The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

Resolução de conflitos internacionais: estudo com militares em missões de paz

Tese de Doutoramento em Psicologia na área de especialidade em Psicologia Comunitária

Análisis de las barreras para la unificación de una Historia Clínica Electrónica -HCE- en Colombia

Objetivo: Identificar las barreras para la unificación de una Historia Clínica Electrónica –HCE- en Colombia. Materiales y Métodos: Se realizó un estudio cualitativo. Se realizaron entrevistas semiestructuradas a profesionales y expertos de 22 instituciones del sector salud, de Bogotá y de los departamentos de Cundinamarca, Santander, Antioquia, Caldas, Huila, Valle del Cauca. Resultados: Colombia se encuentra en una estructuración para la implementación de la Historia Clínica Electrónica Unificada -HCEU-. Actualmente, se encuentra en unificación en 42 IPSs públicas en el departamento de Cundinamarca, el desarrollo de la HCEU en el país es privado y de desarrollo propio debido a las necesidades particulares de cada IPS. Conclusiones: Se identificaron barreras humanas, financieras, legales, organizacionales, técnicas y profesionales en los departamentos entrevistados. Se identificó que la unificación de la HCE depende del acuerdo de voluntades entre las IPSs del sector público, privado, EPSs, y el Gobierno Nacional.

Uv-vis Spectra As An Alternative To The Lowry Method For Quantify Hair Damage Induced By Surfactants.

It is well known that long term use of shampoo causes damage to human hair. Although the Lowry method has been widely used to quantify hair damage, it is unsuitable to determine this in the presence of some surfactants and there is no other method proposed in literature. In this work, a different method is used to investigate and compare the hair damage induced by four types of surfactants (including three commercial-grade surfactants) and water. Hair samples were immersed in aqueous solution of surfactants under conditions that resemble a shower (38 °C, constant shaking). These solutions become colored with time of contact with hair and its UV-vis spectra were recorded. For comparison, the amount of extracted proteins from hair by sodium dodecyl sulfate (SDS) and by water were estimated by the Lowry method. Additionally, non-pigmented vs. pigmented hair and also sepia melanin were used to understand the washing solution color and their spectra. The results presented herein show that hair degradation is mostly caused by the extraction of proteins, cuticle fragments and melanin granules from hair fiber. It was found that the intensity of solution color varies with the charge density of the surfactants. Furthermore, the intensity of solution color can be correlated to the amount of proteins quantified by the Lowry method as well as to the degree of hair damage. UV-vis spectrum of hair washing solutions is a simple and straightforward method to quantify and compare hair damages induced by different commercial surfactants.

Liquid polymorphism, order-disorder transitions and anomalous behavior: A Monte Carlo study of the Bell-Lavis model for water

The Bell-Lavis model for liquid water is investigated through numerical simulations. The lattice-gas model on a triangular lattice presents orientational states and is known to present a highly bonded low density phase and a loosely bonded high density phase. We show that the model liquid-liquid transition is continuous, in contradiction with mean-field results on the Husimi cactus and from the cluster variational method. We define an order parameter which allows interpretation of the transition as an order-disorder transition of the bond network. Our results indicate that the order-disorder transition is in the Ising universality class. Previous proposal of an Ehrenfest second order transition is discarded. A detailed investigation of anomalous properties has also been undertaken. The line of density maxima in the HDL phase is stabilized by fluctuations, absent in the mean-field solution. (C) 2009 American Institute of Physics. [doi:10.1063/1.3253297]

Studies on the Electrocatalytic Reduction of Hydrogen Peroxide on a Glassy Carbon Electrode Modified With a Ruthenium Oxide Hexacyanoferrate Film

The electrocatalytic reduction of hydrogen peroxide on a glassy carbon (GC) electrode modified with a ruthenium oxide hexacyanoferrate (RuOHCF) was investigated using rotating disc electrode (RDE) voltammetry aiming to improve the performance of the sensor for hydrogen peroxide detection. The influence of parameters such as rotation speed, film thickness and hydrogen peroxide concentration indicated that the rate of the cross-chemical reaction between Ru(II) centres immobilized into the film and hydrogen peroxide controls the overall process. The kinetic regime could be classified as LSk mechanism, according to the diagnostic table proposed by Albery and Hillman, and the kinetic constant of the mediated process was found to be 706 mol(-1) cm(3) s(-1). In the LSk case the reaction layer is located at a finite layer close to the modifier layer/solution interface

Solution Polymerization of N-vinylcaprolactam in 1,4-dioxane. Kinetic Dependence on Temperature, Monomer, and Initiator Concentrations

