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.

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Using a New Criterion to Identify Sites for Mean Soil Water Storage Evaluation

Establishing a few sites in which measurements of soil water storage (SWS) are time stable significantly reduces the efforts involved in determining average values of SWS. This study aimed to apply a new criterion the mean absolute bias error (MABE)-to identify temporally stable sites for mean SWS evaluation. The performance of MABE was compared with that of the commonly used criterion, the standard deviation of relative difference (SDRD). From October 2004 to October 2008, SWS of four soil layers (0-1.0, 1.0-2.0,2.0-3.0, and 3.0-4.0 m) was measured, using a neutron probe, at 28 sites on a hillslope of the Loess Plateau, China. A total of 37 SWS data sets taken over time were divided into two subsets, the first consisting of 22 dates collected during the calibration period from October 2004 to September 2006, and the second with 15 dates collected during the validation period from October 2006 to October 2008. The results showed that if a critical value of 5% for MABE was defined, more than half the sites were temporally stable for both periods, and the number of temporally stable sires generally increased with soil depth. Compared with SDRD, MABE was more suitable for the identification of time-stable sites for mean SS prediction. Since the absolute prediction error of drier sites is more sensitive to changes in relative difference in terms of mean SWS prediction, the sites of wet sectors should be preferable for mean SWS prediction for the same changes in relative difference.

Dosage-dependent shift in the spore community of arbuscular mycorrhizal fungi following application of tannery sludge

The controlled disposal of tannery sludge in agricultural soils is a viable alternative for recycling such waste; however, the impact of this practice on the arbuscular mycorrhizal fungi (AMF) communities is not well understood. We studied the effects of low-chromium tannery sludge amendment in soils on AMF spore density, species richness and diversity, and root colonization levels. Sludge was applied at four doses to an agricultural field in Rolandia, Parana state, Brazil. The sludge was left undisturbed on the soil surface and then the area was harrowed and planted with corn. The soil was sampled at four intervals and corn roots once within a year (2007/2008). AMF spore density was low (1 to 49 spores per 50 cm(3) of soil) and decreased as doses of tannery sludge increased. AMF root colonization was high (64%) and unaffected by tannery sludge. Eighteen AMF species belonging to six genera (Acaulospora, Glomus, Gigaspora, Scutellospora, Paraglomus, and Ambispora) were recorded. At the sludge doses of 9.0 and 22.6 Mg ha(-1), we observed a decrease in AMF species richness and diversity, and changes in their relative frequencies. Hierarchical grouping analysis showed that adding tannery waste to the soil altered AMF spore community in relation to the control, modifying the mycorrhizal status of soil and selectively favoring the sporulation of certain species.

A shift from passive teaching at medical conferences to more interactive methods improves physician learning

Conferences that deliver interactive sessions designed to enhance physician participation, such as role play, small discussion groups, workshops, hands-on training, problem- or case-based learning and individualised training sessions, are effective for physician education.

Matrix elements of U(2n) generators in a multishell spin-orbit basis. II. The two-shell nonzero shift ACCs and U(2n) generator MEs

This is the second in a series of articles whose ultimate goal is the evaluation of the matrix elements (MEs) of the U(2n) generators in a multishell spin-orbit basis. This extends the existing unitary group approach to spin-dependent configuration interaction (CI) and many-body perturbation theory calculations on molecules to systems where there is a natural partitioning of the electronic orbital space. As a necessary preliminary to obtaining the U(2n) generator MEs in a multishell spin-orbit basis, we must obtain a complete set of adjoint coupling coefficients for the two-shell composite Gelfand-Paldus basis. The zero-shift coefficients were obtained in the first article of the series. in this article, we evaluate the nonzero shift adjoint coupling coefficients for the two-shell composite Gelfand-Paldus basis. We then demonstrate that the one-shell versions of these coefficients may be obtained by taking the Gelfand-Tsetlin limit of the two-shell formulas. These coefficients,together with the zero-shift types, then enable us to write down formulas for the U(2n) generator matrix elements in a two-shell spin-orbit basis. Ultimately, the results of the series may be used to determine the many-electron density matrices for a partitioned system. (C) 1998 John Wiley & Sons, Inc.

