tracing technique is used in this study. Some theoretical discussion about this technique is also presented. The analysis of the basic state, from a theoretical point of view and based on the calculation of ray tracings, corroborates that remotely excited Rossby waves is the mechanism that favors the maximum occurrence of generalized frosts. The basic state in which the waves propagate is what conditions the places where they are excited. The Rossby waves are excited in determined places of the atmosphere, propagating towards South America along the jet streams that act as wave guides, favoring the generation of generalized frosts. In summary, this paper presents an overview of the ray tracing technique and how it can be used to investigate an important synoptic event, such as frost in a specific region, and its relationship with the propagation of large scale planetary waves.

Dynamic portrait of the planetary 2/1 mean-motion resonance - I. Systems with a more massive outer planet

We analyse the global structure of the phase space of the planar planetary 2/1 mean-motion resonance in cases where the outer planet is more massive than its inner companion. Inside the resonant domain, we show the existence of two families of periodic orbits, one associated to the librational motion of resonant angle (sigma-family) and the other related to the circulatory motion of the difference in longitudes of pericentre (Delta pi-family). The well-known apsidal corotation resonances (ACR) appear as intersections between both families. A complex web of secondary resonances is also detected for low eccentricities, whose strengths and positions are dependent on the individual masses and spatial scale of the system. The construction of dynamical maps for various values of the total angular momentum shows the evolution of the families of stable motion with the eccentricities, identifying possible configurations suitable for exoplanetary systems. For low-moderate eccentricities, several different stable modes exist outside the ACR. For larger eccentricities, however, all stable solutions are associated to oscillations around the stationary solutions. Finally, we present a possible link between these stable families and the process of resonance capture, identifying the most probable routes from the secular region to the resonant domain, and discussing how the final resonant configuration may be affected by the extension of the chaotic layer around the resonance region.

Dynamic portrait of the planetary 2/1 mean-motion resonance - II. Systems with a more massive inner planet

This paper presents the second part in our study of the global structure of the planar phase space of the planetary three-body problem, when both planets lie in the vicinity of a 2/1 mean-motion resonance. While Paper I was devoted to cases where the outer planet is the more massive body, the present work is devoted to the cases where the more massive body is the inner planet. As before, outside the well-known Apsidal Corotation Resonances (ACR), the phase space shows a complex picture marked by the presence of several distinct regimes of resonant and non-resonant motion, crossed by families of periodic orbits and separated by chaotic zones. When the chosen values of the integrals of motion lead to symmetric ACR, the global dynamics are generally similar to the structure presented in Paper I. However, for asymmetric ACR the resonant phase space is strikingly different and shows a galore of distinct dynamical states. This structure is shown with the help of dynamical maps constructed on two different representative planes, one centred on the unstable symmetric ACR and the other on the stable asymmetric equilibrium solution. Although the study described in the work may be applied to any mass ratio, we present a detailed analysis for mass values similar to the Jupiter-Saturn case. Results give a global view of the different dynamical states available to resonant planets with these characteristics. Some of these dynamical paths could have marked the evolution of the giant planets of our Solar system, assuming they suffered a temporary capture in the 2/1 resonance during the latest stages of the formation of our Solar system.

On the development of summer thunderstorms in the city of Sao Paulo: Mean meteorological characteristics and pollution effect

This study investigates how the summer thunderstorms developed over the city of Sao Paulo and if the pollution might affect its development or characteristics during the austral summer (December-January-February-March, DJFM months). A total of 605 days from December 1999 to March 2004 was separated as 241 thunderstorms days (TDs) and 364 non-thunderstorm days (NTDs). The analyses are performed by using hourly measurements of air temperature (T), web-bulb temperature (Tw), surface atmospheric pressure (P), wind velocity and direction, rainfall and thunder and lightning observations collected at the Meteorological Station of the University of Sao Paulo in conjunction with aerosol measurements obtained by AERONET (Aerosol Robotic Network), and the NCEP-DOE (National Centers for Environmental Prediction Department of Energy) reanalysis and radiosondes. The wind diurnal cycle shows that for TDs the morning flow is from the northwest rotating to the southeast after 16: 00 local time (LT) and it remains from the east until the night. For the NTDs, the wind is well characterized by the sea-breeze circulation that in the morning has the wind blowing from the northeast and in the afternoon from the southeast. The TDs show that the air temperature diurnal cycle presents higher amplitude and the maximum temperature of the day is 3.2 degrees C higher than in NTDs. Another important factor found is the difference between moisture that is higher during TDs. In terms of precipitation, the TDs represent 40% of total of days analyzed and those days are responsible for more than 60% of the total rain accumulation during the summer, for instance 50% of the TDs had more than 15.5mm day(-1) while the NTDs had 4 mm day(-1). Moreover, the rainfall distribution shows that TDs have higher rainfall rate intensities and an afternoon precipitation maximum; while in the NTDs there isn`t a defined precipitation diurnal cycle. The wind and temperature fields from NCEP reanalysis concur with the local weather station and radiosonde observations. The NCEP composites show that TDs are controlled by synoptic circulation characterized by a pre-frontal situation, with a baroclinic zone situated at southern part of Sao Paulo. In terms of pollution, this study employed the AERONET data to obtain the main aerosol characteristics in the atmospheric column for both TDs and NTDs. The particle size distribution and particle volume size distribution have similar concentrations for both TDs and NTDs and present a similar fine and coarse mode mean radius. In respect to the atmospheric loading, the aerosol optical depth (AOD) at different frequencies presented closed mean values for both TDs and NTDs that were statistically significant at 95% level. The spectral dependency of those values in conjunction with the Angstrom parameter reveal the higher concentration of the fine mode particles that are more likely to be hygroscopic and from urban areas. In summary, no significant aerosol effect could be found on the development of summer thunderstorms, suggesting the strong synoptic control by the baroclinic forcing for deep convective development. (C) 2010 Published by Elsevier B. V.