Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

A hedging point strategy - balancing effluent quality, economy and robustness in the control of wastewater treatment plants

An operational space map is an efficient tool to compare a large number of operational strategies to find an optimal choice of setpoints based on a multicriterion. Typically, such a multicriterion includes a weighted sum of cost of operation and effluent quality. Due to the relative high cost of aeration such a definition of optimality result in a relatively high fraction of the effluent total nitrogen in the form of ammonium. Such a strategy may however introduce a risk into operation because a low degree of ammonium removal leads to a low amount of nitrifiers. This in turn leads to a reduced ability to reject event disturbances, such as large variations in the ammonium load, drop in temperature, the presence of toxic/inhibitory compounds in the influent etc. Hedging is a risk minimisation tool, with the aim to "reduce one's risk of loss on a bet or speculation by compensating transactions on the other side" (The Concise Oxford Dictionary (1995)). In wastewater treatment plant operation hedging can be applied by choosing a higher level of ammonium removal to increase the amount of nitrifiers. This is a sensible way to introduce disturbance rejection ability into the multi criterion. In practice, this is done by deciding upon an internal effluent ammonium criterion. In some countries such as Germany, a separate criterion already applies to the level of ammonium in the effluent. However, in most countries the effluent criterion applies to total nitrogen only. In these cases, an internal effluent ammonium criterion should be selected in order to secure proper disturbance rejection ability.

Natural selection on fecundity variance in subdivided populations: kin selection meets bet hedging.

In a series of seminal articles in 1974, 1975, and 1977, J. H. Gillespie challenged the notion that the "fittest" individuals are those that produce on average the highest number of offspring. He showed that in small populations, the variance in fecundity can determine fitness as much as mean fecundity. One likely reason why Gillespie's concept of within-generation bet hedging has been largely ignored is the general consensus that natural populations are of large size. As a consequence, essentially no work has investigated the role of the fecundity variance on the evolutionary stable state of life-history strategies. While typically large, natural populations also tend to be subdivided in local demes connected by migration. Here, we integrate Gillespie's measure of selection for within-generation bet hedging into the inclusive fitness and game theoretic measure of selection for structured populations. The resulting framework demonstrates that selection against high variance in offspring number is a potent force in large, but structured populations. More generally, the results highlight that variance in offspring number will directly affect various life-history strategies, especially those involving kin interaction. The selective pressures on three key traits are directly investigated here, namely within-generation bet hedging, helping behaviors, and the evolutionary stable dispersal rate. The evolutionary dynamics of all three traits are markedly affected by variance in offspring number, although to a different extent and under different demographic conditions.

Modelling sediment supply and transport in the River Lugg: strategies for controlling sediment loads

The River Lugg has particular problems with high sediment loads that have resulted in detrimental impacts on ecology and fisheries. A new dynamic, process-based model of hydrology and sediments (INCA- SED) has been developed and applied to the River Lugg system using an extensive data set from 1995–2008. The model simulates sediment sources and sinks throughout the catchment and gives a good representation of the sediment response at 22 reaches along the River Lugg. A key question considered in using the model is the management of sediment sources so that concentrations and bed loads can be reduced in the river system. Altogether, five sediment management scenarios were selected for testing on the River Lugg, including land use change, contour tillage, hedging and buffer strips. Running the model with parameters altered to simulate these five scenarios produced some interesting results. All scenarios achieved some reduction in sediment levels, with the 40% land use change achieving the best result with a 19% reduction. The other scenarios also achieved significant reductions of between 7% and 9%. Buffer strips produce the best result at close to 9%. The results suggest that if hedge introduction, contour tillage and buffer strips were all applied, sediment reductions would total 24%, considerably improving the current sediment situation. We present a novel cost-effectiveness analysis of our results where we use percentage of land removed from production as our cost function. Given the minimal loss of land associated with contour tillage, hedges and buffer strips, we suggest that these management practices are the most cost-effective combination to reduce sediment loads.