Metabolite mean transit times in the liver as predicted by various models of hepatic elimination

Predicted area under curve (AUC), mean transit time (MTT) and normalized variance (CV2) data have been compared for parent compound and generated metabolite following an impulse input into the liver, Models studied were the well-stirred (tank) model, tube model, a distributed tube model, dispersion model (Danckwerts and mixed boundary conditions) and tanks-in-series model. It is well known that discrimination between models for a parent solute is greatest when the parent solute is highly extracted by the liver. With the metabolite, greatest model differences for MTT and CV2 occur when parent solute is poorly extracted. In all cases the predictions of the distributed tube, dispersion, and tasks-in-series models are between the predictions of the rank and tube models. The dispersion model with mixed boundary conditions yields identical predictions to those for the distributed tube model (assuming an inverse gaussian distribution of tube transit times). The dispersion model with Danckwerts boundary conditions and the tanks-in series models give similar predictions to the dispersion (mixed boundary conditions) and the distributed tube. The normalized variance for parent compound is dependent upon hepatocyte permeability only within a distinct range of permeability values. This range is similar for each model but the order of magnitude predicted for normalized variance is model dependent. Only for a one-compartment system is the MIT for generated metabolite equal to the sum of MTTs for the parent compound and preformed metabolite administered as parent.

Shift of the subharmonic resonances and suppression of fluorescence in a two-level atom driven by a bichromatic field

We study the behavior of a two-level atom that is driven by a bichromatic field consisting of a strong resonant component and a weaker tunable component. In addition to the splitting of the energy levels (the multiphoton AC Stark effect), we find that the weaker component also shifts the subharmonic resonances, an effect we attribute to a dynamic Stark shift. When the weaker component is tuned to a shifted resonance, no fluorescence occurs at either the frequency of the strong component or the three-photon mixing frequency. Results are obtained with numerical techniques and explained in terms of the dressed-atom model of the system. (C) 1998 Optical Society of America [S0740-3224(98)01508-2] OCIS codes: 270.4180, 270.6620, 270.0270.

Effects of coping strategies, social support and work-nonwork conflict on shift worker's health

Objectives This study examines the direct and mediated effects of shift workers' coping strategies and social support on structural work-nonwork conflict and subjective health. Methods The participants were 172 registered female nurses, aged 21 to 40 years. They all worked full-time, on rapidly rotating, 8-hour shifts in metropolitan general hospitals. All the respondents completed a self-administered questionnaire requesting demographic information and data on sources of social support, work-nonwork conflict, and coping strategies. Results A path model with good fit (chi(2)=28.88, df=23, P>.23, CFI=0.97) demonstrated complex effects of social support and coping on structural work-nonwork conflict and health. Conclusions Structural work-nonwork conflict mediated the effects of social support from supervisors and emotionally expressive coping on psychological symptoms. Control of shifts mediated the effect of social support from supervisors on structural work-nonwork conflict. Disengagement coping had direct and mediated effects on psychological and physical health. However, it also had mediated effects, with the effect on psychological health being mediated by support from co-workers and the effect on physical symptoms being mediated by family support. Go-worker support mediated the effect of social support from supervisors on psychological symptoms. Overall, these findings support previous research and clarify the process by which coping strategies and social support affect structural work-nonwork conflict and health in shift work.

Single amino acid substitutions in alpha-conotoxin PnIA shift selectivity for subtypes of the mammalian neuronal nicotinic acetylcholine receptor

The alpha-conotoxins, a class of nicotinic acetylcholine receptor (nAChR) antagonists, are emerging as important probes of the role played by different nAChR subtypes in cell function and communication, In this study, the native alpha-conotoxins PnIA and PnIB were found to cause concentration-dependent inhibition of the ACh-induced current in all rat parasympathetic neurons examined, with IC50 values of 14 and 33 nM, and a maximal reduction in current amplitude of 87% and 71%, respectively. The modified alpha-conotoxin [N11S]PnIA reduced the ACh-induced current with an IC50 value of 375 nM and a maximally effective concentration caused 91% block, [A10L]PnIA was the most potent inhibitor, reducing the ACh-induced current in similar to 80% of neurons, with an IC50 value of 1.4 nM and 46% maximal block of the total current, The residual current was not inhibited further by alpha-bungarotoxin, but was further reduced by the cu-conotoxins PnIA or PnIB, and by mecamylamine. H-1 NMR studies indicate that PnIA, PnIB, and the analogues, [A10L]PnIA and [N11S]PnIA, have identical backbone structures. We propose that positions 10 and II of PnIA and PnIB influence potency and determine selectivity among alpha 7 and other nAChR subtypes, including alpha 3 beta 2 and alpha 3 beta 4, Four distinct components of the nicotinic ACh-induced current in mammalian parasympathetic neurons have been dissected with these conopeptides.

