Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Evolution of primordial black holes in a radiation and phantom energy environment

In this work we extend previous work on the evolution of a primordial black hole (PBH) to address the presence of a dark energy component with a super-negative equation of state as a background, investigating the competition between the radiation accretion, the Hawking evaporation and the phantom accretion, the latter two causing a decrease on black hole mass. It is found that there is an instant during the matter-dominated era after which the radiation accretion becomes negligible compared to the phantom accretion. The Hawking evaporation may become important again depending on a mass threshold. The evaporation of PBHs is quite modified at late times by these effects, but only if the generalized second law of thermodynamics is violated.

Black-box decomposition approach for computational hemodynamics: One-dimensional models

Increasing efforts exist in integrating different levels of detail in models of the cardiovascular system. For instance, one-dimensional representations are employed to model the systemic circulation. In this context, effective and black-box-type decomposition strategies for one-dimensional networks are needed, so as to: (i) employ domain decomposition strategies for large systemic models (1D-1D coupling) and (ii) provide the conceptual basis for dimensionally-heterogeneous representations (1D-3D coupling, among various possibilities). The strategy proposed in this article works for both of these two scenarios, though the several applications shown to illustrate its performance focus on the 1D-1D coupling case. A one-dimensional network is decomposed in such a way that each coupling point connects two (and not more) of the sub-networks. At each of the M connection points two unknowns are defined: the flow rate and pressure. These 2M unknowns are determined by 2M equations, since each sub-network provides one (non-linear) equation per coupling point. It is shown how to build the 2M x 2M non-linear system with arbitrary and independent choice of boundary conditions for each of the sub-networks. The idea is then to solve this non-linear system until convergence, which guarantees strong coupling of the complete network. In other words, if the non-linear solver converges at each time step, the solution coincides with what would be obtained by monolithically modeling the whole network. The decomposition thus imposes no stability restriction on the choice of the time step size. Effective iterative strategies for the non-linear system that preserve the black-box character of the decomposition are then explored. Several variants of matrix-free Broyden`s and Newton-GMRES algorithms are assessed as numerical solvers by comparing their performance on sub-critical wave propagation problems which range from academic test cases to realistic cardiovascular applications. A specific variant of Broyden`s algorithm is identified and recommended on the basis of its computer cost and reliability. (C) 2010 Elsevier B.V. All rights reserved.

Fermion perturbations in string theory black holes

In this paper we study fermion perturbations in four-dimensional black holes of string theory, obtained either from a non-extreme configuration of three intersecting five-branes with a boost along the common string or from a non-extreme intersecting system of two two-branes and two five-branes. The Dirac equation for the massless neutrino field, after conformal re-scaling of the metric, is written as a wave equation suitable to study the time evolution of the perturbation. We perform a numerical integration of the evolution equation, and with the aid of Prony fitting of the time-domain profile, we calculate the complex frequencies that dominate the quasinormal ringing stage, and also determine these quantities by the semi-analytical sixth-order WKB method. We also find numerically the decay factor of fermion fields at very late times, and show that the falloff is identical to those showing for massless fields in other four-dimensional black hole spacetimes.

Phantom accretion by black holes and the generalized second law of thermodynamics

The accretion of a phantom fluid with non-zero chemical potential by black holes is discussed with basis on the generalized second law of thermodynamics. For phantom fluids with positive temperature and negative chemical potential we demonstrate that the accretion process is possible, and that the condition guaranteeing the positiveness of the phantom fluid entropy coincides with the one required by the generalized second law. (C) 2010 Elsevier B.V. All rights reserved.

Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás

ALVES, Janaína da Silva. Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás. Revista Ciências Administrativas, Fotaleza, v. 13, n. 1, p.147-157, ago. 2007.

Consistency of the mass variation formula for black holes accreting cosmological fluids

We address the spherical accretion of generic fluids onto black holes. We show that, if the black hole metric satisfies certain conditions, in the presence of a test fluid it is possible to derive a fully relativistic prescription for the black hole mass variation. Although the resulting equation may seem obvious due to a form of it appearing as a step in the derivation of the Schwarzschild metric, this geometrical argument is necessary to fix the added degree of freedom one gets for allowing the mass to vary with time. This result has applications on cosmological accretion models and provides a derivation from first principles to serve as a basis to the accretion equations already in use in the literature.

