Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

Shrews in suburbia: an application of Goodman's extinction model

An equation is applied for calculating the expected persistence time of an unstructured population of the white-toothed shrew Crocidura russula from Preverenges, a suburban area in western Switzerland. Population abundance data from March and November between 1977 and 1988 were fit to the logistic density dependence model to estimate mean population growth rate as a function of population density. The variance in mean growth rate was approximated with two different models. The largest estimated persistence time was less than a few decades, the smallest less than 10 years. The results are sensitive to the magnitude of variance in population growth rate. Deviations from the logistic density dependence model in November are quite well explained by weather variables but those in March are uncorrelated with weather variables. Variability in population growth rates measured in winter months may be better explained by behavioural mechanisms. Environmental variability, dispersal of juveniles and refugia within the range of the population may contribute to its long-term survival.

A problemática do risco cambial na importação estudo de caso: Empresas Importadoras de Automóveis em Cabo Verde

A problemática do risco cambial surge a partir do momento em que agentes económicos decidem efectuar as suas transacções internacionais em divisas. Neste contexto, a necessidade de conhecer e compreender o mercado cambial é peremptório. Como forma de se protegerem das exposições de taxas de câmbio, os agentes sentem necessidade de recorrer a instrumentos de protecção cambial, de forma a proporcionar uma maior segurança à negociação. O presente trabalho teve como objectivo identificar e avaliar o risco cambial nas empresas de importação de automóveis em Cabo Verde, bem como estudar o mercado cambial Cabo-verdiano, procurando, simultaneamente identificar os instrumentos de protecção disponíveis na nossa praça. No entanto, observou-se que no mercado nacional não há utilização dos derivados financeiros, embora, já seja prevista a sua implementação. Deste modo, as empresas de importação de automóveis encontram-se totalmente expostas a esse risco de mercado, e sem qualquer experiência em lidar com os instrumentos de protecção cambial. Para a consecução dos objectivos propostos, realizou-se um estudo de caso, com o propósito de estudar a problemática do risco cambial nas empresas de importação de automóveis em Cabo Verde. A colecta de dados foi realizada por meio de questionários aplicados às empresas importadoras de automóveis e foi complementada com uma entrevista não estruturada aplicada a um especialista com know-how na área. Com o estudo foi possível descrever todas as etapas do processo de importação de automóveis e analisar a expressividade dos riscos cambiais nessas empresas. The problem of currency risk arises from the moment when economic agents decide to perform their international transactions in any foreign exchange. In this respect, the need to know and understand the exchange market is peremptory. As a way to protect themselves from the exposure of rates exchange, agents feel the need to resort to cambial instruments of protection, to provide a greater security to negotiations. This present work had as objectives to identify and survey the currency risk in importing cars companies in Cape Verde, as well as studying the Cape Verdean exchange market to, simultaneously, identify the instruments of protection existent. However, it was observed that in the national market there is no use of financial derivatives, although its implementation is decided. Thus, importing cars companies are entirely exposed to this market risk and without any experience in dealing with the hedging risks these transactions imply. To the attainment of the proposed objectives, we performed a case study with the purpose of studying the problem of currency risk in the importing cars companies in Cape Verde. The data collection was held through questionnaires to the cars importing companies and was complemented with an unstructured interview applied to a specialist with expertise in the area. With the study it was possible to describe all the stages of importing cars process and analyze the expressiveness of currency risks in these companies.

Sampling strategies for tropical forest nutrient cycling studies: a case study in São Paulo, Brazil

The precise sampling of soil, biological or micro climatic attributes in tropical forests, which are characterized by a high diversity of species and complex spatial variability, is a difficult task. We found few basic studies to guide sampling procedures. The objective of this study was to define a sampling strategy and data analysis for some parameters frequently used in nutrient cycling studies, i. e., litter amount, total nutrient amounts in litter and its composition (Ca, Mg, Κ, Ν and P), and soil attributes at three depths (organic matter, Ρ content, cation exchange capacity and base saturation). A natural remnant forest in the West of São Paulo State (Brazil) was selected as study area and samples were collected in July, 1989. The total amount of litter and its total nutrient amounts had a high spatial independent variance. Conversely, the variance of litter composition was lower and the spatial dependency was peculiar to each nutrient. The sampling strategy for the estimation of litter amounts and the amount of nutrient in litter should be different than the sampling strategy for nutrient composition. For the estimation of litter amounts and the amount of nutrients in litter (related to quantity) a large number of randomly distributed determinations are needed. Otherwise, for the estimation of litter nutrient composition (related to quality) a smaller amount of spatially located samples should be analyzed. The determination of sampling for soil attributes differed according to the depth. Overall, surface samples (0-5 cm) showed high short distance spatial dependent variance, whereas, subsurface samples exhibited spatial dependency in longer distances. Short transects with sampling interval of 5-10 m are recommended for surface sampling. Subsurface samples must also be spatially located, but with transects or grids with longer distances between sampling points over the entire area. Composite soil samples would not provide a complete understanding of the relation between soil properties and surface dynamic processes or landscape aspects. Precise distribution of Ρ was difficult to estimate.

