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.

Insights into preventive measures for dental erosion

Dental erosion is defined as the loss of tooth substance by acid exposure not involving bacteria. The etiology of erosion is related to different behavioral, biological and chemical factors. Based on an overview of the current literature, this paper presents a summary of the preventive strategies relevant for patients suffering from dental erosion. Behavioral factors, such as special drinking habits, unhealthy lifestyle factors or occupational acid exposure, might modify the extent of dental erosion. Thus, preventive strategies have to include measures to reduce the frequency and duration of acid exposure as well as adequate oral hygiene measures, as it is known that eroded surfaces are more susceptible to abrasion. Biological factors, such as saliva or acquired pellicle, act protectively against erosive demineralization. Therefore, the production of saliva should be enhanced, especially in patients with hyposalivation or xerostomia. With regard to chemical factors, the modification of acidic solutions with ions, especially calcium, was shown to reduce the demineralization, but the efficacy depends on the other chemical factors, such as the type of acid. To enhance the remineralization of eroded surfaces and to prevent further progression of dental wear, high-concentrated fluoride applications are recommended. Currently, little information is available about the efficacy of other preventive strategies, such as calcium and laser application, as well as the use of matrix metalloproteinase inhibitors. Further studies considering these factors are required. In conclusion, preventive strategies for patients suffering from erosion are mainly obtained from in vitro and in situ studies and include dietary counseling, stimulation of salivary flow, optimization of fluoride regimens, modification of erosive beverages and adequate oral hygiene measures.

Validity and reliability of self-reported weight and height measures for the diagnoses of adolescent's nutritional status

OBJETIVO: Avaliar a validade do peso, estatura e Índice de Massa Corporal (IMC) referidos e sua confiabilidade para o diagnóstico do estado nutricional de adolescentes de Piracicaba. MÉTODOS: Participaram do estudo 360 adolescentes de ambos os sexos, de escolas públicas de Piracicaba, com idade entre 10 e 15 anos. Os adolescentes auto-relataram seu peso e estatura, sendo esses valores obtidos por medidas diretas, logo em seguida, pelos entrevistadores. A validade do IMC referido foi calculada segundo índices de sensibilidade, especificidade e valor preditivo positivo (VPP). Avaliou-se a concordância entre as categorias de IMC obtido por meio das medidas referidas e aferidas a partir do coeficiente kappa ponderado, coeficiente de correlação de Lin. e gráficos de Bland e Altman e Lin. RESULTADOS: Verificou-se que tanto os meninos quanto as meninas subestimaram o peso (-1,0 meninas e meninos) e a estatura (meninas -1,2 e meninos -0,8) (p < 0,001). Os valores de IMC aferidos e referidos apresentaram uma concordância moderada. A sensibilidade do IMC referido para classificar os indivíduos obesos foi maior para os meninos (87,5%), enquanto a especificidade foi maior para as meninas (92,7%). O VPP foi elevado somente para a classificação da eutrofia. CONCLUSÕES: As medidas referidas de peso e estatura de adolescentes não representam medidas válidas e, portanto, não devem ser usadas em substituição aos valores mensurados. Além disso, verificou-se que 10% dos meninos obesos e 40% das meninas obesas poderiam permanecer não identificados utilizando-se as medidas auto-referidas, confirmando a baixa validade das medidas auto-referidas.

Financial distress, financial constraint and investment decision: Evidence from Brazil

This paper analyses the presence of financial constraint in the investment decisions of 367 Brazilian firms from 1997 to 2004, using a Bayesian econometric model with group-varying parameters. The motivation for this paper is the use of clustering techniques to group firms in a totally endogenous form. In order to classify the firms we used a hybrid clustering method, that is, hierarchical and non-hierarchical clustering techniques jointly. To estimate the parameters a Bayesian approach was considered. Prior distributions were assumed for the parameters, classifying the model in random or fixed effects. Ordinate predictive density criterion was used to select the model providing a better prediction. We tested thirty models and the better prediction considers the presence of 2 groups in the sample, assuming the fixed effect model with a Student t distribution with 20 degrees of freedom for the error. The results indicate robustness in the identification of financial constraint when the firms are classified by the clustering techniques. (C) 2010 Elsevier B.V. All rights reserved.

Information theoretic interpretation of frequency domain connectivity measures

In order to provide adequate multivariate measures of information flow between neural structures, modified expressions of partial directed coherence (PDC) and directed transfer function (DTF), two popular multivariate connectivity measures employed in neuroscience, are introduced and their formal relationship to mutual information rates are proved.

The relationship of flow cytometry results with classical measures of bacterial counts in raw refrigerated milk

Bulk milk was collected from 100 farms throughout the year and analysed after storage for either 24, 48 or 72 h, using flow cytometry. The total bacterial counts obtained by two methods - flow cytometry and standard plate count were compared and the conversion relationship between them was assessed: the results showed no effect of the age of the samples relationship between these two methods.

