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

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

Performance management in health centres: evidence from a field study

There has been a growing interest in research on performance measurement and management practices, which seems to reflect researchers’ response to calls for the need to increase the relevance of management accounting research. However, despite the development of the new public management literature, studies involving public sector organizations are relatively small compared to those involving business organizations and extremely limited when it comes to public primary health care organizations. Yet, the economic significance of public health care organizations in the economy of developed countries and the criticisms these organizations regularly face from the public suggests there is a need for research. This is particularly true in the case of research that may lead to improvement in performance measurement and management practices and ultimately to improvements in the way health care organizations use their limited resources in the provision of services to the communities. This study reports on a field study involving three public primary health care organisations. The evidence obtained from interviews and archival data suggests a performance management practices in these institutions lacked consistency and coherence, potentially leading to decreased performance. Hierarchical controls seemed to be very weak and accountability limited, leading to a lack of direction, low motivation and, in some circumstances to insufficient managerial abilities and skills. Also, the performance management systems revealed a number of weaknesses, which suggests that there are various opportunities for improvement in performance in the studied organisations.

Comparing a current-carrying circular wire with polygons of equal perimeter: Magnetic field versus magnetic flux

We compare the magnetic field at the centre and the self-magnetic flux through a current-carrying circular loop, with those obtained for current-carrying polygons with the same perimeter. As the magnetic field diverges at the position of the wires, we compare the self-fluxes utilizing several regularization procedures. The calculation is best performed utilizing the vector potential, thus highlighting its usefulness in practical applications. Our analysis answers some of the intuition challenges students face when they encounter a related simple textbook example. These results can be applied directly to the determination of mutual inductances in a variety of situations.

Effect of the number of shells on the pressure and energy of two-dimensional free bubble clusters

We have performed Surface Evolver simulations of two-dimensional hexagonal bubble clusters consisting of a central bubble of area lambda surrounded by s shells or layers of bubbles of unit area. Clusters of up to twenty layers have been simulated, with lambda varying between 0.01 and 100. In monodisperse clusters (i.e., for lambda = 1) [M.A. Fortes, F Morgan, M. Fatima Vaz, Philos. Mag. Lett. 87 (2007) 561] both the average pressure of the entire Cluster and the pressure in the central bubble are decreasing functions of s and approach 0.9306 for very large s, which is the pressure in a bubble of an infinite monodisperse honeycomb foam. Here we address the effect of changing the central bubble area lambda. For small lambda the pressure in the central bubble and the average pressure were both found to decrease with s, as in monodisperse clusters. However, for large,, the pressure in the central bubble and the average pressure increase with s. The average pressure of large clusters was found to be independent of lambda and to approach 0.9306 asymptotically. We have also determined the cluster surface energies given by the equation of equilibrium for the total energy in terms of the area and the pressure in each bubble. When the pressures in the bubbles are not available, an approximate equation derived by Vaz et al. [M. Fatima Vaz, M.A. Fortes, F. Graner, Philos. Mag. Lett. 82 (2002) 575] was shown to provide good estimations for the cluster energy provided the bubble area distribution is narrow. This approach does not take cluster topology into account. Using this approximate equation, we find a good correlation between Surface Evolver Simulations and the estimated Values of energies and pressures. (C) 2008 Elsevier B.V. All rights reserved.

Magnetic Field and Temperature Effects on Strangelets

The main properties of magnetized strangelets, namely, their energy per baryon, radius and electric charge, are studied in the unpaired strange quark matter phase. Temperature effects are taken into account in order to study their stability compared to the (56)Fe isotope and non-magnetized strangelets within the framework of the MIT bag model. It is concluded that the presence of a magnetic field tends to stabilize more the strangelets, even when temperature is considered. We find that the electric charge is modified in the presence of the magnetic field, leading to higher charge values for magnetized strangelets, when compared to the non-magnetized case.

Eastwards / westwards: which direction for gender studies in the 21st century?

