A geometriai Brown-mozgás feltevésének elfogadhatósága a reálopciók értékelésében (The acceptability of the assumption of geometric brownian motion in the valuation of real options)

A reálopciók a döntési rugalmasság megtestesítőiként jelen vannak a vállalatvezetők mindennapjaiban, és cégtől függően jelentős értéket képviselhetnek. Értékelésük a hagyományos diszkontált pénzáramlás módszerekkel csak korlátozottan lehetséges, ezért alternatívaként felmerül a pénzügyi opcióárazás módszertana, amelynek hagyományos változatai az alaptermék alakulásáról geometriai Brown-mozgást feltételeznek. A cikk ezt a feltevést veszi górcső alá a reálopciókra történő alkalmazás szempontjából, és megmutatja, hogy habár önkényesnek tűnhet, valójában nem pusztán egy matematikai szempontból kényelmes megoldás, hanem pénzügyileg is elfogadható feltétel. _______ Real options represent the fl exibility of decision-making, and are thus part of the everyday work of corporate executives, often having great value. Valuing them with the use of traditional Discounted Cash Flow models has limited relevance, therefore arises the alternative methodology of fi nancial option pricing, the traditional versions of which assume that the price of the underlying asset follows Geometric Brownian Motion. The paper examines this assumption from the aspect of real option valuation and shows that although it might seem arbitrary, it is not only a mathematically convenient choice, but also a fi nancially acceptable one.

Essays on international lending and increasing returns to scale

Standard economic theory suggests that capital should flow from rich countries to poor countries. However, capital has predominantly flowed to rich countries. The three essays in this dissertation attempt to explain this phenomenon. The first two essays suggest theoretical explanations for why capital has not flowed to the poor countries. The third essay empirically tests the theoretical explanations.^ The first essay examines the effects of increasing returns to scale on international lending and borrowing with moral hazard. Introducing increasing returns in a two-country general equilibrium model yields possible multiple equilibria and helps explain the possibility of capital flows from a poor to a rich country. I find that a borrowing country may need to borrow sufficient amounts internationally to reach a minimum investment threshold in order to invest domestically.^ The second essay examines how a poor country may invest in sectors with low productivity because of sovereign risk, and how collateral differences across sectors may exacerbate the problem. I model sovereign borrowing with a two-sector economy: one sector with increasing returns to scale (IRS) and one sector with diminishing returns to scale (DRS). Countries with incomes below a threshold will only invest in the DRS sector, and countries with incomes above a threshold will invest mostly in the IRS sector. The results help explain the existence of a bimodal world income distribution.^ The third essay empirically tests the explanations for why capital has not flowed from the rich to the poor countries, with a focus on institutions and initial capital. I find that institutional variables are a very important factor, but in contrast to other studies, I show that institutions do not account for the Lucas Paradox. Evidence of increasing returns still exists, even when controlling for institutions and other variables. In addition, I find that the determinants of capital flows may depend on whether a country is rich or poor.^

Returns to shareholder activism: Evidence from a clinical study of the hermes UK focus fund

This article reports a unique analysis of private engagements by an activist fund. It is based on data made available to us by Hermes, the fund manager owned by the British Telecom Pension Scheme, on engagements with management in companies targeted by its UK Focus Fund. In contrast with most previous studies of activism, we report that the fund executes shareholder activism predominantly through private interventions that would be unobservable in studies purely relying on public information. The fund substantially outperforms benchmarks and we estimate that abnormal returns are largely associated with engagements rather than stock picking. © The Author 2008.

Egfr Activating Mutations And Their Association With Response To Platinum-doublet Chemotherapy In Brazilian Non-small Cell Lung Cancer Patients.

