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.

Sociedade da informação: avanços e retrocessos no acesso e no uso da informação

The Information Society (IS) may be taken as a geopolitical organization which started after the Third Industrial Revolution, having direct impact on the use of information and Information and Communication Technologies (ICT). The expression arose as techno-social paradigm change in the post-industrial society, aiming to use information as currency to the society-in-progress at that time. In Brazil it has become stronger with the Programa Sociedade da Informacao no Brasil-Livro Verde, lunched by the Ministerio da Ciencia e Tecnologia, in September 2000 without any discussion with the civil society to formulate the main document. Our main goal in this article is to discuss the Information Society in contemporary times, and also the organized and conscious use of information, looking for key-concepts to a better understanding of it, from some topics as digital inclusion-exclusion to the use of digital informational resources.

FOREIGN INVESTMENT AND THE BRAZILIAN REAL ESTATE MARKET

This article discusses the main aspects of the Brazilian real estate market in order to illustrate if it would be attractive for a typical American real estate investor to buy office-building portfolios in Brazil. The article emphasizes: [i] - the regulatory frontiers, comparing investment securitization, using a typical American REIT structure, with the Brazilian solution, using the Fundo de Investimento Imobiliario - FII; [ii] - the investment quality attributes in the Brazilian market, using an office building prototype, and [iii] - the comparison of [risk vs. yield] generated by an investment in the Brazilian market, using a FII, benchmarked against an existing REIT (OFFICE SUB-SECTOR) in the USA market. We conclude that investing dollars exchanged for Reais [the Brazilian currency] in a FII with a triple A office-building portfolio in the Sao Paulo marketplace will yield an annual income and a premium return above an American REIT investment. The highly aggressive scenario, along with the strong persistent exchange rate detachment to the IGP-M variations, plus instabilities affecting the generation of income, and even if we adopt a 300-point margin for the Brazil-Risk level, demonstrates that an investment opportunity in the Brazilian market, in the segment we have analyzed, outperforms an equivalent investment in the American market.

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.

Macrosegregation of Impurities in Directionally Solidified Silicon

Directional solidification of molten metallurgical-grade Si was carried out in a vertical Bridgman furnace. The effects of changing the mold velocity from 5 to 110 mu m seconds(-1) on the macrosegregation of impurities during solidification were investigated. The macrostructures of the cylindrical Si ingots obtained in the experiments consist mostly of columnar grains parallel to the ingot axis. Because neither cells nor dendrites can be observed on ingot samples, the absence of precipitated particles and the fulfillment of the constitutional supercooling criterion suggest a planar solid-liquid interface for mold velocities a parts per thousand currency sign10 mu m seconds(-1). Concentration profiles of several impurities were measured along the ingots, showing that their bottom and middle are purer than the metallurgical Si from which they solidified. At the ingot top, however, impurities accumulated, indicating the typical normal macrosegregation. When the mold velocity decreases, the macrosegregation and ingot purity increase, changing abruptly for a velocity variation from 20 to 10 mu m seconds(-1). A mathematical model of solute transport during solidification shows that, for mold velocities a parts per thousand yen20 mu m seconds(-1), macrosegregation is caused mainly by diffusion in a stagnant liquid layer assumed at the solid-liquid interface, whereas for lower velocities, macrosegregation increases as a result of more intense convective solute transport.

Enantioselective Analysis of Fluoxetine and Norfluoxetine by LC in Culture Medium for Application in Biotransformation Studies Employing Fungi

A liquid chromatography method is described for the analysis of fluoxetine and norfluoxetine enantiomers in fungi cultures. The analytes were separated simultaneously by LC employing a serial system. The resolution was performed using a mobile phase of ethanol: 15 mM ammonium acetate buffer solution, pH 5.9: acetonitrile (77.5:17.5:5, v/v/v). UV detection was at 227 nm. Hexane: isoamyl alcohol (98:2, v/v) was used as extractor solvent. The calibration curves were linear over the concentration range of 12.5-3,750 ng mL(-1) (r a parts per thousand yen 0.996). The values for intra- and inter-day precision and accuracy were a parts per thousand currency sign10% for all analytes. The validated method was used to evaluate fluoxetine biotransformation to its mammalian metabolite, norfluoxetine, by selected endophytic fungi. Although the desired biotransformation was not observed in the conditions used here, the method could be used to evaluate the biotransformation of fluoxetine by other fungi or to be extended to other matrices with adequate procedures for sample preparation.