Eastwards / Westwards: Which Direction for Gender Studies in the XXIst Century? is a collection of essays which focus on themes and methods that characterize current research into gender in Asian countries in general. In this collection, ideas derived from Gender Studies elsewhere in the world have been subjected to scrutiny for their utility in helping to describe and understand regional phenomena. But the concepts of Local and Global – with their discoursive productions – have not functioned as a binary opposition: localism and globalism are mutually constitutive and researchers have interrogated those spaces of interaction between the ‘self’ and the ‘other’, bearing in mind their own embeddedness in social and cultural structures and their own historical memory. Contributors to this collection provided a critical transnational perspective on some of the complex effects of the dynamics of cultural globalization, by exploring the relation between gender and development, language, historiography, education and culture. We have also given attention to the ideological and rhetorical processes through which gender identity is constructed, by comparing textual grids and patterns of expectation. Likewise, we have discussed the role of ethnography, anthropology, historiography, sociology, fiction, popular culture and colonial and post-colonial sources in (re)inventing old/new male/female identities, their conversion into concepts and circulation through time and space. This multicultural and trans-disciplinary selection of essays is totally written in English, fully edited and revised, therefore, it has a good potential for an immediate international circulation. This project may trace new paths and issues for discussion on what concerns the life, practices and narratives by and about women in Asia, as well as elsewhere in the present day global experience. Academic readership: Researchers, scholars, educators, graduate and post-graduate students, doctoral students and general non-fiction readers, with a special interest in Gender Studies, Asia, Colonial and Post-Colonial Literature, Anthropology, Cultural Studies, History, Historiography, Politics, Race, Feminism, Language, Linguistics, Power, Political and Feminist Agendas, Popular Culture, Education, Women’s Writing, Religion, Multiculturalism, Globalisation, Migration. Chapter summary: 1. “Social Gender Stereotypes and their Implication in Hindi”, Anjali Pande, Jawaharlal Nehru University, New Delhi, India. This essay looks at the subtle ways in which gender identities are constructed and reinforced in India through social norms of language use. Language itself becomes a medium for perpetuating gender stereotypes, forcing its speakers to confirm to socially defined gender roles. Using examples from a classroom discussion about a film, this essay will highlight the underlying rigid male-female stereotypes in Indian society with their more obvious expressions in language. For the urban woman in India globalisation meant increased economic equality and exposure to changed lifestyles. On an individual level it also meant redefining gender relations and changing the hierarchy in man-­woman relationships. With the economic independence there is a heightened sense of liberation in all spheres of social life, a confidence to fuzz the rigid boundaries of gender roles. With the new films and media celebrating this liberated woman, who is ready to assert her sexual needs, who is ready to explode those long held notions of morality, one would expect that the changes are not just superficial. But as it soon became obvious in the course of a classroom discussion about relationships and stereotypes related to age, the surface changes can not become part of the common vocabulary, for the obvious reason that there is still a vast gap between the screen image of this new woman and the ground reality. Social considerations define the limits of this assertiveness of women, whereas men are happy to be liberal within the larger frame of social sanctions. The educated urban woman in India speaks in favour of change and the educated urban male supports her, but one just needs to scratch the surface to see the time tested formulae of gender roles firmly in place. The way the urban woman happily balances this emerging promise of independence with her gendered social identity, makes it necessary to rethink some aspects of looking at gender in a gradually changing, traditional society like India. 2. “The Linguistic Dimension of Gender Equality”, Alissa Tolstokorova, Kiev Centre for Gender Information and Education, Ukraine. The subject-matter of this essay is gender justice in language which, as I argue, may be achieved through the development of a gender-related approach to linguistic human rights. The last decades of the 20th century, globally marked by a “gender shift” in attitudes to language policy, gave impetus to the social movement for promoting linguistic gender equality. It was initiated in Western Europe and nowadays is moving eastwards, as ideas of gender democracy progress into developing countries. But, while in western societies gender discrimination through language, or linguistic sexism, was an issue of concern for over three decades, in developing countries efforts to promote gender justice in language are only in their infancy. My argument is that to promote gender justice in language internationally it is necessary to acknowledge the rights of women and men to equal representation of their gender in language and speech and, therefore, raise a question of linguistic rights of the sexes. My understanding is that the adoption of the Universal Declaration of Linguistic Rights in 1996 provided this opportunity to address the problem of gender justice in language as a human rights issue, specifically as a gender dimension of linguistic human rights. 