Toxic effects of brake wear particles on epithelial lung cells in vitro

Background: Fine particulate matter originating from traffic correlates with increased morbidity and mortality. An important source of traffic particles is brake wear of cars which contributes up to 20% of the total traffic emissions. The aim of this study was to evaluate potential toxicological effects of human epithelial lung cells exposed to freshly generated brake wear particles. Results: An exposure box was mounted around a car's braking system. Lung cells cultured at the air-liquid interface were then exposed to particles emitted from two typical braking behaviours ("full stop" and "normal deceleration"). The particle size distribution as well as the brake emission components like metals and carbons was measured on-line, and the particles deposited on grids for transmission electron microscopy were counted. The tight junction arrangement was observed by laser scanning microscopy. Cellular responses were assessed by measurement of lactate dehydrogenase (cytotoxicity), by investigating the production of reactive oxidative species and the release of the pro-inflammatory mediator interleukin-8. The tight junction protein occludin density decreased significantly (p < 0.05) with increasing concentrations of metals on the particles (iron, copper and manganese, which were all strongly correlated with each other). Occludin was also negatively correlated with the intensity of reactive oxidative species. The concentrations of interleukin-8 were significantly correlated with increasing organic carbon concentrations. No correlation was observed between occludin and interleukin-8, nor between reactive oxidative species and interleukin-8. Conclusion: These findings suggest that the metals on brake wear particles damage tight junctions with a mechanism involving oxidative stress. Brake wear particles also increase pro-inflammatory responses. However, this might be due to another mechanism than via oxidative stress. [Authors]

Information security and the enforcement of secrecy : the practical application of quantum key distribution

There is no doubt about the necessity of protecting digital communication: Citizens are entrusting their most confidential and sensitive data to digital processing and communication, and so do governments, corporations, and armed forces. Digital communication networks are also an integral component of many critical infrastructures we are seriously depending on in our daily lives. Transportation services, financial services, energy grids, food production and distribution networks are only a few examples of such infrastructures. Protecting digital communication means protecting confidentiality and integrity by encrypting and authenticating its contents. But most digital communication is not secure today. Nevertheless, some of the most ardent problems could be solved with a more stringent use of current cryptographic technologies. Quite surprisingly, a new cryptographic primitive emerges from the ap-plication of quantum mechanics to information and communication theory: Quantum Key Distribution. QKD is difficult to understand, it is complex, technically challenging, and costly-yet it enables two parties to share a secret key for use in any subsequent cryptographic task, with an unprecedented long-term security. It is disputed, whether technically and economically fea-sible applications can be found. Our vision is, that despite technical difficulty and inherent limitations, Quantum Key Distribution has a great potential and fits well with other cryptographic primitives, enabling the development of highly secure new applications and services. In this thesis we take a structured approach to analyze the practical applicability of QKD and display several use cases of different complexity, for which it can be a technology of choice, either because of its unique forward security features, or because of its practicability.

Optimal management of microgrids

Desenvolupament dels models matemàtics necessaris per a controlar de forma òptima la microxarxa existent als laboratoris del Institut de Recerca en Energia de Catalunya. Els algoritmes s'implementaran per tal de simular el comportament i posteriorment es programaran directament sobre els elements de la microxarxa per verificar el seu correcte funcionament.. Desenvolupament dels models matemàtics necessaris per a controlar de forma òptima la microxarxa existent als laboratoris del Institut de Recerca en Energia de Catalunya. Els algoritmes s'implementaran per tal de simular el comportament i posteriorment es programaran directament sobre els elements de la microxarxa per verificar el seu correcte funcionament.

