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.

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.

SELF-SIMILARITY AND LAMPERTI CONVERGENCE FOR FAMILIES OF STOCHASTIC PROCESSES

We define a new type of self-similarity for one-parameter families of stochastic processes, which applies to certain important families of processes that are not self-similar in the conventional sense. This includes Hougaard Levy processes such as the Poisson processes, Brownian motions with drift and the inverse Gaussian processes, and some new fractional Hougaard motions defined as moving averages of Hougaard Levy process. Such families have many properties in common with ordinary self-similar processes, including the form of their covariance functions, and the fact that they appear as limits in a Lamperti-type limit theorem for families of stochastic processes.

Self-Organizing Maps as a New Tool for Classification of Plants at Lower Hierarchical Levels

A chemotaxonomic analysis is described of a database containing various types of compounds from the Heliantheae tribe (Asteraceae) using Self-Organizing Maps (SOM). The numbers of occurrences of 9 chemical classes in different taxa of the tribe were used as variables. The study shows that SOM applied to chemical data can contribute to differentiate genera, subtribes, and groups of subtribes (subtribe branches), as well as to tribal and subtribal classifications of Heliantheae, exhibiting a high hit percentage comparable to that of an expert performance, and in agreement with the previous tribe classification proposed by Stuessy.

Test–retest repeatability of self-reported environmental exposures in Parkinson’s disease cases and healthy controls

There is substantial disagreement among published epidemiological studies regarding environmental risk factors for Parkinson’s disease (PD). Differences in the quality of measurement of environmental exposures may contribute to this variation. The current study examined the test–retest repeatability of self-report data on risk factors for PD obtained from a series of 32 PD cases recruited from neurology clinics and 29 healthy sex-, age-and residential suburb-matched controls. Exposure data were collected in face-to-face interviews using a structured questionnaire derived from previous epidemiological studies. High repeatability was demonstrated for ‘lifestyle’ exposures, such as smoking and coffee/tea consumption (kappas 0.70–1.00). Environmental exposures that involved some action by the person, such as pesticide application and use of solvents and metals, also showed high repeatability (kappas>0.78). Lower repeatability was seen for rural residency and bore water consumption (kappa 0.39–0.74). In general, we found that case and control participants provided similar rates of incongruent and missing responses for categorical and continuous occupational, domestic, lifestyle and medical exposures.

Effect of multiple transverse modes in self-mixing sensors based on vertical-cavity surface-emitting lasers

We investigate the effect of coexisting transverse modes on the operation of self-mixing sensors based on vertical-cavity surface-emitting lasers (VCSELs). The effect of multiple transverse modes on the measurement of displacement and distance were examined by simulation and in laboratory experiment. The simulation model shows that the periodic change in the shape and magnitude of the self-mixing signal with modulation current can be properly explained by the different frequency-modulation coefficients of the respective transverse modes in VCSELs. The simulation results are in excellent agreement with measurements performed on single-mode and multimode VCSELs and on self-mixing sensors based on these VCSELs.

Emotional Intelligence, emotional Self-Awareness, and Team Effectiveness

An issue at the forefront of recent emotional intelligence debates revolves around whether emotional intelligence can be linked to work performance. Although many authors continue to develop new and improved measures of emotional intelligence (e.g. Mayer, Caruso, & Salovey, 2001) to give us a better understanding of emotional intelligence, the links to performance in work settings, especially in the context of group effectiveness, have received much less attention. In this chapter, we present the results of a study in which we examined the role of emotional self-awareness and emotional intelligence as a predictor of group effectiveness. The study also addresses the utility of self- and peer assessment in measureing emotional self-awareness and emotional intelligence.

Surface Waves and Roughness in Self-Aerated Supercritical Flow

In high-velocity open channel flows, free-surface aeration is commonly observed. The effects of surface waves on the air-water flow properties are tested herein. The study simulates the air-water flow past a fixed-location phase-detection probe by introducing random fluctuations of the flow depth. The present model yields results that are close to experimental observations in terms of void fraction, bubble count rate and bubble/droplet chord size distributions. The results show that the surface waves have relatively little impact on the void fraction profiles, but that the bubble count rate profiles and the distributions of bubble and chord sizes are affected by the presence of surface waves.

A finite integral transform technique for solving the diffusion-reaction equation with Michaelis-Menten kinetics

An approximate analytical technique employing a finite integral transform is developed to solve the reaction diffusion problem with Michaelis-Menten kinetics in a solid of general shape. A simple infinite series solution for the substrate concentration is obtained as a function of the Thiele modulus, modified Sherwood number, and Michaelis constant. An iteration scheme is developed to bring the approximate solution closer to the exact solution. Comparison with the known exact solutions for slab geometry (quadrature) and numerically exact solutions for spherical geometry (orthogonal collocation) shows excellent agreement for all values of the Thiele modulus and Michaelis constant.

Transient response of diffusion cell containing a porous solid

Transient response of an adsorbing or non-adsorbing tracer injected as step or square pulse input in a diffusion cell with two flowing streams across the pellet is theoretically investigated in this paper. Exact solutions and the asymptotic solutions in the time domain and in three different limits are obtained by using an integral transform technique and a singular perturbation technique, respectively. Parametric dependence of the concentrations in the top and bottom chambers can be revealed by investigating the asymptotic solutions, which are far simpler than their exact counterpart. In the time domain investigation, it is found that the bottom-chamber concentration is very sensitive to the value of the macropore effective diffusivity. Therefore this concentration could be used to extract diffusivity by fitting in the time domain. The bottom-chamber concentration is also sensitive to flow rate, pellet length chamber volume and the type of input (step and square input).

Self-Similarity of Air-Water Flows in Skimming Flows on Stepped Spillways

Skimming flows on stepped spillways are characterised by a significant rate of turbulent dissipation on the chute. Herein an advanced signal processing of traditional conductivity probe signals is developed to provide further details on the turbulent time and length scales. The technique is applied to a 22° stepped chute operating with flow Reynolds numbers between 3.8 and 7.1 E+5. The new correlation analyses yielded a characterisation of large eddies advecting the bubbles. The turbulent length scales were related to the characteristic depth Y90. Some self-similar relationships were observed systematically at both macroscopic and microscopic levels. These included the distributions of void fraction, bubble count rate, interfacial velocity and turbulence level, and turbulence time and length scales. The self-similarity results were significant because they provided a picture general enough to be used to characterise the air-water flow field in prototype spillways.