Energy derivative market and derivative pricing via simulation

The deregulation of power industry worldwide has delivered the efficiency gains to the society; meanwhile, the intensity of competition has increased uncertainty and risks to market participants. Consequently, market participants are keen to hedge the market risks and maintain a competitive edge in the market; and this is a good explanation to the flourish of electricity derivative market. In this paper, the authors gave a comprehensive review of derivative contract pricing methods and proposed a new framework for energy derivative pricing to suit the needs of a deregulated electricity market

Asymmetric price transmission in EU petroleum markets

This research investigates the determinants of asymmetric price transmission (APT) in European petroleum markets. APT is the faster response of retail prices to cost increases than to cost decreases; resulting in a welfare transfer from consumers to fuel retailers. I investigate APT at 3 different levels: the EU, the UK and at the Birmingham level. First, I examine the incidence of asymmetries in the retail markets of six major EU countries; significant asymmetries are found in all countries except from the UK. The market share data suggest that asymmetries are more important in more concentrated markets; this finding supports the collusion theory. I extend the investigation to 12 EU countries and note that APT is greater in diesel markets. The cross-country analysis suggests that vertical and horizontal concentration at least partly explains the degree of asymmetry. I provide evidence justifying scrutiny over retail markets’ pricing and structure. Second daily data unveil the presence of APT in the UK fuel markets. I use break tests to identify segments with different pricing regimes. Two main types of periods are identified: periods of rising oil price exhibit significant asymmetries whilst periods of recession do not. Our results suggest that oligopolistic coordination between retailers generate excess rents during periods of rising oil price whilst the coordination fails due to price wars when oil prices are going downwards. Finally I investigate the pricing behaviour of petroleum retailers in the Birmingham (UK) area for 2008. Whilst the market structure data reveals that the horizontal concentration is higher than the national UK average, I find no evidence of APT. In contrast, I find that retail prices are sticky upwards and downwards and that firms with market power (majors and supermarkets) adjust their prices slower than other firms.

Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables that would imply predictability. One cointegrating relation is found allowing the use of a vector error correction model to examine the transmission of shocks to the underlying prices, the exchange rate, and the US market index. The main finding of this paper is that in the short run, the underlying share price seems to adjust after changes in the ADR price, pointing to the fact that the NYSE (trading market for the ADR) leads the Colombian market. However, in the long run, both, the underlying share price and the ADR price, adjust to changes in one another.

Transmission Of Intra-cellular Genetic Information: A System Proposal.

One of the great challenges of the scientific community on theories of genetic information, genetic communication and genetic coding is to determine a mathematical structure related to DNA sequences. In this paper we propose a model of an intra-cellular transmission system of genetic information similar to a model of a power and bandwidth efficient digital communication system in order to identify a mathematical structure in DNA sequences where such sequences are biologically relevant. The model of a transmission system of genetic information is concerned with the identification, reproduction and mathematical classification of the nucleotide sequence of single stranded DNA by the genetic encoder. Hence, a genetic encoder is devised where labelings and cyclic codes are established. The establishment of the algebraic structure of the corresponding codes alphabets, mappings, labelings, primitive polynomials (p(x)) and code generator polynomials (g(x)) are quite important in characterizing error-correcting codes subclasses of G-linear codes. These latter codes are useful for the identification, reproduction and mathematical classification of DNA sequences. The characterization of this model may contribute to the development of a methodology that can be applied in mutational analysis and polymorphisms, production of new drugs and genetic improvement, among other things, resulting in the reduction of time and laboratory costs.

The Basic Reproduction Number Obtained From Jacobian And Next Generation Matrices - A Case Study Of Dengue Transmission Modelling.

The basic reproduction number is a key parameter in mathematical modelling of transmissible diseases. From the stability analysis of the disease free equilibrium, by applying Routh-Hurwitz criteria, a threshold is obtained, which is called the basic reproduction number. However, the application of spectral radius theory on the next generation matrix provides a different expression for the basic reproduction number, that is, the square root of the previously found formula. If the spectral radius of the next generation matrix is defined as the geometric mean of partial reproduction numbers, however the product of these partial numbers is the basic reproduction number, then both methods provide the same expression. In order to show this statement, dengue transmission modelling incorporating or not the transovarian transmission is considered as a case study. Also tuberculosis transmission and sexually transmitted infection modellings are taken as further examples.