Advantages of using TEM when analysing asbestos in ambient air

Asbestos is an industrial term to describe some fibrous silicate minerals, which belong to the amphiboles or serpentines group. Six minerals are defined as asbestos including: chrysotile (white asbestos), amosite (grunerite, brown asbestos), crocidolite (riebeckite, blue asbestos), anthophyllite, tremolite and actonolite, but only in their fibrous form. In 1973, the IARC (International Agency for Research on Cancer) classified the asbestos minerals as carcinogenic substances (IARC,1973). The Swiss threshold limit (VME) is 0.01 fibre/ml (SUVA, 2007). Asbestos in Switzerland has been prohibited since 1990, but this doesn't mean we are over asbestos. Up to 20'000 tonnes/year of asbestos was imported between the end of WWII and 1990. Today, all this asbestos is still present in buildings renovated or built during that period of time. During restorations, asbestos fibres can be emitted into the air. The quantification of the emission has to be evaluated accurately. To define the exact risk on workers or on the population is quite hard, as many factors must be considered. The methods to detect asbestos in the air or in materials are still being discussed today. Even though the EPA 600 method (EPA, 1993) has proved itself for the analysis of bulk materials, the method for air analysis is more problematic. In Switzerland, the recommended method is VDI 3492 using a scanning electron microscopy (SEM), but we have encountered many identifications problems with this method. For instance, overloaded filters or long-term exposed filters cannot be analysed. This is why the Institute for Work and Health (IST) has adapted the ISO10312 method: ambient air - determination of asbestos fibres - direct-transfer transmission electron microscopy (TEM) method (ISO, 1995). Quality controls have already be done at a French institute (INRS), which validate our practical experiences. The direct-transfer from MEC's filters on TEM's supports (grids) is a delicate part of the preparation for analysis and requires a lot of trials in the laboratory. IST managed to do proper grid preparations after about two years of development. In addition to the preparation of samples, the micro-analysis (EDX), the micro-diffraction and the morphologic analysis (figure 1.a-c) are also to be mastered. Theses are the three elements, which prove the different features of asbestos identification. The SEM isn't able to associate those three analyses. The TEM is also able to make the difference between artificial and natural fibres that have very similar chemical compositions as well as differentiate types of asbestos. Finally the experiments concluded by IST show that TEM is the best method to quantify and identify asbestos in the air.

Métodos de ajuste e modelos de semivariograma aplicados ao estudo da variabilidade espacial de atributos físico-hídricos do solo

Avaliou-se a variabilidade e a estrutura de dependência espacial de atributos físico-hídricos do solo (volume total de poros - VTP, condutividade hidráulica saturada - k0, porosidade drenável - PD e conteúdo de água volumétrico na capacidade de campo - tetacc), na bacia hidrográfica do Ribeirão Marcela, representativa do domínio dos Latossolos na Região Alto Rio Grande, ajustando-se semivariogramas do tipo esférico e exponencial pelos métodos dos Quadrados Mínimos Ponderados (QMP) e Máxima Verossimilhança (MV). As amostras para caracterização físico-hídrica foram coletadas na camada de 0 a 0,15 m de profundidade, obedecendo a grids de 240 x 240 m e 60 x 60 m, totalizando 165 pontos amostrais. Os atributos VTP e tetacc apresentaram baixa variabilidade, com coeficiente de variação (CV) de 7,54 e 10,22 %, respectivamente, sendo a variabilidade do atributo PD média, com CV de 43,2 %, e alta para k0, com CV de 88,37 %. Todos os atributos apresentaram estrutura de dependência espacial, com forte grau para os atributos VTP, k0 e tetacc, com GD de 81,82, 75,31 e 82,61 %, respectivamente, e moderada para PD, com GD na ordem de 54,88 %. Os alcances para VTP, tetacc e PD foram da ordem de 1.000,0 m, enquanto o atributo k0 mostrou alcance de 77,46 m. Verificou-se desempenho similar entre os métodos empregados, sendo ambos indicados para ajuste de semivariogramas a atributos físico-hídricos do solo. Entre os modelos de semivariograma, baseando-se na autovalidação, o esférico seria indicado para os atributos VTP, k0 e tetacc, apresentando quadrado médio do erro na ordem de 0,00161; 0,2795 e 0,00155, respectivamente; e o exponencial, para o atributo PD, com quadrado médio do erro de 0,004070.

