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.

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Using a New Criterion to Identify Sites for Mean Soil Water Storage Evaluation

Establishing a few sites in which measurements of soil water storage (SWS) are time stable significantly reduces the efforts involved in determining average values of SWS. This study aimed to apply a new criterion the mean absolute bias error (MABE)-to identify temporally stable sites for mean SWS evaluation. The performance of MABE was compared with that of the commonly used criterion, the standard deviation of relative difference (SDRD). From October 2004 to October 2008, SWS of four soil layers (0-1.0, 1.0-2.0,2.0-3.0, and 3.0-4.0 m) was measured, using a neutron probe, at 28 sites on a hillslope of the Loess Plateau, China. A total of 37 SWS data sets taken over time were divided into two subsets, the first consisting of 22 dates collected during the calibration period from October 2004 to September 2006, and the second with 15 dates collected during the validation period from October 2006 to October 2008. The results showed that if a critical value of 5% for MABE was defined, more than half the sites were temporally stable for both periods, and the number of temporally stable sires generally increased with soil depth. Compared with SDRD, MABE was more suitable for the identification of time-stable sites for mean SS prediction. Since the absolute prediction error of drier sites is more sensitive to changes in relative difference in terms of mean SWS prediction, the sites of wet sectors should be preferable for mean SWS prediction for the same changes in relative difference.

An estimate of biometric parameters in eucalyptus clone plantations in Southern Bahia: an application of the airborne laser scanning (ALS) technology

The application of airborne laser scanning (ALS) technologies in forest inventories has shown great potential to improve the efficiency of forest planning activities. Precise estimates, fast assessment and relatively low complexity can explain the good results in terms of efficiency. The evolution of GPS and inertial measurement technologies, as well as the observed lower assessment costs when these technologies are applied to large scale studies, can explain the increasing dissemination of ALS technologies. The observed good quality of results can be expressed by estimates of volumes and basal area with estimated error below the level of 8.4%, depending on the size of sampled area, the quantity of laser pulses per square meter and the number of control plots. This paper analyzes the potential of an ALS assessment to produce certain forest inventory statistics in plantations of cloned Eucalyptus spp with precision equal of superior to conventional methods. The statistics of interest in this case were: volume, basal area, mean height and dominant trees mean height. The ALS flight for data assessment covered two strips of approximately 2 by 20 Km, in which clouds of points were sampled in circular plots with a radius of 13 m. Plots were sampled in different parts of the strips to cover different stand ages. The clouds of points generated by the ALS assessment: overall height mean, standard error, five percentiles (height under which we can find 10%, 30%, 50%,70% and 90% of the ALS points above ground level in the cloud), and density of points above ground level in each percentile were calculated. The ALS statistics were used in regression models to estimate mean diameter, mean height, mean height of dominant trees, basal area and volume. Conventional forest inventory sample plots provided real data. For volume, an exploratory assessment involving different combinations of ALS statistics allowed for the definition of the most promising relationships and fitting tests based on well known forest biometric models. The models based on ALS statistics that produced the best results involved: the 30% percentile to estimate mean diameter (R(2)=0,88 and MQE%=0,0004); the 10% and 90% percentiles to estimate mean height (R(2)=0,94 and MQE%=0,0003); the 90% percentile to estimate dominant height (R(2)=0,96 and MQE%=0,0003); the 10% percentile and mean height of ALS points to estimate basal area (R(2)=0,92 and MQE%=0,0016); and, to estimate volume, age and the 30% and 90% percentiles (R(2)=0,95 MQE%=0,002). Among the tested forest biometric models, the best fits were provided by the modified Schumacher using age and the 90% percentile, modified Clutter using age, mean height of ALS points and the 70% percentile, and modified Buckman using age, mean height of ALS points and the 10% percentile.

Technical and economical evaluation of a harvester, working under different spacing and planting arrangement conditions in eucalypts plantations

Plantation spacing selection has the primary objective of assigning each tree enough space for maximum growth and best quality to be attained with a minimum cost. From the harvest standpoint, an increase in stand density directly implies a decrease of individual tree volume, reducing also harvester productive capacity. The objective of this research is to assess the effects of several initial spacings and arrangements in eucalyptus plantations on production capacity, operational capacity and costs of forest harvester. Real operational data were collected from two eucalypt plantations at different initial spacing of 6.0, 7.5, 9.0, 12 and 18 m(2) per tree. Simulation data were obtained from a forest harvester simulator. Using spacing (E), mean tree volume (MV), diameter at breast height (DBH) and height (H) values, a stepwise regression test procedure was run, and correlations computed in order to measure their participation in operational capacity. Operational costs were computed with an accounting method proposed by FAO. Mean tree volume (MV) explained 88% of forest harvester operational capacity. Spacing (E) affected 8.5% of harvester operational capacity; wider spacings were related to higher individual tree volumes. Harvesting operation costs were lower in wider spaced treatments.