The aim of the study was to analyze the frequency of epidermal growth factor receptor (EGFR) mutations in Brazilian non-small cell lung cancer patients and to correlate these mutations with response to benefit of platinum-based chemotherapy in non-small cell lung cancer (NSCLC). Our cohort consisted of prospective patients with NSCLCs who received chemotherapy (platinum derivates plus paclitaxel) at the [UNICAMP], Brazil. EGFR exons 18-21 were analyzed in tumor-derived DNA. Fifty patients were included in the study (25 with adenocarcinoma). EGFR mutations were identified in 6/50 (12 %) NSCLCs and in 6/25 (24 %) adenocarcinomas; representing the frequency of EGFR mutations in a mostly self-reported White (82.0 %) southeastern Brazilian population of NSCLCs. Patients with NSCLCs harboring EGFR exon 19 deletions or the exon 21 L858R mutation were found to have a higher chance of response to platinum-paclitaxel (OR 9.67 [95 % CI 1.03-90.41], p = 0.047). We report the frequency of EGFR activating mutations in a typical southeastern Brazilian population with NSCLC, which are similar to that of other countries with Western European ethnicity. EGFR mutations seem to be predictive of a response to platinum-paclitaxel, and additional studies are needed to confirm or refute this relationship.

Two Novel Mutations In The Thyroid Hormone Receptor β In Patients With Resistance To Thyroid Hormone (rth β): Clinical, Biochemical, And Molecular Data.

The syndrome of resistance to thyroid hormone (RTH β) is an inherited disorder characterized by variable tissue hyposensitivity to 3,5,30-l-triiodothyronine (T3), with persistent elevation of free-circulating T3 (FT3) and free thyroxine (FT4) levels in association with nonsuppressed serum thyrotropin (TSH). Clinical presentation is variable and the molecular analysis of THRB gene provides a short cut diagnosis. Here, we describe 2 cases in which RTH β was suspected on the basis of laboratory findings. The diagnosis was confirmed by direct THRB sequencing that revealed 2 novel mutations: the heterozygous p.Ala317Ser in subject 1 and the heterozygous p.Arg438Pro in subject 2. Both mutations were shown to be deleterious by SIFT, PolyPhen, and Align GV-GD predictive methods.

Sliding wear of weld layers with application to cane mill shaft rebuilding

Three welding procedures used to rebuild worn shafts in sugar cane mills were analysed: two submerged arc welding processes and one flux cored arc welding (FCAW) process. Sliding wear tests were in accordance with ASTM G 77 standard, using rings of welding material, blocks of bronze SAE 67, and oil as lubricant. The worn surfaces of rings and blocks were analysed by scanning electron microscopy to determine the wear mechanisms. High contact pressure, high operating temperature, and low relative speed were applied in sliding wear tests to match the conditions in sugar cane mills. Transferred material and evidence of adhesive junctions were detected. Additionally, hardened fragments produced abrasive grooves on the worn surfaces. The welding deposits that presented strong adhesion on the worn surface showed higher mass loss than the materials that presented more abrasive characteristics. Plastic mechanical properties were measured and related to the mass loss. The tested materials presented similar hardness but different yield stress and hardening coefficient. A relationship between wear, strain hardening coefficient, and yield stress was found. The welding deposit that presented the highest hardening coefficient showed the highest mass loss, with evidence of severe adhesion on the worn surface.

Suppression of away-side jet fragments with respect to the reaction plane in Au plus Au collisions at root s(NN)=200 GeV

Pair correlations between large transverse momentum neutral pion triggers (p(T) = 4-7 GeV/c) and charged hadron partners (p(T) = 3-7 GeV/c) in central (0%-20%) and midcentral (20%-60%) Au + Au collisions at root s(NN) = 200 GeV are presented as a function of trigger orientation with respect to the reaction plane. The particles are at larger momentum than where jet shape modifications have been observed, and the correlations are sensitive to the energy loss of partons traveling through hot densematter. An out-of-plane trigger particle produces only 26 +/- 20% of the away-side pairs that are observed opposite of an in-plane trigger particle for midcentral (20%-60%) collisions. In contrast, near-side jet fragments are consistent with no suppression or dependence on trigger orientation with respect to the reaction plane. These observations are qualitatively consistent with a picture of little near-side parton energy loss either due to surface bias or fluctuations and increased away-side parton energy loss due to a long path through the medium. The away-side suppression as a function of reaction-plane angle is shown to be sensitive to both the energy loss mechanism and the space-time evolution of heavy-ion collisions.