Modelagem de atributos físico-hídricos do solo numa bacia hidrográfica da região do Alto Rio Grande, MG

O presente trabalho objetivou desenvolver modelos para estimativa dos atributos físico-hídricos do solo porosidade drenável (PD) e capacidade total de retenção de água (CTA), com base em atributos físicos de fácil e rápida obtenção (textura, argila dispersa em água, volume total de poros, densidade do solo e densidade de partícula) e a determinação de matéria orgânica. Os atributos foram coletados na bacia hidrográfica do Ribeirão Marcela, na camada de 0 a 15 cm, obedecendo aos grids de 240 x 240 e 60 x 60 m, totalizando 165 pontos amostrados. Trabalhou-se com regressão múltipla linear, constituindo-se variáveis por meio da combinação dos diferentes atributos entre si e estimando os respectivos coeficientes pelo método dos mínimos quadrados, utilizando-se o programa SAS for Windows. Os modelos gerados para CTA e PD apresentaram boa qualidade estatística, com elevados coeficientes de determinação, baixos erros de estimativa e variáveis significativas, o que permitiu sua aplicação na estimativa desses atributos na bacia hidrográfica do Ribeirão Marcela, representativa do domínio dos Latossolos na região do Alto Rio Grande, fornecendo assim subsídios para implantação de projetos agrícolas e ambientais, especialmente no auxílio à parametrização de modelos de simulação hidrossedimentológica, os quais estão em desenvolvimento para aplicação na região.

Numerical analysis of the impact of charcoal production on soil hydrological behavior, runoff response and erosion susceptibility

The impact of charcoal production on soil hydraulic properties, runoff response and erosion susceptibility were studied in both field and simulation experiments. Core and composite samples, from 12 randomly selected sites within the catchment of Kotokosu were taken from the 0-10 cm layer of a charcoal site soil (CSS) and adjacent field soils (AFS). These samples were used to determine saturated hydraulic conductivity (Ksat), bulk density, total porosity, soil texture and color. Infiltration, surface albedo and soil surface temperature were also measured in both CSS and AFS. Measured properties were used as entries in a rainfall runoff simulation experiment on a smooth (5 % slope) plot of 25 x 25 m grids with 10 cm resolutions. Typical rainfall intensities of the study watershed (high, moderate and low) were applied to five different combinations of Ks distributions that could be expected in this landscape. The results showed significantly (p < 0.01) higher flow characteristics of the soil under charcoal kilns (increase of 88 %). Infiltration was enhanced and runoff volume reduced significantly. The results showed runoff reduction of about 37 and 18 %, and runoff coefficient ranging from 0.47-0.75 and 0.04-0.39 or simulation based on high (200 mm h-1) and moderate (100 mm h-1) rainfall events over the CSS and AFS areas, respectively. Other potential impacts of charcoal production on watershed hydrology were described. The results presented, together with watershed measurements, when available, are expected to enhance understanding of the hydrological responses of ecosystems to indiscriminate charcoal production and related activities in this region.

Spatial variability of physical attributes of an alfisol under different hillslope curvatures

The influence of relief forms has been studied by several authors and explains the variability in the soil attributes of a landscape. Soil physical attributes depend on relief forms, and their assessment is important in mechanized agricultural systems, such as of sugarcane. This study aimed to characterize the spatial variability in the physical soil attributes and their relationship to the hillslope curvatures in an Alfisol developed from sandstone and growing sugarcane. Grids of 100 x 100 m were delimited in a convex and a concave area. The grids had a regular spacing of 10 x 10 m, and the crossing points of this spacing determined a total of 121 georeferenced sampling points. Samples were collected to determine the physical attributes related to soil aggregates, porosity, bulk density, resistance to penetration and moisture within the 0-0.2 and 0.2-0.4 m depth. Statistical analyses, geostatistics and Student's t-tests were performed with the means of the areas. All attributes, except aggregates > 2 mm in the 0-0.2 m depth and macroporosity at both depths, showed significant differences between the hillslope curvatures. The convex area showed the highest values of the mean weighted diameter, mean geometric diameter, aggregates > 2 mm, 1-2 mm aggregates, total porosity and moisture and lower values of bulk density and resistance to penetration in both depth compared to the concave area. The number of soil attributes with greater spatial variability was higher in the concave area.