Correlation of business cycles in the euro zone

In this short article we use a simple differences-in-clifferences technique to investigate whether bilateral correlation of business cycles increased more amongst members of the European Monetary Union (EMU) after the implementation of the Euro than amidst other OECD economies. We present evidence suggesting this to be the case. (C) 2008 Elsevier B.V. All rights reserved.

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.

Improvement in Insulin Sensitivity and B-Cell Function Following Ileal Interposition with Sleeve Gastrectomy in Type 2 Diabetic Patients: Potential Mechanisms

Bariatric surgery in morbidly obese type 2 diabetic (T2DM) patients is associated with high rates of diabetes remission. We investigated the mechanisms of the anti-diabetic effect of the laparoscopic ileal interposition with sleeve gastrectomy (LII-SG) in normal weight (NW), overweight (OW) and obese (OB) T2DM patients. Ninety-four patients (aged 54 +/- 8 years) with long-standing (median 10 years), treated diabetes (median HbA(1c) = 8.6%), who were NW (15), OW (64) or OB (15) based on BMI, underwent LII-SG. Insulin sensitivity and parameters of -cell function were measured from an Oral Glycaemic Tolerance Test pre- and post-operatively. At a median of 13.4 months post-operatively, weight loss averaged 9.4 +/- 1.3, 16.8 +/- 0.8 and 23.2 +/- 1.7 kg in NW, OW and OB subjects, respectively (p < 0.0001). Insulin sensitivity was fully restored (395 [108] vs 208 [99] ml min(-1) m(-2)), fasting insulin secretion rate decreased (68 [52] vs 146 [120] pmol min(-1) m(-2)) and total insulin output increased (52 [26] vs 39 [28] nmol m(-2), all p a parts per thousand currency signaEuro parts per thousand 0.001). -cell glucose sensitivity doubled (37 [33] vs 18 [24] mol min(-1) m(-2) mM(-1), p < 0.0001). The only parameter predicting remission of diabetes was a lower baseline insulin sensitivity (p = 0.005). LII-SG induced changes on T2DM by mechanisms in part distinct from weight loss, principally involving restoration of insulin sensitivity and improvement of -cell function.

Anorectal transplantation

Anorectal transplantation is a valid procedure for the treatment of anorectal dysfunction; however, the lack of a suitable animal model has hampered the development of this method. We describe a simple technique for anorectal transplantation in the rat and compare this procedure with colostomy. The anorectal segment including the skin surrounding the anus were freed by abdominal and perineal dissection. In a heterotopically transplanted group the segment was exteriorized by the formation of an anus through an abdominal incision. In an orthotopically transplanted group the segment was replaced in its original position and reimplanted by suturing. In another group a distal colostomy was performed. A sham-treated control group (simulated surgical procedure) was also included. Changes in behavior, characteristics of the stool, body weight and survival rate were assessed by daily clinical examination. Moribund animals, those with a weight loss of more than 30%, and those surviving at 1 month were killed by an overdose of anesthetic. The results were analyzed using the Mann Whitney, Student`s t and chi-squared tests, and p < 0.05 was considered significant. Within 4 days after the operation, animals submitted to orthotopic or heterotopic transplantation had achieved normal defecation, body weight gain and clinical evolution similar to the sham-treated group. The overall mortality in these groups was 4.16%. In contrast, colostomized animals showed a high incidence of diarrhea, intestinal obstruction, stress posture and violent behavior (pa parts per thousand currency sign0.05), and a mortality rate of 58.33%. Autotransplantation in the rat is a simple technique, achieves a high rate of success and better clinical evolution than colostomy. This model may ultimately lead to research into anorectal transplantation.

