Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

From here to diversity: globalization and intercultural dialogues

From Here to Diversity: Globalization and Intercultural Dialogues sees interculturalism as movement, transit, travel, the dynamics between cultures. Contemporary intercultural travel is a global journey, a circumnavigation at the speed of light that underwrites all the comings and goings, the departures and arrivals, the transmissions and receptions that are implicit in this title. Hence, From Here to Diversity examines the motivations, characteristics and implications of cultural interactions in their perpetual movement, devoid of spatial or temporal borders, in a dangerous but stimulating indefinition of limits. In the contemporary intercultural dialogue, new voices are making themselves heard, as valuable sources of study: the voices of women; non-occidentals; the non-powerful; forgotten narratives of a past that was as intercultural as the present (after all, what is colonialism other than a perverse form of interculturality?); global entertainment; tourism; oral literature; diaries; mythical narratives; the cinema; ethnography; new teachings, among so many others. Because this project is also intercultural at its source and subject, From Here to Diversity: Globalization and Intercultural Dialogues adds to the coherence of the project by including contributions from the most wide-ranging backgrounds and nationalities, without fear of the alterity that, after all, we propose to study.

Fast optimum-predictive control and capacitor voltage balancing strategy for bipolar back-to-back NPC converters in high-voltage direct current transmission systems

Multilevel power converters have been introduced as the solution for high-power high-voltage switching applications where they have well-known advantages. Recently, full back-to-back connected multilevel neutral point diode clamped converters (NPC converter) have been used inhigh-voltage direct current (HVDC) transmission systems. Bipolar-connected back-to-back NPC converters have advantages in long-distance HVDCtransmission systems over the full back-to-back connection, but greater difficulty to balance the dc capacitor voltage divider on both sending and receiving end NPC converters. This study shows that power flow control and dc capacitor voltage balancing are feasible using fast optimum-predictive-based controllers in HVDC systems using bipolar back-to-back-connected five-level NPC multilevel converters. For both converter sides, the control strategytakes in account active and reactive power, which establishes ac grid currents in both ends, and guarantees the balancing of dc bus capacitor voltages inboth NPC converters. Additionally, the semiconductor switching frequency is minimised to reduce switching losses. The performance and robustness of the new fast predictive control strategy, and its capability to solve the DC capacitor voltage balancing problem of bipolar-connected back-to-back NPCconverters are evaluated.

HVDC transmission systems: Bipolar back-to-back diode clamped multilevel converter with fastoptimum-predictive control and capacitor balancing strategy

Voltage source multilevel power converter structures are being considered for high power high voltage applications where they have well known advantages. Recently, full back-to-back connected multilevel neutral diode clamped converters (NPC) have been used in high voltage direct current (HVDC) transmission systems. Bipolar back-to-back connection of NPCs have advantages in long distance HVDC transmission systems, but highly increased difficulties to balance the dc capacitor voltage dividers on both sending and receiving end NPCs. This paper proposes a fast optimum-predictive controller to balance the dc capacitor voltages and to control the power flow in a long distance HVDCsystem using bipolar back-to-back connected NPCs. For both converter sides, the control strategy considers active and reactive power to establish ac grid currents on sending and receiving ends, while guaranteeing the balancing of both NPC dc bus capacitor voltages. Furthermore, the fast predictivecontroller minimizes the semiconductor switching frequency to reduce global switching losses. The performance and robustness of the new fast predictive control strategy and the associated dc capacitors voltage balancing are evaluated. (C) 2011 Elsevier B.V. All rights reserved.

In vitro exposure of acer negundo pollen to atmospheric levels of SO2 and NO2: effects on allergenicity and germination

In the last years, a rising trend of pollen allergies in urban areas has been attributed to atmospheric pollution. In this work, we investigated the effects of SO2 and NO2 on the protein content, allergenicity, and germination rate of Acer negundo pollen. A novel environmental chamber was assembled to exposure pollen samples with SO2 or NO2 at two different levels: just below and two times the atmospheric hour-limit value acceptable for human health protection in Europe. Results showed that protein content was lower in SO2- exposed pollen samples and slightly higher in NO2-exposed pollen compared to the control sample. No different polypeptide profiles were revealed by SDSPAGE between exposed and nonexposed pollen, but the immunodetection assays indicated higher IgE recognition by all sera of sensitized patients to Acer negundo pollen extracts in all exposed samples in comparison to the nonexposed samples. A decrease in the germination rate of exposed in contrast to nonexposed pollen was verified, which was more pronounced for NO2-exposed samples. Our results indicated that in urban areas, concentrations of SO2 and NO2 below the limits established for human protection can indirectly aggravate pollen allergy on predisposed individuals and affect plant reproduction.