Graded Meshes In Bio-thermal Problems With Transmission-line Modeling Method.

In this study, the transmission-line modeling (TLM) applied to bio-thermal problems was improved by incorporating several novel computational techniques, which include application of graded meshes which resulted in 9 times faster in computational time and uses only a fraction (16%) of the computational resources used by regular meshes in analyzing heat flow through heterogeneous media. Graded meshes, unlike regular meshes, allow heat sources to be modeled in all segments of the mesh. A new boundary condition that considers thermal properties and thus resulting in a more realistic modeling of complex problems is introduced. Also, a new way of calculating an error parameter is introduced. The calculated temperatures between nodes were compared against the results obtained from the literature and agreed within less than 1% difference. It is reasonable, therefore, to conclude that the improved TLM model described herein has great potential in heat transfer of biological systems.

Application Of A Semi-empirical Model For The Evaluation Of Transmission Properties Of Barite Mortar.

The aim of this study was to estimate barite mortar attenuation curves using X-ray spectra weighted by a workload distribution. A semi-empirical model was used for the evaluation of transmission properties of this material. Since ambient dose equivalent, H(⁎)(10), is the radiation quantity adopted by IAEA for dose assessment, the variation of the H(⁎)(10) as a function of barite mortar thickness was calculated using primary experimental spectra. A CdTe detector was used for the measurement of these spectra. The resulting spectra were adopted for estimating the optimized thickness of protective barrier needed for shielding an area in an X-ray imaging facility.

[effect Of Ropivacaine Combined With Pancuronium On Neuromuscular Transmission And Effectiveness Of Neostigmine And 4-aminopyridine For Blockade Reversal: Experimental Study].

The local anesthetic effects on neuromuscular junction and its influence on blockade produced by nondepolarizing neuromuscular blockers are still under-investigated; however, this interaction has been described in experimental studies and in humans. The aim of this study was to evaluate in vitro the interaction between ropivacaine and pancuronium, the influence on transmission and neuromuscular blockade, and the effectiveness of neostigmine and 4-aminopyridine to reverse the blockade. Rats were divided into groups (n=5) according to the study drug: ropivacaine (5μgmL(-1)); pancuronium (2μg.mL(-1)); ropivacaine+pancuronium. Neostigmine and 4-aminopyridine were used at concentrations of 2μgmL(-1) and 20μgmL(-1), respectively. The effects of ropivacaine on membrane potential and miniature end-plate potential, the amplitude of diaphragm responses before and 60minutes after the addition of ropivacaine (degree of neuromuscular blockade with pancuronium and with the association of pancuronium-ropivacaine), and the effectiveness of neostigmine and 4-aminopyridine on neuromuscular block reversal were evaluated. Ropivacaine did not alter the amplitude of muscle response (the membrane potential), but decreased the frequency and amplitude of the miniature end-plate potential. Pancuronium blockade was potentiated by ropivacaine, and partially and fully reversed by neostigmine and 4-aminopyridine, respectively. Ropivacaine increased the neuromuscular block produced by pancuronium. The complete antagonism with 4-aminopyridine suggests presynaptic action of ropivacaine.

The effects of the experimental infection from a focus of transmission of Schistosoma mansoni in a population of Biomphalaria tenagophila (D'Orbigny, 1835) in the region of "Vale do Ribeira de Iguape", Brazil

To observe the effects of the parasitic infection on the biology of B. tenagophila, field and laboratory populations of this mollusk from Itariri, in Vale do Ribeira, Brazil, were experimentally infected. Each mollusk received 10 miracidia of Schistosoma mansoni (SJ lineage) and was observed throughout the parasite's development. The biological variables were compared according to the criteria "group" and "infectious phase". The main damage caused by the parasitic infection manifested itself in reproduction, longevity and lesions on the shell of the mollusks in the patent phase. An infection rate of 58.8% was observed. Microanatomical study of the mollusk's digestive gland and ovotestis revealed the presence of evolving larval forms and cercariae. It was concluded that the effects of the parasitic infection on both populations were moderate, despite the low survival rate of the infected mollusks, the damage did not prevent either reproduction or the elimination of cercariae, which continued for a long time.

