Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

Analysis of functionally graded sandwich plate structures with piezoelectric skins, using B-spline finite strip method

Functionally graded materials are composite materials wherein the composition of the constituent phases can vary in a smooth continuous way with a gradation which is function of its spatial coordinates. This characteristic proves to be an important issue as it can minimize abrupt variations of the material properties which are usually responsible for localized high values of stresses, and simultaneously providing an effective thermal barrier in specific applications. In the present work, it is studied the static and free vibration behaviour of functionally graded sandwich plate type structures, using B-spline finite strip element models based on different shear deformation theories. The effective properties of functionally graded materials are estimated according to Mori-Tanaka homogenization scheme. These sandwich structures can also consider the existence of outer skins of piezoelectric materials, thus achieving them adaptive characteristics. The performance of the models, are illustrated through a set of test cases. (C) 2012 Elsevier Ltd. All rights reserved.

Anomaly-free U(1) gauge symmetries in neutrino seesaw flavor models

Agência Financiadora: Fundação para a Ciência e a Tecnologia (FCT) - PEst-OE/FIS/UI0777/2013; CERN/FP/123580/2011; PTDC/FIS-NUC/0548/2012

Scaling of the elastic contribution to the surface free energy of a nematic liquid crystal on a sawtoothed substrate

We characterize the elastic contribution to the surface free energy of a nematic liquid crystal in the presence of a sawtooth substrate. Our findings are based on numerical minimization of the Landau-de Gennes model and analytical calculations on the Frank-Oseen theory. The nucleation of disclination lines (characterized by non-half-integer winding numbers) in the wedges and apexes of the substrate induces a leading order proportional to q ln q to the elastic contribution to the surface free-energy density, with q being the wave number associated with the substrate periodicity.

Optimal design of piezolaminated structures using B-spline strip finite element models

A package of B-spline finite strip models is developed for the linear analysis of piezolaminated plates and shells. This package is associated to a global optimization technique in order to enhance the performance of these types of structures, subjected to various types of objective functions and/or constraints, with discrete and continuous design variables. The models considered are based on a higher-order displacement field and one can apply them to the static, free vibration and buckling analyses of laminated adaptive structures with arbitrary lay-ups, loading and boundary conditions. Genetic algorithms, with either binary or floating point encoding of design variables, were considered to find optimal locations of piezoelectric actuators as well as to determine the best voltages applied to them in order to obtain a desired structure shape. These models provide an overall economy of computing effort for static and vibration problems.

e-learning in the classroom?

As teachers, we are challenged everyday to solve pedagogical problems and we have to fight for our students’ attention in a media rich world. I will talk about how we use ICT in Initial Teacher Training and give you some insight on what we are doing. The most important benefit of using ICT in education is that it makes us reflect on our practice. There is no doubt that our classrooms need to be updated, but we need to be critical about every peace of hardware, software or service that we bring into them. It is not only because our budgets are short, but also because e‐learning is primarily about learning, not technology. Therefore, we need to have the knowledge and skills required to act in different situations, and choose the best tool for the job. Not all subjects are suitable for e‐learning, nor do all students have the skills to organize themselves their own study times. Also not all teachers want to spend time programming or learning about instructional design and metadata. The promised land of easy use of authoring tools (e.g. eXe and Reload) that will lead to all teachers become Learning Objects authors and share these LO in Repositories, all this failed, like previously HyperCard, Toolbook and others. We need to know a little bit of many different technologies so we can mobilize this knowledge when a situation requires it: integrate e‐learning technologies in the classroom, not a flipped classroom, just simple tools. Lecture capture, mobile phones and smartphones, pocket size camcorders, VoIP, VLE, live video broadcast, screen sharing, free services for collaborative work, save, share and sync your files. Do not feel stressed to use everything, every time. Just because we have a whiteboard does not mean we have to make it the centre of the classroom. Start from where you are, with your preferred subject and the tools you master. Them go slowly and try some new tool in a non‐formal situation and with just one or two students. And you don’t need to be alone: subscribe a mailing list and share your thoughts with other teachers in a dedicated forum, even better if both are part of a community of practice, and share resources. We did that for music teachers and it was a success, in two years arriving at 1.000 members. Just do it.