Black hole formation with an interacting vacuum energy density

We discuss the gravitational collapse of a spherically symmetric massive core of a star in which the fluid component is interacting with a growing vacuum energy density. The influence of the variable vacuum in the collapsing core is quantified by a phenomenological beta parameter as predicted by dimensional arguments and the renormalization group approach. For all reasonable values of this free parameter, we find that the vacuum energy density increases the collapsing time, but it cannot prevent the formation of a singular point. However, the nature of the singularity depends on the value of beta. In the radiation case, a trapped surface is formed for beta <= 1/2, whereas for beta >= 1/2, a naked singularity is developed. In general, the critical value is beta = 1-2/3(1 + omega) where omega is the parameter describing the equation of state of the fluid component.

Quantum gravity effects in rotating black hole spacetimes

The aim of this work is to explore, within the framework of the presumably asymptotically safe Quantum Einstein Gravity, quantum corrections to black hole spacetimes, in particular in the case of rotating black holes. We have analysed this problem by exploiting the scale dependent Newton s constant implied by the renormalization group equation for the effective average action, and introducing an appropriate "cutoff identification" which relates the renormalization scale to the geometry of the spacetime manifold. We used these two ingredients in order to "renormalization group improve" the classical Kerr metric that describes the spacetime generated by a rotating black hole. We have focused our investigation on four basic subjects of black hole physics. The main results related to these topics can be summarized as follows. Concerning the critical surfaces, i.e. horizons and static limit surfaces, the improvement leads to a smooth deformation of the classical critical surfaces. Their number remains unchanged. In relation to the Penrose process for energy extraction from black holes, we have found that there exists a non-trivial correlation between regions of negative energy states in the phase space of rotating test particles and configurations of critical surfaces of the black hole. As for the vacuum energy-momentum tensor and the energy conditions we have shown that no model with "normal" matter, in the sense of matter fulfilling the usual energy conditions, can simulate the quantum fluctuations described by the improved Kerr spacetime that we have derived. Finally, in the context of black hole thermodynamics, we have performed calculations of the mass and angular momentum of the improved Kerr black hole, applying the standard Komar integrals. The results reflect the antiscreening character of the quantum fluctuations of the gravitational field. Furthermore we calculated approximations to the entropy and the temperature of the improved Kerr black hole to leading order in the angular momentum. More generally we have proven that the temperature can no longer be proportional to the surface gravity if an entropy-like state function is to exist.

(Table 4) Mesozoolpankton abundance and biomass and relative percentage of key zooplankton groups along the Bulgarian coast, Black Sea

Results of studies during Project of an international expedition onboard R/V Vladimir Parshin in September-October 2005 are presented. Intensive development of Bacillariophyceae and Dynophyceae was recorded in coastal waters of Bulgaria, Turkey, and in the Danube River delta during period of investigations. Increase in algae population was accompanied by rising of chlorophyll a concentration up to 2.0-5.5 µg/l. In the deep water region it did not exceed 0.5 µg/l. Phytoplankton growth rate in the surface water layer varied from 0.1 to 1.0 1/day. This parameter and NO2+NO3 concentration, as well as the silicon concentration were correlative, as was described by the Michaelis-Menten equation. Phytoplankton growth was affected by basic nutrients. Zooplankton grazing varied from 0.10 to 0.69 1/day and average values in different regions varied by 1.5 times. Microalgae size range is one of major factors of grazing regulation. Rate of phytoplankton consumption was decreasing with increasing the largest diatom Pseudosolenia calcar-avis impact on total biomass of nano- and microphytoplankton.

Biomass of mesozooplankton in the western part of the Black Sea in 1997 during the Cooperative Marine Science Program for the Black Sea (CoMSBlack)

