Dynamic hedging with stocastic differential utility

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both previous approaches. In all cases, we assume Markovian prices. Stochastic differential utility, SDU, impacts the pure hedging demand ambiguously, but decreases the pure speculative demand, because risk aversion increases. We also show that consumption decision is, in some sense, independent of hedging decision. With terminal wealth utility, we derive a general and compact hedging formula, which nests as special all cases studied in Duffie and Jackson (1990). We then show how to obtain their formulas. With the third approach we find a compact formula for hedging, which makes the second-type utility framework a particular case, and show that the pure hedging demand is not impacted by this specification. In addition, with CRRA- and CARA-type utilities, the risk aversion increases and, consequently the pure speculative demand decreases. If futures price are martingales, then the transformation plays no role in determining the hedging allocation. We also derive the relevant Bellman equation for each case, using semigroup techniques.

Determinants of differential pricing of equity classes in the Brazilian equity market

We examine the differential pricing of equity classes between voting and non-voting shares in Brazilian listed companies with particular emphasis on privatized companies, and we discuss the role of majority control, liquidity, and governance issues that may influence these differentials over time. We include a brief discussion on the Brazilian corporate law system, its impact on controlling and minority shareholders, and the characteristics of the Brazilian privatization process, before proceeding to the econometric analysis. We find empirical evidence to support that liquidity is a major component for determining this differential pricing over time. Other variables, such as the ratio of non-voting equity to total equity, type of majority control, and changes in regulation signal the high level of agency costs between majority controllers and minority shareholders in explaining the differential pricing of equity classes.

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

Characterization of bovine transcripts preferentially expressed in testis and with a putative role in spermatogenesis

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Differential antibody isotype expression to the major Paracoccidioides brasiliensis antigen in juvenile and adult form paracoccidioidomycosis

We investigated the relationship between antibody response to the major Paracoccidioides brasiliensis antigen, a 43-kDa glycoprotein, and the two paracoccidioidomycosis (PCM) clinical presentations, the juvenile and the adult forms. Total immunoglobulin G (IgG), IgG isotypes, and IgA anti-gp43 antibodies were determined by enzyme-linked immunosorbent assay in patients' sera. Juvenile PCM patients had higher (P =.003) IgG anti-gp43 levels than adult form patients. IgG1 subclass levels, however, were comparable between the two clinical forms. Patients with the juvenile form had higher (P <.001) IgG4, but lower(P =.03) IgG2 levels than patients with the adult form. The IgG4 isotype, regulated by interleukin 4, was found in all juvenile form patients but in only 12% of the adult form patients. In contrast, high levels of the IgG2 isotype, regulated by interferon-gamma, were found in 41% of the adult PCM patients, mainly those with a more benign disease, but in only 12% of the juvenile patients. IgG3 was either absent or detected at low levels. These results demonstrate, for the first time, specific IgG4 antibodies in the humoral immune response of patients with an endemic deep mycosis and suggest that the switch to the IgG subclasses in PCM is regulated by the patients' T-helper subset (Th-l or Th-2) dominant cytokine profile. A possible role for IgG4 in the immunopathogenesis of the juvenile, more severe form of the disease is discussed. Finally, IgA was found mainly in adult form patients, probably as a result of the chronic mucosal antigenic stimulation characteristic of this form. (C) Elsevier, Paris.

Stability of neutral functional differential equations in terms of measures

In this paper we investigate the relationships between different concepts of stability in measure for the solutions of an autonomous or periodic neutral functional differential equation.

On retarded differential equations with impulses

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Damage to the central amygdala produces differential encephalic c-fos expression in the water deprivation-partial rehydration protocol

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Melatonin reduces LH, 17 beta-estradiol and induces differential regulation of sex steroid receptors in reproductive tissues during rat ovulation

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Physical chromosome mapping of repetitive DNA sequences in Nile tilapia Oreochromis niloticus: Evidences for a differential distribution of repetitive elements in the sex chromosomes

