Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

On the Hilbert transform in the framework of generalized functions

In this paper, a definition of the Hilbert transform operating on Colombeau's temperated generalized functions is given. Similar results to some theorems that hold in the classical theory, or in certain subspaces of Schwartz distributions, have been obtained in this framework.

Effects of acute physical exercise on executive functions: a comparison between aerobic and strength exercise

The aim of this study was to compare the effects of acute aerobic and strength exercises on selected executive functions. A counterbalanced, crossover, randomized trial was performed. Forty-two healthy women were randomly submitted to three different conditions: (1) aerobic exercise, (2) strength exercise, and (3) control condition. Before and after each condition, executive functions were measured by the Stroop Test and the Trail Making Test. Following the aerobic and strength sessions, the time to complete the Stroop "non-color word" and "color word" condition was lower when compared with that of the control session. The performance in the Trail Making Test was unchanged. In conclusion, both acute aerobic and strength exercises improve the executive functions. Nevertheless, this positive effect seems to be task and executive function dependent.

A generalized finite element method with global-local enrichment functions for confined plasticity problems

The main feature of partition of unity methods such as the generalized or extended finite element method is their ability of utilizing a priori knowledge about the solution of a problem in the form of enrichment functions. However, analytical derivation of enrichment functions with good approximation properties is mostly limited to two-dimensional linear problems. This paper presents a procedure to numerically generate proper enrichment functions for three-dimensional problems with confined plasticity where plastic evolution is gradual. This procedure involves the solution of boundary value problems around local regions exhibiting nonlinear behavior and the enrichment of the global solution space with the local solutions through the partition of unity method framework. This approach can produce accurate nonlinear solutions with a reduced computational cost compared to standard finite element methods since computationally intensive nonlinear iterations can be performed on coarse global meshes after the creation of enrichment functions properly describing localized nonlinear behavior. Several three-dimensional nonlinear problems based on the rate-independent J (2) plasticity theory with isotropic hardening are solved using the proposed procedure to demonstrate its robustness, accuracy and computational efficiency.

Augmented Lagrangian method with nonmonotone penalty parameters for constrained optimization

At each outer iteration of standard Augmented Lagrangian methods one tries to solve a box-constrained optimization problem with some prescribed tolerance. In the continuous world, using exact arithmetic, this subproblem is always solvable. Therefore, the possibility of finishing the subproblem resolution without satisfying the theoretical stopping conditions is not contemplated in usual convergence theories. However, in practice, one might not be able to solve the subproblem up to the required precision. This may be due to different reasons. One of them is that the presence of an excessively large penalty parameter could impair the performance of the box-constraint optimization solver. In this paper a practical strategy for decreasing the penalty parameter in situations like the one mentioned above is proposed. More generally, the different decisions that may be taken when, in practice, one is not able to solve the Augmented Lagrangian subproblem will be discussed. As a result, an improved Augmented Lagrangian method is presented, which takes into account numerical difficulties in a satisfactory way, preserving suitable convergence theory. Numerical experiments are presented involving all the CUTEr collection test problems.

On S-asymptotically omega-periodic functions and applications

Let (X, parallel to . parallel to) be a Banach space and omega is an element of R. A bounded function u is an element of C([0, infinity); X) is called S-asymptotically omega-periodic if lim(t ->infinity)[u(t + omega) - u(t)] = 0. In this paper, we establish conditions under which an S-asymptotically omega-periodic function is asymptotically omega-periodic and we discuss the existence of S-asymptotically omega-periodic and asymptotically omega-periodic solutions for an abstract integral equation. Some applications to partial differential equations and partial integro-differential equations are considered. (C) 2011 Elsevier Ltd. All rights reserved.

Kurzweil integral for Riesz space-valued functions: Uniform convergence theorem

Our objective here is to prove that the uniform convergence of a sequence of Kurzweil integrable functions implies the convergence of the sequence formed by its corresponding integrals.

Exact correlation functions in particle-reaction models with immobile particles

Exact results on particle densities as well as correlators in two models of immobile particles, containing either a single species or else two distinct species, are derived. The models evolve following a descent dynamics through pair annihilation where each particle interacts once at most throughout its entire history. The resulting large number of stationary states leads to a non-vanishing configurational entropy. Our results are established for arbitrary initial conditions and are derived via a generating function method. The single-species model is the dual of the 1D zero-temperature kinetic Ising model with Kimball-Deker-Haake dynamics. In this way, both in finite and semi-infinite chains and also the Bethe lattice can be analysed. The relationship with the random sequential adsorption of dimers and weakly tapped granular materials is discussed.