Outpatient treatment with intravenous antimicrobial therapy and oral levofloxacin in patients with febrile neutropenia and hematological malignancies

The purpose of this study was to evaluate outcomes such as success of the initial therapy, failure of outpatient treatment, and death in outpatient treatment during intravenous antimicrobial therapy in patients with febrile neutropenia (FN) and hematological malignancies. In addition, clinical and laboratory data and the Multinational Association for Supportive Care of Cancer index (MASCC) were compared with failure of outpatient treatment and death. In a retrospective study, we evaluated FN following chemotherapy events that were treated initially with cefepime, with or without teicoplanin and replaced by levofloxacin after 48 h of defervescence in patients with good general conditions and ANC > 500/mm(3). Of the 178 FN episodes occurred in 126 patients, we observed success of the initial therapy in 63.5% of the events, failure of outpatient treatment in 20.8%, and death in 6.2%. The success rate of oral levofloxacin after defervescence was 99% (95 out of 96). Using multivariate analysis, significant risks of failure of outpatient treatment were found to be smoking (odds ratio (OR) 3.14, confidence interval (CI) 1.14-8.66; p = 0.027) and serum creatinine levels > 1.2 mg/dL (OR 7.97, CI 2.19-28.95; p = 0.002). With regard to death, the risk found was oxygen saturation by pulse oximetry < 95% (OR 5.8, IC 1.50-22.56; p = 0.011). Using the MASCC index, 165 events were classified as low risk and 13 as high risk. Failure of outpatient treatment was reported in seven (53.8%) high-risk and 30 (18.2%) low-risk episodes (p = 0.006). In addition, death occurred in seven (4.2%) low-risk and four (30.8%) high-risk events (p = 0.004). Ours results show that MASCC index was able to identify patients with high risk. In addition, non-smoking, serum creatinine levels a parts per thousand currency sign1.2 mg/dL, and oxygen saturation by pulse oximetry a parts per thousand yen95% were protection factors.

Impact of short-term preconceptional exposure to particulate air pollution on treatment outcome in couples undergoing in vitro fertilization and embryo transfer (IVF/ET)

To assess the potential effects of short-term exposure to particulate air pollution during follicular phase on clinical, laboratory, and pregnancy outcomes of women undergoing IVF/ET. Retrospective cohort study of 400 first IVF/ET cycles of women exposed to ambient particulate matter during follicular phase. Particulate matter (PM) was categorized into quartiles (Q(1): a parts per thousand currency sign30.48 A mu g/m(3), Q(2): 30.49-42.00 A mu g/m(3), Q(3): 42.01-56.72 A mu g/m(3), and Q(4): > 56.72 A mu g/m(3)). Clinical, laboratory, or treatment variables were not affected by follicular phase PM exposure periods. Women exposed to Q(4) period during the follicular phase of conception cycles had a higher risk of miscarriage (odds ratio, 5.05; 95% confidence interval: 1.04-25.51) when compared to women exposed to Q(1-3) periods. Our results show an association between brief exposure to high levels of ambient PM during the preconceptional period and early pregnancy loss, although no effect of this exposure on clinical, laboratory, and treatment outcomes was observed.

Non-pharmacological approach to neuropathic pain: the use of repetitive transcranial magnetic stimulation