The "15BO1997001" dataset is based on samples collected in the spring of 1997. The whole dataset is composed of 66 samples (from 27 stations of National Monitoring Sampling Grid) with data of zooplankton species composition, abundance and biomass. Samples were collected in discrete layers 0-10, 0-20, 0-50, 10-25, 25-50, 50-100 and from bottom up to the surface at depths depending on water column stratification and the thermocline depth. The collected material was analysed using the method of Dimov (1959). Samples were brought to volume of 25-30 ml depending upon zooplankton density and mixed intensively until all organisms were distributed randomly in the sample volume. After that 5 ml of sample was taken and poured in the counting chamber which is a rectangle form for taxomomic identification and count. Large (> 1 mm body length) and not abundant species were calculated in whole sample. Counting and measuring of organisms were made in the Dimov chamber under the stereomicroscope to the lowest taxon possible. Taxonomic identification was done at the Institute of Oceanology by Asen Konsulov using the relevant taxonomic literature (Mordukhay-Boltovskoy, F.D. (Ed.). 1968, 1969,1972 ). The biomass was estimated as wet weight by Petipa, 1959 (based on species specific wet weight). Wet weight values were transformed to dry weight using the equation DW=0.16*WW as suggested by Vinogradov & Shushkina, 1987. The collected material was analysed using the method of Dimov (1959). Samples were brought to volume of 25-30 ml depending upon zooplankton density and mixed intensively until all organisms were distributed randomly in the sample volume. After that 5 ml of sample was taken and poured in the counting chamber which is a rectangle form for taxomomic identification and count. Copepods and Cladoceras were identified and enumerated; the other mesozooplankters were identified and enumerated at higher taxonomic level (commonly named as mesozooplankton groups). Large (> 1 mm body length) and not abundant species were calculated in whole sample. Counting and measuring of organisms were made in the Dimov chamber under the stereomicroscope to the lowest taxon possible. Taxonomic identification was done at the Institute of Oceanology by Asen Konsulov using the relevant taxonomic literature (Mordukhay-Boltovskoy, F.D. (Ed.). 1968, 1969,1972 ). The biomass was estimated as wet weight by Petipa, 1959 ussing standard average weight of each species in mg/m3. WW were converted to DW by equation DW=0.16*WW (Vinogradov ME, Sushkina EA, 1987).

Light absorption and phytoplankton biomass in the Black Sea in spring 1995

Spectra of light absorption by suspended matter, phytoplankton, and detritus in the central and coastal parts of the Black Sea over the spring period (March-April 1995) were determined. Vertical homogeneity of the upper 40 m layer with respect to parameters in study was noted. Value of light absorption by phytoplankton normalized with respect to chlorophyll a was virtually independent of chlorophyll a concentration. A linear relationship between light absorption by phytoplankton and chlorophyll a concentration was established at the red spectral maximum. It is described by the equation y = 0.0153x; R**2 = 0.61. The average ratio of absorption values in the peaks was 2.29. Contribution of detritus to total light absorption at wavelength 440 nm was 23-62% regardless of depth and chlorophyll a concentration.

Biomass of mesozooplankton in the western part of the Black Sea in 1992 during the Cooperative Marine Science Program for the Black Sea (CoMSBlack)

The "CoMSBlack92" dataset is based on samples collected in the summer of 1992 along the Bulgarian coast including coastal and open sea areas. The whole dataset is composed of 79 samples (28 stations) with data of zooplankton species composition, abundance and biomass. Sampling for zooplankton was performed from bottom up to the surface at standard depths depending on water column stratification and the thermocline depth. Zooplankton samples were collected with vertical closing Juday net,diameter - 36cm, mesh size 150 ?m. Tows were performed from surface down to bottom meters depths in discrete layers. Samples were preserved by a 4% formaldehyde sea water buffered solution. Sampling volume was estimated by multiplying the mouth area with the wire length. Sampling volume was estimated by multiplying the mouth area with the wire length. The collected material was analysed using the method of Domov (1959). Samples were brought to volume of 25-30 ml depending upon zooplankton density and mixed intensively until all organisms were distributed randomly in the sample volume. After that 5 ml of sample was taken and poured in the counting chamber which is a rectangle form for taxomomic identification and count. Large (> 1 mm body length) and not abundant species were calculated in whole sample. Counting and measuring of organisms were made in the Dimov chamber under the stereomicroscope to the lowest taxon possible. Taxonomic identification was done at the Institute of Oceanology by Asen Konsulov using the relevant taxonomic literature (Mordukhay-Boltovskoy, F.D. (Ed.). 1968, 1969,1972 ). The biomass was estimated as wet weight by Petipa, 1959 (based on species specific wet weight). Wet weight values were transformed to dry weight using the equation DW=0.16*WW as suggested by Vinogradov & Shushkina, 1987. Copepods and Cladoceras were identified and enumerated; the other mesozooplankters were identified and enumerated at higher taxonomic level (commonly named as mesozooplankton groups). Large (> 1 mm body length) and not abundant species were calculated in whole sample. The biomass was estimated as wet weight by Petipa, 1959 ussing standard average weight of each species in mg/m**3.