Transport properties of strongly correlated metals: A dynamical mean-field approach

The temperature dependence of the transport properties of the metallic phase of a frustrated Hubbard model on the hypercubic lattice at half-filling is calculated. Dynamical mean-held theory, which maps the Hubbard model onto a single impurity,Anderson model that is solved self-consistently, and becomes exact in the limit of large dimensionality, is used. As the temperature increases there is a smooth crossover from coherent Fermi liquid excitations at low temperatures to incoherent excitations at high temperatures. This crossover leads to a nonmonotonic temperature dependence for the resistance, thermopower, and Hall coefficient, unlike in conventional metals. The resistance smoothly increases from a quadratic temperature dependence at low temperatures to large values which can exceed the Mott-Ioffe-Regel value ha/e(2) (where a is a lattice constant) associated with mean free paths less than a lattice constant. Further signatures of the thermal destruction of quasiparticle excitations are a peak in the thermopower and the absence of a Drude peak in the optical conductivity. The results presented here are relevant to a wide range of strongly correlated metals, including transition metal oxides, strontium ruthenates, and organic metals.

Differentiated dendritic cells expressing nuclear RelB are predominantly located in rheumatoid synovial tissue perivascular mononuclear cell aggregates

Objective. Differentiated dendritic cells (DC) and other antigen-presenting cells are characterized by the nuclear location of RelB, a member of the nuclear factor kappa B/Rel family. To characterize and enumerate differentiated DC in rheumatoid arthritis (RA) peripheral blood (PB), synovial fluid (SF), and synovial tissue (ST), the expression and location of RelB were examined. Methods. RelB protein expression and cellular location were determined in RA PB, SF, and ST by flow cytometry and immunohistochemical analysis of purified cells or formalin-fixed tissue. DNA-binding activity of RelB was determined by electrophoretic: mobility shift-Western immunoblotting assays. Results. Circulating RA PBDC resembled normal immature PBDC in that they did not express intracellular RelB protein. In RA ST serial sections, cells containing nuclear RelB (nRelB) were enriched in perivascular regions. A mean +/- SD of 84 +/- 10% of these cells were DC. The remaining nRelB+,HLA-DR+ cells comprised B cells and macrophages. Only 3% of sorted SFDC contained nRelB, However, RelB present in the nucleus of these SFDC was capable of binding DNA, and therefore capable of transcriptional activity. Conclusion. Circulating DC precursors differentiate and express RelB after entry into rheumatoid ST. Differentiated DC can thus be identified by immunohistochemistry in formalin-fixed ST. Signals for DC maturation may differ between RA ST and SF, resulting in nuclear location of RelB predominantly in ST. This is likely to have functional consequences for the DC in these sites.

A medial to lateral shift in pre-movement cortical activity in hemi-Parkinson's disease

Objective: Recent evidence suggests that cortical activity associated with voluntary movement is relatively shifted from medial to lateral premotor areas in Parkinson's disease. This shift occurs bilaterally even for unilateral responses. It is not clear whether the shift in processing reflects an overall change in movement strategy, thereby involving alternate cortical areas, or reflects a compensatory change whereby, given the appropriate conditions, less impaired cortical areas are able to provide a similar function in compensation for those areas which are more impaired. This issue was examined in patients with hemi-Parkinson's disease, in whom basal ganglia impairment is most pronounced in one hemisphere. Methods: Fourteen patients with hemi-Parkinson's disease and 15 age-matched control subjects performed a Go/NoGo finger movement task and the contingent negative variation (CNV) was recorded from 21 scalp positions. Results and conclusions: Maximal CNV amplitudes were found over central medial regions for control subjects, but were shifted more frontally for Parkinson's disease patients, reduced in amplitude over the midline and lateralized towards the side ipsilateral to the greatest basal ganglia impairment. This shift in cortical activity from medial to lateral areas in Parkinson's disease patients appears to reflect a compensatory mechanism operating predominantly on the side of greatest basal ganglia impairment. (C) 2001 Elsevier Science Ireland Ltd. All rights reserved.