Exercise sheet 2 pdf

Exercises and solutions in PDF

Modelo telegráfico de valoración de opciones

En este trabajo construimos un modelo de mercado financiero basado en un proceso telegráfico más un proceso de saltos para la valoración de opciones Europeas. Vamos a asumir que el tamaño de los saltos es constante y después que es aleatorio, en ambos casos estos saltos ocurren cuando la tendencia del mercado cambia. Estos modelos capturan la dinámica del mercado en periodos con presencia de ciclos financieros. Mostraremos la estructura del conjunto de medidas neutrales al riesgo, además, de fórmulas explícitas para los precios de las opciones Europeas de venta y compra.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Caracterización de la cultura organizacional y lineamientos de intervención para la implementación de procesos de cambio en las organizaciones. Caso empresa sector financiero

El presente Trabajo de Grado busca caracterizar la cultura organizacional de una empresa del sector Financiero en Colombia y realizar orientaciones de acciones para el cambio organizacional de acuerdo con la estrategia de perdurabilidad establecida por la Alta Dirección de dicha empresa. Para este fin, se realiza una cuidadosa revisión y actualización del estado del arte de los conceptos clave ¨Cultura Organizacional¨ y ¨Cambio Organizacional¨. Es de resaltar que para el primero de ellos, se toma como punto de partida el estado del arte sobre Cultura Organizacional realizado por el profesor Carlos Eduardo Méndez Álvarez y cuyo marco temporal abarca desde los orígenes del concepto en el siglo XIX hasta el año 2006. Asimismo, luego de una cuidadosa revisión de los Modelos de Cambio Organizacional existentes y de la realidad de la empresa objeto de estudio, se adopta el Modelo ADKAR que consta de cinco fases: Conciencia del Cambio, Deseo, Conocimiento, Capacidad – Habilidad y Refuerzo. Asimismo, a partir de la construcción de un fundamento teórico sólido y a través de la aplicación de la metodología para describir la Cultura Organizacional en Colombia MEDECO se busca una aproximación a la Cultura Organizacional de la empresa objeto de estudio con el fin de describir e identificar los rasgos predominantes de su cultura organizacional y entregar una propuesta final con los rasgos necesarios que alientan la consecución exitosa de los procesos de cambio.

Racial and spatial interaction for neighborhood dynamics in Chicago

We look at at the empirical validity of Schelling’s models for racial residential segregation applied to the case of Chicago. Most of the empirical literature has focused exclusively the single neighborhood model, also known as the tipping point model and neglected a multineighborhood approach or a unified approach. The multi-neighborhood approach introduced spatial interaction across the neighborhoods, in particular we look at spatial interaction across neighborhoods sharing a border. An initial exploration of the data indicates that spatial contiguity might be relevant to properly analyse the so call tipping phenomena of predominately non-Hispanic white neighborhoods to predominantly minority neighborhoods within a decade. We introduce an econometric model that combines an approach to estimate tipping point using threshold effects and a spatial autoregressive model. The estimation results from the model disputes the existence of a tipping point, that is a discontinuous change in the rate of growth of the non-Hispanic white population due to a small increase in the minority share of the neighborhood. In addition we find that racial distance between the neighborhood of interest and it surrounding neighborhoods has an important effect on the dynamics of racial segregation in Chicago.

L'organització de l'activitat conjunta en l'ensenyament escolar dels esports col·lectius