3. “The Rebirth of an Old Language: Issues of Gender Equality in Kazakhstan”, Maria Helena Guimarães, Polytechnic Institute of Porto, Portugal. The existing language situation in Kazakhstan, while peaceful, is not without some tension. We propose to analyze here some questions we consider relevant in the frame of cultural globalization and gender equality, such as: free from Russian imperialism, could Kazakhstan become an easy prey of Turkey’s “imperialist dream”? Could these traditionally Muslim people be soon facing the end of religious tolerance and gender equality, becoming this new old language an easy instrument for the infiltration in the country of fundamentalism (it has already crossed the boarders of Uzbekistan), leading to a gradual deterioration of its rich multicultural relations? The present structure of the language is still very fragile: there are three main dialects and many academics defend the re-introduction of the Latin alphabet, thus enlarging the possibility of cultural “contamination” by making the transmission of fundamentalist ideas still easier through neighbour countries like Azerbaijan, Uzbekistan and Turkmenistan (their languages belong to the same sub-group of Common Turkic), where the Latin alphabet is already in use, and where the ground for such ideas shown itself very fruitful. 4. “Construction of Womanhood in the Bengali Language of Bangladesh”, Raasheed Mahmood; University of New South Wales, Sydney. The present essay attempts to explore the role of gender-based language differences and of certain markers that reveal the status accorded to women in Bangladesh. Discrimination against women, in its various forms, is endemic in communities and countries around the world, cutting across class, race, age, and religious and national boundaries. One cannot understand the problems of gender discrimination solely by referring to the relationship of power or authority between men and women. Rather one needs to consider the problem by relating it to the specific social formation in which the image of masculinity and femininity is constructed and reconstructed. Following such line of reasoning this essay will examine the nature of gender bias in the Bengali language of Bangladesh, holding the conviction that as a product of social reality language reflects the socio-cultural behaviour of the community who speaks it. This essay will also attempt to shed some light on the processes through which gender based language differences produce actual consequences for women, who become exposed to low self-esteem, depression and systematic exclusion from public discourse. 5. “Marriage in China as an expression of a changing society”, Elisabetta Rosado David, University of Porto, Portugal, and Università Ca’Foscari, Venezia, Italy. In 29 April 2001, the new Marriage Law was promulgated in China. The first law on marriage was proclaimed in 1950 with the objective of freeing women from the feudal matrimonial system. With the second law, in 1981, values and conditions that had been distorted by the Cultural Revolution were recovered. Twenty years later, a new reform was started, intending to update marriage in the view of the social and cultural changes that occurred with Deng Xiaoping’s “open policy”. But the legal reform is only the starting point for this case-study. The rituals that are followed in the wedding ceremony are often hard to understand and very difficult to standardize, especially because China is a vast country, densely populated and characterized by several ethnic minorities. Two key words emerge from this issue: syncretism and continuity. On this basis, we can understand tradition in a better way, and analyse whether or not marriage, as every social manifestation, has evolved in harmony with Chinese culture. 6. “The Other Woman in the Portuguese Colonial Empire: The Case of Portuguese India”, Maria de Deus Manso, University of Évora, Portugal. This essay researches the social, cultural and symbolic history of local women in the Portuguese Indian colonial enclaves. The normative Portuguese overseas history has not paid any attention to the “indigenous” female populations in colonial Portuguese territories, albeit the large social importance of these social segments largely used in matrimonial and even catholic missionary strategies. The first attempt to open fresh windows in the history of this new field was the publication of Charles Boxer’s referential study about Women in lberian Overseas Expansion, edited in Portugal only after the Revolution of 1975. After this research we can only quote some other fragmentary efforts. In fact, research about the social, cultural, religious, political and symbolic situation of women in the Portuguese colonial territories, from the XVI to the XX century, is still a minor historiographic field. In this essay we discuss this problem and we study colonial representations of women in the Portuguese Indian enclaves, mainly in the territory of Goa, using case studies methodologies. 7. “Heading East this Time: Critical Readings on Gender in Southeast Asia”, Clara Sarmento, Polytechnic Institute of Porto, Portugal. This essay intends to discuss some critical readings of fictional and theoretical texts on gender condition in Southeast Asian countries. Nowadays, many texts about women in Southeast Asia apply concepts of power in unusual areas. Traditional forms of gender hegemony have been replaced by other powerful, if somewhat more covert, forms. We will discuss some universal values concerning conventional female roles as well as the strategies used to recognize women in political fields traditionally characterized by male dominance. Female empowerment will mean different things at different times in history, as a result of culture, local geography and individual circumstances. Empowerment needs to be perceived as an individual attitude, but it also has to be facilitated at the macro­level by society and the State. Gender is very much at the heart of all these dynamics, strongly related to specificities of historical, cultural, ethnic and class situatedness, requiring an interdisciplinary transnational approach.