Mineralogy of the clay fraction of Alfisols in two slope curvatures: III - spatial variability

A good knowledge of the spatial distribution of clay minerals in the landscape facilitates the understanding of the influence of relief on the content and crystallographic attributes of soil minerals such as goethite, hematite, kaolinite and gibbsite. This study aimed at describing the relationships between the mineral properties of the clay fraction and landscape shapes by determining the mineral properties of goethite, hematite, kaolinite and gibbsite, and assessing their dependence and spatial variability, in two slope curvatures. To this end, two 100 × 100 m grids were used to establish a total of 121 regularly spaced georeferenced sampling nodes 10 m apart. Samples were collected from the layer 0.0-0.2 m and analysed for iron oxides, and kaolinite and gibbsite in the clay fraction. Minerals in the clay fraction were characterized from their X-ray diffraction (XRD) patterns, which were interpreted and used to calculate the width at half height (WHH) and mean crystallite dimension (MCD) of iron oxides, kaolinite, and gibbsite, as well as aluminium substitution and specific surface area (SSA) in hematite and goethite. Additional calculations included the goethite and hematite contents, and the goethite/(goethite+hematite) [Gt/(Gt+Hm)] and kaolinite/(kaolinite+gibbsite) [Kt/(Kt+Gb)] ratios. Mineral properties were established by statistical analysis of the XRD data, and spatial dependence was assessed geostatistically. Mineralogical properties differed significantly between the convex area and concave area. The geostatistical analysis showed a greater number of mineralogical properties with spatial dependence and a higher range in the convex than in the concave area.

Wheat yield and physical properties of a brown latosol under no-tillage in south-central Paraná

Soil management influences the chemical and physical properties of soil. Chemical conditions have been thoroughly studied, while the role of soil physical conditions regarding crop yield has been neglected. This study aimed to analyze the wheat yield and its relationship with physical properties of an Oxisol under no-tillage (NT). The study was carried out between 2010 and 2011, in Reserva do Iguaçu, State of Paraná, Brazil, on the Campo Bonito farm, after 25 years of NT management. Based on harvest maps of barley (2006), wheat (2007) and maize (2009) of a plot (150 ha), zones with higher and lower yield potential (Z1 and Z2, respectively) were identified. Sampling grids with 16 units (50 x 50 m) and three sampling points per unit were established. The wheat grain yield (GY) and water infiltration capacity (WIC) were evaluated in 2010. Soil samples with disturbed and undisturbed structure were collected from the 0.00-0.10 and 0.10-0.20 m layers. The former were used to determine soil organic carbon (Corg) levels and the latter to determine soil bulk density (BD), total porosity (TP), macroporosity (Mac), and microporosity (Mic). Soil penetration resistance (PR) and water content (SWC) were also evaluated. The wheat GY of the whole plot was close to the regional average and the yield between the zones differed significantly, i.e. 22 % higher in Z1 than in Z2. No significant variation in Mic was observed between zones, but Z1 had higher Corg levels, SWC, TP and Mac and lower BD than Z2 in both soil layers, as well as a lower PR than Z2 in the 0.00-0.10 m layer. Therefore, soil physical conditions were more restrictive in Z2, in agreement with wheat yield and zone yield potential defined a priori, based on the harvest maps. Soil WIC in Z1 was significantly higher (30 %) than in Z2, in agreement with the results of TP and Mac which were also higher in Z1 in both soil layers. The correlation analysis of data of the two layers showed a positive relationship between wheat GY and the soil properties TP, SWC and WIC.

Sugarcane trash management assessed by the interaction of yield with soil properties

Currently, sugarcane plays an important global role, particularly with a view to alternative energy sources. Thus, in a sugarcane field of the mill Vale do Paraná S/A Álcool e Açúcar, Rubineia, São Paulo State, managed under two green cane harvest systems (cane trash left on and cane trash removed from the soil), Pearson and spatial correlations between the sugarcane yield (variety RB855035 in the third cut) and soil physical and chemical properties were studied to identify the property best correlated with stalk yield and the best harvest method. For this purpose, two geostatistical grids (121 sampling points on 1.30 ha) were installed on a eutrophic Red Argisol (homogeneous slope of 0.065 m m-1), in 2011, to determine the properties: stalk yield and sugarcane plant population, and soil resistance to penetration, gravimetric moisture, bulk density, and carbon stock, in the layers 0-0.20 and 0.20-0.40 m. The data were analyzed by descriptive, linear correlation and geostatistical analysis. In both treatments, the property stand density was best correlated with sugarcane yield (r = 0.725 in the trash mulching treatment - TM and r = 0.769 in the trash removal treatment - TR). However, in relation to the soil properties, bulk density (0-0.20 m) was best correlated (r = 0.305 in TM, r = 0.211 in TR). Similarly, from the spatial point of view, stand density was the property that best explained the sugarcane yield. However, in the TM treatment the density (0.20-0.40 m) was the only soil property spatially correlated with stalk yield. The carbon stock in the soil of the TM was 11.5 % higher than in the TR treatment. Results of the TM treatment were best, also with regard to soil management and conservation.