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.

Experimental Measurement of Water Diffusion through Fine Aggregate Mixtures

The water diffusion attributable to concentration gradients is among the main mechanisms of water transport into the asphalt mixture. The transport of small molecules through polymeric materials is a very complex process, and no single model provides a complete explanation because of the small molecule`s complex internal structure. The objective of this study was to experimentally determine the diffusion of water in different fine aggregate mixtures (FAM) using simple gravimetric sorption measurements. For the purposes of measuring the diffusivity of water, FAMs were regarded as a representative homogenous volume of the hot-mix asphalt (HMA). Fick`s second law is generally used to model diffusion driven by concentration gradients in different materials. The concept of the dual mode diffusion was investigated for FAM cylindrical samples. Although FAM samples have three components (asphalt binder, aggregates, and air voids), the dual mode was an attempt to represent the diffusion process by only two stages that occur simultaneously: (1) the water molecules are completely mobile, and (2) the water molecules are partially mobile. The combination of three asphalt binders and two aggregates selected from the Strategic Highway Research Program`s (SHRP) Materials Reference Library (MRL) were evaluated at room temperature [23.9 degrees C (75 degrees F)] and at 37.8 degrees C (100 degrees F). The results show that moisture uptake and diffusivity of water through FAM is dependent on the type of aggregate and asphalt binder. At room temperature, the rank order of diffusivity and moisture uptake for the three binders was the same regardless of the type of aggregate. However, this rank order changed at higher temperatures, suggesting that at elevated temperatures different binders may be undergoing a different level of change in the free volume. DOI: 10.1061/(ASCE)MT.1943-5533.0000190. (C) 2011 American Society of Civil Engineers.

Structural and physicochemical characterization of RS prepared using hydrolysis and heat treatments of chickpea starch

The aim of this study was to evaluate the production and the structural and physicochemical properties of RS obtained by molecular mass reduction (enzyme or acid) and hydrothermal treatment of chickpea starch. Native and gelatinized starch were submitted to acid (2 M HCl for 2.5 h) or enzymatic hydrolysis (pullulanase, 40 U/g per 10 h), autoclaved (121 degrees C/30 min), stored under refrigeration (4 degrees C/24 h), and lyophilized. The hydrolysis of starch increased the RS content from 16% to values between 20 and 32%, and the enzymatic treatment of the gelatinized starch was the most efficient. RS showed an increase in water absorption and water solubility indexes due to hydrolytic and thermal process. The processes for obtaining RS changed the crystallinity pattern from C to B. Hydrolysis treatments caused an increase in relative crystallinity due to the greater retrogradation caused by the reduction in MW. RS obtained from hydrolysis showed a reduction in viscosity, indicating the rupture of molecules. The viscosity seemed to be inversely proportional to the RS content in the sample.

Postharvest harpin or Bacillus thuringiensis treatments suppress citrus black spot in `Valencia` oranges

Citrus black spot (CBS) caused by Guignardia citricarpa represents an important threat to citriculture in Brazil. Limited information is available regarding potential biological control agents and new alternative compounds that may provide protection of orange fruits against the disease. In this study, the effects of commercial products based on Bacillus thuringiensis var. kurstaki (Bt) bacterium, Bt pure isolates and Harpin protein (Messenger (R)) on the postharvest control of CBS, were evaluated in `Valencia` sweet orange fruits harvested for three consecutive years in a citrus grove. The fruits were sprayed with the following products: DiPel (R) WP (Bt, subspecies, kurstaki strain HD-1,16,000 International Units mg(-1), 32 g active ingredient kg(-1)) (1, 20 and 50 mg ml(-1)), Dimy Pel (R) WP (Bt, subspecies, kurstaki, strain HD-1, 17,600 IU mg(-1), 26 g active ingredient l(-1)) (2, 20 and 50 mg ml(-1)), Messenger (R) (3% harpin protein) (1 and 2 mg ml(-1)) and fungicide Tecto (R) Flowable SC (thiabendazole, 485 gl(-1)) (0.8g active ingredient l(-1)), besides the Bt isolates, Bt- HD-567, Bt- DiPel and Bt- Dimy (9 x 10(8) CFU ml(-1)). Ten days after treatment, the number of newly developed CBS lesions and pycnidia produced were evaluated using fifty fruits per treatment. The Dimy Pel (R) and Messenger (R) reduced the number of new developed CBS lesions on fruits in up to 67% and 62%, respectively. All applied treatments drastically decreased the number of pycnidia produced in the CBS lesions on orange fruits with 85% to 96% reductions compared to the untreated control. Volatile compounds produced by the isolates Bt- HD-567, Bt- Dimy and Bt- DiPel, reduced the number of lesions on treated fruits by 70%, 65% and 71% compared to the control, respectively. In addition, the survival of Bt isolates on orange fruit surfaces were evaluated by recovering and quantifying the number of CFU every seven days for up to 28 days. The declines in survival rates on orange fruit surfaces were drastic for the three strains of Bt in the first week. The CFU numbers of all applied isolates declined by 4 to 5 orders of magnitude after storage at room temperature for 28 days. In vitro assays revealed that the Bt isolates significantly reduced the mycelial growth of the pathogen, ranging from 32% to 51%, compared to the control, whereas no inhibitory effect was observed in the presence of Messenger (R). (C) 2010 Elsevier Ltd. All rights reserved.