What loggers leave behind: Impacts on big-leaf mahogany (Swietenia macrophylla) commercial populations and potential for post-logging recovery in the Brazilian Amazon

The sustainability of current harvest practices for high-value Meliaceae can be assessed by quantifying logging intensity and projecting growth and survival by post-logging populations over anticipated intervals between harvests. From 100%-area inventories of big-leaf mahogany (Swietenia macrophylla) covering 204 ha or more at eight logged and unlogged forest sites across southern Brazilian Amazonia, we report generally higher landscape-scale densities and smaller population-level mean diameters in eastern forests compared to western forests, where most commercial stocks survive. Density of trees >= 20 cm diameter varied by two orders of magnitude and peaked at 1.17 ha(-1). Size class frequency distributions appeared unimodal at two high-density sites, but were essentially arnodal or flat elsewhere; diameter increment patterns indicate that populations were multi- or all-aged. At two high-density sites, conventional logging removed 93-95% of commercial trees (>= 45 cm diameter at the time of logging), illegally eliminated 31-47% of sub-merchantable trees, and targeted trees as small as 20 cm diameter. Projected recovery by commercial stems during 30 years after conventional logging represented 9.9-37.5% of initial densities and was highly dependent on initial logging intensity and size class frequency distributions of commercial trees. We simulated post-logging recovery over the same period at all sites according to the 2003 regulatory framework for mahogany in Brazil, which raised the minimum diameter cutting limit to 60 cm and requires retention during the first harvest of 20% of commercial-sized trees. Recovery during 30 years ranged from approximately 0 to 31% over 20% retention densities at seven of eight sites. At only one site where sub-merchantable trees dominated the population did the simulated density of harvestable stems after 30 years exceed initial commercial densities. These results indicate that 80% harvest intensity will not be sustainable over multiple cutting cycles for most populations without silvicultural interventions ensuring establishment and long-term growth of artificial regeneration to augment depleted natural stocks, including repeated tending of outplanted seedlings. Without improved harvest protocols for mahogany in Brazil as explored in this paper, future commercial supplies of this species as well as other high-value tropical timbers are endangered. Rapid changes in the timber industry and land-use in the Amazon are also significant challenges to sustainable management of mahogany. (C) 2007 Elsevier B.V. All rights reserved.

Genetic variability in S(1) families from different maize populations.

Genetic variability in S(1) families from different maize populations. The objectives of the present work were directed towards the study of genetic: variablilty In seven maize populations with a broad genetic base, as a guide for population improvement. The field evaluation was conducted in completely randomized blocks, at one location (Anhembi, Sao Paulo state) with different groups, of S(1) families Obtained from seven populations (GO-D: dent type, GO-F: flint type, GO-L: long car, GO-G: thick Car; and composites G3, G4 and GO-S). Estimates were obtained for genetic variance (progeny mean basis), phenotypic variance of families means, and coefficient of heritability (broad sense) for progeny means. Estimates of heritability were high for Car weight (0,89 to 0.94), car length (0.77 to 0.88) and car diameter (0.77 to 0.92); and lower for plant height (0.58 to 0.80) and Car height (0.54 to 0.84), thus showing the high Potential of the populations for recurrent selection based oil S, families. Ear yield in the base populations used as controls varied front 11,200 kg ha(-1) (GO-D) to 12,800 kg ha(-1) (G3). The means of S(1) families varied from 6,070 kg ha(-1) (GO-F) to 7,380 kg ha(-1) (G4); the Inbreeding depression in S(1) Families varied front 37.5% (G4) to 48.0% (G3) relative to the non-inbred population.

Prospective ultramorphological characterization of human hair by optical coherence tomography

Background/purpose The continuous advancement in cosmetic science has led to an increasing demand for the development of non-invasive, reliable scientific techniques directed toward claim substantiation, which is of utmost relevance, to obtain data regarding the efficacy and safety of cosmetic products. Methods In this work, we used the optical coherence tomography (OCT) technique to produce in vitro transversal section-images of human hair. We also compared the OCT signal before and after chemical treatment with an 18% w/w ammonium thioglycolate solution. Results The mean diameter of the medulla was 29 +/- 7 mu m and the hair diameter was 122 +/- 16 mu m in our samples of standard Afro-ethnic hair. A three-dimensional (3D) image was constructed starting from 601 cross-sectional images (slices). Each slice was taken in steps of 6.0 mu m at eight frames per second, and the entire 3D image was constructed in 60 s. Conclusion It was possible to identify, using the A-scan protocol, the principal structures: the cuticle, cortex and medulla. After chemical treatment, it was not possible to identify the main structures of hair fiber due to index matching promoted by deleterious action of the chemical agent.

Microbiological Assay for Apramycin Soluble Powder

The aim of this study was to validate an agar diffusion method through the parameters linearity, precision and accuracy, to quantify apramycin in soluble powder. The calibration curve of apramycin was constructed by plotting log of concentrations (mu g ml(-1)) versus zone diameter (mm) and shows good linearity in the range of 1.0-4.0 mu g.ml(-1). The precision of the assay was determined by assaying samples at the same day (repeatability - R.S.D. = 2.00%) and on different days (intermediate precision - R.S.D. = 5.06%) and indicate good precision. The accuracy expresses the agreement between the accepted value and the value found. The mean recovery was found to be 100.49 % for apramycin soluble powder. The results indicated that the microbiological assay proposed in this work hold linearity, precision and accuracy being an acceptable alternative method for routine quality control of apramycin in the pharmaceutical dosage form studied.

