Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets, where they often fail to verify. We are going to conduct a series of tests in simulated underlying price series, where alternatively each assumption will be violated and every option delta hedging profit and loss analysed. Ultimately we will monitor how the aggressiveness of an option payoff causes its hedging to be more vulnerable to profit and loss variations, caused by the referred assumptions.

Habitat preferences, diet, feeding strategy and social organization of the black spider monkey [Ateles paniscus paniscus Linnaeus 1758] in Surinam

A Socioecological Field Study.This monograph reports on a 26 month socioecological study of black spider monkeys (Ateles paniscus paniscus)in the Raleigh-vallen — Voltzberg Nature Reserve, Surinam. It recognizes the fundamental importance of food to the behavior and the regulation of population density fox this primate. It clarifies the complex temporal and spatial effects of tropical rain forest food sources on the behavior of a group of spider monkeys, concentrating on food category, food plant identity and phenology, and quantity, density and dispersion of the most important food sources. In addition, the present study describes habitat choice, optimal feeding strategy and sexual behavior of the spider monkey, and discusses implications of diet for social behavior. This study is also fundamental to conservation. Specialized in eating mature fruits, the spider monkey is a very important dispersal agent for many trees and lianes, particularly canopy species. However, the spider monkey is probably the most vulnerable monkey species in Surinam and it is disappearing rapidly throughout the remainder of its range. Unfortunately, it is large and noisy and can be easily tracked and hunted. It is largely restricted to undisturbed high forest, and consequently habitat destruction has more effect on it than on most other species. Together with its slow reproductive rate (a female gives birth only once every four or five years), this means that the species is poorly adapted to recover from exploitation. In order to implement proper measures for conservation, data on forest type preferences, diet and social behavior of the species, or on closely related species, in undisturbed areas, such as the one described in this monograph, are essential tools for assessing the potential of proposed protected areas.

Detection of road accident accumulation zones with a visual analytics approach

Nowadays, road accidents are a major public health problem, which increase is forecasted if road safety is not treated properly, dying about 1.2 million people every year around the globe. In 2012, Portugal recorded 573 fatalities in road accidents, on site, revealing the largest decreasing of the European Union for 2011, along with Denmark. Beyond the impact caused by fatalities, it was calculated that the economic and social costs of road accidents weighted about 1.17% of the Portuguese gross domestic product in 2010. Visual Analytics allows the combination of data analysis techniques with interactive visualizations, which facilitates the process of knowledge discovery in sets of large and complex data, while the Geovisual Analytics facilitates the exploration of space-time data through maps with different variables and parameters that are under analysis. In Portugal, the identification of road accident accumulation zones, in this work named black spots, has been restricted to annual fixed windows. In this work, it is presented a dynamic approach based on Visual Analytics techniques that is able to identify the displacement of black spots on sliding windows of 12 months. Moreover, with the use of different parameterizations in the formula usually used to detect black spots, it is possible to identify zones that are almost becoming black spots. Through the proposed visualizations, the study and identification of countermeasures to this social and economic problem can gain new grounds and thus the decision- making process is supported and improved.

Wood density of trees in black water floodplains of Rio Jaú National Park, Amazonia, Brazil

The Jaú National Park is the largest protected forested area in the world. The Vitória Amazônica Foundation is working towards understanding its ecosystem, to which this paper contributes. Wood density was analysed in 27 common tree species growing in the blackwater flood-plains of the Rio Jaú, an affluent of the Rio Negro (Amazonia, Brazil). Wood was sampled with an increment borer. Mean wood density of the analysed species ranged from 0.35 to 0.87 g cm-3. The mean of all sampled species was 0.67 g cm-3 (st. dev. 0.13). Lowest density was found for Hevea spruceana with 0.32 g cm-3 and highest for Crudia amazonica with 0.9 g cm-3.

Insider threats: the major challenge to security risk management

Security risk management is by definition, a subjective and complex exercise and it takes time to perform properly. Human resources are fundamental assets for any organization, and as any other asset, they have inherent vulnerabilities that need to be handled, i.e. managed and assessed. However, the nature that characterize the human behavior and the organizational environment where they develop their work turn these task extremely difficult, hard to accomplish and prone to errors. Assuming security as a cost, organizations are usually focused on the efficiency of the security mechanisms implemented that enable them to protect against external attacks, disregarding the insider risks, which are much more difficult to assess. All these demands an interdisciplinary approach in order to combine technical solutions with psychology approaches in order to understand the organizational staff and detect any changes in their behaviors and characteristics. This paper intends to discuss some methodological challenges to evaluate the insider threats and its impacts, and integrate them in a security risk framework, that was defined according to the security standard ISO/IEC_JTC1, to support the security risk management process.