Otimização de um sistema de "Free-Cooling" de uma instalação de climatização: incluindo a definição de um algoritmo de controlo de funcionamento

A utilização de equipamentos de climatização é cada vez mais frequente, e surgem novas tecnologias para aumentar a eficiência do processo, e neste caso, a opção da instalação de um sistema de Unidade de Tratamento de Ar com Economizador é a fundamental temática deste trabalho de dissertação. O “Free-Cooling” baseia-se na utilização total ou parcial do ar exterior para proceder à climatização de um espaço, quando se verificam as condições ótimas para o processo, e quando o sistema apresenta um controlador que permita gerir a abertura dos registos face à temperatura exterior e interior medida. A análise das condições exteriores e interiores é fundamental para dimensionar um Economizador. É necessário determinar o tipo de clima do local para fazer a seleção do tipo de controlo do processo, e recolher também, o perfil de temperaturas exterior para justificar a utilização de “Free-Cooling” no local. A determinação das condições interiores como a quantificação da utilização da iluminação, ocupação e equipamentos, é necessária para determinar a potência das baterias de arrefecimento ou aquecimento, e no caso de ser utilizado “Free-Cooling”, determinar o caudal de ar exterior a insuflar. O balanço térmico das instalações explicita todas as cargas influentes no edifício, e permite quantificar a potência necessária para climatização. Depois, adicionando o Economizador no sistema e comparando os dois sistemas, verifica-se a redução dos custos de utilização da bateria de arrefecimento. O desenvolvimento de um algoritmo de controlo é fundamental para garantir a eficiência do Economizador, onde o controlo dos registos de admissão e retorno de ar é obrigatoriamente relacionado com a leitura dos sensores de temperatura exterior e interior. A quantidade de ar novo insuflado no espaço depende, por fim, da relação entre a carga sensível do local e a diferença de temperatura lida entre os dois sensores.

Study on the glycerolysis reaction of high free fatty acid oils for use as biodiesel feedstock

Biodiesel is the main alternative to fossil diesel and it may be produced from different feedstocks such as semi-refined vegetable oils, waste frying oils or animal fats. However, these feedstocks usually contain significant amounts of free fatty acids (FFA) that make them inadequate for the direct base catalyzed transesterification reaction (where the FFA content should be lower than 4%). The present work describes a possible method for the pre-treatment of oils with a high content of FFA (20 to 50%) by esterification with glycerol. In order to reduce the FFA content, the reaction between these FFA and an esterification agent is carried out before the transesterification reaction. The reaction kinetics was studied in terms of its main factors such astemperature, % of glycerin excess, % of catalyst used, stirring velocity and type of catalyst used. The results showed that glycerolysis is a promising pretreatment to acidic oils or fats (> 20%) as they led to the production of an intermediary material with a low content of FFA that can be used directly in thetransesterification reaction for the production of biodiesel. (C) 2011 Elsevier B.V. All rights reserved.

Derivative-free optimization and filter methods to solve nonlinear constrained problems

In real optimization problems, usually the analytical expression of the objective function is not known, nor its derivatives, or they are complex. In these cases it becomes essential to use optimization methods where the calculation of the derivatives, or the verification of their existence, is not necessary: the Direct Search Methods or Derivative-free Methods are one solution. When the problem has constraints, penalty functions are often used. Unfortunately the choice of the penalty parameters is, frequently, very difficult, because most strategies for choosing it are heuristics strategies. As an alternative to penalty function appeared the filter methods. A filter algorithm introduces a function that aggregates the constrained violations and constructs a biobjective problem. In this problem the step is accepted if it either reduces the objective function or the constrained violation. This implies that the filter methods are less parameter dependent than a penalty function. In this work, we present a new direct search method, based on simplex methods, for general constrained optimization that combines the features of the simplex method and filter methods. This method does not compute or approximate any derivatives, penalty constants or Lagrange multipliers. The basic idea of simplex filter algorithm is to construct an initial simplex and use the simplex to drive the search. We illustrate the behavior of our algorithm through some examples. The proposed methods were implemented in Java.

