The cross-currency hedging performance of implied versus statistical forecasting models

This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and three-month hedging horizons are considered for four currency pairs. Overall, it has been found that an exponentially weighted moving-average model leads to lower portfolio variances than any of the GARCH-based, implied or time-invariant approaches.

The Optimal Capital Structure of Banks: Balancing Deposit Insurance, Capital Requirements and Tax-Advantaged Debt

The capital structure and regulation of financial intermediaries is an important topic for practitioners, regulators and academic researchers. In general, theory predicts that firms choose their capital structures by balancing the benefits of debt (e.g., tax and agency benefits) against its costs (e.g., bankruptcy costs). However, when traditional corporate finance models have been applied to insured financial institutions, the results have generally predicted corner solutions (all equity or all debt) to the capital structure problem. This paper studies the impact and interaction of deposit insurance, capital requirements and tax benefits on a bankÇs choice of optimal capital structure. Using a contingent claims model to value the firm and its associated claims, we find that there exists an interior optimal capital ratio in the presence of deposit insurance, taxes and a minimum fixed capital standard. Banks voluntarily choose to maintain capital in excess of the minimum required in order to balance the risks of insolvency (especially the loss of future tax benefits) against the benefits of additional debt. Because we derive a closed- form solution, our model provides useful insights on several current policy debates including revisions to the regulatory framework for GSEs, tax policy in general and the tax exemption for credit unions.

Hedging under liquidity constraints

Although risk management can be justified by financial distress, the theoretical models usually contain hedging instruments free of funding risk. In practice, management of the counterparty risk in derivative transactions is of enhanced importance, consequently not only is trading on exchanges subject to the presence of a margin account, but also in bilateral (OTC) agreements parties will require margins or collateral from their partners in order to hedge the mark-tomarket loss of the transaction. The aim of this paper is to present and compare two models where the financing need of the hedging instrument also appears, influencing the hedging strategy and the optimal hedging ratio. Both models contain the same source of risk and optimisation criterion, but the liquidity risk is modelled in different ways. In the first model, there is no additional financing resource that can be used to finance the margin account in case of a margin call, which entails the risk of liquidation of the hedging position. In the second model, the financing is available but a given credit spread is to be paid for this, so hedging can become costly.

Anthropometric measures of increased central and overall adiposity in association with echocardiographic left ventricular hypertrophy

Left ventricular hypertrophy is an important predictor of cardiovascular risk and sudden death. This study explored the ability of four obesity indexes (body mass index, waist circumference, waist-hip ratio and waist-stature ratio) to identify left ventricular hypertrophy. A sample of the general population (n=682; 43.5% men) was surveyed to assess cardiovascular risk factors. Biochemical, anthropometric and blood pressure values were obtained in a clinic visit according to standard methods. Left ventricular mass was obtained from transthoracic echocardiogram. Left ventricular hypertrophy was defined using population-specific cutoff values for left ventricular mass indexed to height(2.7). The waist-stature ratio showed the strongest positive association with left ventricular mass. This correlation was stronger in women, even after controlling for age and systolic blood pressure. By multivariate analysis, the main predictors of left ventricular hypertrophy were waist-stature ratio (23%), systolic blood pressure (9%) and age (2%) in men, and waist-stature ratio (40%), age (6%) and systolic blood pressure (2%) in women. Receiver-operating characteristic curves showed the optimal cutoff values of the different anthropometric indexes associated with left ventricular hypertrophy. The waist-stature ratio was a significantly better predictor than the other indexes (except for the waist-hip ratio), independent of gender. It is noteworthy that a waist-stature ratio cutoff of 0.56 showed the highest combined sensitivity and specificity to detect left ventricular hypertrophy. Abdominal obesity identified by waist-stature ratio instead of overall obesity identified by body mass index is the simplest and best obesity index for assessing the risk of left ventricular hypertrophy, is a better predictor in women and has an optimal cutoff ratio of 0.56. Hypertension Research (2010) 33, 83-87; doi: 10.1038/hr.2009.188; published online 13 November 2009

Separation and hedging results with state-contingent production

A state-contingent model of production under uncertainty is developed and compared with more traditional models of production under uncertainty. Producer behaviour with both production and price risk, in the presence and in the absence of futures and forward markets, is analysed in this state-contingent framework. Conditions for the optimal hedge to be positive or negative are derived. We also show that, under plausible conditions, a risk-averse producer facing price uncertainty and the ability to hedge price risk will never willingly adopt a nonstochastic technology. New separation results, which hold in the presence of both price and production risk, are then developed. These separation results generalize Townsend's spanning results by reducing the number of necessary forward markets by one.