L'estudi de les formes d'organització de l'activitat conjunta en l'ensenyament de la col·laboració tàctica en els esports col·lectius en l'àmbit escolar mostra com a punts de referència teòrica, per un costat aportacions provinents de la psicologia de la instrucció, i per un altre costat aportacions provinents de la didàctica de l' ensenyament de l' educació física i l' esport. Pel que fa al camp de la psicologia, cal situar l'estudi de l'activitat conjunta en una perspectiva constructivista dels processos d'ensenyament i aprenentatge. Aquesta pren com a referents Piaget, Ausubel, ... i molt especialment les aportacions fetes des de la teoria sociohistòrica i cultural per Vigotsky i també per Bruner. Així, conceptes com "mediació semiòtica", "internalització", "intersubjectivitat" i "zona de desenvolupament pròxim" tenen un paper molt rellevant. El que ens interessa en aquest treball és saber com s'ho fan el professor i els alumnes per aconseguir que aquests últims construeixin el seu propi coneixement al voltant del contingut proposat. En aquest sentit les idees de Vigotsky, així com la metàfora de "la bastida" de Bruner, són d'una gran importància. Des del camp de l'ensenyament dels esports col·lectius han pres com a referència bàsica el model d'ensenyament a partir de la tàctica provinent dels treballs de Bunker i Thorpe sobre l'ensenyament "per a la comprensió dels esports col·lectius". Així mateix ens hem guiat per aportacions d'autors com Bayer, Castejón, Riera o DevÍs. Pel que fa al camp de la didàctica, les recerques de Pieron han tingut una influència considerable. Es proposa l'estudi del procés d'ensenyament i aprenentatge esportiu des de l'anàlisi de la "interacció educativa" i de la "influència pedagògica", i molt especialment des de la "interactivitat". En aquest marc destaquen els "mecanismes d'influència educativa", que operen en l'àmbit de la interactivitat i que permeten comprendre com el professor ajusta l'ajuda per afavorir la construcció de coneixement dels alumnes. El nostre treball estudia un dels dos mecanismes descrits pels treballs de Coll i els seus col·laboradors de la Universitat de Barcelona i també corroborats pels treballs dirigits per Vila (Universitat de Girona). En concret, el treball se centra en l'anàlisi del procés de cessió i traspàs de la responsabilitat i del control de l' aprenentatge del professor envers els alumnes. Per això s'empren els nivells i les unitats d'anàlisi proposades per aquests treballs: la seqüència didàctica, la sessió, els segments d'interactivitat i les configuracions de segments d'interactivitat. Així mateix, s'incorpora l'anàlisi de les característiques del contingut, tant pel que fa a la tipologia de les tasques com pel que fa als criteris d' organització i seqüenciació. Es manté la idea que l'organització de l'activitat conjunta entre el professor i els alumnes esta fortament influenciada per les característiques del contingut. Per dur a terme el treball s'ha realitzat una seqüència didàctica de 4 sessions amb 10 alumnes de segon cicle d'ensenyament primari de l' escola "Annexa-Joan Puigbert" de la ciutat de Girona. S'ha enregistrat amb vídeo i amb micròfons sense fils tot el que deien i feien tant el professor com els alumnes durant la seqüència d'ensenyament. Posteriorment s'han transcrit les dades a un "full de transcripció" . Hem analitzat les característiques de la seqüència, de les sessions i del contingut: número de tasques, tipus de tasques, elements que intervenen en les tasques, etc., així com la millora en el comportament tàctic dels alumnes. Igualment s'ha analitzat l'activitat conjunta mitjançant segments d'interactivitat i configuracions de segments d'interactivitat. S'ha estudiat l'evolució dels diferents segments, tant en quantitat com en temps emprat durant la seqüència. I també l'evolució de l'activitat conjunta en diferents tipus de tasques: tasques repetides, tasques-base i les respectives modificacions, etc. Això ens ha permès veure el paper del contingut en l'organització de l' activitat conjunta. Les dades obtingudes permeten corroborar les hipòtesis plantejades en el treball i que tenen a veure amb que: 1. És possible obtenir indicadors sobre el procés de cessió i traspàs del control i de la responsabilitat en una situació d'ensenyament i aprenentatge de la col·laboració tàctica en atac en la iniciació als esports col·lectius. Aquest procés és temporal, gradual i discontinu i no es produeix ni de forma absoluta ni definitiva. 2. És necessari considerar aquest mecanisme en relació amb un segon mecanisme descrit: la construcció d'un sistema cada vegada més ampli i més ric de significats compartits entre el professor i els alumnes al voltant del contingut. Ambdós mecanismes estan interrelacionats i són irreductibles tot i que és possible estudiar-los focalitzant l'atenció en un d'ells. 3. Es constata el paper fonamental del contingut, tant la tipologia com els criteris d'organització i seqüenciació, en l'organització de l'activitat conjunta. Dels resultats obtinguts se'n desprenen algunes conclusions finals que van referides, d'una banda a aspectes d'interès per a futures recerques en aquest camp, i d'altra banda, a aspectes d'interès per a les pràctiques educatives.