Effects of dehydroepiandrosterone-sulfate (DHEA-S) and benznidazole treatments during acute infection of two different Trypanosoma cruzi strains

A significant role for hormones in regulating the balance of Th1- and Th2-associated cytokines with a role in modulating diseases has been accumulating. Previously, we reported that dehydroepiandrosterone (DHEA), the most abundant steroid hormone synthesized by the adrenal cortex, markedly reduced the blood and tissue parasites in experimentally Trypanosoma cruzi-infected rats. Based on these findings, the main purpose of this study was to investigate the effect of dehydroepiandrosterone-sulfate ester (DHEA-S) therapy alone or in combination with benznidazole (BNZ) (recommended in Brazil for the treatment of T. cruzi infection) will be effective during the acute phase of two different lineages of T. cruzi strains: type I (Y strain) and type II (Bolivia strain) of T. cruzi. Administration of either DHEA-S or BNZ alone or in combination significantly reduced the Y strain parasite load as compared with untreated. Furthermore treatment with DHEA-S resulted in Bolivia strain clearance. This protective effect of DHEA-S was associated with the host`s immune response, as evidence by enhanced levels of interferon-gamma and interleukin-2. DHEA-S treatment also increased peritoneal macrophages levels and nitrite production. DHEA-S treatment was effective in reducing the mortality rate as compared to BNZ alone or to combiner DHEA-S+BNZ treatment of T. cruzi Bolivia strain infected animals. These findings suggest that hormonal therapy may have a protective effect in the treatment of T. cruzi infection. (C) 2009 Elsevier GmbH. All rights reserved.

Evaluation of the genotoxic and antigenotoxic effects after acute and subacute treatments with acai pulp (Euterpe oleracea Mart.) on mice using the erythrocytes micronucleus test and the comet assay

Acai, the fruit of a palm native to the Amazonian basin, is widely distributed in northern South America, where it has considerable economic importance. Whereas individual polyphenolics compounds in Acai have been extensively evaluated, studies of the intact fruit and its biological properties are lacking. Therefore, the present study was undertaken to investigate the in vivo genotoxicity of Acai and its possible antigenotoxicity on doxorubicin (DXR)-induced DNA damage. The Acai pulp doses selected were 3.33, 10.0 and 16.67 g/kg b.w. administered by gavage alone or prior to DXR (16 mg/kg b.w.) administered by intraperitoneal injection. Swiss albino mice were distributed in eight groups for acute treatment with acai pulp (24 h) and eight groups for subacute treatment (daily for 14 consecutive days) before euthanasia. The negative control groups were treated in a similar way. The results of chemical analysis suggested the presence of carotenoids, anthocyanins, phenolic. and flavonoids in Acai pulp. The endpoints analyzed were micronucleus induction in bone marrow and peripheral blood cells polychromatic erythrocytes, and DNA damage in peripheral blood, liver and kidney cells assessed using the alkaline (pH > 13) comet assay. There were no statistically significant differences (p > 0.05) between the negative control and the groups treated with the three doses of Acai pulp alone in all endpoints analyzed, demonstrating the absence of genotoxic effects. The protective effects of Acai pulp were observed in both acute and subacute treatments, when administered prior to DXR. In general, subacute treatment provided greater efficiency in protecting against DXR-induced DNA damage in liver and kidney cells. These protective effects can be explained as the result of the phytochemicals present in Acai pulp. These results will be applied to the developmental of food with functional characteristics, as well as to explore the characteristics of Acai as a health promoter. (C) 2009 Elsevier B.V. All rights reserved.

