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.

Imunorreatividade em material histológico arquivado durante um, quatro e sete anos

Quando aplicada no âmbito da Anatomia Patológica, a imuno-histoquímica tem constituído um poderoso meio de identificação/caracterização de várias estruturas histológicas, permitindo delinear prognóstico e terapêutica para várias patologias. Tendo em conta que as amostras histológicas analisadas podem ser conservadas ao longo de vários anos, interessa avaliar a manutenção da antigenicidade ao longo do tempo, de forma a garantir a qualidade final da técnica quando aplicada em material de arquivo. Assim, o principal objetivo deste trabalho foi comparar a imunorreatividade do material histológico arquivado durante um, quatro e sete anos. Foi utilizado material histológico de próstata, pulmão e mama, no qual se procedeu à imunomarcação de citoqueratinas (Clones AE1/AE3), CD34 e proteína p63, por método de multímero/HRP no sistema Ventana BenchMark Ultra®. Foi realizado um ensaio com recuperação antigênica por alta temperatura (RAAT) e outro sem esta etapa. As imunomarcações (n=162) foram classificadas por três avaliadores independentes num escore quantitativo final (escala 0-100). O par média/desvio-padrão do escore final para os casos com sete anos foi de 69,06/19,05, para os casos com quatro anos foi de 66,47/20,73 e para os casos com um ano foi de 69,08/19,35, não se tendo encontrado diferenças estatisticamente significativas. Os casos sem RAAT obtiveram um par média/desvio-padrão de 54,90/17,00, enquanto os casos com RAAT obtiveram 81,50/11,60, o que revelou diferenças estatisticamente significativas (p=0,000). Para os casos em estudo conclui-se que o fator “tempo de arquivo” não está associado a alterações da imunorreatividade. A importância da RAAT na obtenção de imunomarcação de qualidade sai fortemente realçada. ABSTRACT - When applied within the framework of Pathology, immunohistochemistry has been a powerful means of identification/characterization of various histological structures, allowing to outline prognosis and therapy for various diseases. Given that the analyzed histological samples can be preserved for several years, it is interesting to assess the retention of antigenicity over time in order to ensure the quality of the final technique, when applied to stored material. Thus, the main objective of this study was to compare the immunoreactivity of the histological material archived for one, four and seven years. It was used histological material from prostate, lung and breast, in which it was performed the immunostaining of cytokeratins (clones AE1/AE3), CD34 and p63 protein by the method of multimer/HRP system on a Ventana BenchMark Ultra®. It was conducted a test with heat induced epitope retrieval (HIER) and another one without this step. The stained slides (n=162) were classified by three independent assessors using a quantitative score (scale 0-100). The pair mean/standard deviation of the score for cases with seven years was 69,06/19,05, for cases with four years was 66,47/20,73 and for cases with one year was 69,08/19,35, which did not revealed any statistically significant differences. The cases without HIER had a couple mean/standard deviation of 54.90/17.00 while the cases with HIER obtained 81.50/11.60, which revealed statistically significant differences (p=0.000). For this case study it was concluded that the factor archive period is not associated with changes in immunoreactivity. The importance of HIER in obtaining high quality immunostaining comes out strongly highlighted.