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.

Environmental poisoning: Presentation and management

Environmental poisoning is most commonly associated with chronic longterm exposure to toxins rather than to acute exposure. Such repeated exposure to sublethal doses of compounds and elements presents problems in risk assessment. This is primarily because the data are unavailable to describe relationships between dose and effect at lower levels of exposure to toxins. Bioavailability of toxins also presents a problem because the data on bioavailability are sparse and seldom as high as the default of 100% bioavailability commonly used in risk assessment. Examples are presented of two toxins: arsenic as an elemental anthropogenic and geologic poison and ciguatoxin, a polyether ladder compound, as a toxin produced naturally by dinoflagellates. Bioavailability drives the toxicity of arsenic from contaminated sites, whereas tissue accumulation drives the toxicity of ciguatoxin. Considerable benefit is derived from the harmonization of regulatory processes where there is linkage of health and environmental factors in the derivation of credible risk assessment.

The protease inhibitor cystatin C is differentially expressed among dendritic cell populations, but does not control antigen presentation

Dendritic cells (DC) undergo complex developmental changes during maturation. The MHC class H (MHC H) molecules of immature DC accumulate in intracellular compartments, but are expressed at high levels on the plasma membrane upon DC maturation. It has been proposed that the cysteine protease inhibitor cystatin C (CyC) plays a pivotal role in the control of this process by regulating the activity of cathepsin S, a protease involved in removal of the MHC H chaperone E, and hence in the formation of MHC H-peptide complexes. We show that CyC is differentially expressed by mouse DC populations. CD8(+) DC, but not CD4(+) or CD4(-)CD8(-) DC, synthesize CyC, which accumulates in MHC II(+)Lamp(+) compartments. However, II processing and MHC H peptide loading proceeded similarly in all three DC populations. We then analyzed MHC H localization and Ag presentation in CD8(+) DC, bone marrow-derived DC, and spleen-derived DC lines, from CyC-deficient mice. The absence of CyC did not affect the expression, the subcellular distribution, or the formation of peptide-loaded MHC II complexes in any of these DC types, nor the efficiency of presentation of exogenous Ags. Therefore, CyC is neither necessary nor sufficient to control MHC II expression and Ag presentation in DC. Our results also show that CyC expression can differ markedly between closely related cell types, suggesting the existence of hitherto unrecognized mechanisms of control of CyC expression.

Multicollinearity and financial constraint in investment decisions: a Bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

The Controllership Relevance or Risk Management in non-Financial Companies: a study of risk managers` and controllers` perceptions

The purpose of this study is to analyze the Controllership relevance as support risk management in non-financial companies. Risk management is a widely discussed and disseminated subject amongst financial institutions. It is obvious that economic uncertainties and, consequently, prevention and. control must also exist in non-financial companies. To enable managers to take safe-decisions, it is essential for them to be able to count on instrumental support that provides timely and adequate information, to ensure lower levels of mistakes and risk exposure. However, discussion concerning risk management in non-financial companies is still in its early stages in Brazil. Considering this gap, this study aims at assessing how Controllership has been acting in? companies under the insight of risk and how it can contribute to risk management in non-financial companies. To achieve the proposed goal, a field research was. carried-out with non-financial companies that are located in the city Sao Paulo and listed in the Sao Paulo Stock Exchange (Bovespa). The research was carried out using questionnaires, which were sent do Risk Officers and Controllers of those companies with the purpose of evaluating their perception on the subject. The results,of the research allow us to conclude that Controllership offers support to risk management, through information that contributes to the mitigation of the risks in non-financial companies.

Diagnosis of Organizational Soft Problems in a Peruvian Financial Institution by Systemic Thinking

Managing financial institutions in an underdeveloped economic context has become a real challenge nowadays. In order to reach the organization`s planned goals, they have to deal with structural, behavioral and informational problems. From the systemic point of view, this situation gets even worse when the company does not present organizational boundaries and a cohesive identification for their stakeholders. Thus, European countries have some special financial lines in order to help the development of micro credit in Latin communities in an attempt to help the local economy. However, institutions like Caixa dos Andes in Peru present management problems when dealing with this complexity. Based on this, how can the systemic eye help in the diagnosis of soft problems of a Peruvian financial company? This study aims to diagnose soft problems of a Peruvian financial company based on soft variables like identity, communication and autonomy and also intends to identify possible ways to redesign its basic framework. The (VSM--Viable System Model) method from Beer (1967), applied in this diagnostic study, was used in a practical way as a management tool for organizations` analysis and planning. By describing the VSM`s five systems, the creation of a systemic vision or a total vision is possible, showing the organization`s complexity from the inside. Some company`s soft problems like double control, inefficient use of physical and human resources, low information flows, slowness, etc. The VSM presented an organizational diagnosis indicating effective solutions that do integrate its five systems.