A finite integral transform technique for solving the diffusion-reaction equation with Michaelis-Menten kinetics

An approximate analytical technique employing a finite integral transform is developed to solve the reaction diffusion problem with Michaelis-Menten kinetics in a solid of general shape. A simple infinite series solution for the substrate concentration is obtained as a function of the Thiele modulus, modified Sherwood number, and Michaelis constant. An iteration scheme is developed to bring the approximate solution closer to the exact solution. Comparison with the known exact solutions for slab geometry (quadrature) and numerically exact solutions for spherical geometry (orthogonal collocation) shows excellent agreement for all values of the Thiele modulus and Michaelis constant.

Transient response of diffusion cell containing a porous solid

Transient response of an adsorbing or non-adsorbing tracer injected as step or square pulse input in a diffusion cell with two flowing streams across the pellet is theoretically investigated in this paper. Exact solutions and the asymptotic solutions in the time domain and in three different limits are obtained by using an integral transform technique and a singular perturbation technique, respectively. Parametric dependence of the concentrations in the top and bottom chambers can be revealed by investigating the asymptotic solutions, which are far simpler than their exact counterpart. In the time domain investigation, it is found that the bottom-chamber concentration is very sensitive to the value of the macropore effective diffusivity. Therefore this concentration could be used to extract diffusivity by fitting in the time domain. The bottom-chamber concentration is also sensitive to flow rate, pellet length chamber volume and the type of input (step and square input).

Short-term spatial diffusion in sigma o+ o- optical molasses

We have measured the spatial diffusion of atoms in a three-dimensional sigma(+)-sigma(-) optical molasses over twenty milliseconds timescale, starting from the initial interaction of the atoms with the molasses. We find that the diffusion constants agree well with a linear model for these short time scales and also compare favourably to other studies of diffusion made over longer time scales. These measurements enable us to quantify the detection method known as freezing molasses. We discuss this method, for detecting and measuring the momentum distribution of cold atoms, which relies on the slow diffusion of atoms in optical molasses to produce a freeze-frame of the spatial distribution of the atoms. This method enables a longer interrogation interval, providing a greatly increased signal-to-noise ratio. (C) 1998 Elsevier Science B.V.

Effects of acidic treatments on the pore and surface properties of Ni catalyst supported on activated carbon

Activated carbon as catalyst support was treated with HCl, HNO3, and HF and the effects of acid treatments on the properties of the activated carbon support were studied by N-2 adsorption, mass titration, temperature-programmed desorption (TPD), and X-ray photoelectron spectrometry (XPS). Ni catalysts supported on untreated and treated activated carbons were prepared, characterized and tested for the reforming reaction of methane with carbon dioxide. It is found that acid treatment significantly changed the surface chemical properties and pore structure of the activated carbon. The surface area and pore volume of the carbon supports are generally enhanced upon acid treatment due to the removal of impurities present in the carbon. The adsorption capacity of Ni2+ on the carbon supports is also increased, and the increase can be closely correlated with the surface acidity. The impregnation of nickel salts decreases the surface area and pore volume of carbon supports both in micropores and mesopores. Acid treatment results in a more homogeneous distribution of the nickel salt in carbon. When the impregnated carbons are heated in inert atmosphere, there exists a redox reaction between nickel oxide and the carbon. Catalytic activity tests for methane reforming with carbon dioxide show that the activity of nickel catalysts based on the acid-treated carbon supports is closely related with the surface characteristics of catalysts. (C) 1998 Elsevier Science Ltd. All rights reserved.

