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.

Positioning of Deadeners for Vibration Reduction in Vehicle Roof Using Embedded Sensitivity

The noise, vibration and harshness (NVH) performance of passenger vehicles strongly depends on the fluid-structure interaction between the air in the vehicle cavity and the sheet metal structure of the vehicle. Most of the noise and vibration problems related to this interaction come from resonance peaks of the sheet metal, which are excited by external forces (road, engine, and wind). A reduction in these resonance peaks can be achieved by applying bitumen damping layers, also called deadeners, in the sheet metal. The problem is where these deadeners shall be fixed, which is usually done in a trial-and-error basis. In this work, one proposes the use of embedded sensitivity to locate the deadeners in the sheet metal of the vehicle, more specifically in the vehicle roof. Experimental frequency response functions (FRFs) of the roof are obtained and the data are processed by adopting the embedded sensitivity method, thus obtaining the sensitivity of the resonance peaks on the local increase in damping due to the deadeners. As a result, by examining the sensitivity functions, one can find the optimum location of the deadeners that maximize their effect in reducing the resonance peaks of interest. After locating the deadeners in the optimum positions, it was possible to verify a strong reduction in resonance peaks of the vehicle roof, thus showing the efficiency of the procedure. The main advantage of this procedure is that it only requires FRF measurements of the vehicle in its original state not needing any previous modification of the vehicle structure to find the sensitivity functions. [DOI: 10.1115/1.4000769]

Planning and operation of large-scale water distribution systems with preemptive priorities

This paper describes the development of an optimization model for the management and operation of a large-scale, multireservoir water supply distribution system with preemptive priorities. The model considers multiobjectives and hedging rules. During periods of drought, when water supply is insufficient to meet the planned demand, appropriate rationing factors are applied to reduce water supply. In this paper, a water distribution system is formulated as a network and solved by the GAMS modeling system for mathematical programming and optimization. A user-friendly interface is developed to facilitate the manipulation of data and to generate graphs and tables for decision makers. The optimization model and its interface form a decision support system (DSS), which can be used to configure a water distribution system to facilitate capacity expansion and reliability studies. Several examples are presented to demonstrate the utility and versatility of the developed DSS under different supply and demand scenarios, including applications to one of the largest water supply systems in the world, the Sao Paulo Metropolitan Area Water Supply Distribution System in Brazil.

Experimental Measurement of Water Diffusion through Fine Aggregate Mixtures

The water diffusion attributable to concentration gradients is among the main mechanisms of water transport into the asphalt mixture. The transport of small molecules through polymeric materials is a very complex process, and no single model provides a complete explanation because of the small molecule`s complex internal structure. The objective of this study was to experimentally determine the diffusion of water in different fine aggregate mixtures (FAM) using simple gravimetric sorption measurements. For the purposes of measuring the diffusivity of water, FAMs were regarded as a representative homogenous volume of the hot-mix asphalt (HMA). Fick`s second law is generally used to model diffusion driven by concentration gradients in different materials. The concept of the dual mode diffusion was investigated for FAM cylindrical samples. Although FAM samples have three components (asphalt binder, aggregates, and air voids), the dual mode was an attempt to represent the diffusion process by only two stages that occur simultaneously: (1) the water molecules are completely mobile, and (2) the water molecules are partially mobile. The combination of three asphalt binders and two aggregates selected from the Strategic Highway Research Program`s (SHRP) Materials Reference Library (MRL) were evaluated at room temperature [23.9 degrees C (75 degrees F)] and at 37.8 degrees C (100 degrees F). The results show that moisture uptake and diffusivity of water through FAM is dependent on the type of aggregate and asphalt binder. At room temperature, the rank order of diffusivity and moisture uptake for the three binders was the same regardless of the type of aggregate. However, this rank order changed at higher temperatures, suggesting that at elevated temperatures different binders may be undergoing a different level of change in the free volume. DOI: 10.1061/(ASCE)MT.1943-5533.0000190. (C) 2011 American Society of Civil Engineers.

Nominal versus indexed debt: A quantitative horse race

The main arguments in favor and against nominal and indexed debts are the incentive to default through inflation versus hedging against unforeseen shocks. We model and calibrate these arguments to assess their quantitative importance. We use a dynamic equilibrium model with tax distortion, government outlays uncertainty, and contingent-debt service. Our framework also recognizes that contingent debt can be associated with incentive problems and lack of commitment. Thus, the benefits of unexpected inflation are tempered by higher interest rates. We obtain that costs from inflation more than offset the benefits from reducing tax distortions. We further discuss sustainability of nominal debt in developing (volatile) countries. (C) 2010 Elsevier Ltd. All rights reserved.

Relation between sedimentary framework and hydrogeology in the Guarani Aquifer System in Sao Paulo state, Brazil

This paper presents the results of a new investigation of the Guarani Aquifer System (SAG) in Sao Paulo state. New data were acquired about sedimentary framework, flow pattern, and hydrogeochemistry. The flow direction in the north of the state is towards the southwest and not towards the west as expected previously. This is linked to the absence of SAG outcrop in the northeast of Sao Paulo state. Both the underlying Piramboia Formation and the overlying Botucatu Formation possess high porosity (18.9% and 19.5%, respectively), which was not modified significantly by diagenetic changes. Investigation of sediments confirmed a zone of chalcedony cement close to the SAG outcrop and a zone of calcite cement in the deep confined zone. The main events in the SAG post-sedimentary history were: (1) adhesion of ferrugineous coatings on grains, (2) infiltration of clays in eodiagenetic stage, (3) regeneration of coatings with formation of smectites, (4) authigenic overgrowth of quartz and K-feldspar in advanced eodiagenetic stage, (5) bitumen cementation of Piramboia Formation in mesodiagenetic stage, (6) cementation by calcite in mesodiagenetic and telodiagenetic stages in Piramboia Formation, (7) formation of secondary porosity by dissolution of unstable minerals after appearance of hydraulic gradient and penetration of the meteoric water caused by the uplift of the Serra do Mar coastal range in the Late Cretaceous, (8) authigenesis of kaolinite and amorphous silica in unconfined zone of the SAG and cation exchange coupled with the dissolution of calcite at the transition between unconfined and confined zone, and (9) authigenesis of analcime in the confined SAG zone. The last two processes are still under operation. The deep zone of the SAG comprises an alkaline pH, Na-HCO(3) groundwater type with old water and enriched delta(13)C values (<-3.9), which evolved from a neutral pH, Ca-HCO(3) groundwater type with young water and depleted delta(13)C values (>-18.8) close to the SAG outcrop. This is consistent with a conceptual geochemical model of the SAG, suggesting dissolution of calcite driven by cation exchange, which occurs at a relatively narrow front recently moving downgradient at much slower rate compared to groundwater flow. More depleted values of delta(18)O in the deep confined zone close to the Parana River compared to values of relative recent recharged water indicate recharge occur during a period of cold climate. The SAG is a ""storage-dominated"" type of aquifer which has to be managed properly to avoid its overexploitation. (C) 2011 Elsevier Ltd. All rights reserved.