Cyclotech - contribution to solve the Technetium shortage by using low energy medical cyclotrons

This paper presents work in progress, to develop an efficient and economic way to directly produce Technetium 99metastable (99mTc) using low-energy cyclotrons. Its importance is well established and relates with the increased global trouble in delivering 99mTc to Nuclear Medicine Departments relying on this radioisotope. Since the present delivery strategy has clearly demonstrated its intrinsic limits, our group decided to follow a distinct approach that uses the broad distribution of the low energy cyclotrons and the accessibility of Molybdenum 100 (100Mo) as the Target material. This is indeed an important issue to consider, since the system here presented, named CYCLOTECH, it is not based on the use of Highly Enriched (or even Low Enriched) Uranium 235 (235U), so entirely complying with the actual international trends and directives concerning the use of this potential highly critical material. The production technique is based on the nuclear reaction 100Mo (p,2n) 99mTc whose production yields have already been documented. Until this moment two Patent requests have already been submitted (the first at the INPI, in Portugal, and the second at the USPTO, in the USA); others are being prepared for submission on a near future. The object of the CYCLOTECH system is to present 99mTc to Nuclear Medicine radiopharmacists in a routine, reliable and efficient manner that, remaining always flexible, entirely blends with established protocols. To facilitate workflow and Radiation Protection measures, it has been developed a Target Station that can be installed on most of the existing PET cyclotrons and that will tolerate up to 400 μA of beam by allowing the beam to strike the Target material at an adequately oblique angle. The Target Station permits the remote and automatic loading and discharge of the Targets from a carriage of 10 Target bodies. On other hand, several methods of Target material deposition and Target substrates are presented. The object was to create a cost effective means of depositing and intermediate the target material thickness (25 - 100μm) with a minimum of loss on a substrate that is able to easily transport the heat associated with high beam currents. Finally, the separation techniques presented are a combination of both physical and column chemistry. The object was to extract and deliver 99mTc in the identical form now in use in radiopharmacies worldwide. In addition, the Target material is recovered and can be recycled.

Criticality of colloids with distinct interaction patches: The limits of linear chains, hyperbranched polymers, and dimers

We use a simple model of associating fluids which consists of spherical particles having a hard-core repulsion, complemented by three short-ranged attractive sites on the surface (sticky spots). Two of the spots are of type A and one is of type B; the bonding interactions between each pair of spots have strengths epsilon(AA), epsilon(BB), and epsilon(AB). The theory is applied over the whole range of bonding strengths and the results are interpreted in terms of the equilibrium cluster structures of the phases. In addition to our numerical results, we derive asymptotic expansions for the free energy in the limits for which there is no liquid-vapor critical point: linear chains (epsilon(AA)not equal 0, epsilon(AB)=epsilon(BB)=0), hyperbranched polymers (epsilon(AB)not equal 0, epsilon(AA)=epsilon(BB)=0), and dimers (epsilon(BB)not equal 0, epsilon(AA)=epsilon(AB)=0). These expansions also allow us to calculate the structure of the critical fluid by perturbing around the above limits, yielding three different types of condensation: of linear chains (AA clusters connected by a few AB or BB bonds); of hyperbranched polymers (AB clusters connected by AA bonds); or of dimers (BB clusters connected by AA bonds). Interestingly, there is no critical point when epsilon(AA) vanishes despite the fact that AA bonds alone cannot drive condensation.

Molecularly-imprinted materials for potentiometric transduction: application to the antibiotic enrofloxacin