Effect of the number of shells on the pressure and energy of two-dimensional free bubble clusters

We have performed Surface Evolver simulations of two-dimensional hexagonal bubble clusters consisting of a central bubble of area lambda surrounded by s shells or layers of bubbles of unit area. Clusters of up to twenty layers have been simulated, with lambda varying between 0.01 and 100. In monodisperse clusters (i.e., for lambda = 1) [M.A. Fortes, F Morgan, M. Fatima Vaz, Philos. Mag. Lett. 87 (2007) 561] both the average pressure of the entire Cluster and the pressure in the central bubble are decreasing functions of s and approach 0.9306 for very large s, which is the pressure in a bubble of an infinite monodisperse honeycomb foam. Here we address the effect of changing the central bubble area lambda. For small lambda the pressure in the central bubble and the average pressure were both found to decrease with s, as in monodisperse clusters. However, for large,, the pressure in the central bubble and the average pressure increase with s. The average pressure of large clusters was found to be independent of lambda and to approach 0.9306 asymptotically. We have also determined the cluster surface energies given by the equation of equilibrium for the total energy in terms of the area and the pressure in each bubble. When the pressures in the bubbles are not available, an approximate equation derived by Vaz et al. [M. Fatima Vaz, M.A. Fortes, F. Graner, Philos. Mag. Lett. 82 (2002) 575] was shown to provide good estimations for the cluster energy provided the bubble area distribution is narrow. This approach does not take cluster topology into account. Using this approximate equation, we find a good correlation between Surface Evolver Simulations and the estimated Values of energies and pressures. (C) 2008 Elsevier B.V. All rights reserved.

Otimização de um sistema de "Free-Cooling" de uma instalação de climatização: incluindo a definição de um algoritmo de controlo de funcionamento

A utilização de equipamentos de climatização é cada vez mais frequente, e surgem novas tecnologias para aumentar a eficiência do processo, e neste caso, a opção da instalação de um sistema de Unidade de Tratamento de Ar com Economizador é a fundamental temática deste trabalho de dissertação. O “Free-Cooling” baseia-se na utilização total ou parcial do ar exterior para proceder à climatização de um espaço, quando se verificam as condições ótimas para o processo, e quando o sistema apresenta um controlador que permita gerir a abertura dos registos face à temperatura exterior e interior medida. A análise das condições exteriores e interiores é fundamental para dimensionar um Economizador. É necessário determinar o tipo de clima do local para fazer a seleção do tipo de controlo do processo, e recolher também, o perfil de temperaturas exterior para justificar a utilização de “Free-Cooling” no local. A determinação das condições interiores como a quantificação da utilização da iluminação, ocupação e equipamentos, é necessária para determinar a potência das baterias de arrefecimento ou aquecimento, e no caso de ser utilizado “Free-Cooling”, determinar o caudal de ar exterior a insuflar. O balanço térmico das instalações explicita todas as cargas influentes no edifício, e permite quantificar a potência necessária para climatização. Depois, adicionando o Economizador no sistema e comparando os dois sistemas, verifica-se a redução dos custos de utilização da bateria de arrefecimento. O desenvolvimento de um algoritmo de controlo é fundamental para garantir a eficiência do Economizador, onde o controlo dos registos de admissão e retorno de ar é obrigatoriamente relacionado com a leitura dos sensores de temperatura exterior e interior. A quantidade de ar novo insuflado no espaço depende, por fim, da relação entre a carga sensível do local e a diferença de temperatura lida entre os dois sensores.