Identification of novel components of NAD-utilizing metabolic pathways and prediction of their biochemical functions

Nicotinamide adenine dinucleotide (NAD) is a ubiquitous cofactor participating in numerous redox reactions. It is also a substrate for regulatory modifications of proteins and nucleic acids via the addition of ADP-ribose moieties or removal of acyl groups by transfer to ADP-ribose. In this study, we use in-depth sequence, structure and genomic context analysis to uncover new enzymes and substrate-binding proteins in NAD-utilizing metabolic and macromolecular modification systems. We predict that Escherichia coli YbiA and related families of domains from diverse bacteria, eukaryotes, large DNA viruses and single strand RNA viruses are previously unrecognized components of NAD-utilizing pathways that probably operate on ADP-ribose derivatives. Using contextual analysis we show that some of these proteins potentially act in RNA repair, where NAD is used to remove 2'-3' cyclic phosphodiester linkages. Likewise, we predict that another family of YbiA-related enzymes is likely to comprise a novel NAD-dependent ADP-ribosylation system for proteins, in conjunction with a previously unrecognized ADP-ribosyltransferase. A similar ADP-ribosyltransferase is also coupled with MACRO or ADP-ribosylglycohydrolase domain proteins in other related systems, suggesting that all these novel systems are likely to comprise pairs of ADP-ribosylation and ribosylglycohydrolase enzymes analogous to the DraG-DraT system, and a novel group of bacterial polymorphic toxins. We present evidence that some of these coupled ADP-ribosyltransferases/ribosylglycohydrolases are likely to regulate certain restriction modification enzymes in bacteria. The ADP-ribosyltransferases found in these, the bacterial polymorphic toxin and host-directed toxin systems of bacteria such as Waddlia also throw light on the evolution of this fold and the origin of eukaryotic polyADP-ribosyltransferases and NEURL4-like ARTs, which might be involved in centrosomal assembly. We also infer a novel biosynthetic pathway that might be involved in the synthesis of a nicotinate-derived compound in conjunction with an asparagine synthetase and AMPylating peptide ligase. We use the data derived from this analysis to understand the origin and early evolutionary trajectories of key NAD-utilizing enzymes and present targets for future biochemical investigations.

The boundedness of penalty parameters in an augmented Lagrangian method with constrained subproblems

Augmented Lagrangian methods are effective tools for solving large-scale nonlinear programming problems. At each outer iteration, a minimization subproblem with simple constraints, whose objective function depends on updated Lagrange multipliers and penalty parameters, is approximately solved. When the penalty parameter becomes very large, solving the subproblem becomes difficult; therefore, the effectiveness of this approach is associated with the boundedness of the penalty parameters. In this paper, it is proved that under more natural assumptions than the ones employed until now, penalty parameters are bounded. For proving the new boundedness result, the original algorithm has been slightly modified. Numerical consequences of the modifications are discussed and computational experiments are presented.

Alteration of distortion product otoacoustic emission input/output functions in subjects with a previous history of middle ear dysfunction

Background: The aim of this study was to investigate the effects of sub-clinical alterations on the amplitudes and slopes of the DPOAE input-output responses from subjects with previous history of middle ear dysfunction. Material/Methods: The study included 15 subjects with and 15 subjects without a history of otitis media in the last 10 years. All participants were assessed with acoustic immittance, pure-tone audiometry, and DPOAEs. For the later, I/O functions and I/O slopes were estimated at 1501, 2002, 3174, 4004 and 6384Hz. Results: No statistically significant differences were found between the 2 groups in terms of behavioral thresholds. The group with a previous history of middle ear dysfunction presented significantly lower mean DPOAE amplitudes at 2002, 3174 and 4004 Hz. In terms of DPOAE slopes, no statistically significant differences were observed at the tested frequencies, except at 3174 Hz. Conclusions: Middle ear pathologies can produce subclinical alterations that are undetectable with traditional pure-tone audiometry. The data from the present study show that reduced amplitude DPOAEs are associated with a previous history of middle ear complications. The corresponding DPOAE slopes were affected at only 1 tested frequency, suggesting that the cochlear non-linearity is preserved. Considering these results, it remains to be elucidated to what degree the DPOAE amplitude attenuation interferes with higher-order auditory tasks.