Multicollinearity and financial constraint in investment decisions: a Bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

The Controllership Relevance or Risk Management in non-Financial Companies: a study of risk managers` and controllers` perceptions

The purpose of this study is to analyze the Controllership relevance as support risk management in non-financial companies. Risk management is a widely discussed and disseminated subject amongst financial institutions. It is obvious that economic uncertainties and, consequently, prevention and. control must also exist in non-financial companies. To enable managers to take safe-decisions, it is essential for them to be able to count on instrumental support that provides timely and adequate information, to ensure lower levels of mistakes and risk exposure. However, discussion concerning risk management in non-financial companies is still in its early stages in Brazil. Considering this gap, this study aims at assessing how Controllership has been acting in? companies under the insight of risk and how it can contribute to risk management in non-financial companies. To achieve the proposed goal, a field research was. carried-out with non-financial companies that are located in the city Sao Paulo and listed in the Sao Paulo Stock Exchange (Bovespa). The research was carried out using questionnaires, which were sent do Risk Officers and Controllers of those companies with the purpose of evaluating their perception on the subject. The results,of the research allow us to conclude that Controllership offers support to risk management, through information that contributes to the mitigation of the risks in non-financial companies.

Diagnosis of Organizational Soft Problems in a Peruvian Financial Institution by Systemic Thinking

Managing financial institutions in an underdeveloped economic context has become a real challenge nowadays. In order to reach the organization`s planned goals, they have to deal with structural, behavioral and informational problems. From the systemic point of view, this situation gets even worse when the company does not present organizational boundaries and a cohesive identification for their stakeholders. Thus, European countries have some special financial lines in order to help the development of micro credit in Latin communities in an attempt to help the local economy. However, institutions like Caixa dos Andes in Peru present management problems when dealing with this complexity. Based on this, how can the systemic eye help in the diagnosis of soft problems of a Peruvian financial company? This study aims to diagnose soft problems of a Peruvian financial company based on soft variables like identity, communication and autonomy and also intends to identify possible ways to redesign its basic framework. The (VSM--Viable System Model) method from Beer (1967), applied in this diagnostic study, was used in a practical way as a management tool for organizations` analysis and planning. By describing the VSM`s five systems, the creation of a systemic vision or a total vision is possible, showing the organization`s complexity from the inside. Some company`s soft problems like double control, inefficient use of physical and human resources, low information flows, slowness, etc. The VSM presented an organizational diagnosis indicating effective solutions that do integrate its five systems.

A comparative study of similarity measures for manufacturing cell formation

We introduced a spectral clustering algorithm based on the bipartite graph model for the Manufacturing Cell Formation problem in [Oliveira S, Ribeiro JFF, Seok SC. A spectral clustering algorithm for manufacturing cell formation. Computers and Industrial Engineering. 2007 [submitted for publication]]. It constructs two similarity matrices; one for parts and one for machines. The algorithm executes a spectral clustering algorithm on each separately to find families of parts and cells of machines. The similarity measure in the approach utilized limited information between parts and between machines. This paper reviews several well-known similarity measures which have been used for Group Technology. Computational clustering results are compared by various performance measures. (C) 2008 The Society of Manufacturing Engineers. Published by Elsevier Ltd. All rights reserved.

Financial leverage and tangibility of assets of Brazilian companies of agribusiness in the post-real plan period

This paper aims to study the relationship between the debt level and the asset structure of Brazilian companies of the agribusiness sector, since it is considered a current and relevant discussion: to evaluate the mechanisms for fund-raising and guarantees. The methodology of Granger`s Causality test and Autoregressive Vectors was used to conduct a comparative analysis, applied to a financial database of companies with open capital of Brazilian agribusiness, in particular the agricultural sector and Fisheries and Food and Beverages in a period of 10 years (1997-2007) from quarterly series available in the database of Economatica(R). The results demonstrated that changes in leverage generate variations in the tangibility of the companies, a fact that can be explained by the large search of funding secured by fiduciary transfer of fixed assets, which facilitates access to credit by business of the Agribusiness sector, increasing the payment time and lowering interest rates.

Depression in women living with HIV: clinical and psychosocial correlates

The number of Brazilian women living with HIV has increased significantly in past years, rendering studies of their particular care demands including psychiatric issues. This study measures the prevalence of major depression, using the Structured Clinical Interview for DSM-IV Axis I Disorders, in a sample of 120 women living with HIV in treatment at a reference centre in So Paulo. Socio-demographic variables, HIV-related clinical and laboratory data, including CD4+ cell counts and HIV plasma viral loads, as well as psychosocial features (intimate relationships, disclosure of HIV serostatus, partner`s serostatus and patient`s emotional and financial support) were investigated as factors potentially associated with depression. The prevalence of major depression at the time of evaluation was 25.8% (95% CI 18.2-33.4%). Clinical status (p = 0.002), lack of emotional support (p = 0.02), use of antidepressants (p = 0.028) and length of time since HIV diagnosis (p = 0.05) were associated with major depression in univariate analysis. In multivariate multiple-regression model, HIV clinical status, lack of emotional support and higher plasma viral loads were associated with depression. Sixty per cent of the women have a major depression diagnosis during lifetime. We conclude that major depression is highly prevalent among women living with HIV, but it is still underdiagnosed and undertreated.