Potential demand for hedging by Australian wheat producers

The potential for hedging Australian wheat with the new Sydney Futures Exchange wheat contract is examined using a theoretical hedging model parametised from previous studies. The optimal hedging ratio for an 'average' wheat farmer was found to be zero under reasonable assumptions about transaction costs and based on previously published measures of risk aversion. The estimated optimal hedging ratios were found by simulation to be quite sensitive to assumptions about the degree of risk aversion. If farmers are significantly more risk averse than is currently believed, then there is likely to be an active interest in the new futures market.

Insider Trading and Real Investment

In this paper I analyze the effects of insider trading on real investmentand the insurance role of financial markets. There is a single entrepreneurwho, at a first stage, chooses the level of investment in a risky business.At the second stage, an asset with random payoff is issued and then the entrepreneurreceives some privileged information on the likely realization of productionreturn. At the third stage, trading occurs on the asset market, where theentrepreneur faces the aggregate demand coming from a continuum of rationaluniformed traders and some noise traders. I compare the equilibrium withinsider trading (when the entrepreneur trades on her inside information in theasset market) with the equilibrium in the same market without insider trading. Ifind that permitting insider trading tends to decrease the level of realinvestment. Moreover, the asset market is thinner and the entrepreneur's netsupply of the asset and the hedge ratio are lower, although the asset priceis more informative and volatile.

Photochemical characteristics of diclofenac and its photodegradation of inclusion complexes with β-cyclodextrins

Diclofenac is one of most frequently detected compounds in the water cycle. In this work, the effect of initial concentration, liquid inclusion complexes with β-Cyclodextrins (β-CDs) on the photodegradation of diclofenac were studied. Six phototransformation products were detected by HPLC chromatograms. UV-absorption spectra of diclofenac and phototransformation products were determined. One of the phototransformation products was identified. The degradation followed pseudo-first-order kinetics. The experiment showed that irradiation of diclofenac in the presence of β-CDs increase photodegradation rate and determined the optimal molar ratio of diclofenac to β-CDs as 1:2. The reduced photohaemolytic activity of diclofenac in the presence of β-CDs may be attributed to the sequestering and stabilizing of the radical intermediates and /or photoproducts by complexation.

Co-culture of chondrocytes and bone marrow mesenchymal stem cells in vitro enhances the expression of cartilaginous extracellular matrix components

Chondrocytes and bone marrow mesenchymal stem cells (BMSCs) are frequently used as seed cells in cartilage tissue engineering. In the present study, we determined if the co-culture of rabbit articular chondrocytes and BMSCs in vitro promotes the expression of cartilaginous extracellular matrix and, if so, what is the optimal ratio of the two cell types. Cultures of rabbit articular chondrocytes and BMSCs were expanded in vitro and then cultured individually or at a chondrocyte:BMSC ratio of 4:1, 2:1, 1:1, 1:2, 1:4 for 21 days and cultured in DMEM/F12. BMSCs were cultured in chondrogenic induction medium. Quantitative real-time RT-PCR and Western blot were used to evaluate gene expression. In the co-cultures, type II collagen and aggrecan expression increased on days 14 and 21. At the mRNA level, the expression of type II collagen and aggrecan on day 21 was much higher in the 4:1, 2:1, and 1:1 groups than in either the articular chondrocyte group or the induced BMSC group, and the best ratio of co-culture groups seems to be 2:1. Also on day 21, the expression of type II collagen and aggrecan proteins in the 2:1 group was much higher than in all other groups. The results demonstrate that the co-culture of rabbit chondrocytes and rabbit BMSCs at defined ratios can promote the expression of cartilaginous extracellular matrix. The optimal cell ratio appears to be 2:1 (chondrocytes:BMSCs). This approach has potential applications in cartilage tissue engineering since it provides a protocol for maintaining and promoting seed-cell differentiation and function.