Repetitive DNAs have been extensively applied as physical chromosome markers on comparative studies, identification of chromosome rearrangements and sex chromosomes, chromosome evolution analysis, and applied genetics. Here we report the characterization of repetitive DNA sequences from the Nile tilapia (Oreochromis niloticus) genome by construction and screening of plasmid library enriched with repetitive DNAs, analysis of a BAC-based physical map, and hybridization to chromosomes. The physical mapping of BACs enriched with repetitive sequences and C(o)t-1 DNA (DNA enriched for highly and moderately repetitive DNA sequences) to chromosomes using FISH showed a predominant distribution of repetitive elements in the centromeric and telomeric regions and along the entire length of the largest chromosome pair (X and Y sex chromosomes) of the species. The distribution of repetitive DNAs differed significantly between the p arm of X and Y chromosomes. These findings suggest that repetitive DNAs have had an important role in the differentiation of sex chromosomes. (c) 2007 Elsevier Ltd. All rights reserved.

Annexin 1: differential expression in tumor and mast cells in human larynx cancer

Annexin 1 protein (ANXA1) expression was evaluated in tumor and mast cells in human larynx cancer and control epithelium. The effect of the exogenous ANXA1 (peptide Ac 2-26) was also examined during the cellular growth of the Hep-2 human larynx epidermoid carcinoma cell line. This peptide inhibited the proliferation of the Hep-2 cells within 144 hr. In surgical tissue specimens from 20 patients with larynx cancer, ultrastructural immunocytochemistry analysis showed in vivo down-regulation of ANXA1 expression in the tumor and increased in mast cells and Hep-2 cells treated with peptide Ac2-26. Combined in vivo and in vitro analysis demonstrated that ANXA1 plays a regulatory role in laryngeal cancer cell growth. We believe that a better understanding of the regulatory mechanisms of ANXA1 in tumor and mast cells may lead to future biological targets for the therapeutic intervention of human larynx cancer. (c) 2007 Wiley-Liss, Inc.

The role of counterion on the thermotropic phase behavior of DODAB and DODAC vesicles

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The role of the Eu3+ ions in structure and photoluminescence properties of SrBi2Nb2O9 powders

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Differential Toxicity of Disperse Red 1 and Disperse Red 13 in the Ames Test, HepG2 Cytotoxicity Assay, and Daphnia Acute Toxicity Test

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Simultaneous determination of quinoline and pyridine compounds in gasoline and diesel by differential pulse voltammetry

The presence of trace basic organonitrogen compounds such as quinoline and pyridine in derivative petroleum fuels plays an important role in maintaining the engines of vehicles. However, these substances can contaminate the environment and so must be controlled because most of them are potentially carcinogenic and mutagenic. For these reasons, a reliable and sensitive method was developed for the determination of basic nitrogen compounds in fuel samples such as gasoline and diesel. This method utilizes preconcentration on an ion-exchange resin (Amberlyte IR - 120 H) followed by differential pulse voltammetry (DPV) on a glassy carbon electrode. The electrochemical behavior of quinoline and pyridine as studied by cyclic voltammetry (CV) suggests that their reduction occurs via a reversible electron transfer followed by an irreversible chemical reaction. Very well resolved diffusion-controlled voltammetric peaks were obtained in dimethylformamide (DMF) with tetrabutylammonium tetrafluoroborate (TBAF(4) 0.1 mol L-1) for quinoline (-1.95 V) and pyridine (-2.52 V) vs. Ag vertical bar AgCl vertical bar KClsat reference electrode. The proposed DPV method displayed a good linear response from 0.10 to 300 mg L-1 and a limit of detection (LOD) of 5.05 and 0.25 mu g L-1 for quinoline and pyridine, respectively. Using the method of standard additions, the simultaneous determination of quinoline and pyridine in gasoline samples yielded 25.0 +/- 0.3 and 33.0 +/- 0.7 mg L-1 and in diesel samples yielded 80.3 +/- 0.2 and 131 +/- 0.4 mg L-1, respectively. Spike recoveries were 94.4 +/- 0.3% and 10 +/- 0.5% for quinoline and pyridine, respectively, in the fuel determinations. This proposed method was also compared with UV-vis spectrophotometric measurements. Results obtained for the two methods agreed well based on F and t student's tests.