Study on the glycerolysis reaction of high free fatty acid oils for use as biodiesel feedstock

Biodiesel is the main alternative to fossil diesel and it may be produced from different feedstocks such as semi-refined vegetable oils, waste frying oils or animal fats. However, these feedstocks usually contain significant amounts of free fatty acids (FFA) that make them inadequate for the direct base catalyzed transesterification reaction (where the FFA content should be lower than 4%). The present work describes a possible method for the pre-treatment of oils with a high content of FFA (20 to 50%) by esterification with glycerol. In order to reduce the FFA content, the reaction between these FFA and an esterification agent is carried out before the transesterification reaction. The reaction kinetics was studied in terms of its main factors such astemperature, % of glycerin excess, % of catalyst used, stirring velocity and type of catalyst used. The results showed that glycerolysis is a promising pretreatment to acidic oils or fats (> 20%) as they led to the production of an intermediary material with a low content of FFA that can be used directly in thetransesterification reaction for the production of biodiesel. (C) 2011 Elsevier B.V. All rights reserved.

Structural Color and Iridescence in Transparent Sheared Cellulosic Films

Shear transparent cellulose free-standing thin films can develop iridescence similar to that found in petals of the tulip Queen of the Night. The iridescence of the film arises from the modulation of the surface into bands periodically spread perpendicular to the shear direction. Small amounts of nanocrystalline cellulose (NCC) rods in the precursor liquid-crystalline solutions do not disturb the optical properties of the solutions but enhance the mechanical characteristics of the films and affects their iridescence. Smaller bands periodicity, not affected by the NCC rods, slightly deviated from the shear direction is also observed. NCCs are crucial to tune and understand the film's surface features formation. Our findings could lead to new materials for application in soft reflective screens and devices.

Comportamentos interactivos das educadoras de infância em salas de creche em função do tipo de actividades e das características estruturais do contexto

O presente artigo pretende examinar a quantidade, qualidade e adequação dos comportamentos interactivos das educadoras em salas de creche, em actividades livres e estruturadas, investigando a sua relação com aspectos de estrutura destes contextos. Participaram neste estudo 30 responsáveis por salas de creche da Área Metropolitana do Porto (incluindo 5 auxiliares de acção educativa). Os comportamentos interactivos das educadoras foram avaliados com a Escala de Interacção Educador-Criança (Farran, & Collins 1995). Os resultados obtidos sugerem que as educadoras exibem maior quantidade de comportamentos interactivos no decurso de actividades estruturadas (r = .65) e que a adequação destes comportamentos é superior quando estes profissionais têm bacharelato ou licenciatura (rь=.57), quando auferem salários superiores (r = .42) e quando despendem menos horas de trabalho directo com as crianças (r = -.37). A qualidade dos comportamentos interactivos está relacionada com o salário auferido (r = .43). As implicações práticas dos resultados obtidos são discutidas com o objectivo de analisar formas possíveis de alcançar níveis de excelência em contextos de educação de infância.

Magnesium, insulin resistance and body composition in healthy postmenopausal women

Objective: This study was conducted to determine the association between magnesium (Mg), body composition and insulin resistance in 136 sedentary postmenopausal women, 50 to 77 years of age. Methods: Diabetics, hypertensives and women on hormonal replacement therapy were excluded and the remaining 74 were divided according to BMI≥25 (obese: OG) and BMI<25 kg/m2 (non-obese: NOG). Nutritional data disclosed that intakes were high for protein and saturated fat, low for carbohydrates, polyunsaturated fat and Mg and normal for the other nutrients, according to recommended dietary allowances (RDA). Mg values in red blood cells (RBC-Mg) and plasma (P-Mg), were determined, as were fasting glucose, and insulin levels, Homeostasis Model Assessment (HOMA), body mass index (BMI), body fat percent (BF %), abdominal fat (AF) and free fat mass (FFM). Results: RBC-Mg values were low in both groups when compared with normal values. There were significant differences in body composition parameters, HOMA and insulin levels, with higher basal insulin levels in OG. RBC-Mg was directly correlated with insulin, HOMA and FFM in both groups, according to Pearson correlations. HOMA in OG was also directly correlated with BMI, FFM and AF. In NOG, HOMA was only correlated with FFM. The low RBC-Mg levels observed were probably due to low Mg intake and to deregulation of factors that control Mg homeostasis during menopause. Conclusions: Both Mg deficit and obesity may independently lead to a higher risk for insulin resistance and cardiovascular disease.