Derivative-free nonlinear optimization filter simplex

The filter method is a technique for solving nonlinear programming problems. The filter algorithm has two phases in each iteration. The first one reduces a measure of infeasibility, while in the second the objective function value is reduced. In real optimization problems, usually the objective function is not differentiable or its derivatives are unknown. In these cases it becomes essential to use optimization methods where the calculation of the derivatives or the verification of their existence is not necessary: direct search methods or derivative-free methods are examples of such techniques. In this work we present a new direct search method, based on simplex methods, for general constrained optimization that combines the features of simplex and filter methods. This method neither computes nor approximates derivatives, penalty constants or Lagrange multipliers.

Estudo geológico e geotécnico de taludes rochosos em S. Pedro da Afurada (Vila Nova de Gaia): contributos para a avaliação da estabilidade estrutural

Mestrado em Engenharia Geotécnica e Geoambiente

Nonmonotonic Magnetic Susceptibility of Dipolar Hard-Spheres at Low Temperature and Density

We investigate, via numerical simulations, mean field, and density functional theories, the magnetic response of a dipolar hard sphere fluid at low temperatures and densities, in the region of strong association. The proposed parameter-free theory is able to capture both the density and temperature dependence of the ring-chain equilibrium and the contribution to the susceptibility of a chain of generic length. The theory predicts a nonmonotonic temperature dependence of the initial (zero field) magnetic susceptibility, arising from the competition between magnetically inert particle rings and magnetically active chains. Monte Carlo simulation results closely agree with the theoretical findings. DOI: 10.1103/PhysRevLett.110.148306

Effects of density versus size on grazing by a key exploited herbivore

Fishing decreases the biomass of target species via reduction in the numbers and/or size of individuals. In natural systems, the strength of biological interactions, including predator-prey dynamics, are often density or size-dependent. Hence, changes in the numbers or size of key taxa may be expected to influence biological interactions but their effects do not need to be identical. Here we compare the effects of biomass reduction in populations of the exploited limpet Patella candei. Biomass removal was experimentally achieved by either removing individuals (density reduction) or by replacing large by small individuals (size reduction), while controlling for total limpet biomass in a laboratory-based experiment. At the experiment’s termination, biomass reduction led to proportional changes in area grazed. However, there was no difference whether this was achieved via changes in density or in size. Furthermore, no discernible effects of treatments were evident on different components of the algal assemblage. A field survey also revealed that P. candei biomass explained a greater proportion in variation in the area free of algae than density alone. Our results suggest that loss of biomass in populations of P. candei has quantitatively and qualitatively similar effects on algal cover regardless of whether it is caused by an equivalent (biomass) reduction in the numbers or size of individuals.

Preparatory and field work phases in the qualitative empirical research process in management: the case studies approach

Purpose: The aim of this paper is to promote qualitative methodology within the scientific community of management. The specific objective is oriented to propose an empirical research process based on case study method. This is to ensure rigor in the empirical research process, that future research may follow a similar procedure to that is proposed. Design/methodology/approach: Following a qualitative methodological approach, we propose a research process that develops according to four phases, each with several stages. This study analyses the preparatory and field work phases and their stages. Findings: The paper shows the influence that case studies have on qualitative empirical research process in management. Originality/value:. Case study method assumes an important role within qualitative research by allowing for the study and analysis of certain types of phenomena that occur inside organisations, and in respect of which quantitative studies cannot provide an answer.

A educação Pré-Escolar e o 1.º ciclo do Ensino Básico: dinâmicas de cidadania em contextos de práticas curriculares e didáticas

Mestrado (PES II), Educação Pré-Escolar e Ensino do 1.º Ciclo do Ensino Básico, 1 de Julho de 2014, Universidade dos Açores.