The kinetics of the solution free radical polymerization of N-vinylcaprolactam, in 1,4-dioxane and under various polymerization conditions was studied. Azobisisobutyronitrile and 3-mercaptopropionic acid were used as initiator and as chain transfer agent (CTA), respectively. The influence of monomer and initiator concentrations and polymerization temperature on the rate of polymerizations (R(p)) was investigated. In general, high conversions were obtained. The order with respect to initiator was consistent with the classical kinetic rate equation, while the order with respect to the monomer was greater than unity. The overall activation energy of 53.6 kJ mol(-1) was obtained in the temperature range 60-80 degrees C. The decreasing of the absolute molecular weights when increasing the CIA concentration was confirmed by GPC/SEC/LALS analyses. It was confirmed by UV-visible analyses the effect of molecular weights on the lower critical solution temperature of the polymers. It was also verified that the addition of the CTA influenced the kinetic of the polymerizations. (C) 2010 Wiley Periodicals, Inc. J Appl Polym Sci 118: 229-240, 2010

Lumbar Epidural Anesthesia in the Treatment of Discal Lombosciatalgia: A Comparative Clinical Study between Methylprednisolone and Methylprednisolone with Levobupivacaine

Sousa FAEF, Colhado OCG - Lumbar Epidural Anesthesia in the Treatment of Discal Lombosciatalgia: A Comparative Clinical Study between Methylprednisolone and Methylprednisolone with Levobupivacaine. Background and objectives: Lumbar epidural technique has been used in the treatment of lombosciatalgia since 1953. In most cases, methylprednisolone is used along with a local anesthetic, and it is not known whether the isolated use of methylprednisolone is equally effective in relieving symptoms. The objective of this study was to compare the efficacy of two different solutions - methylprednisolone with saline and methylprednisolone with levobupivacaine injected in the epidural space to heal lombosciatalgia secondary to lumbar herniated disk. Methods: Sixty individuals ASA I and II, of both genders, ages 18 to 65 years participated in this randomized, double-blind study over a period of one year. They underwent interlaminar lumbar epidural analgesia without radioscopic control to heal a lombosciatalgia and they were divided into two groups: G-M (methylprednisolone + saline) and G-M + L (methylprednisolone + levobupivacaine + saline) both at a volume of 10 mL. Diagnosis was based on history, physical exam, and imaging exam (MRI). The Visual Analogue Scale (VAS) was applied in a total of two blockades, 15 days apart. Results: A reduction in pain severity was observed in the methylprednisolone-levobupivacaine group, but without statistical significance. Conclusions: The analgesic efficacy of the G-M + L solution was superior to that of the G-M solution in the treatment of discal lombosciatalgia regarding the shorter time to onset of analgesia, but this was not significant at the time of discharge, and both solutions were effective in the treatment of discal lombosciatalgia.

Galerkin Solution of Stochastic Beam Bending on Winkler Foundations

In this paper, the Askey-Wiener scheme and the Galerkin method are used to obtain approximate solutions to stochastic beam bending on Winkler foundation. The study addresses Euler-Bernoulli beams with uncertainty in the bending stiffness modulus and in the stiffness of the foundation. Uncertainties are represented by parameterized stochastic processes. The random behavior of beam response is modeled using the Askey-Wiener scheme. One contribution of the paper is a sketch of proof of existence and uniqueness of the solution to problems involving fourth order operators applied to random fields. From the approximate Galerkin solution, expected value and variance of beam displacement responses are derived, and compared with corresponding estimates obtained via Monte Carlo simulation. Results show very fast convergence and excellent accuracies in comparison to Monte Carlo simulation. The Askey-Wiener Galerkin scheme presented herein is shown to be a theoretically solid and numerically efficient method for the solution of stochastic problems in engineering.

Topological instability and electronegativity effects on the glass-forming ability of metallic alloys

The glass-forming ability (GFA) of metallic alloys is associated with a topological instability criterion combined with a new parameter based on the average electronegativity difference of an element and its surrounding neighbours. In this model, we assume that during solidification the glassy phase competes directly with the supersaturated solid solution having the lowest topological instability factor for a given composition. This criterion is combined with the average electronegativity difference among the elements in the alloy, which reflects the strength of the liquid. The GFA is successfully correlated with this combined criterion in several binary glass-forming systems.

Discrete approximation to the global spectrum of the tangent operator for flow past a circular cylinder

This paper deals with the calculation of the discrete approximation to the full spectrum for the tangent operator for the stability problem of the symmetric flow past a circular cylinder. It is also concerned with the localization of the Hopf bifurcation in laminar flow past a cylinder, when the stationary solution loses stability and often becomes periodic in time. The main problem is to determine the critical Reynolds number for which a pair of eigenvalues crosses the imaginary axis. We thus present a divergence-free method, based on a decoupling of the vector of velocities in the saddle-point system from the vector of pressures, allowing the computation of eigenvalues, from which we can deduce the fundamental frequency of the time-periodic solution. The calculation showed that stability is lost through a symmetry-breaking Hopf bifurcation and that the critical Reynolds number is in agreement with the value presented in reported computations. (c) 2007 IMACS. Published by Elsevier B.V. All rights reserved.