Enrofloxacin (ENR) is an antimicrobial used both in humans and in food producing species. Its control is required in farmed species and their surroundings in order to reduce the prevalence of antibiotic resistant bacteria. Thus, a new biomimetic sensor enrofloxacin is presented. An artificial host was imprinted in specific polymers. These were dispersed in 2-nitrophenyloctyl ether and entrapped in a poly(vinyl chloride) matrix. The potentiometric sensors exhibited a near-Nernstian response. Slopes expressing mVΔlog([ENR]/M) varied within 48–63. The detection limits ranged from 0.28 to 1.01 µg mL 1. Sensors were independent from the pH of test solutions within 4–7. Good selectivity was observed toward potassium, calcium, barium, magnesium, glycine, ascorbic acid, creatinine, norfloxacin, ciprofloxacin, and tetracycline. In flowing media, the biomimetic sensors presented good reproducibility (RSD of ±0.7%), fast response, good sensitivity (47 mV/Dlog([ENR]/ M), wide linear range (1.0×10-5–1.0×10-3 M), low detection limit (0.9 µg mL-1), and a stable baseline for a 5×10-2 M acetate buffer (pH 4.7) carrier. The sensors were used to analyze fish samples. The method offered the advantages of simplicity, accuracy, and automation feasibility. The sensing membrane may contribute to the development of small devices allowing in vivo measurements of enrofloxacin or parent-drugs.

Accounting for the dissociating properties of organic chemicals in LCIA: an uncertainty analysis applied to micropollutants in the assessment of freshwater ecotoxicity

In life cycle impact assessment (LCIA) models, the sorption of the ionic fraction of dissociating organic chemicals is not adequately modeled because conventional non-polar partitioning models are applied. Therefore, high uncertainties are expected when modeling the mobility, as well as the bioavailability for uptake by exposed biota and degradation, of dissociating organic chemicals. Alternative regressions that account for the ionized fraction of a molecule to estimate fate parameters were applied to the USEtox model. The most sensitive model parameters in the estimation of ecotoxicological characterization factors (CFs) of micropollutants were evaluated by Monte Carlo analysis in both the default USEtox model and the alternative approach. Negligible differences of CFs values and 95% confidence limits between the two approaches were estimated for direct emissions to the freshwater compartment; however the default USEtox model overestimates CFs and the 95% confidence limits of basic compounds up to three orders and four orders of magnitude, respectively, relatively to the alternative approach for emissions to the agricultural soil compartment. For three emission scenarios, LCIA results show that the default USEtox model overestimates freshwater ecotoxicity impacts for the emission scenarios to agricultural soil by one order of magnitude, and larger confidence limits were estimated, relatively to the alternative approach.

Optimization of QuEChERS procedure coupled to GC-ECD for organochlorine pesticide determination in carrot samples

An optimised version of the Quick, Easy, Cheap, Effective, Rugged and Safe (QuEChERS) method for simultaneous determination of 14 organochlorine pesticides in carrots was developed using gas chromatography coupled with electron-capture detector (GC-ECD) and confirmation by gas chromatography tandem mass spectrometry (GC-MS/MS). A citrate-buffered version of QuEChERS was applied for the extraction of the organochlorine pesticides, and for the extract clean-up, primary secondary amine, octadecyl-bonded silica (C18), magnesium sulphate (MgSO4) and graphitized carbon black were used as sorbents. The GC-ECD determination of the target compounds was achieved in less than 20 min. The limits of detection were below the EUmaximum residue limits (MRLs) for carrots, 10–50 μg kg−1, while the limit of quantification did exceed 10 μg kg−1 for hexachlorobenzene (HCB). The introduction of a sonication step was shown to improve the recoveries. The overall average recoveries in carrots, at the four tested levels (60, 80, 100 and 140 μg kg−1), ranged from 66 to 111% with relative standard deviations in the range of 2– 15 % (n03) for all analytes, with the exception of HCB. The method has been applied to the analysis of 21 carrot samples from different Portuguese regions, and β-HCH was the pesticide most frequently found, with concentrations oscillating between less than the limit of quantification to 14.6 μg kg−1. Only one sample had a pesticide residue (β-HCH) above the MRL, 14.6 μg kg−1. This methodology combines the advantages of both QuEChERS and GC-ECD, producing a very rapid, sensitive and reliable procedure which can be applied in routine analytical laboratories.

Application-specific modified particle swarm optimization for energy resource scheduling considering vehicle-to-grid

This paper presents a modified Particle Swarm Optimization (PSO) methodology to solve the problem of energy resources management with high penetration of distributed generation and Electric Vehicles (EVs) with gridable capability (V2G). The objective of the day-ahead scheduling problem in this work is to minimize operation costs, namely energy costs, regarding he management of these resources in the smart grid context. The modifications applied to the PSO aimed to improve its adequacy to solve the mentioned problem. The proposed Application Specific Modified Particle Swarm Optimization (ASMPSO) includes an intelligent mechanism to adjust velocity limits during the search process, as well as self-parameterization of PSO parameters making it more user-independent. It presents better robustness and convergence characteristics compared with the tested PSO variants as well as better constraint handling. This enables its use for addressing real world large-scale problems in much shorter times than the deterministic methods, providing system operators with adequate decision support and achieving efficient resource scheduling, even when a significant number of alternative scenarios should be considered. The paper includes two realistic case studies with different penetration of gridable vehicles (1000 and 2000). The proposed methodology is about 2600 times faster than Mixed-Integer Non-Linear Programming (MINLP) reference technique, reducing the time required from 25 h to 36 s for the scenario with 2000 vehicles, with about one percent of difference in the objective function cost value.