The ceramic artifacts in archaeological black earth (terra preta) from lower Amazon region, Brazil: mineralogy

Several archaeological black earth (ABE) sites occur in the Amazon region. They contain fragments of ceramic artifacts, which are very important for the archaeological purpose. In order to improve the archaeological study in the region we carried out a detailed mineralogical and chemical study of the fragments of ceramic artifacts found in the two ABE sites of Cachoeira-Porteira, in the Lower Amazon Region. Their ceramics comprise the following tempers: cauixi, cariapé, sand, sand +feldspars, crushed ceramic and so on and are composed of quartz, clay equivalent material (mainly burned kaolinite), feldspars, hematite, goethite, maghemite, phosphates, anatase, and minerals of Mn and Ba. Cauixi and cariapé, siliceous organic compounds, were found too. The mineralogical composition and the morphology of their grains indicate a saprolite (clayey material rich on quartz) derived from fine-grained felsic igneous rocks or sedimentary rocks as source material for ceramic artifacts, where silica-rich components such cauixi, cariapé and/or sand (feldspar and rock fragments) were intentionally added to them. The high content of (Al,Fe)-phosphates, amorphous to low crystalline, must be product of the contact between the clayey matrix of pottery wall and the hot aqueous solution formed during the daily cooking of animal foods (main source of phosphor). The phosphate crystallization took place during the discharge of the potteries put together with waste of organic material from animal and vegetal origin, and leaving to the formation of the ABE-soil profile.

The ceramic artifacts in archaeological black earth (terra preta) from Lower Amazon Region, Brazil: chemistry and geochemical evolution

This paper carried out a chemical investigation of archaeological ceramic artifacts found in archaeological sites with Black Earth (ABE) in the Lower Amazon Region at Cachoeira-Porteira, State of Pará, Brazil. The ceramic artifacts, mostly of daily use, belong to Konduri culture (from 900 to 400 years BP). They are constituted of SiO2, Al2O3, Fe2O3, Na2O and P2O5; SiO2 and Al2O3 together add up to 80 % and indicate influence of acid rocks, transformed into clay minerals basically kaolinite. The relative high contents of P2O5 (2.37 % in average) come out as (Al,Fe)-phosphate, an uncommon fact in primitive red ceramics, but found in some roman and egyptian archaeological sites. The contents of the trace elements are similar or below the Earth's crust average. This chemical composition (except P2O5) detaches saprolite material derived acid igneous rocks or sedimentary ones as the main raw material of the ceramics. The contents of K, Na and Ca represent the feldspars and rock fragments possibly introduced into saprolitic groundmass, indicated by mineralogical studies. The presence of cauixi and cariapé as well as quartz sand was confirmed by optical microscope, SEM analyses and by the high silica contents of ceramic fragments. Phosphorus was possibly incorporated into groundmass during cooking of foods, and ABE soil profile formation developed on yellow Latosols. The raw materials and its tempers (cauixi, or cariapé, feldspar, crushed rocks, old ceramic artifacts and quartz fragments) are found close to the sites and therefore and certainly came from them.

Rényi entropy and the thermodynamic stability of black holes

Thermodynamic stability of black holes, described by the Rényi formula as equilibrium compatible entropy function, is investigated. It is shown that within this approach, asymptotically flat, Schwarzschild black holes can be in stable equilibrium with thermal radiation at a fixed temperature. This implies that the canonical ensemble exists just like in anti-de Sitter space, and nonextensive effects can stabilize the black holes in a very similar way as it is done by the gravitational potential of an anti-de Sitter space. Furthermore, it is also shown that a Hawking–Page-like black hole phase transition occurs at a critical temperature which depends on the q-parameter of the Rényi formula.

Actinella species (Bacillariophyta) from an Amazon black water floodplain lake (Amazonas - Brazil)

The genus Actinella Lewis was studied using planktonic samples from a black water floodplain lake in Central Amazon region. For species identification the taxa were morphological and morphometricaly analyzed on base in light microscope (LM) and scanning electronic microscope (SEM). Five species were registered: Actinella brasiliensis Grunow, A. guianensis Grunow, A. gracile Kociolek, A. mirabilis (Eulenstein ex Grunow) Grunow and A. robusta Hustedt. A. gracile is reported for the first time for Amazon State and black water systems and it is firstly documented with SEM. In addition, a review of geographic distribution of Actinella species in Brazilian Amazon region is given.