Biomass of mesozooplankton in the western part of the Black Sea in summer 1991 during the NATO Programme Hydroblack

The "Hydroblack91" dataset is based on samples collected in the summer of 1991 and covers part of North-Western in front of Romanian coast and Western Black Sea (Bulgarian coasts) (between 43°30' - 42°10' N latitude and 28°40'- 31°45' E longitude). Mesozooplankton sampling was undertaken at 20 stations. The whole dataset is composed of 72 samples with data of zooplankton species composition, abundance and biomass. Samples were collected in discrete layers 0-10, 0-20, 0-50, 10-25, 25-50, 50-100 and from bottom up to the surface at depths depending on water column stratification and the thermocline depth. Zooplankton samples were collected with vertical closing Juday net,diameter - 36cm, mesh size 150 µm. Tows were performed from surface down to bottom meters depths in discrete layers. Samples were preserved by a 4% formaldehyde sea water buffered solution. Sampling volume was estimated by multiplying the mouth area with the wire length. Mesozooplankton abundance: The collected materia was analysed using the method of Domov (1959). Samples were brought to volume of 25-30 ml depending upon zooplankton density and mixed intensively until all organisms were distributed randomly in the sample volume. After that 5 ml of sample was taken and poured in the counting chamber which is a rectangle form for taxomomic identification and count. Large (> 1 mm body length) and not abundant species were calculated in whole sample. Counting and measuring of organisms were made in the Dimov chamber under the stereomicroscope to the lowest taxon possible. Taxonomic identification was done at the Institute of Oceanology by Asen Konsulov using the relevant taxonomic literature (Mordukhay-Boltovskoy, F.D. (Ed.). 1968, 1969,1972). The biomass was estimated as wet weight by Petipa, 1959 (based on species specific wet weight). Wet weight values were transformed to dry weight using the equation DW=0.16*WW as suggested by Vinogradov & Shushkina, 1987. Taxon-specific abundance: The collected material was analysed using the method of Domov (1959). Samples were brought to volume of 25-30 ml depending upon zooplankton density and mixed intensively until all organisms were distributed randomly in the sample volume. After that 5 ml of sample was taken and poured in the counting chamber which is a rectangle form for taxomomic identification and count. Copepods and Cladoceras were identified and enumerated; the other mesozooplankters were identified and enumerated at higher taxonomic level (commonly named as mesozooplankton groups). Large (> 1 mm body length) and not abundant species were calculated in whole sample. Counting and measuring of organisms were made in the Dimov chamber under the stereomicroscope to the lowest taxon possible. Taxonomic identification was done at the Institute of Oceanology by Asen Konsulov using the relevant taxonomic literature (Mordukhay-Boltovskoy, F.D. (Ed.). 1968, 1969,1972). The biomass was estimated as wet weight by Petipa, 1959 ussing standard average weight of each species in mg/m3. WW were converted to DW by equation DW=0.16*WW (Vinogradov ME, Sushkina EA, 1987).

Evapotranspiration of grapevine trained to a gable trellis system under netting and black plastic mulching

The evapotranspiration (ET c) of a table grape vineyard (Vitis vinifera, cv. Red Globe) trained to a gable trellis under netting and black plastic mulching was determined under semiarid conditions in the central Ebro River Valley during 2007 and 2008. The netting was made of high-density polyethylene (pores of 12 mm2) and was placed just above the ground canopy about 2.2 m above soil surface. Black plastic mulching was used to minimize soil evaporation. The surface renewal method was used to obtain values of sensible heat flux (H) from high-frequency temperature readings. Later, latent heat flux (LE) values were obtained by solving the energy balance equation. For the May–October period, seasonal ET c was about 843 mm in 2007 and 787 mm in 2008. The experimental weekly crop coefficients (K cexp) fluctuated between 0.64 and 1.2. These values represent crop coefficients adjusted to take into account the reduction in ET c caused by the netting and the black plastic mulching. Average K cexp values during mid- and end-season stages were 0.79 and 0.98, respectively. End-season K cexp was higher due to combination of factors related to the precipitation and low ET o conditions that are typical in this region during fall. Estimated crop coefficients using the Allen et al. (1998) approach adjusting for the effects of the netting and black plastic mulching (K cFAO) showed a good agreement with the experimental K cexp values.