Persisting problems related to race and ethnicity in public health and epidemiology research

A recent and comprehensive review of the use of race and ethnicity in research that address health disparities in epidemiology and public health is provided. First it is described the theoretical basis upon which race and ethnicity differ drawing from previous work in anthropology, social science and public health. Second, it is presented a review of 280 articles published in high impacts factor journals in regards to public health and epidemiology from 2009-2011. An analytical grid enabled the examination of conceptual, theoretical and methodological questions related to the use of both concepts. The majority of articles reviewed were grounded in a theoretical framework and provided interpretations from various models. However, key problems identified include a) a failure from researchers to differentiate between the concepts of race and ethnicity; b) an inappropriate use of racial categories to ascribe ethnicity; c) a lack of transparency in the methods used to assess both concepts; and d) failure to address limits associated with the construction of racial or ethnic taxonomies and their use. In conclusion, future studies examining health disparities should clearly establish the distinction between race and ethnicity, develop theoretically driven research and address specific questions about the relationships between race, ethnicity and health. One argue that one way to think about ethnicity, race and health is to dichotomize research into two sets of questions about the relationship between human diversity and health.

Working in IT projects – Options and Limits of Work Design

Flexible forms of work like project work are gaining importance in industry and services. Looking at the research on project work, the vast majority of present literature is on project management, but increasingly, problems concerning the quality of work and the efficiency of project teams become visible. The question now is how project work can be structured in order to simultaneously provide efficient and flexible work and healthy working conditions ensuring the development of human resources for a long time. Selected results of publicly funded research into project work will be presented based on case studies in 7 software development /IT consulting project teams (N=34). A set of different methods was applied: interviews with management/project managers, group interviews on work constraints, a monthly diary about well-being and critical incidences in the course of the project, and a final evaluation questionnaire on project outcomes focusing on economic and health aspects. Findings reveal that different types of projects exist with varying degree of team members’ autonomy and influence on work structuring. An effect of self-regulation on mental strain could not be found. The results emphasize, that contradicting requirements and insufficient organizational resources with respect to the work requirements lead to an increased work intensity or work obstruction. These contradicting requirements are identified as main drivers for generating stress. Finally, employees with high values on stress for more than 2 months have significantly higher exhaustion rates than those with only one month peaks. Structuring project work and taking into account the dynamics of project work, there is a need for an active role of the project team in contract negotiation or the detailed definition of work – this is not only a question of individual autonomy but of negotiation the range of option for work structuring. Therefore, along with the sequential definition of the (software) product, the working conditions need to be re-defined.

Occupational co-exposure to several mycotoxins in the waste management setting

Contrary to fungi, exposure to mycotoxins is not usually identified as a risk factor present in occupational settings. This is probably due to the inexistence of limits regarding concentration of airborne mycotoxins, and also due to the fact that these compounds are rarely monitored in occupational environments. Despite the optimal conditions for fungal growth and, consequently, for mycotoxins production in all the waste management chain, only a few articles were dedicated to study occupational exposure to mycotoxins in this occupational setting. Aim of study: A study was developed in Portugal aiming to assess occupational co-exposure to mycotoxins in the waste management setting.

Occupational exposure to aflatoxin B1: new (old) occupational risk!

Contrary to fungi, exposure to mycotoxins is not usually identified as a risk factor present in occupational settings. This is probably due to the inexistence of limits regarding concentration of airborne mycotoxins, and also due to the fact that these compounds are rarely monitored in occupational environments. Aflatoxin B1 (AFB1) is the most prevalent aflatoxin and is associated with carcinogenicity, teratogenicity, genotoxicity and immunotoxicity but only a few studies examined exposure in occupational settings. Workers can be exposed to high airborne levels during certain operations in specific occupational settings. Aim of study: The study aimed to assess exposure to AFB1 in three settings: poultry, swine production and waste management.