Controlling the luminescence properties of poly(p-phenylene vinylene) entrapped in Langmuir and Langmuir-Blodgett films of stearic acid

Properties of hybrid films can be enhanced if their molecular architecture is controlled. In this paper, poly (p-phenylene vinylene) was mixed with stearic acid in order to form stable hybrid Langmuir monolayers. Surface properties of these films were investigated with measurements of surface pressure, and also with polarization modulation infrared reflection-absorption spectroscopy (PM-IRRAS). The films were transferred from the air-water interface to solid supports through the Langmuir-Blodgett technique, and the viability of the film as optical device was investigated with fluorescence spectroscopy. Comparing the fluorescent spectra for the polymer in solution, as a casting film, and as an LB film, the emission bands for LB films were narrower and appeared at lower wavelengths. The interactions between the film components and the design for the LB film may take advantage of the method to immobilize luminescent polymers in mixed ultrathin films adsorbed in solid matrices. (C) 2011 Elsevier B.V. All rights reserved.

Effect of cerium (IV) ions on the anticorrosion properties of siloxane-poly(methyl methacrylate) based film applied on tin coated steel

This work investigates the influence of the addition of cerium (IV) ions on the anticorrosion properties of organic-inorganic hybrid coatings applied to passivated tin coated steel. In order to evaluate the specific effect of cerium (IV) addition on nanostructural features of the organic and inorganic phases of the hybrid coating, the hydrolytic polycondensation of silicon alkoxide and the radical polymerization of the methyl methacrylate (MMA) function were induced separately. The corrosion resistance of the coatings was evaluated by means of linear polarization, Tafel type curves and electrochemical impedance measurements. The impedance results obtained for the hybrid coatings were discussed based on an electrical equivalent circuit used to fit the experimental data. The electrochemical results clearly showed the improvement of the protective properties of the organic-inorganic hybrid coating mainly when the cerium (IV) was added to the organic phase solution precursor, which seemed to be due to the formation of a more uniform and densely reticulated siloxane-PMMA film. (C) 2010 Elsevier Ltd. All rights reserved.

Novel and facile solution-phase synthesis of 2,5-diketopiperazines and O-glycosylated analogs

This work describes the synthesis in Solution of a series of related diketopiperazines with potential biological activities: cyclo(L-Pro-L-Ser), cyclo(L-Phe-L-Ser), cyclo(D-Phe-L-Ser) and the corresponding glycosylated analogs of the latter, cyclo[D-Phe-L-Ser(alpha GlcNAc)] and cyclo[D-Phe-L-Ser(beta GlcNAc)]. The synthetic approach involved coupling reactions of -OH or O-glycosylated serine benzyl esters with NFmoc-protected amino acids (Pro or Phe), followed by one-pot deprotection-cyclization reaction in the presence of 20% piperidine in DMF. (C) 2009 Elsevier Ltd. All rights reserved.

Three-dimensional solution structure of alpha-conotoxin MII by NMR spectroscopy: Effects of solution environment on helicity

alpha-Conotoxin MII, a 16-residue polypeptide from the venom of the piscivorous cone snail Conus magus, is a potent and highly specific blocker of mammalian neuronal nicotinic acetylcholine receptors composed of alpha 3 beta 2 subunits. The role of this receptor type in the modulation of neurotransmitter release and its relevance to the problems of addiction and psychosis emphasize the importance of a structural understanding of the mode of interaction of MII with the alpha 3 beta 2 interface. Here we describe the three-dimensional solution structure of MIT determined using 2D H-1 NMR spectroscopy. Structural restraints consisting of 376 interproton distances inferred from NOEs and 12 dihedral restraints derived from spin-spin coupling constants were used as input for simulated annealing calculations and energy minimization in the program X-PLOR. The final set of 20 structures is exceptionally well-defined with mean pairwise rms differences over the whole molecule of 0.07 Angstrom for the backbone atoms and 0.34 Angstrom for all heavy atoms. MII adopts a compact structure incorporating a central segment of alpha-helix and beta-turns at the N- and C-termini. The molecule is stabilized by two disulfide bonds, which provide cross-links between the N-terminus and both the middle and C-terminus of the structure. The susceptibility of the structure to conformational change was examined using several different solvent conditions. While the global fold of MII remains the same, the structure is stabilized in a more hydrophobic environment provided by the addition of acetonitrile or trifluoroethanol to the aqueous solution. The distribution of amino acid side chains in MII creates distinct hydrophobic and polar patches on its surface that may be important for the specific interaction with the alpha 3 beta 2 neuronal nAChR. A comparison of the structure of MII with other neuronal-specific alpha-conotoxins provides insights into their mode of interaction with these receptors.