Exploratory semiparametric analysis of two-dimensional diffusions in finance

We examine bivariate extensions of Aït-Sahalia’s approach to the estimation of univariate diffusions. Our message is that extending his idea to a bivariate setting is not straightforward. In higher dimensions, as opposed to the univariate case, the elements of the Itô and Fokker-Planck representations do not coincide; and, even imposing sensible assumptions on the marginal drifts and volatilities is not sufficient to obtain direct generalisations. We develop exploratory estimation and testing procedures, by parametrizing the drifts of both component processes and setting restrictions on the terms of either the Itô or the Fokker-Planck covariance matrices. This may lead to highly nonlinear ordinary differential equations, where the definition of boundary conditions is crucial. For the methods developed, the Fokker-Planck representation seems more tractable than the Itô’s. Questions for further research include the design of regularity conditions on the time series dependence in the data, the kernels actually used and the bandwidths, to obtain asymptotic properties for the estimators proposed. A particular case seems promising: “causal bivariate models” in which only one of the diffusions contributes to the volatility of the other. Hedging strategies which estimate separately the univariate diffusions at stake may thus be improved.

Comprehensive two-dimensional gas chromatography with time-of-flight mass spectrometry combined with solid phase microextraction as a powerful tool for quantification of ethyl carbamate in fortified wines. The case study of Madeira wine

An analytical methodology based on headspace solid phase microextraction (HS-SPME) combined with comprehensive two-dimensional gas chromatography—time-of-flight mass spectrometry (GC × GC–ToFMS) was developed for the identification and quantification of the toxic contaminant ethyl carbamate (EC) directly in fortified wines. The method performance was assessed for dry/medium dry and sweet/medium sweet model wines, and for quantification purposes, calibration plots were performed for both matrices using the ion extraction chromatography (IEC) mode (m/z 62). Good linearity was obtained with a regression coefficient (r2) higher than 0.981. A good precision was attained (R.S.D. <20%) and low detection limits (LOD) were achieved for dry (4.31 μg/L) and sweet (2.75 μg/L) model wines. The quantification limits (LOQ) and recovery for dry wines were 14.38 μg/L and 88.6%, whereas for sweet wines were 9.16 μg/L and 99.4%, respectively. The higher performance was attainted with sweet model wine, as increasing of glucose content improves the volatile compound in headspace, and a better linearity, recovery and precision were achieved. The analytical methodology was applied to analyse 20 fortified Madeira wines including different types of wine (dry, medium dry, sweet, and medium sweet) obtained from several harvests in Madeira Island (Portugal). The EC levels ranged from 54.1 μg/L (medium dry) to 162.5 μg/L (medium sweet).

In-depth search focused on furans, lactones, volatile phenols, and acetals as potential age markers of Madeira wines by comprehensive two-dimensional gas chromatography with time-of-flight mass spectrometry combined with solid phase microextraction

The establishment of potential age markers of Madeira wine is of paramount significance as it may contribute to detect frauds and to ensure the authenticity of wine. Considering the chemical groups of furans, lactones, volatile phenols, and acetals, 103 volatile compounds were tentatively identified; among these, 71 have been reported for the first time in Madeira wines. The chemical groups that could be used as potential age markers were predominantly acetals, namely, diethoxymethane, 1,1-diethoxyethane, 1,1-diethoxy-2-methyl-propane, 1-(1-ethoxyethoxy)-pentane, trans-dioxane and 2-propyl-1,3-dioxolane, and from the other chemical groups, 5-methylfurfural and cis-oak-lactone, independently of the variety and the type of wine. GC × GC-ToFMS system offers a more useful approach to identify these compounds compared to previous studies using GC−qMS, due to the orthogonal systems, that reduce coelution, increase peak capacity and mass selectivity, contributing to the establishment of new potential Madeira wine age markers. Remarkable results were also obtained in terms of compound identification based on the organized structure of the peaks of structurally related compounds in the GC × GC peak apex plots. This information represents a valuable approach for future studies, as the ordered-structure principle can considerably help the establishment of the composition of samples. This new approach provides data that can be extended to determine age markers of other types of wines.

Allergic asthma exhaled breath metabolome: a challenge for comprehensive two-dimensional gas chromatography

Allergic asthma represents an important public health issue, most common in the paediatric population, characterized by airway inflammation that may lead to changes in volatiles secreted via the lungs. Thus, exhaled breath has potential to be a matrix with relevant metabolomic information to characterize this disease. Progress in biochemistry, health sciences and related areas depends on instrumental advances, and a high throughput and sensitive equipment such as comprehensive two-dimensional gas chromatography–time of flight mass spectrometry (GC × GC–ToFMS) was considered. GC × GC–ToFMS application in the analysis of the exhaled breath of 32 children with allergic asthma, from which 10 had also allergic rhinitis, and 27 control children allowed the identification of several hundreds of compounds belonging to different chemical families. Multivariate analysis, using Partial Least Squares-Discriminant Analysis in tandem with Monte Carlo Cross Validation was performed to assess the predictive power and to help the interpretation of recovered compounds possibly linked to oxidative stress, inflammation processes or other cellular processes that may characterize asthma. The results suggest that the model is robust, considering the high classification rate, sensitivity, and specificity. A pattern of six compounds belonging to the alkanes characterized the asthmatic population: nonane, 2,2,4,6,6-pentamethylheptane, decane, 3,6-dimethyldecane, dodecane, and tetradecane. To explore future clinical applications, and considering the future role of molecular-based methodologies, a compound set was established to rapid access of information from exhaled breath, reducing the time of data processing, and thus, becoming more expedite method for the clinical purposes.