Educação ambiental – caminhos traçados e práticas escolares na Escola Municipal Raimundo Ribeiro de Souza no Município de Jacundá – Pará

O presente trabalho objetivou realizar um estudo sobre as práticas escolares desenvolvidas na Escola Raimundo Ribeiro de Sousa no Município de Jacundá, no Estado do Pará, para perceber o modo como a Educação Ambiental vem sendo trabalhada pelos professores e alunos do Ensino Fundamental. Para tanto, utilizou-se instrumentos como entrevistas e questionários com os professores que trabalham na escola, com destaque para os projetos que envolvem a Educação Ambiental com as principais atividades desenvolvidas, as experiências vivenciadas, os materiais utilizados, as metodologias empregadas, e os parceiros nessas atividades, bem como identificou-se as concepções de Educação Ambiental presente no cotidiano dos professores. A pesquisa caracterizou-se como sendo de cunho qualitativo. Pôde-se constatar que a Educação Ambiental vem sendo incorporada pela escola de maneira fragmentada, superficial, isolada e descontínua, portanto, contribuindo pouco para uma educação escolar que almeje ser crítica, transformadora e emancipatória em relação ao meio ambiente.

Perturbation growth at the convective scale for CSIP IOP18

The Met Office Unified Model is run for a case observed during Intensive Observation Period 18 (IOP18) of the Convective Storms Initiation Project (CSIP). The aims are to identify the physical processes that lead to perturbation growth at the convective scale in response to model-state perturbations and to determine their sensitivity to the character of the perturbations. The case is strongly upper-level forced but with detailed mesoscale/convective-scale evolution that is dependent on smaller-scale processes. Potential temperature is perturbed within the boundary layer. The effects on perturbation growth of both the amplitude and typical scalelength of the perturbations are investigated and perturbations are applied either sequentially (every 30 min throughout the simulation) or at specific times. The direct effects (within one timestep) of the perturbations are to generate propagating Lamb and acoustic waves and produce generally small changes in cloud parameters and convective instability. In exceptional cases a perturbation at a specific gridpoint leads to switching of the diagnosed boundary-layer type or discontinuous changes in convective instability, through the generation or removal of a lid. The indirect effects (during the entire simulation) are changes in the intensity and location of precipitation and in the cloud size distribution. Qualitatively different behaviour is found for strong (1K amplitude) and weak (0.01K amplitude) perturbations, with faster growth after sunrise found only for the weaker perturbations. However, the overall perturbation growth (as measured by the root-mean-square error of accumulated precipitation) reaches similar values at saturation, regardless of the perturbation characterisation.

Pb-210-Ra-226 and Ra-228-Th-232 systematics in young arc lavas: implications for magma degassing and ascent rates

