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.

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.

Determination of the median lethal concentration (LC(50)) of mycoinsecticides for the control of Ceratitis capitata (Diptera: Tephritidae)

The aim of this study was to determine the median lethal concentration (LC(50)) of the commercial products Boveril WP (R) (Beauveria bassiana) and Metarril WP (R) (Metarhizium anisopliae) on the larvae and pupae of the fruit Ceratitis capitata. Insects used in this study came from a laboratory colony. The evaluated product concentrations were 10.00, 15.00, 20.00 and 25.00 g/L of water, which correspond, respectively, to 5.00x10(9), 7.50x10(9), 10.00x10(9) and 12.50x10(9) viable conidia/L of water for the two products, and in the control only water was applied. Third instar larvae and pupae of C. capitata were used in this study. Results showed an overall mortality of larvae with all conidial concentrations of M. anisopliae. The LC(50) values for larvae were 2.99 and 2.97 g/L for Boveril (R) and Metarril (R), respectively, while for pupae they were 3.12 and 4.74 g/L for Boveril (R) and Metarril (R), respectively. The high pathogenicity demonstrated by lower conidial concentrations of the tested products may mean greater efficiency from both economic and environmental points of view.

Genetic parameters for productive life traits and reproductive efficiency traits at 6 years in Nellore cattle

The objective of the present study was to estimate (co)variance components for length of productive life (LPL) and some alternative reproductive traits of 6-year-old Nellore cattle. The data set contained 57,410 records for age at first calving from Nellore females and was edited to remove animal records with uncertain paternity and cows with just one piece of calving information. Only animals with age at first calving ranging from 23 to 48 months and calving intervals between 11 and 24 months were kept for analysis. LPL and life production ( LP) were used to describe productive life. LPL was defined as the number of months a cow was kept in the herd until she was 6 years old, given that she was alive at first calving and LP was defined as total number of calves in that time. Four traits were used to describe reproductive traits: two breeding efficiencies on original scale were estimated using Wilcox and Tomar functions (BEW and BET, respectively), and two breeding efficiencies transformed (ASBEW and ASBET, respectively), using the function [arcsine (square root (BEi/100))]. Estimates of heritability for measures of LPL and LP were low and ranged from 0.04 to 0.05. Estimates of heritability for breeding efficiencies on original and transformed scales oscillated from 0.18 to 0.32. Estimates of genetic correlations ranged from -0.57 to 0.79 for LPL and other traits and from 0.28 to 0.63 for LP and other traits.

Star formation efficiency in galaxy clusters

Context. The luminous material in clusters of galaxies exists in two forms: the visible galaxies and the X-ray emitting intra-cluster medium. The hot intra-cluster gas is the major observed baryonic component of clusters, about six times more massive than the stellar component. The mass contained within visible galaxies is approximately 3% of the dynamical mass. Aims. Our aim was to analyze both baryonic components, combining X-ray and optical data of a sample of five galaxy clusters (Abell 496, 1689, 2050, 2631 and 2667), within the redshift range 0.03 < z < 0.3. We determined the contribution of stars in galaxies and the intra-cluster medium to the total baryon budget. Methods. We used public XMM-Newton data to determine the gas mass and to obtain the X-ray substructures. Using the optical counterparts from SDSS or CFHT we determined the stellar contribution. Results. We examine the relative contribution of galaxies, intra-cluster light and intra-cluster medium to baryon budget in clusters through the stellar-to-gas mass ratio, estimated with recent data. We find that the stellar-to-gas mass ratio within r(500) (the radius within which the mean cluster density exceeds the critical density by a factor of 500), is anti-correlated with the ICM temperature, which range from 24% to 6% while the temperature ranges from 4.0 to 8.3 keV. This indicates that less massive cold clusters are more prolific star forming environments than massive hot clusters.

Substrate/semiconductor interface effects on the emission efficiency of luminescent polymers

The importance of interface effects for organic devices has long been recognized, but getting detailed knowledge of the extent of such effects remains a major challenge because of the difficulty in distinguishing from bulk effects. This paper addresses the interface effects on the emission efficiency of poly(p-phenylene vinylene) (PPV), by producing layer-by-layer (LBL) films of PPV alternated with dodecylbenzenesulfonate. Films with thickness varying from similar to 15 to 225 nm had the structural defects controlled empirically by converting the films at two temperatures, 110 and 230 degrees C, while the optical properties were characterized by using optical absorption, photoluminescence (PL), and photoluminescence excitation spectra. Blueshifts in the absorption and PL spectra for LBL films with less than 25 bilayers (<40-50 nm) pointed to a larger number of PPV segments with low conjugation degree, regardless of the conversion temperature. For these thin films, the mean free-path for diffusion of photoexcited carriers decreased, and energy transfer may have been hampered owing to the low mobility of the excited carriers. The emission efficiency was then found to depend on the concentration of structural defects, i.e., on the conversion temperature. For thick films with more than 25 bilayers, on the other hand, the PL signal did not depend on the PPV conversion temperature. We also checked that the interface effects were not caused by waveguiding properties of the excited light. Overall, the electronic states at the interface were more localized, and this applied to film thickness of up to 40-50 nm. Because this is a typical film thickness in devices, the implication from the findings here is that interface phenomena should be a primary concern for the design of any organic device. (C) 2011 American Institute of Physics. [doi:10.1063/1.3622143]