Thermal diffusion in molecular dynamics simulations of thin film diamond deposition

Molecular dynamics simulations of carbon atom depositions are used to investigate energy diffusion from the impact zone. A modified Stillinger-Weber potential models the carbon interactions for both sp2 and sp3 bonding. Simulations were performed on 50 eV carbon atom depositions onto the (111) surface of a 3.8 x 3.4 x 1.0 nm diamond slab containing 2816 atoms in 11 layers of 256 atoms each. The bottom layer was thermostated to 300 K. At every 100th simulation time step (27 fs), the average local kinetic energy, and hence local temperature, is calculated. To do this the substrate is divided into a set of 15 concentric hemispherical zones, each of thickness one atomic diameter (0.14 nm) and centered on the impact point. A 50-eV incident atom heats the local impact zone above 10 000 K. After the initial large transient (200 fs) the impact zone has cooled below 3000 K, then near 1000 K by 1 ps. Thereafter the temperature profile decays approximately as described by diffusion theory, perturbed by atomic scale fluctuations. A continuum model of classical energy transfer is provided by the traditional thermal diffusion equation. The results show that continuum diffusion theory describes well energy diffusion in low energy atomic deposition processes, at distance and time scales larger than 1.5 nm and 1-2 ps, beyond which the energy decays essentially exponentially. (C) 1998 Published by Elsevier Science S.A. All rights reserved.

An evaluation of the time dependence of the anisotropy of the water diffusion tensor in acute human ischemia

We have performed MRI examinations to determine the water diffusion tensor in the brain of six patients who were admitted to the hospital within 12 h after the onset of cerebral ischemic symptoms. The examinations have been carried out immediately after admission, and thereafter at varying intervals up to 90 days post admission. Maps of the trace of the diffusion tensor, the fractional anisotropy and the lattice index, as well as maps of cerebral blood perfusion parameters, were generated to quantitatively assess the character of the water diffusion tensor in the infarcted area. In patients with significant perfusion deficits and substantial lesion volume changes, four of six cases, our measurements show a monotonic and significant decrease in the diffusion anisotropy within the ischemic lesion as a function of time. We propose that retrospective analysis of this quantity, in combination with brain tissue segmentation and cerebral perfusion maps, may be used in future studies to assess the severity of the ischemic event. (C) 1999 Elsevier Science Inc.

Water diffusion in hydroxyethyl methacrylate (HEMA)-based hydrogels formed by gamma-radiolysis

Polymer hydrogels based upon methacrylates are used extensively in the pharmaceutical industry, particularly as controlled release drug delivery systems. These materials are generally prepared by chemically initiated polymerization, but this can lead to the presence of unwanted initiator fragments in the polymer matrix. In the present work, initiation of polymerization by gamma-irradiation of hydroxyethyl methacrylate, with and without added crosslinkers, has been investigated, and the diffusion coefficients for water in the resulting polymers have been measured through mass uptake by the polymers. The diffusion of water in poly(hydroxyethyl methacrylate) at 310 K was found to be Fickian, with a diffusion coefficient of 1.96 +/- 0.1 x 10(11) m(2) s(-1) and an equilibrium water content of 58%, NMR imaging analyses confirmed the adherance to a Fickian model of the diffusion of water into polymer cylinders. The incorporation of small amounts (0.2-0.5 wt%) of added ethyleneglycol-dimethacrylate-based crosslinkers was found to have only a small effect on the diffusion coefficient and the equilibrium water content for the copolymers. (C) 1999 Society of Chemical Industry.

Effects of acid treatments of carbon on N2O and NO reduction by carbon-supported copper catalysts

The influences of HCl, HNO3 and HF treatments of carbon on N2O and NO reduction with 20 wt% Cu-loaded activated carbon were studied. The order of activity in both N2O and NO is as follows: Cu20/AC-HNO3>Cu20/AC>Cu20/AC-HF>Cu20/AC-HCl. The same sequence was also observed for the amount of CO2 evolved during TPD experiments of supports acid for the catalyst dispersion. On the other hand, N2O exhibited a higher reaction rate than NO and a higher sensitivity to acid treatments, and the presence of gas-phase O-2 had opposite effects in N2O and NO reduction. The key role of carbon surface chemistry is examined to rationalize these findings and the relevant mechanistic and practical implications are discussed. The effects of oxygen surface groups on the pore structure of supports and catalysts are also analyzed, (C) 2000 Elsevier Science Ltd. All rights reserved.