On the interference of clinical outcome on rabies transmission an perpetuation

Rabies is a viral zoonotic infectious disease that affects mammals and is caused by genotypes/species of the Lyssavirus genus (Rhabdoviridae, Mononegavirales), with the genotype 1 (classic rabies virus - RABV) being the most prevalent. Despite continuous efforts, rabies is still an incurable disease that causes thousands of deaths amongst humans worldwide. Due to a wide range of hosts and the different evolutionary paths of RABV in each host, several host-specific variants have arisen in an ongoing process. The result of RABV replication in nervous tissues may lead to two opposite clinical outcomes, i.e., paralytic/dumb form and encephalitic/furious one. The paralytic form creates dead-end hosts mainly amongst herbivores, while the furious form of the disease allows for augmented transmission when manifested in gregarious carnivores, as their natural aggressive behavior is accentuated by the disease itself. The aim of this article is to propose a theoretical model intended to explore how the rabies virus intrinsically modulates the immune system of different host classes, the pathological changes that the virus causes in these animals and how these elements favor its own perpetuation in nature, thus providing a basis for better prediction of the patterns this disease may present.

Investigation of measles IgM-seropositive cases of febrile rash illnesses in the absence of documented measles virus transmission, State of São Paulo, Brazil, 2000-2004

Introdução: Revisar os casos de doenças febris exantemáticas com IgM reagente contra o sarampo, no estado de São Paulo, Brasil, durante os cinco anos seguidos a interrupção da transmissão do vírus do sarampo. Métodos: Nós revisamos 463 casos de doenças febris exantemáticas com IgM reagente contra o sarampo, no estado de São Paulo, Brasil, de 2000 a 2004. Indivíduos vacinados contra o sarampo 56 dias antes da coleta de amostra foram considerados expostos à vacina. Soros da fase aguda e de convalescença foram testados para a evidência de infecção de sarampo, rubéola, parvovírus B19 e herpes vírus 6. Na ausência de soroconversão para imunoglobulina G contra o sarampo, casos com IgM reagente contra o sarampo foram considerados falsos positivos em pessoas com evidência de outras infecções virais. Resultados: Entre as 463 pessoas com doenças febris exantemáticas que testaram positivo para anticorpos IgM contra o sarampo durante o período, 297 (64 por cento) pessoas foram classificadas como expostas à vacina. Entre os 166 casos não expostos à vacina, 109 (66 por cento) foram considerados falsos positivos baseado na ausência de soroconversão, dos quais 21 (13 por cento) tiveram evidência de infecção por vírus da rubéola, 49 (30 por cento) parvovírus B19 e 28 (17 por cento) infecção por herpes vírus humano 6. Conclusões: Após a interrupção da transmissão do vírus do sarampo é necessária exaustiva investigação dos casos com IgM reagente contra o sarampo, especialmente dos casos não expostos à vacina. Testes laboratoriais para etiologias das doenças febris exantemáticas ajudam na interpretação destes casos

Anticipation of pain enhances the nociceptive transmission and functional connectivity within pain network in rats

Background: Expectation is a very potent pain modulator in both humans and animals. There is evidence that pain transmission neurons are modulated by expectation preceding painful stimuli. Nonetheless, few studies have examined the influence of pain expectation on the pain-related neuronal activity and the functional connectivity within the central nociceptive network. Results: This study used a tone-laser conditioning paradigm to establish the pain expectation in rats, and simultaneously recorded the anterior cingulate cortex (ACC), the medial dorsal thalamus (MD), and the primary somatosensory cortex (SI) to investigate the effect of pain expectation on laser-induced neuronal responses. Cross-correlation and partial directed coherence analysis were used to determine the functional interactions within and between the recorded areas during nociceptive transmission. The results showed that under anticipation condition, the neuronal activity to the auditory cue was significantly increased in the ACC area, whereas those to actual noxious stimuli were enhanced in all the recorded areas. Furthermore, neuronal correlations within and between these areas were significantly increased under conditions of expectation compared to those under non-expectation conditions, indicating an enhanced synchronization of neural activity within the pain network. In addition, information flow from the medial (ACC and MD) to the lateral (SI cortex) pain pathway increased, suggesting that the emotion-related neural circuits may modulate the neuronal activity in the somatosensory pathway during nociceptive transmission. Conclusion: These results demonstrate that the nociceptive processing in both medial and lateral pain systems is modulated by the expectation of pain.