Effect of process variables on fluiddynamics and adhesion efficiency during spouted bed coating of hard gelatine capsules

This article presents an evaluation of the effects of the spouted bed design and operating conditions on system fluiddynamics and process performance during enteric coating of hard gelatine capsules. The design parameters studied were the column diameter (150 mm and 200 mm), the included angle of the conical base, gamma (60 degrees or 40 degrees) and the presence or absence of a Venturi inserted before the inlet air orifice. The process variables studied were the ratio between the feed flow rate of the coating suspension to the spouting gas flow rate (W(s)/W(g)), the mass of capsules loaded to the equipment (M(0)), and the ratio between the Spouting gas flow rate to the gas flow rate at minimum spouting condition (Q/Q(ms)). The response variables were the rate of increase of the capsules mass (K(1)), and the adhesion efficiency (eta). The linear regression equation for the dependent variable K, in terms of the independent variables adequately described the process with an r(2) value of 0.872. Analysis of variance (ANOVA) revealed that increasing of W(s)/W(g), Q/Q(ms) and gamma significantly increased the adhesion efficiency. Adhesion efficiencies higher than 90% were achieved by selecting precise coating conditions, indicating the feasibility of the process for coating of hard gelatine capsules. (C) 2008 Elsevier B.V. All rights reserved.

Evaluating the efficiency of fractional integration parameter estimators

This article deals with the efficiency of fractional integration parameter estimators. This study was based on Monte Carlo experiments involving simulated stochastic processes with integration orders in the range]-1,1[. The evaluated estimation methods were classified into two groups: heuristics and semiparametric/maximum likelihood (ML). The study revealed that the comparative efficiency of the estimators, measured by the lesser mean squared error, depends on the stationary/non-stationary and persistency/anti-persistency conditions of the series. The ML estimator was shown to be superior for stationary persistent processes; the wavelet spectrum-based estimators were better for non-stationary mean reversible and invertible anti-persistent processes; the weighted periodogram-based estimator was shown to be superior for non-invertible anti-persistent processes.

Thermoregulatory Efficiency is Increased after Heat Acclimation in Tropical Natives

To evaluate the effects of heat acclimation on sweat rate redistribution and thermodynamic parameters, 9 tropical native volunteers were submitted to 11 days of exercise-heat exposures (40 +/- 0 degrees C and 45.1 +/- 0.2% relative humidity). Sudomotor function was evaluated by measuring total and local (forehead, chest, arm, forearm, and thigh) sweat rates, local sweat sodium concentration, and mean skin and rectal temperatures. We also calculated heat production (H), heat storage (S), heat exchange by radiation (R) and by convection (C), evaporated sweat (E(sw)), sweating efficiency (eta(sw)), skin wettedness (w(sk)), and the ratio between the heat storage and the sum of heat production and heat gains by radiation and convection (S/(H+R+C)). The heat acclimation increased the whole-body sweat rate and reduced the mean skin temperature. There were changes in the local sweat rate patterns: on the arm, forearm, and thigh it increased significantly from day 1 to day 11 (all p<0.05) and the sweat rates from the forehead and the chest showed a small nonsignificant increase (p=0.34 and 0.17, respectively). The relative increase of local sweat rates on day 11 was not different among the sites; however, when comparing the limbs (arm, forearm, and thigh) with the trunk (forehead and chest), there was a significant higher increase in the limbs (32 +/- 5%) in comparison to the trunk (11 +/- 2%, p=0.001). After the heat acclimation period we observed higher w(sk) and E(sw) and reduced S/(H+R+C), meaning greater thermoregulatory efficiency. The increase in the limb sweat rate, but not the increase in the trunk sweat rate, correlated with the increased w(sk), E(sw), and reduced S/(H+R+C) (p<0.05 to all). Altogether, it can be concluded that heat acclimation increased the limbs` sweat rates in tropical natives and that this increase led to increased loss of heat through evaporation of sweat and this higher sweat evaporation was related to higher thermoregulatory efficiency. J Physiol Anthropol 29(1): 1-12, 2010 http://www.jstage.jst.go.jp/browse/jpa2 [DOI: 10.2114/jpa2.29.1]

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)

Comparative efficiency of Class II malocclusion treatment with the pendulum appliance or two maxillary premolar extractions and edgewire appliances

The objective of this study was to compare, on study models and initial cephalograms, the efficiency of Class II malocclusion treatment with the pendulum appliance, and with two maxillary premolar extraction protocol. The sample consisted of 48 treated Class II malocclusion patients: group 1 comprised 22 patients (7 males, 15 females) treated with the pendulum appliance, with an initial mean age of 14.44 years and group 2, 26 patients (14 males, 12 females) treated with two maxillary premolar extractions at an initial mean age of 13.66 years. To compare the efficiency of each treatment protocol, the occlusal outcomes were evaluated on dental casts using the Peer Assessment Rating (PAR) Index and the treatment time (TT) of each group was calculated on clinical charts. The degree of treatment efficiency was calculated as the ratio between the percentage of occlusal improvement, evaluated through the PAR index, and TT. Statistical analysis was undertaken by means of t-tests. The findings demonstrated that the two maxillary premolar extraction protocol provided the occlusal outcomes in a shorter time (group 1: 45.7 months, group 2: 23.01 months) and, therefore, demonstrated greater treatment efficiency than the pendulum appliance.