Anthropometric measures of increased central and overall adiposity in association with echocardiographic left ventricular hypertrophy

Left ventricular hypertrophy is an important predictor of cardiovascular risk and sudden death. This study explored the ability of four obesity indexes (body mass index, waist circumference, waist-hip ratio and waist-stature ratio) to identify left ventricular hypertrophy. A sample of the general population (n=682; 43.5% men) was surveyed to assess cardiovascular risk factors. Biochemical, anthropometric and blood pressure values were obtained in a clinic visit according to standard methods. Left ventricular mass was obtained from transthoracic echocardiogram. Left ventricular hypertrophy was defined using population-specific cutoff values for left ventricular mass indexed to height(2.7). The waist-stature ratio showed the strongest positive association with left ventricular mass. This correlation was stronger in women, even after controlling for age and systolic blood pressure. By multivariate analysis, the main predictors of left ventricular hypertrophy were waist-stature ratio (23%), systolic blood pressure (9%) and age (2%) in men, and waist-stature ratio (40%), age (6%) and systolic blood pressure (2%) in women. Receiver-operating characteristic curves showed the optimal cutoff values of the different anthropometric indexes associated with left ventricular hypertrophy. The waist-stature ratio was a significantly better predictor than the other indexes (except for the waist-hip ratio), independent of gender. It is noteworthy that a waist-stature ratio cutoff of 0.56 showed the highest combined sensitivity and specificity to detect left ventricular hypertrophy. Abdominal obesity identified by waist-stature ratio instead of overall obesity identified by body mass index is the simplest and best obesity index for assessing the risk of left ventricular hypertrophy, is a better predictor in women and has an optimal cutoff ratio of 0.56. Hypertension Research (2010) 33, 83-87; doi: 10.1038/hr.2009.188; published online 13 November 2009

Outbreak of vancomycin-resistant enterococci in a tertiary hospital: The lack of effect of measures directed mainly by surveillance cultures and differences in response between Enterococcus faecium and Enterococcus faecalis

To describe the effect of active surveillance to control vancomycin-resistant enterococci (VRE) after an outbreak, 549 surveillance rectal cultures were performed in 308 patients (35% positive). An educational intervention to prevent transmission was implemented. Infection and colonization by VR-Enterococcus faecalis decreased, but Enterococcus faecium persisted despite control measures. Infections by VR-E faecalis fell to zero in 2008. We observed difficulties in controlling colonization with measures directed mainly by surveillance cultures and differences between responses of E faecium and E faecalis.

The Relationship between Intraocular Pressure Reduction and Rates of Progressive Visual Field Loss in Eyes with Optic Disc Hemorrhage

Purpose: To evaluate rates of visual field progression in eyes with optic disc hemorrhages and the effect of intraocular pressure (IOP) reduction on these rates. Design: Observational cohort study. Participants: The study included 510 eyes of 348 patients with glaucoma who were recruited from the Diagnostic Innovations in Glaucoma Study (DIGS) and followed for an average of 8.2 years. Methods: Eyes were followed annually with clinical examination, standard automated perimetry visual fields, and optic disc stereophotographs. The presence of optic disc hemorrhages was determined on the basis of masked evaluation of optic disc stereophotographs. Evaluation of rates of visual field change during follow-up was performed using the visual field index (VFI). Main Outcome Measures: The evaluation of the effect of optic disc hemorrhages on rates of visual field progression was performed using random coefficient models. Estimates of rates of change for individual eyes were obtained by best linear unbiased prediction (BLUP). Results: During follow-up, 97 (19%) of the eyes had at least 1 episode of disc hemorrhage. The overall rate of VFI change in eyes with hemorrhages was significantly faster than in eyes without hemorrhages (-0.88%/year vs. -0.38%/year, respectively, P < 0.001). The difference in rates of visual field loss pre- and post-hemorrhage was significantly related to the reduction of IOP in the post-hemorrhage period compared with the pre-hemorrhage period (r = -0.61; P < 0.001). Each 1 mmHg of IOP reduction was associated with a difference of 0.31%/year in the rate of VFI change. Conclusions: There was a beneficial effect of treatment in slowing rates of progressive visual field loss in eyes with optic disc hemorrhage. Further research should elucidate the reasons why some patients with hemorrhages respond well to IOP reduction and others seem to continue to progress despite a significant reduction in IOP levels. Financial Disclosure(s): Proprietary or commercial disclosure may be found after the references. Ophthalmology 2010; 117: 2061-2066 (C) 2010 by the American Academy of Ophthalmology.