The influence of experience and training in a group of novice observers: a jackknife alternative free-response receiver operating characteristic analysis

Purpose - The study evaluates the pre- and post-training lesion localisation ability of a group of novice observers. Parallels are drawn with the performance of inexperienced radiographers taking part in preliminary clinical evaluation (PCE) and ‘red-dot’ systems, operating within radiography practice. Materials and methods - Thirty-four novice observers searched 92 images for simulated lesions. Pre-training and post-training evaluations were completed following the free-response the receiver operating characteristic (FROC) method. Training consisted of observer performance methodology, the characteristics of the simulated lesions and information on lesion frequency. Jackknife alternative FROC (JAFROC) and highest rating inferred ROC analyses were performed to evaluate performance difference on lesion-based and case-based decisions. The significance level of the test was set at 0.05 to control the probability of Type I error. Results - JAFROC analysis (F(3,33) = 26.34, p < 0.0001) and highest-rating inferred ROC analysis (F(3,33) = 10.65, p = 0.0026) revealed a statistically significant difference in lesion detection performance. The JAFROC figure-of-merit was 0.563 (95% CI 0.512,0.614) pre-training and 0.677 (95% CI 0.639,0.715) post-training. Highest rating inferred ROC figure-of-merit was 0.728 (95% CI 0.701,0.755) pre-training and 0.772 (95% CI 0.750,0.793) post-training. Conclusions - This study has demonstrated that novice observer performance can improve significantly. This study design may have relevance in the assessment of inexperienced radiographers taking part in PCE or commenting scheme for trauma.

Benchmark exact solutions for the static analysis of multi-layered piezoelectric composite using PVDF

The three-dimensional (3D) exact solutions developed in the early 1970s by Pagano for simply supported multilayered orthotropic composite plates and later in the 1990s extended to piezoelectric plates by Heyliger have been extremely useful in the assessment and development of advanced laminated plate theories and related finite element models. In fact, the well-known test cases provided by Pagano and by Heyliger in those earlier works are still used today as benchmark solutions. However, the limited number of test cases whose 3D exact solutions have been published has somewhat restricted the assessment of recent advanced models to the same few test cases. This work aims to provide additional test cases to serve as benchmark exact solutions for the static analysis of multilayered piezoelectric composite plates. The method introduced by Heyliger to derive the 3D exact solutions has been successfully implemented using symbolic computing and a number of new test cases are here presented thoroughly. Specifically, two multilayered plates using PVDF piezoelectric material are selected as test cases under two different loading conditions and considering three plate aspect ratios for thick, moderately thick and thin plate, in a total of 12 distinct test cases. (C) 2013 Elsevier Ltd. All rights reserved.

Microwave-assisted and solvent-free peroxidative oxidation of 1-phenylethanol to acetophenone with a CuII-TEMPO catalytic system

The water-soluble copper(II) complex [Cu(H2R)(HL)]center dot H2O (1) was prepared by reaction of copper(II) nitrate hydrate with (E)-2-(((1-hydroxynaphthalen-2-yl)methylene)amino) benzenesulfonic acid (H2L) and diethanolamine (H3R). It was characterized by IR and ESI-MS spectroscopies, elemental and X-ray crystal structural analyses. 1 shows a high catalytic activity for the solvent-free microwave (MW) assisted oxidation of 1-phenylethanol with tert-butylhydroperoxide, leading, in the presence of TEMPO, to yields up to 85% (TON = 850) in a remarkably short reaction time (15 min, with the corresponding TOE value of 3.40 x 10(3) h(-1)) under low power (25W) MW irradiation. Crown Copyright (C) 2014 Published by Elsevier B.V. All rights reserved.