Self-reinforced composites obtained by the partial oxypropylation of cellulose fibers. 1. Characterization of the materials obtained with different types of fibers

The in-depth oxypropylation of different types of cellulose fibers, namely Avicel, Rayon, Kraft, and Filter Paper, was investigated. New biphasic mono-component materials were obtained, which could be hot-pressed to form films of cellulose fibers dispersed into a thermoplastic matrix. The success of this chemical modification was assessed by FTIR spectroscopy, X-ray diffraction, scanning electron microscopy. differential scanning calorimetry, thermogravimetric analysis and contact angle measurements. The optimization of this process led to the establishment of the optimal molar ratio between the cellulose CH groups and propylene oxide, which varied as a function of the specific morphology of the fibers. (C) 2008 Elsevier Ltd. All rights reserved.

Plasmons as sensors

“Plasmon” is a synonym for collective oscillations of the conduction electrons in a metal nanoparticle (excited by an incoming light wave), which cause strong optical responses like efficient light scattering. The scattering cross-section with respect to the light wavelength depends not only on material, size and shape of the nanoparticle, but also on the refractive index of the embedding medium. For this reason, plasmonic nanoparticles are interesting candidates for sensing applications. Here, two novel setups for rapid spectral investigations of single nanoparticles and different sensing experiments are presented.rnrnPrecisely, the novel setups are based on an optical microscope operated in darkfield modus. For the fast single particle spectroscopy (fastSPS) setup, the entrance pinhole of a coupled spectrometer is replaced by a liquid crystal device (LCD) acting as spatially addressable electronic shutter. This improvement allows the automatic and continuous investigation of several particles in parallel for the first time. The second novel setup (RotPOL) usesrna rotating wedge-shaped polarizer and encodes the full polarization information of each particle within one image, which reveals the symmetry of the particles and their plasmon modes. Both setups are used to observe nanoparticle growth in situ on a single-particle level to extract quantitative data on nanoparticle growth.rnrnUsing the fastSPS setup, I investigate the membrane coating of gold nanorods in aqueous solution and show unequivocally the subsequent detection of protein binding to the membrane. This binding process leads to a spectral shift of the particles resonance due to the higher refractive index of the protein compared to water. Hence, the nanosized addressable sensor platform allows for local analysis of protein interactions with biological membranes as a function of the lateral composition of phase separated membranes.rnrnThe sensitivity on changes in the environmental refractive index depends on the particles’ aspect ratio. On the basis of simulations and experiments, I could present the existence of an optimal aspect ratio range between 3 and 4 for gold nanorods for sensing applications. A further sensitivity increase can only be reached by chemical modifications of the gold nanorods. This can be achieved by synthesizing an additional porous gold cage around the nanorods, resulting in a plasmon sensitivity raise of up to 50 % for those “nanorattles” compared to gold nanorods with the same resonance wavelength. Another possibility isrnto coat the gold nanorods with a thin silver shell. This reduces the single particle’s resonance spectral linewidth about 30 %, which enlarges the resolution of the observable shift. rnrnThis silver coating evokes the interesting effect of reducing the ensemble plasmon linewidth by changing the relation connecting particle shape and plasmon resonance wavelength. This change, I term plasmonic focusing, leads to less variation of resonance wavelengths for the same particle size distribution, which I show experimentally and theoretically.rnrnIn a system of two coupled nanoparticles, the plasmon modes of the transversal and longitudinal axis depend on the refractive index of the environmental solution, but only the latter one is influenced by the interparticle distance. I show that monitoring both modes provides a self-calibrating system, where interparticle distance variations and changes of the environmental refractive index can be determined with high precision.

Multiple attribute decision making approach to petroleum pipeline route selection

Petroleum pipelines are the nervous system of the oil industry, as this transports crude oil from sources to refineries and petroleum products from refineries to demand points. Therefore, the efficient operation of these pipelines determines the effectiveness of the entire business. Pipeline route selection plays a major role when designing an effective pipeline system, as the health of the pipeline depends on its terrain. The present practice of route selection for petroleum pipelines is governed by factors such as the shortest distance, constructability, minimal effects on the environment, and approachability. Although this reduces capital expenditure, it often proves to be uneconomical when life cycle costing is considered. This study presents a route selection model with the application of an Analytic Hierarchy Process (AHP), a multiple attribute decision making technique. AHP considers all the above factors along with the operability and maintainability factors interactively. This system has been demonstrated here through a case study of pipeline route selection, from an Indian perspective. A cost-benefit comparison of the shortest route (conventionally selected) and optimal route establishes the effectiveness of the model.