Modeling the risk of malaria for travelers to areas with stable malaria transmission

Background: Malaria is an important threat to travelers visiting endemic regions. The risk of acquiring malaria is complex and a number of factors including transmission intensity, duration of exposure, season of the year and use of chemoprophylaxis have to be taken into account estimating risk. Materials and methods: A mathematical model was developed to estimate the risk of non-immune individual acquiring falciparum malaria when traveling to the Amazon region of Brazil. The risk of malaria infection to travelers was calculated as a function of duration of exposure and season of arrival. Results: The results suggest significant variation of risk for non-immune travelers depending on arrival season, duration of the visit and transmission intensity. The calculated risk for visitors staying longer than 4 months during peak transmission was 0.5% per visit. Conclusions: Risk estimates based on mathematical modeling based on accurate data can be a valuable tool in assessing risk/benefits and cost/benefits when deciding on the value of interventions for travelers to malaria endemic regions.

Transmission potential, skin inflammatory response, and parasitism of symptomatic and asymptomatic dogs with visceral leishmaniasis

Background: Visceral leishmaniasis in Brazil is caused by the protozoan Leishmania (Leishmania) chagasi and it is transmitted by sandfly of the genus Lutzomyia. Dogs are an important domestic reservoir, and control of the transmission of visceral leishmaniasis (VL) to humans includes the elimination of infected dogs. However, though dogs are considered to be an important element in the transmission cycle of Leishmania, the identification of infected dogs representing an immediate risk for transmission has not been properly evaluated. Since it is not possible to treat infected dogs, they are sacrificed when a diagnosis of VL is established, a measure that is difficult to accomplish in highly endemic areas. In such areas, parameters that allow for easy identification of reservoirs that represents an immediate risk for transmission is of great importance for the control of VL transmission. In this study we aimed to identify clinical parameters, reinforced by pathological parameters that characterize dogs with potential to transmit the parasite to the vector. Results: The major clinical manifestations of visceral leishmaniasis in dogs from an endemic area were onicogriphosis, skin lesions, conjunctivitis, lymphadenopathy, and weight loss. The transmission potential of these dogs was assessed by xenodiagnosis using Lutzomyia longipalpis. Six of nine symptomatic dogs were infective to Lutzomyia longipalpis while none of the five asymptomatic dogs were infective to the sandfly. Leishmania amastigotes were present in the skin of all clinically symptomatic dogs, but absent in asymptomatic dogs. Higher parasite loads were observed in the ear and ungueal region, and lower in abdomen. The inflammatory infiltrate was more intense in the ears and ungueal regions of both symptomatic and asymptomatic dogs. In clinically affected dogs in which few or none Leishmania amastigotes were observed, the inflammatory infiltrate was constituted mainly of lymphocytes and macrophages. When many parasites were present, the infiltrate was also comprised of lymphocytes and macrophages, as well as a larger quantity of polymorphonuclear neutrophils (PMNs). Conclusion: Dogs that represent an immediate risk for transmission of Leishmania in endemic areas present clinical manifestations that include onicogriphosis, skin lesions, conjunctivitis, lymphadenopathy, and weight loss. Lymphadenopathy in particular was a positive clinical hallmark since it was closely related to the positive xenodiagnosis.

Vectorial Competence of Larvae and Adults of Alphitobius diaperinus in the Transmission of Salmonella Enteritidis in Poultry

Introduction: The ingestion of food products originating from poultry infected with Salmonella spp. is one of the major causes of food poisoning in humans. The control of poultry salmonellosis is particularly difficult since birds are asymptomatic and numerous factors may expedite the maintenance of bacteria in poultry production facilities. Objective: The aim of the study was to determine the vectorial capacity of adults and larvae of Alphitobius diaperinus (Coleoptera: Tenebrionidae) in the experimental transmission of Salmonella Enteritidis phage type 4 to 1-day-old specific pathogen-free White Leghorn chicks. Methods: Adult insects and larvae were starved for 1 day, fed for 24 h or 7 days on sterile ration that had been treated with Salmonella Enteritidis phage type 4, and the levels of bacterial infection were determined. Infected adult insects and larvae were fed to groups of day-old chicks, after which bacteria were recovered from cecum, liver, and spleen samples over a 7-day period. Results: Infected larvae were more efficient than adult insects in transmitting Salmonella Enteritidis to chicks. Higher concentrations of bacteria could be reisolated from the cecum, liver, and spleen of chicks that had ingested infected larvae compared with those that had ingested infected adults. Conclusions: The control of A. diaperinus, and particularly of the larvae, represents a critical factor in the reduction of Salmonella spp. in poultry farms.