Climate change policy and business climate strategies: EU cement companies' response to climate change and barriers against action

The paper provides a descriptive analysis of the carbon management activities of the cement industry in Europe based on a study involving the four largest producers of cement in the world. Based on this analysis, the paper explores the relationship between managerial perception and strategy with particular focus on the impact of government regulation and competitive dynamics. The research is based on extensive documentary analysis and in-depth interviews with senior managers from the four companies who have been responsible for and/or involved in the development of climate change strategies. We find that whilst the cement industry has embraced climate change and the need for action, their remains much scope for action in their carbon management activities with current effort concentration on hedging practices and win-win efficiency programs. Managers perceive that inadequate and unfavourable regulatory structure is the key barrier against more action to achieve emission reduction within the industry. EU Cement companies are also shifting their CO2 emissions to less developed countries of the South.

Dynamic hedging in Markov regimes

This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and allows to capture the leverage efect in return equation. The model is applied using daily data of future and spot prices of Bovespa Index and R$/US$ exchange rate. The results in terms of variance reduction and utility show that the bivariate markov switching model outperforms the strategies based ordinary least squares and error correction models.

Price risk management in the copper market using commodity derivatives and options strategies

Metals price risk management is a key issue related to financial risk in metal markets because of uncertainty of commodity price fluctuation, exchange rate, interest rate changes and huge price risk either to metals’ producers or consumers. Thus, it has been taken into account by all participants in metal markets including metals’ producers, consumers, merchants, banks, investment funds, speculators, traders and so on. Managing price risk provides stable income for both metals’ producers and consumers, so it increases the chance that a firm will invest in attractive projects. The purpose of this research is to evaluate risk management strategies in the copper market. The main tools and strategies of price risk management are hedging and other derivatives such as futures contracts, swaps and options contracts. Hedging is a transaction designed to reduce or eliminate price risk. Derivatives are financial instruments, whose returns are derived from other financial instruments and they are commonly used for managing financial risks. Although derivatives have been around in some form for centuries, their growth has accelerated rapidly during the last 20 years. Nowadays, they are widely used by financial institutions, corporations, professional investors, and individuals. This project is focused on the over-the-counter (OTC) market and its products such as exotic options, particularly Asian options. The first part of the project is a description of basic derivatives and risk management strategies. In addition, this part discusses basic concepts of spot and futures (forward) markets, benefits and costs of risk management and risks and rewards of positions in the derivative markets. The second part considers valuations of commodity derivatives. In this part, the options pricing model DerivaGem is applied to Asian call and put options on London Metal Exchange (LME) copper because it is important to understand how Asian options are valued and to compare theoretical values of the options with their market observed values. Predicting future trends of copper prices is important and would be essential to manage market price risk successfully. Therefore, the third part is a discussion about econometric commodity models. Based on this literature review, the fourth part of the project reports the construction and testing of an econometric model designed to forecast the monthly average price of copper on the LME. More specifically, this part aims at showing how LME copper prices can be explained by means of a simultaneous equation structural model (two-stage least squares regression) connecting supply and demand variables. A simultaneous econometric model for the copper industry is built: {█(Q_t^D=e^((-5.0485))∙P_((t-1))^((-0.1868) )∙〖GDP〗_t^((1.7151) )∙e^((0.0158)∙〖IP〗_t ) @Q_t^S=e^((-3.0785))∙P_((t-1))^((0.5960))∙T_t^((0.1408))∙P_(OIL(t))^((-0.1559))∙〖USDI〗_t^((1.2432))∙〖LIBOR〗_((t-6))^((-0.0561))@Q_t^D=Q_t^S )┤ P_((t-1))^CU=e^((-2.5165))∙〖GDP〗_t^((2.1910))∙e^((0.0202)∙〖IP〗_t )∙T_t^((-0.1799))∙P_(OIL(t))^((0.1991))∙〖USDI〗_t^((-1.5881))∙〖LIBOR〗_((t-6))^((0.0717) Where, Q_t^D and Q_t^Sare world demand for and supply of copper at time t respectively. P(t-1) is the lagged price of copper, which is the focus of the analysis in this part. GDPt is world gross domestic product at time t, which represents aggregate economic activity. In addition, industrial production should be considered here, so the global industrial production growth that is noted as IPt is included in the model. Tt is the time variable, which is a useful proxy for technological change. A proxy variable for the cost of energy in producing copper is the price of oil at time t, which is noted as POIL(t ) . USDIt is the U.S. dollar index variable at time t, which is an important variable for explaining the copper supply and copper prices. At last, LIBOR(t-6) is the 6-month lagged 1-year London Inter bank offering rate of interest. Although, the model can be applicable for different base metals' industries, the omitted exogenous variables such as the price of substitute or a combined variable related to the price of substitutes have not been considered in this study. Based on this econometric model and using a Monte-Carlo simulation analysis, the probabilities that the monthly average copper prices in 2006 and 2007 will be greater than specific strike price of an option are defined. The final part evaluates risk management strategies including options strategies, metal swaps and simple options in relation to the simulation results. The basic options strategies such as bull spreads, bear spreads and butterfly spreads, which are created by using both call and put options in 2006 and 2007 are evaluated. Consequently, each risk management strategy in 2006 and 2007 is analyzed based on the day of data and the price prediction model. As a result, applications stemming from this project include valuing Asian options, developing a copper price prediction model, forecasting and planning, and decision making for price risk management in the copper market.