Random regression analyses using B-spline functions to model growth of Nellore cattle

The objective of this study was to estimate (co)variance components using random regression on B-spline functions to weight records obtained from birth to adulthood. A total of 82 064 weight records of 8145 females obtained from the data bank of the Nellore Breeding Program (PMGRN/Nellore Brazil) which started in 1987, were used. The models included direct additive and maternal genetic effects and animal and maternal permanent environmental effects as random. Contemporary group and dam age at calving (linear and quadratic effect) were included as fixed effects, and orthogonal Legendre polynomials of age (cubic regression) were considered as random covariate. The random effects were modeled using B-spline functions considering linear, quadratic and cubic polynomials for each individual segment. Residual variances were grouped in five age classes. Direct additive genetic and animal permanent environmental effects were modeled using up to seven knots (six segments). A single segment with two knots at the end points of the curve was used for the estimation of maternal genetic and maternal permanent environmental effects. A total of 15 models were studied, with the number of parameters ranging from 17 to 81. The models that used B-splines were compared with multi-trait analyses with nine weight traits and to a random regression model that used orthogonal Legendre polynomials. A model fitting quadratic B-splines, with four knots or three segments for direct additive genetic effect and animal permanent environmental effect and two knots for maternal additive genetic effect and maternal permanent environmental effect, was the most appropriate and parsimonious model to describe the covariance structure of the data. Selection for higher weight, such as at young ages, should be performed taking into account an increase in mature cow weight. Particularly, this is important in most of Nellore beef cattle production systems, where the cow herd is maintained on range conditions. There is limited modification of the growth curve of Nellore cattle with respect to the aim of selecting them for rapid growth at young ages while maintaining constant adult weight.

Longitudinal familial analysis of blood pressure involving parametric (co)variance functions

Abstract Background For analyzing longitudinal familial data we adopted a log-linear form to incorporate heterogeneity in genetic variance components over the time, and additionally a serial correlation term in the genetic effects at different levels of ages. Due to the availability of multiple measures on the same individual, we permitted environmental correlations that may change across time. Results Systolic blood pressure from family members from the first and second cohort was used in the current analysis. Measures of subjects receiving hypertension treatment were set as censored values and they were corrected. An initial check of the variance and covariance functions proposed for analyzing longitudinal familial data, using empirical semi-variogram plots, indicated that the observed trait dispersion pattern follows the assumptions adopted. Conclusion The corrections for censored phenotypes based on ordinary linear models may be an appropriate simple model to correct the data, ensuring that the original variability in the data was retained. In addition, empirical semi-variogram plots are useful for diagnosis of the (co)variance model adopted.

Differential effects of task-specific practice on performance in a simulated penalty kick under high-pressure

Objectives The current study investigated to what extent task-specific practice can help reduce the adverse effects of high-pressure on performance in a simulated penalty kick task. Based on the assumption that practice attenuates the required attentional resources, it was hypothesized that task-specific practice would enhance resilience against high-pressure. Method Participants practiced a simulated penalty kick in which they had to move a lever to the side opposite to the goalkeeper's dive. The goalkeeper moved at different times before ball-contact. Design Before and after task-specific practice, participants were tested on the same task both under low- and high-pressure conditions. Results Before practice, performance of all participants worsened under high-pressure; however, whereas one group of participants merely required more time to correctly respond to the goalkeeper movement and showed a typical logistic relation between the percentage of correct responses and the time available to respond, a second group of participants showed a linear relationship between the percentage of correct responses and the time available to respond. This implies that they tended to make systematic errors for the shortest times available. Practice eliminated the debilitating effects of high-pressure in the former group, whereas in the latter group high-pressure continued to negatively affect performance. Conclusions Task-specific practice increased resilience to high-pressure. However, the effect was a function of how participants responded initially to high-pressure, that is, prior to practice. The results are discussed within the framework of attentional control theory (ACT).

The mere presence of a goalkeeper affects the accuracy of penalty kicks

The keeper-independent strategy, in which a football penalty kicker selects a target location in advance and ignores the goalkeeper's actions during the run-up, has been suggested to be the preferable strategy for taking a penalty kick. The current in-field experiment investigated the question of whether the goalkeeper can indeed be ignored. Ten intermediate-level football players were instructed to adopt a goalkeeper-independent strategy and to perform penalty kicks directed at one of two targets located in the upper corners of the goal under three conditions: without a goalkeeper, in the presence of a goalkeeper (who tried to save the ball), and in the presence of a goalkeeper who was informed by the penalty kickers where they intended to direct the ball. The mere presence of a goalkeeper impaired shot accuracy. The shots were more centralised, that is, biased toward the goalkeeper. The effects were enhanced for the condition in which the penalty kicker knew the goalkeeper was knowledgeable about ball direction. The findings were consistent with the response activation model that holds that aiming at a target can be biased toward salient visual non-targets. The implications for adopting and practising goalkeeper-independent strategies are discussed.