Chitosan microparticles for sustaining the topical delivery of minoxidil sulphate

Given the hypothesis that microparticles can penetrate the skin barrier along the transfollicular route, this work aimed to obtain and characterise chitosan microparticles loaded with minoxidil sulphate (MXS) and to study their ability to sustain the release of the drug, attempting a further application utilising them in a targeted delivery system for the topical treatment of alopecia. Chitosan microparticles, containing different proportions of MXS/polymer, were prepared by spray drying and were characterised by yield, encapsulation efficiency, size and morphology. Microparticles selected for further studies showed high encapsulation efficiency (similar to 82%), a mean diameter of 3.0 mu m and a spherical morphology without porosities. When suspended in an ethanol/water solution, chitosan microparticles underwent instantaneous swelling, increasing their mean diameter by 90%. Release studies revealed that the chitosan microparticles were able to sustain about three times the release rate of MXS. This feature, combined with suitable size, confers to these microparticles the potential to target and improve topical therapy of alopecia with minoxidil.

Paste Residence Time in a Spouted Bed Dryer. IV: Effect of the Inert Particle Size Distribution

The residence time distribution and mean residence time of a 10% sodium bicarbonate solution that is dried in a conventional spouted bed with inert bodies were measured with the stimulus-response method. Methylene blue was used as a chemical tracer, and the effects of the paste feed mode, size distribution of the inert bodies, and mean particle size on the residence times and dried powder properties were investigated. The results showed that the residence time distributions could be best reproduced with the perfect mixing cell model or N = 1 for the continuous stirred tank reactor in a series model. The mean residence times ranged from 6.04 to 12.90 min and were significantly affected by the factors studied. Analysis of variance on the experimental data showed that mean residence times were affected by the mean diameter of the inert bodies at a significance level of 1% and by the size distribution at a level of 5%. Moreover, altering the paste feed from dripping to pneumatic atomization affected mean residence time at a 5% significance level. The dried powder characteristics proved to be adequate for further industrial manipulation, as demonstrated by the low moisture content, narrow range of particle size, and good flow properties. The results of this research are significant in the study of the drying of heat-sensitive materials because it shows that by simultaneously changing the size distribution and average size of the inert bodies, the mean residence times of a paste can be reduced by half, thus decreasing losses due to degradation.

(-)-Hinokinin-loaded poly(d,l-lactide-co-glycolide) microparticles for Chagas disease

The (-)-hinokinin display high activity against Trypanosoma cruzi in vitro and in vivo. (-)-Hinokinin-loaded poly(d,l-lactide-co-glycolide) microparticles were prepared and characterized in order to protect (-)-hinokinin of biological interactions and promote its sustained release for treatment of Chagas disease. The microparticles contain (-)-hinokinin were prepared by the classical method of the emulsion/solvent evaporation. The scanning electron microscopy, light-scattering analyzer were used to study the morphology and particle size, respectively. The encapsulation efficiency was determined, drug release studies were kinetically evaluated, and the trypanocidal effect was evaluated in vivo. (-)-Hinokinin-loaded microparticles obtained showed a mean diameter of 0.862 A mu m with smooth surface and spherical shape. The encapsulation efficiency was 72.46 A +/- 2.92% and developed system maintained drug release with Higuchi kinetics. The preparation method showed to be suitable, since the morphological characteristics, encapsulation efficiency, and in vitro release profile were satisfactory. In vivo assays showed significant reduction of mice parasitaemia after administration of (-)-hinokinin-loaded microparticles. Thus, the developed microparticles seem to be a promising system for sustained release of (-)-hinokinin for treatment of Chagas disease.

Analysis of Liquid Crystalline Nanoparticles by Small Angle X-Ray Diffraction: Evaluation of Drug and Pharmaceutical Additives Influence on the Internal Structure

The goal of this work was to study the liquid crystalline structure of a nanodispersion delivery system intended to be used in photodynamic therapy after loading with photosensitizers (PSs) and additives such as preservatives and thickening polymers. Polarized light microscopy and light scattering were performed on a standard nanodispersion in order to determine the anisotropy of the liquid crystalline structure and the mean diameter of the nanoparticles, respectively. Small angle X-ray diffraction (SAXRD) was used to verify the influence of drug loading and additives on the liquid crystalline structure of the nanodispersions. The samples, before and after the addition of PSs and additives, were stable over 90 days, as verified by dynamic light scattering. SAXRD revealed that despite the alteration observed in some of the samples analyzed in the presence of photosensitizing drugs and additives, the hexagonal phase still remained in the crystalline phase. (C) 2011 Wiley-Liss, Inc. and the American Pharmacists Association J Pharm Sci 100: 2849-2857, 2011