[strategies For Integration Of Health Care Practices And Sanitary Surveillance In The Context Of The Implementation Of Rede Cegonha - A Brazilian Mother And Infant Health Care Network].

Mother and infant mortality has been the scope of analysis throughout the history of public health in Brazil and various strategies to tackle the issue have been proposed to date. The Ministry of Health has been working on this and the Rede Cegonha strategy is the most recent policy in this context. Given the principle of comprehensive health care and the structure of the Unified Health System in care networks, it is necessary to ensure the integration of health care practices, among which are the sanitary surveillance actions (SSA). Considering that the integration of health care practices and SSA can contribute to reduce mother and infant mortality rates, this article is a result of qualitative research that analyzed the integration of these actions in four cities in the State of São Paulo/Brazil: Campinas, Indaiatuba, Jaguariúna and Santa Bárbara D'Oeste. The research was conducted through interviews with SSA and maternal health managers, and the data were evaluated using thematic analysis. The results converge with other studies, identifying the isolation of health care practices and SSA. The insertion of SSA in collectively-managed areas appears to be a potential strategy for health planning and implementation of actions in the context under scrutiny.

[strategies For Tackling Absenteeism In Dental Appointments In The Family Health Units Of A Large Municipality: Action Research].

The aim of this study was to analyze the reasons for missed appointments in dental Family Health Units (FHU) and implement strategies to reduce same through action research. This is a study conducted in 12 FHUs in Piracicaba in the State of São Paulo from January, 1 to December, 31 2010. The sample was composed of 385 users of these health units who were interviewed over the phone and asked about the reasons for missing dental appointments, as well as 12 dentists and 12 nurses. Two workshops were staged with professionals: the first to assess the data collected in interviews and develop strategy, and the second for evaluation after 4 months. The primary cause for missed appointments was the opening hours of the units coinciding with the work schedule of the users. Among the strategies suggested were lectures on oral health, ongoing education in team meetings, training of Community Health Agents, participation in therapeutic groups and partnerships between Oral Health Teams and the social infrastructure of the community. The adoption of the single medical record was the strategy proposed by professionals. The strategies implemented led to a 66.6% reduction in missed appointments by the units and the motivating nature of the workshops elicited critical reflection to redirect health practices.

Quality Of Life Of Coronary Artery Disease Patients After The Implementation Of Planning Strategies For Medication Adherence.

to compare the general and specific health-related quality of life (HRQoL) between the Intervention (IG) and Control (CG) groups of coronary artery disease patients after the implementation of Action Planning and Coping Planning strategies for medication adherence and to verify the relationship between adherence and HRQoL. this was a controlled and randomized study. the sample (n=115) was randomized into two groups, IG (n=59) and CG (n=56). Measures of medication adherence and general and specific HRQoL were obtained in the baseline and after two months of monitoring. the findings showed that the combination of intervention strategies - Action Planning and Coping Planning for medication adherence did not affect the HRQoL of coronary artery disease patients in outpatient monitoring.

Trends and strategies of ozone application in environmental problems

Efforts presented by the scientific community in recent years towards the development of numerous green chemical processes and wastewater treatment technologies are presented and discussed. In the light of these approaches, environmentally friendly technologies, as well as the key role played by the well-known advanced oxidation processes, are discussed, giving special attention to the ones comprising ozone applications. Fundamentals and applied aspects dealing with ozone technology and its application are also presented.