Biological markers in noninvasive brain stimulation trials in major depressive disorder: a systematic review

Objectives: The therapeutic effects of transcranial magnetic stimulation (TMS) and transcranial direct current stimulation in patients with major depression have shown promising results; however, there is a lack of mechanistic studies using biological markers (BMs) as an outcome. Therefore, our aim was to review noninvasive brain stimulation trials in depression using BMs. Methods: The following databases were used for our systematic review: MEDLINE, Web of Science, Cochrane, and SCIELO. We examined articles published before November 2012 that used TMS and transcranial direct current stimulation as an intervention for depression and had BM as an outcome measure. The search was limited to human studies written in English. Results: Of 1234 potential articles, 52 articles were included. Only studies using TMS were found. Biological markers included immune and endocrine serum markers, neuroimaging techniques, and electrophysiological outcomes. In 12 articles (21.4%), end point BM measurements were not significantly associated with clinical outcomes. All studies reached significant results in the main clinical rating scales. Biological marker outcomes were used as predictors of response, to understand mechanisms of TMS, and as a surrogate of safety. Conclusions: Functional magnetic resonance imaging, single-photon emission computed tomography, positron emission tomography, magnetic resonance spectroscopy, cortical excitability, and brain-derived neurotrophic factor consistently showed positive results. Brain-derived neurotrophic factor was the best predictor of patients’ likeliness to respond. These initial results are promising; however, all studies investigating BMs are small, used heterogeneous samples, and did not take into account confounders such as age, sex, or family history. Based on our findings, we recommend further studies to validate BMs in noninvasive brain stimulation trials in MDD.

Cylindrically symmetric models of gravitational collapse to black holes: a short review

We survey results about exact cylindrically symmetric models of gravitational collapse in General Relativity. We focus on models which result from the matching of two spacetimes having collapsing interiors which develop trapped surfaces and vacuum exteriors containing gravitational waves. We collect some theorems from the literature which help to decide a priori about eventual spacetime matchings. We revise, in more detail, some toy models which include some of the main mathematical and physical issues that arise in this context, and compute the gravitational energy flux through the matching boundary of a particular collapsing region. Along the way, we point out several interesting open problems.

On the length of bank-firm relationships: an empirical application to a major French bank

NIPE - WP 01/ 2016

60,000 years of interactions between Central and Eastern Africa documented by major African mitochondrial haplogroup L2

Mitochondrial DNA (mtDNA) haplogroup L2 originated in Western Africa but is nowadays spread across the entire continent. L2 movements were previously postulated to be related to the Bantu expansion, but L2 expansions eastwards probably occurred much earlier. By reconstructing the phylogeny of L2 (44 new complete sequences) we provide insights on the complex net of within-African migrations in the last 60 thousand years (ka). Results show that lineages in Southern Africa cluster with Western/Central African lineages at a recent time scale, whereas, eastern lineages seem to be substantially more ancient. Three moments of expansion from a Central African source are associated to L2: (1) one migration at 70-50 ka into Eastern or Southern Africa, (2) postglacial movements (15-10 ka) into Eastern Africa; and (3) the southward Bantu Expansion in the last 5 ka. The complementary population and L0a phylogeography analyses indicate no strong evidence of mtDNA gene flow between eastern and southern populations during the later movement, suggesting low admixture between Eastern African populations and the Bantu migrants. This implies that, at least in the early stages, the Bantu expansion was mainly a demic diffusion with little incorporation of local populations.

On the temperature dependence of the absorption cross section for black holes in string theory

We study the low frequency absorption cross section of spherically symmetric nonextremal d-dimensional black holes. In the presence of α′ corrections, this quantity must have an explicit dependence on the Hawking temperature of the form 1/TH. This property of the low frequency absorption cross section is shared by the D1-D5 system from type IIB superstring theory already at the classical level, without α′ corrections. We apply our formula to the simplest example, the classical d-dimensional Reissner-Nordstr¨om solution, checking that the obtained formula for the cross section has a smooth extremal limit. We also apply it for a d-dimensional Tangherlini-like solution with α′3 corrections.

Absorption of scalars by nonextremal charged black holes in string theory

We analyze the low frequency absorption cross section of minimally coupled massless scalar fields by different kinds of charged static black holes in string theory, namely the D1–D5 system in d=5 and a four dimensional dyonic four-charged black hole. In each case we show that this cross section always has the form of some parameter of the solution divided by the black hole Hawking temperature. We also verify in each case that, despite its explicit temperature dependence, such quotient is finite in the extremal limit, giving a well defined cross section. We show that this precise explicit temperature dependence also arises in the same cross section for black holes with string \alpha' corrections: it is actually induced by them.