The role of coccolithophore calcification in bioengineering their environment.

Coccolithophorids are enigmatic plankton that produce calcium carbonate coccoliths, which over geological time have buried atmospheric CO2 into limestone, changing both the atmosphere and geology of the Earth. However, the role of coccoliths for the proliferation of these organisms remains unclear; suggestions include roles in anti-predation, enhanced photosynthesis and sun-screening. Here we test the hypothesis that calcification stabilizes the pH of the seawater proximate to the organisms, providing a level of acidification countering the detrimental basification that occurs during net photosynthesis. Such bioengineering provides a more stable pH environment for growth and fits the empirical evidence for changes in rates of calcification under different environmental conditions. Under this scenario, simulations suggest that the optimal production ratio of inorganic to organic particulate C (PIC : POCprod) will be lower (by approx. 20%) with ocean acidification and that overproduction of coccoliths in a future acidified ocean, where pH buffering is weaker, presents a risk to calcifying cells.

The role of coccolithophore calcification in bioengineering their environment.

Coccolithophorids are enigmatic plankton that produce calcium carbonate coccoliths, which over geological time have buried atmospheric CO2 into limestone, changing both the atmosphere and geology of the Earth. However, the role of coccoliths for the proliferation of these organisms remains unclear; suggestions include roles in anti-predation, enhanced photosynthesis and sun-screening. Here we test the hypothesis that calcification stabilizes the pH of the seawater proximate to the organisms, providing a level of acidification countering the detrimental basification that occurs during net photosynthesis. Such bioengineering provides a more stable pH environment for growth and fits the empirical evidence for changes in rates of calcification under different environmental conditions. Under this scenario, simulations suggest that the optimal production ratio of inorganic to organic particulate C (PIC : POCprod) will be lower (by approx. 20%) with ocean acidification and that overproduction of coccoliths in a future acidified ocean, where pH buffering is weaker, presents a risk to calcifying cells.

Les vaccins contre le zona : efficacité, sécurité, et rapport coût/bénéfices [Vaccines against Herpes zoster: Effectiveness, safety, and cost/benefit ratio].

CONTEXT: A vaccination against herpes zoster and its complication is available in France since June 2015. Its exact benefit for public health is still controversial and its level of protection is not optimal. All those reasons seem to suggest a low acceptation rate from general practitioners. OBJECTIVE: To evaluate the effectiveness, the safety, and the cost/benefit ratio of the vaccination against herpes zoster in people aged 50 year or over. DOCUMENTARY SOURCE: Systematic review in Medline and PubMed with research by key words: "herpes zoster vaccine", "zoster vaccine" and "post herpetic neuralgia vaccine". SELECTION OF STUDIES: Randomized and observational studies published in English and French language have been selected by two readers. RESULTS: On 1886 articles identified, 62 studies were included in this systematic review of which 21 randomized trials, 21 observational studies, and 17 medico-economic studies concerned the unadjuvanted vaccine. Considered studies showed an effectiveness of 50% against herpes zoster and 60% on post-herpetic neuralgia incidence of the unadjuvanted vaccine. Five randomized controlled studies were identified for the adjuvanted vaccine. The overall effectiveness of this vaccine was > 90% whatever the age of subjects including those over age 70 and 80. The medico-economic studies conducted in many countries have shown that vaccine policies were beneficial in individuals aged 60 years or over. LIMITATION OF THE WORK: Most of data of effectiveness, and tolerance result from 2 large controlled studies only (SPS and ZEST) for the unadjuvanted vaccine and only one for the adjuvanted vaccine. CONCLUSION: Despite controversy and few uncertainties, the vaccine significantly reduces herpes zoster and its complication incidence. In terms of public health objectives, it reduces the burden of the disease and has a positive medico-economic impact. Preliminary data concerning the adjuvanted vaccine, whilst very promising, are still too limited. Up to now, no group of people with particularly high risk of herpes zoster-related complication who will beneficiate the most of the vaccination has been identified yet and only an age criteria has been considered for the recommendation.