Inbreeding levels in Northeast Brazil: strategies for the prospecting of new genetic disorders

A new autosomal recessive genetic condition, the SPOAN syndrome (an acronym for spastic paraplegia, optic atrophy and neuropathy syndrome), was recently discovered in an isolated region of the State of Rio Grande do Norte in Northeast Brazil, in a population that was identified by the IBGE (Brazilian Institute of Geography and Statistics) as belonging to the Brazilian communities with the highest rates of "deficiencies" (Neri, 2003), a term used to describe diseases, malformations, and handicaps in general. This prompted us to conduct a study of consanguinity levels in five of its municipal districts by directly interviewing their inhabitants. Information on 7,639 couples (corresponding to about 40% of the whole population of the studied districts) was obtained. The research disclosed the existence of very high frequencies of consanguineous marriages, which varied from about 9% to 32%, suggesting the presence of a direct association between genetic diseases such as the SPOAN syndrome, genetic drift and inbreeding levels. This fact calls for the introduction of educational programs for the local populations, as well as for further studies aiming to identify and characterize other genetic conditions. Epidemiological strategies developed to collect inbreeding data, with the collaboration of health systems available in the region, might be very successful in the prospecting of genetic disorders.

The ichthyofauna of upper rio Capivari: defining conservation strategies based on the composition and distribution of fish species

Although the rio Capivari basin is recognized as an area of great importance for the ichthyofauna, it lacks virtually every basic requirement for the definition of appropriate conservation strategies, since not even its species composition is known. The objective of this work is to determine the composition and distribution of fish species in the upper rio Capivari basin, relating them to the local physical features, and to evaluate the effectiveness of proposed conservations units, delimited based on areas of native vegetation remains, on the conservation of local ichthyofauna. During 2007, 50 different watercourses were sampled with gillnets, cast nets and kick nets. A total of 1308 individuals belonging to 41 species were captured. Degree of conservation, altitude and width were the parameters that best explained fish species richness. Considering the recently proposed boundaries for potential conservation units in the region only 15 or 20 out of 41 species would be found in the State Park and Environmental Protection Area respectively. In practice, the proposed conservation units would not be effective tools for fish conservation, since it would be located in mountainous areas of high altitude, of headwaters streams and where few species are found. In such context, the conservation of specific stretches of larger rivers is critical.

Recommendations for folate intake in women: implications for public health strategies

Folate deficiency has been associated with anemia and other adverse outcomes in pregnancy such as neural tube defects. The current recommendations for prevention of such outcomes are difficult to achieve through diet only, and folic acid supplementation and food fortification are feasible public health strategies. However, it is necessary to determine the usual diet and supplement use among women of reproductive age, including an accurate assessment of other dietary micronutrients. In addition to the beneficial effects observed in randomized clinical trials, health risks to the population have also been widely evaluated and discussed in the scientific community: for a minority to benefit from fortification programs, many are exposed to high folic acid intake levels.

Assessment of Preclinical Learning on Oral Surgery Using Three Instructional Strategies

The purpose of this investigation was to evaluate three learning methods for teaching basic oral surgical skills Thirty predoctoral dental students without any surgical knowledge or previous surgical experience were divided Into three groups (n=10 each) according to instructional strategy Group 1, active learning Group 2, text reading only, and Group 3, text reading and video demonstration After instruction, the apprentices were allowed to practice incision dissection and suture maneuvers in a bench learning model During the students' performance, a structured practice evaluation test to account for correct or incorrect maneuvers was applied by trained observers Evaluation tests were repeated after thirty and sixty days Data from resulting scores between groups and periods were considered for statistical analysis (ANOVA and Tukey Kramer) with a significant level of a=0 05 Results showed that the active learning group presented the significantly best learning outcomes related to immediate assimilation of surgical procedures compared to other groups All groups results were similar after sixty days of the first practice Assessment tests were fundamental to evaluate teaching strategies and allowed theoretical and proficiency learning feedbacks Repetition and interactive practice promoted retention of knowledge on basic oral surgical skills