New data show that island arc rocks have (Pb-210/Ra-226)(o) ratios which range from as low as 0.24 up to 2.88. In contrast, (Ra-22S/Th-232) appears always within error of I suggesting that the large Ra-226-excesses observed in arc rocks were generated more than 30 years ago. This places a maximum estimate on melt ascent velocities of around 4000 m/year and provides further confidence that the Ra-226 excesses reflect deep (source) processes rather than shallow level alteration or seawater contamination. Conversely, partial melting must have occurred more than 30 years prior to eruption. The Pb-210 deficits are most readily explained by protracted magma degassing. Using published numerical models, the data suggest that degassing occurred continuously for periods up to several decades just prior to eruption but no link with eruption periodicity was found. Longer periods are required if degassing is discontinuous, less than 100% efficient or if magma is recharged or stored after degassing. The long durations suggest much of this degassing occurs at depth with implications for the formation of hydrothermal and copper-porphyry systems. A suite of lavas erupted in 1985-1986 from Sangeang Api volcano in the Sunda arc are characterised by deficits of Pb-210 relative to Ra-226 from which 6-8 years of continuous Rn-222 degassing would be inferred from recent numerical models. These data also form a linear (Pb-210)/Pb-(Ra-226)/Pb array which might be interpreted as a 71-year isochron. However, the array passes through the origin suggesting displacement downwards from the equiline in response to degassing and so the slope of the array is inferred not to have any age significance. Simple modelling shows that the range of (Ra-226)/Pb ratios requires thousands of years to develop consistent with differentiation occurring in response to cooling at the base of the crust. Thus, degassing post-dated, and was not responsible for magma differentiation. The formation, migration and extraction of gas bubbles must be extremely efficient in mafic magma whereas the higher viscosity of more siliceous magmas retards the process and can lead to Pb-210 excesses. A possible negative correlation between (Pb-210/Ra-226)(o) and SO2 emission rate requires further testing but may have implications for future eruptions. (C) 2004 Elsevier B.V. All rights reserved.

Pb-210-Ra-226 and Ra-228-Th-232 systematics in young arc lavas: implications for magma degassing and ascent rates

New data show that island arc rocks have (Pb-210/Ra-226)(o) ratios which range from as low as 0.24 up to 2.88. In contrast, (Ra-22S/Th-232) appears always within error of I suggesting that the large Ra-226-excesses observed in arc rocks were generated more than 30 years ago. This places a maximum estimate on melt ascent velocities of around 4000 m/year and provides further confidence that the Ra-226 excesses reflect deep (source) processes rather than shallow level alteration or seawater contamination. Conversely, partial melting must have occurred more than 30 years prior to eruption. The Pb-210 deficits are most readily explained by protracted magma degassing. Using published numerical models, the data suggest that degassing occurred continuously for periods up to several decades just prior to eruption but no link with eruption periodicity was found. Longer periods are required if degassing is discontinuous, less than 100% efficient or if magma is recharged or stored after degassing. The long durations suggest much of this degassing occurs at depth with implications for the formation of hydrothermal and copper-porphyry systems. A suite of lavas erupted in 1985-1986 from Sangeang Api volcano in the Sunda arc are characterised by deficits of Pb-210 relative to Ra-226 from which 6-8 years of continuous Rn-222 degassing would be inferred from recent numerical models. These data also form a linear (Pb-210)/Pb-(Ra-226)/Pb array which might be interpreted as a 71-year isochron. However, the array passes through the origin suggesting displacement downwards from the equiline in response to degassing and so the slope of the array is inferred not to have any age significance. Simple modelling shows that the range of (Ra-226)/Pb ratios requires thousands of years to develop consistent with differentiation occurring in response to cooling at the base of the crust. Thus, degassing post-dated, and was not responsible for magma differentiation. The formation, migration and extraction of gas bubbles must be extremely efficient in mafic magma whereas the higher viscosity of more siliceous magmas retards the process and can lead to Pb-210 excesses. A possible negative correlation between (Pb-210/Ra-226)(o) and SO2 emission rate requires further testing but may have implications for future eruptions. (C) 2004 Elsevier B.V. All rights reserved.

Approximations to the scattering of water waves by steep topography

A new method is developed for approximating the scattering of linear surface gravity waves on water of varying quiescent depth in two dimensions. A conformal mapping of the fluid domain onto a uniform rectangular strip transforms steep and discontinuous bed profiles into relatively slowly varying, smooth functions in the transformed free-surface condition. By analogy with the mild-slope approach used extensively in unmapped domains, an approximate solution of the transformed problem is sought in the form of a modulated propagating wave which is determined by solving a second-order ordinary differential equation. This can be achieved numerically, but an analytic solution in the form of a rapidly convergent infinite series is also derived and provides simple explicit formulae for the scattered wave amplitudes. Small-amplitude and slow variations in the bedform that are excluded from the mapping procedure are incorporated in the approximation by a straightforward extension of the theory. The error incurred in using the method is established by means of a rigorous numerical investigation and it is found that remarkably accurate estimates of the scattered wave amplitudes are given for a wide range of bedforms and frequencies.