Modeling of interfaces in two-dimensional problems using solid finite elements with high aspect ratio

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Scattering of neutral fermions by a pseudoscalar potential step in two-dimensional spacetime

The problem of scattering of neutral fermions in two-dimensional spacetime is approached with a pseudoscalar potential step in the Dirac equation. Some unexpected aspects of the solutions beyond the absence of Klein's paradox are presented. An apparent paradox concerning the uncertainty principle is solved by introducing the concept of effective Compton wavelength. Added plausibility for the existence of bound-state solutions in a pseudoscalar double-step potential found in a recent Letter is given. (C) 2003 Elsevier B.V. B.V. All rights reserved.

Confinement of spinless particles by Coulomb potentials in two-dimensional space-time

The problem of confinement of spinless particles in 1 + 1 dimensions is approached with a linear potential by considering a mixing of Lorentz vector and scalar couplings. Analytical bound-states solutions are obtained when the scalar coupling is of sufficient intensity compared to the vector coupling. (c) 2005 Elsevier B.V. All rights reserved.

Restrictions over two-dimensional gauge models with Thirring-like interaction

Some years ago, it was shown how fermion self-interacting terms of the Thirring-type impact the usual structure of massless two-dimensional gauge theories [1]. In that work only the cases of pure vector and pure chiral gauge couplings have been considered and the corresponding Thirring term was also pure vector and pure chiral respectively, such that the vector ( or chiral) Schwinger model should not lose its chirality structure due to the addition of the quartic interaction term. Here we extend this analysis to a generalized vector and axial coupling both for the gauge interaction and the quartic fermionic interactions. The idea is to perform quantization without losing the original structure of the gauge coupling. In order to do that we make use of an arbitrariness in the definition of the Thirring-like interaction.

Confinement of fermions by mixed vector-scalar linear potentials in two-dimensional space-time

The problem of confinement of fermions in 1 + 1 dimensions is approached with a linear potential in the Dirac equation by considering a mixing of Lorentz vector and scalar couplings. Analytical bound-states solutions are obtained when the scalar coupling is of sufficient intensity compared to the vector coupling. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Non-Zeeman splitting for a spin-resolved STM with a Kondo adatom in a spin-polarized two-dimensional electron gas

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Comparison of Single-Standing or Connected Implants on Stress Distribution in Bone of Mandibular Overdentures: A Two-Dimensional Finite Element Analysis

This study aimed to compare the influence of single-standing or connected implants on stress distribution in bone of mandibular overdentures by means of two-dimensional finite element analysis. Two finite element models were designed using software (ANSYS) for 2 situations: bar-clip (BC) group-model of an edentulous mandible supporting an overdenture over 2 connected implants with BC system, and o'ring (OR) group-model of an edentulous mandible supporting an overdenture over 2 single-standing implants with OR abutments. Axial loads (100 N) were applied on either central (L1) or lateral (L2) regions of the models. Stress distribution was concentrated mostly in the cortical bone surrounding the implants. When comparing the groups, BC (L1, 52.0 MPa and L2, 74.2 MPa) showed lower first principal stress values on supporting tissue than OR (L1, 78.4 MPa and L2, 76.7 MPa). Connected implants with BC attachment were more favorable on stress distribution over peri-implant-supporting tissue for both loading conditions.

Effect of Passive Fit Absence in the Prosthesis/Implant/Retaining Screw System: A Two-Dimensional Finite Element Analysis

The misfit between prostheses and implants is a clinical reality, but the level that can be accepted without causing mechanical or biologic problem is not well defined. This study investigates the effect of different levels of unilateral angular misfit prostheses in the prosthesis/implant/retaining screw system and in the surrounding bone using finite element analysis. Four models of a two-dimensional finite element were constructed: group I (control), prosthesis that fit the implant; groups 2 to 4, prostheses with unilateral angular misfit of 50, 100, and 200 mu m, respectively. A load of 133 N was applied with a 30-degree angulation and off-axis at 2 mm from the long axis of the implant at the opposite direction of misfit on the models. Taking into account the increase of the angular misfit, the stress maps showed a gradual increase of prosthesis stress and uniform stress in the implant and trabecular bone. Concerning the displacement, an inclination of the system due to loading and misfit was observed. The decrease of the unilateral contact between prosthesis and implant leads to the displacement of the entire system, and distribution and magnitude alterations of the stress also occurred.

Implant Platform Switching: Biomechanical Approach Using Two-Dimensional Finite Element Analysis

In implant therapy, a peri-implant bone resorption has been noticed mainly in the first year after prosthesis insertion. This bone remodeling can sometimes jeopardize the outcome of the treatment, especially in areas in which short implants are used and also in aesthetic cases. To avoid this occurrence, the use of platform switching (PS) has been used. This study aimed to evaluate the biomechanical concept of PS with relation to stress distribution using two-dimensional finite element analysis. A regular matching diameter connection of abutment-implant (regular platform group [RPG]) and a PS connection (PS group [PSG]) were simulated by 2 two-dimensional finite element models that reproduced a 2-piece implant system with peri-implant bone tissue. A regular implant (prosthetic platform of 4.1 mm) and a wide implant (prosthetic platform of 5.0 mm) were used to represent the RPG and PSG, respectively, in which a regular prosthetic component of 4.1 mm was connected to represent the crown. A load of 100 N was applied on the models using ANSYS software. The RPG spreads the stress over a wider area in the peri-implant bone tissue (159 MPa) and the implant (1610 MPa), whereas the PSG seems to diminish the stress distribution on bone tissue (34 MPa) and implant (649 MPa). Within the limitation of the study, the PS presented better biomechanical behavior in relation to stress distribution on the implant but especially in the bone tissue (80% less). However, in the crown and retention screw, an increase in stress concentration was observed.