Neuromodulation is the branch of neurophysiology related to the therapeutic effects of electrical stimulations of the nervous system. There are currently different practical applications of neuromodulation techniques for the treatment of various neurological disorders, such as deep brain stimulation for Parkinson`s disease and repetitive transcranial magnetic stimulation (rTMS) for major depression. An increasing number of studies have been devoted to the analgesic effects of rTMS in chronic pain patients. RTMS has been used either as a therapeutic tool per se, or as a preoperative test in patients undergoing epidural precentral gyrus stimulation. High-frequency rTMS (a parts per thousand yen5 Hz) is considered to be excitatory, while low-frequency stimulation (a parts per thousand currency sign1 Hz) is considered to exert an inhibitory effect over neuronal populations of the primary motor cortex. However, other parameters of stimulation may play a central role on its clinical effects such as the type of coil, its orientation over the scalp, and the total number of rTMS sessions performed. Experimental data from animals, healthy volunteers, and neuropathic pain patients have suggested that stimulation of the primary motor cortex by rTMS is able to activate brain regions implicated in the processing of the different aspects of chronic pain, and influence brain regions involved in the endogenous opioid system. Over twenty prospective randomized sham-controlled trials have studied the analgesic effects of rTMS on chronic pain. Most of the patients included in these trials had central or peripheral neuropathic pain. Although most studies used a single session of stimulation, recent studies have shown that the analgesic effects of rTMS may outlast the stimulation period for many days when repetitive sessions are performed. This opens the possibility to use rTMS as a therapeutic tool of its own in the armamentarium against neuropathic pain.

Influence of etching time on bond strength in dentin irradiated with erbium lasers

The purpose of this in vitro study was to evaluate the effect of etching time on the tensile bond strength (TBS) of a conventional adhesive bonded to dentin previously irradiated with erbium:yttrium-aluminum-garnet (Er:YAG) and erbium, chromium:yttrium-scandium-gallium-garnet (Er,Cr:YSGG) lasers. Buccal and lingual surfaces of 45 third molars were flattened until the dentin was exposed and randomly assigned to three groups (n = 30) according to the dentin treatment: control (not irradiated), irradiated with Er:YAG (1 W; 250 mJ; 4 Hz; 80.6 J/cm(2)) laser or Er,Cr:YSGG (4 W; 200 mJ; 20 Hz; 71.4 J/cm(2)) laser, and into three subgroups (n = 10) according to acid etching time (15 s, 30 s or 60 s) for each experimental group. After acid etching, the adhesive was applied, followed by the construction of an inverted cone of composite resin. The samples were immersed in distilled water (37A degrees C for 24 h) and subjected to TBS test [50 kilogram-force (kgf), 0.5 mm/min]. Data were analyzed by analysis of variance (ANOVA) and Tukey statistical tests (P a parts per thousand currency signaEuro parts per thousand 0.05). Control group samples presented significant higher TBS values than those of all lased groups. Both irradiated groups exhibited similar TBS values. Samples subjected to the different etching times in each experimental group presented similar TBS. Based on the conditions of this in vitro study we concluded that Er:YAG and Er,Cr:YSGG laser irradiation of the dentin weakens the bond strength of the adhesive. Moreover, increased etching time is not able to modify the bonding strength of the adhesive to irradiated dentin.

Micro-hardness evaluation of a micro-hybrid composite resin light cured with halogen light, light-emitting diode and argon ion laser

This in vitro study aimed to determine whether the micro-hardness of a composite resin is modified by the light units or by the thickness of the increment. Composite resin disks were divided into 15 groups (n = 5), according to the factors under study: composite resin thickness (0 mm, 1 mm, 2 mm , 3 mm and 4 mm) and light units. The light activation was performed with halogen light (HL) (40 s, 500 mW/cm(2)), argon ion laser (AL) (30 s, 600 mW/cm(2)) or light-emitting diode (LED) (30 s, 400 mW/cm(2)). Vickers micro-hardness tests were performed after 1 week and were carried out on the top surface (0 mm-control) and at different depths of the samples. Analysis of variance (ANOVA) and Tukey tests (P a parts per thousand currency signaEuro parts per thousand 0.05) revealed no statistically significant difference among the light units for the groups of 0 mm and 1 mm thickness. At 2 mm depth, the AL was not statistically different from the HL, but the latter showed higher micro-hardness values than the LED. In groups with 3 mm and 4 mm thickness, the HL also showed higher micro-hardness values than the groups activated by the AL and the LED. Only the HL presented satisfactory polymerization with 3 mm of thickness. With a 4 mm increment no light unit was able to promote satisfactory polymerization.