Fracture toughness and cutting

An exploratory model for cutting is presented which incorporates fracture toughness as well as the commonly considered effects of plasticity and friction. The periodic load fluctuations Been in cutting force dynamometer tests are predicted, and considerations of chatter and surface finish follow. A non-dimensional group is put forward to classify different regimes of material response to machining. It leads to tentative explanations for the difficulties of cutting materials such as ceramics and brittlo polymers, and also relates to the formation of discontinuous chips. Experiments on a range of solids with widely varying toughness/strength ratios generally agree with the analysis.

Opportunities and challenges in high pressure processing of foods

Consumers increasingly demand convenience foods of the highest quality in terms of natural flavor and taste, and which are freedom additives and preservatives. This demand has triggered the need for the development of a number of nonthermal approaches to food processing, of which high-pressure technology has proven to be very valuable. A number of recent publications have demonstrated novel and diverse uses of this technology. Its novel features, which include destruction of microorganisms at room temperature or lower, have made the technology commerically attractive. Enzymes forming bacteria can be by the application of pressure-thermal combinations. This review aims to identify the opportunities and challenges associated with this technology. In addition to discussing the effects of high pressure on food components, this review covers the combined effects of high pressure processing with: gamma irradiation, alternating current, ultrasound, and carbon dioxide or anti-microbial treatment. Further, the applications of this technology in various sectors-fruits and vegetables, dairy and meat processing-have been dealt with extensively. The integration of high-pressure with other matured processing operations such as blanching, dehydration, osmotic dehydration, rehyrdration, frying, freezing/thawing and solid-liquid extraction has been shown to open up new processing options. The key challenges identified include: heat transfer problems and resulting non-uniformity in processing, obtaining reliable and reproducible data, for process validation, lack of detailed knowledge about the interaction between high pressure, and a number of food constituents, packaging and statutory issues.

Reducing acrylamide precursors in raw materials derived from wheat and potato

A review of agronomic and genetic approaches as strategies for the mitigation of acrylamide risk in wheat and potato is presented. Acrylamide is formed through the Maillard reaction during high-temperature cooking, such as frying, roasting, or baking, and the main precursors are free asparagine and reducing sugars. In wheat flour, acrylamide formation is determined by asparagine levels and asparagine accumulation increases dramatically in response to sulfur deprivation and, to a much lesser extent, with nitrogen feeding. In potatoes, in which sugar concentrations are much lower, the relationships between acrylamide and its precursors are more complex. Much attention has been focused on reducing the levels of sugars in potatoes as a means of reducing acrylamide risk. However, the level of asparagine as a proportion of the total free amino acid pool has been shown to be a key parameter, indicating that when sugar levels are limiting, competition between asparagine and the other amino acids for participation in the Maillard reaction determines acrylamide formation. Genetic approaches to reducing acrylamide risk include the identification of cultivars; and other germplasm in which free asparagine and/or sugar levels are low and the manipulation of genes involved in sugar and amino acid metabolism and signaling. These approaches are made more difficult by genotype/ environment interactions that can result in a genotype being "good" in one environment but "poor" in another. Another important consideration is the effect that any change could have on flavor in the cooked product. Nevertheless, as both wheat and potato are regarded as of relatively high acrylamide risk compared with, for example, maize and rice, it is essential that changes are achieved that mitigate the problem.

Studying oil absorption in restructured potato chips

The oil-absorption capacity of different restructured potato chips during deep-fat frying was investigated. Low-leach potato flake was chosen as the major ingredient, whereas native and pregelatinized potato starches were studied as complementary ingredients. Results showed that off absorption increased significantly when reducing product thickness in all products. Interestingly, it was found that the product containing native potato starch as an ingredient picked up the lowest amount of on when sheeted into a thick chip, whereas it absorbed the largest amount of oil when sheeted into a thin chip. Those findings were mainly attributed to crust microstructure development as revealed by electron microscopy and confocal microscopy.