Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

COMPARISON MEASURES OF MAPS GENERATED BY GEOSTATISTICAL METHODS

This study uses several measures derived from the error matrix for comparing two thematic maps generated with the same sample set. The reference map was generated with all the sample elements and the map set as the model was generated without the two points detected as influential by the analysis of local influence diagnostics. The data analyzed refer to the wheat productivity in an agricultural area of 13.55 ha considering a sampling grid of 50 x 50 m comprising 50 georeferenced sample elements. The comparison measures derived from the error matrix indicated that despite some similarity on the maps, they are different. The difference between the estimated production by the reference map and the actual production was of 350 kilograms. The same difference calculated with the mode map was of 50 kilograms, indicating that the study of influential points is of fundamental importance to obtain a more reliable estimative and use of measures obtained from the error matrix is a good option to make comparisons between thematic maps.

Effect of a propeller duct on AUV maneuverability

A number of autonomous underwater vehicles, AUV, are equipped with commercial ducted propellers, most of them produced originally for the remote operated vehicle, ROV, industry. However, AUVs and ROVs are supposed to work quite differently since the ROV operates in almost the bollard pull condition, while the AUV works at larger cruising speeds. Moreover, they can have an influence in the maneuverability of AUV due to the lift the duct generates in the most distant place of the vehicle's center of mass. In this work, it is proposed the modeling of the hydrodynamic forces and moment on a duct propeller according to a numerical (CFD) simulation, and analytical and semi-empirical, ASE, approaches. Predicted values are compared to experimental results produced in a towing tank. Results confirm the advantages of the symbiosis between CFD and ASE methods for modeling the influence of the propeller duct in the AUV maneuverability. (C) 2012 Elsevier Ltd. All rights reserved.

Probabilistic Envelope Curves for Extreme Rainfall Events - Curve Inviluppo Probabilistiche per Precipitazioni Estreme

A regional envelope curve (REC) of flood flows summarises the current bound on our experience of extreme floods in a region. RECs are available for most regions of the world. Recent scientific papers introduced a probabilistic interpretation of these curves and formulated an empirical estimator of the recurrence interval T associated with a REC, which, in principle, enables us to use RECs for design purposes in ungauged basins. The main aim of this work is twofold. First, it extends the REC concept to extreme rainstorm events by introducing the Depth-Duration Envelope Curves (DDEC), which are defined as the regional upper bound on all the record rainfall depths at present for various rainfall duration. Second, it adapts the probabilistic interpretation proposed for RECs to DDECs and it assesses the suitability of these curves for estimating the T-year rainfall event associated with a given duration and large T values. Probabilistic DDECs are complementary to regional frequency analysis of rainstorms and their utilization in combination with a suitable rainfall-runoff model can provide useful indications on the magnitude of extreme floods for gauged and ungauged basins. The study focuses on two different national datasets, the peak over threshold (POT) series of rainfall depths with duration 30 min., 1, 3, 9 and 24 hrs. obtained for 700 Austrian raingauges and the Annual Maximum Series (AMS) of rainfall depths with duration spanning from 5 min. to 24 hrs. collected at 220 raingauges located in northern-central Italy. The estimation of the recurrence interval of DDEC requires the quantification of the equivalent number of independent data which, in turn, is a function of the cross-correlation among sequences. While the quantification and modelling of intersite dependence is a straightforward task for AMS series, it may be cumbersome for POT series. This paper proposes a possible approach to address this problem.

A probabilistic approach to classify the levee reliability

This work aims to evaluate the reliability of these levee systems, calculating the probability of “failure” of determined levee stretches under different loads, using probabilistic methods that take into account the fragility curves obtained through the Monte Carlo Method. For this study overtopping and piping are considered as failure mechanisms (since these are the most frequent) and the major levee system of the Po River with a primary focus on the section between Piacenza and Cremona, in the lower-middle area of the Padana Plain, is analysed. The novelty of this approach is to check the reliability of individual embankment stretches, not just a single section, while taking into account the variability of the levee system geometry from one stretch to another. This work takes also into consideration, for each levee stretch analysed, a probability distribution of the load variables involved in the definition of the fragility curves, where it is influenced by the differences in the topography and morphology of the riverbed along the sectional depth analysed as it pertains to the levee system in its entirety. A type of classification is proposed, for both failure mechanisms, to give an indication of the reliability of the levee system based of the information obtained by the fragility curve analysis. To accomplish this work, an hydraulic model has been developed where a 500-year flood is modelled to determinate the residual hazard value of failure for each stretch of levee near the corresponding water depth, then comparing the results with the obtained classifications. This work has the additional the aim of acting as an interface between the world of Applied Geology and Environmental Hydraulic Engineering where a strong collaboration is needed between the two professions to resolve and improve the estimation of hydraulic risk.

The Value of Intuitive Concepts in Evaporation Research

The Evaporative Fraction (EF) and the Complementary Relationship (CR), both extensively explored by Wilfried Brutsaert during his productive career, have elucidated the conceptual understanding of evapotranspiration within hydrological science, despite a lack of rigorous proof of validity of either concept. We briefly review Brutsaert's role in the history of these concepts and discuss their appeal and interrelationship.

Hazard index maps for woody material recruitment and transport in alpine catchments

A robust and reliable risk assessment procedure for hydrologic hazards deserves particular attention to the role of transported woody material during flash floods or debris flows. At present, woody material transport phenomena are not systematically considered within the procedures for the elaboration of hazard maps. The consequence is a risk of losing prediction accuracy and of underestimating hazard impacts. Transported woody material frequently interferes with the sediment regulation capacity of open check dams and moreover, when obstruction phenomena at critical crosssections of the stream occur, inundations can be triggered. The paper presents a procedure for the determination of the relative propensity of mountain streams to the entrainment and delivery of recruited woody material on the basis of empirical indicators. The procedure provided the basis for the elaboration of a hazard index map for all torrent catchments of the Autonomous Province of Bolzano/Bozen. The plausibility of the results has been thoroughly checked by a backward oriented analysis on natural hazard events, documented since 1998 at the Department of Hydraulic Engineering of the aforementioned Alpine Province. The procedure provides hints for the consideration of the effects, induced by woody material transport, during the elaboration of hazard zone maps.