Occlusal outcomes and efficiency of 1-and 2-phase protocols in the treatment of Class II Division 1 malocclusion

Introduction: The purpose of this study was to compare the occlusal outcomes and the efficiency of 1-phase and 2-phase treatment protocols in Class II Division 1 malocclusions. Treatment efficiency was defined as a change in the occlusal characteristics in a shorter treatment time. Methods: Class II Division 1 subjects ( n = 139) were divided into 2 groups according to the treatment protocol for Class II correction. Group 1 comprised 78 patients treated with a 1-phase treatment protocol at initial and final mean ages of 12.51 and 14.68 years. Group 2 comprised 61 patients treated with a 2-phase treatment protocol at initial and final mean ages of 11.21 and 14.70 years. Lateral cephalometric radiographs were taken at the pretreatment stage to evaluate morphological differences in the groups. The initial and final study models of the patients were evaluated by using the peer assessment rating index. Chi-square tests were used to test for differences between the 2 groups for categorical variables. Variables regarding occlusal results were compared by using independent t tests. A linear regression analysis was completed, with total treatment time as the dependent variable, to identify clinical factors that predict treatment length for patients with Class II malocclusions. Results: Similar occlusal outcomes were obtained between the 1-phase and the 2-phase treatment protocols, but the duration of treatment was significantly shorter in the 1-phase treatment protocol group. Conclusions: Treatment of Class II Division 1 malocclusions is more efficient with the 1-phase than the 2-phase treatment protocol.

Bond strength of Epiphany (TM) Sealer combined with different adhesive systems photo-activated with LED and QTH

The Epiphany (TM) Sealer is a new dual-curing resin-based sealer and has been introduced as an alternative to gutta-percha and traditional root canal sealers. The canal filling is claimed to create a seal with the dentinal tubules within the root canal system producing a `monoblock` effect between the sealer and dentinal tubules. Therefore, considering the possibility to incorporate the others adhesive systems, it is important to study the bond strength of the resulting cement. Forty-eight root mandibular canines were sectioned 8-mm below CEJ. The dentine discs were prepared using a tapered diamond bur and irrigated with 1% NaOCl and 17% EDTA. Previous the application Epiphany (TM) Sealer, the Epiphany (TM) Primer, AdheSE, and One Up Bond F were applied to the root canal walls. The LED and QTH (Quartz Tungsten Halogen) were used to photo-activation during 45 s with power density of 400 and 720 mW/cm(2), respectively. The specimens were performed on a universal testing machine at a cross-head speed of 1 mm/min until bond failure occurred. The force was recorded and the debonding values were used to calculate Push-out bond strength. The analysis of variance (ANOVA) and Tukey`s post-hoc tests showed significant statistical differences (P < 0.05) to Epiphany (TM) Sealer/Epiphany (TM) Primer/QTH and EpiphanyTM Sealer/AdheSE/QTH, which had the highest mean values of bond strength. The efficiency of resin-based filling materials are dependent the type of light curing unit used including the power density, the polymerization characteristics of these resin-based filling materials, depending on the primer/adhesive used.

Efficiency of uniparental male and female care against egg predators in two closely related syntopic harvestmen

Although the benefits of maternal care have been investigated in many species, the caring role of males in species with exclusive paternal care has received less attention. We experimentally quantified the protective role of paternal care in the harvestman Iporangaia pustulosa. Additionally, we compared the effectiveness of paternal care against predation in this species with a syntopic harvestman with maternal care, Acutisoma proximum. We demonstrated that nearly one-third of the unprotected Iporangaia clutches disappeared entirely in 12 days, while the other two-thirds suffered a mean reduction of 55% in egg number. Conversely, 50% of the control clutches did not suffer any reduction, and only one was entirely consumed by predators. We also demonstrated that the mucus coat that covers Iporangaia clutches has an important deterrent role against predation by conspecifics: 58.3% of the clutches without mucus were attacked and three of them were entirely consumed, whereas only three clutches with mucus were attacked, suffering a reduction of up to three eggs. Iporangaia males were as efficient as Acutisoma females in protecting eggs. However, unattended Acutisoma eggs were attacked 20% more frequently than unattended Iporangaia eggs. Unattended Iporangaia eggs are protected by a mucus coat that prevents or decreases predation rate, whereas Acutisoma eggs are more susceptible to predation, probably because they lack this mucus coat. Thus, besides the fact that Iporangaia males efficiently protect the offspring against egg predators, females also contribute to egg protection by providing a mucus coat that deters egg predators. (C) 2009 The Association for the Study of Animal Behaviour. Published by Elsevier Ltd. All rights reserved.