High-p(T) pi(0) production with respect to the reaction plane in Au plus Au collisions at s(NN)=200 GeV

Measurements of the azimuthal anisotropy of high-p(T) neutral pion (pi(0)) production in Au+Au collisions at s(NN)=200 GeV by the PHENIX experiment are presented. The data included in this article were collected during the 2004 Relativistic Heavy Ion Collider running period and represent approximately an order of magnitude increase in the number of analyzed events relative to previously published results. Azimuthal angle distributions of pi(0) mesons detected in the PHENIX electromagnetic calorimeters are measured relative to the reaction plane determined event-by-event using the forward and backward beam-beam counters. Amplitudes of the second Fourier component (v(2)) of the angular distributions are presented as a function of pi(0) transverse momentum (p(T)) for different bins in collision centrality. Measured reaction plane dependent pi(0) yields are used to determine the azimuthal dependence of the pi(0) suppression as a function of p(T), R(AA)(Delta phi,p(T)). A jet-quenching motivated geometric analysis is presented that attempts to simultaneously describe the centrality dependence and reaction plane angle dependence of the pi(0) suppression in terms of the path lengths of hypothetical parent partons in the medium. This set of results allows for a detailed examination of the influence of geometry in the collision region and of the interplay between collective flow and jet-quenching effects along the azimuthal axis.

Experimental studies of di-jet survival and surface emission bias in Au plus Au collisions via angular correlations with respect to back-to-back leading hadrons

We report first results from an analysis based on a new multi-hadron correlation technique, exploring jet-medium interactions and di-jet surface emission bias at the BNL Relativistic Heavy Ion Collider (RHIC). Pairs of back-to-back high-transverse-momentum hadrons are used for triggers to study associated hadron distributions. In contrast with two-and three-particle correlations with a single trigger with similar kinematic selections, the associated hadron distribution of both trigger sides reveals no modification in either relative pseudorapidity Delta eta or relative azimuthal angle Delta phi from d + Au to central Au + Au collisions. We determine associated hadron yields and spectra as well as production rates for such correlated back-to-back triggers to gain additional insights on medium properties.

Evaluation of rock mechanical behaviors under uniaxial compression with reference to assessed weathering grades

A weathering classification for granitic rock materials from southeastern Brazil was framed based on core characteristics. The classification was substantiated by a detailed petrographic study. Indirect assessment of weathering grades by density, ultrasonic and Schmidt hammer index tests was performed. Rebound values due to Schmidt hammer multiple impacts at one representative point were more efficient in predicting weathering grades than averaged single impact rebound values, P-wave velocities and densities. Uniaxial compression tests revealed that a large range of uniaxial compressive strength (214-153 MPa) exists in Grade I category where weathering does not seem to have played any role. It was concluded that variability in occurrences of quartz intragranular cracks and in biotite percentage, distribution and orientation might have played a key role in accelerating or decelerating the failure processes of the Grade I specimens. Deterioration of uniaxial compressive strength and elastic modulus and increase in Poisson`s ratio with increasing weathering intensity could be attributed to alteration of minerals, disruption of rock skeleton and microcrack augmentation. A crude relation between failure modes and weathering grades also emerged.

Residual stresses in TiN, DLC and MoS(2) coated surfaces with regard to their tribological fracture behaviour

Thin hard coatings on components and tools are used increasingly due to the rapid development in deposition techniques, tribological performance and application skills. The residual stresses in a coated surface are crucial for its tribological performance. Compressive residual stresses in PVD deposited TiN and DLC coatings were measured to be in the range of 0.03-4 GPa on steel substrate and 0.1-1.3 GPa on silicon. MoS(2) coatings had tensional stresses in the range of 0.8-1.3 on steel and 0.16 GPa compressive stresses on silicon. The fracture pattern of coatings deposited on steel substrate were analysed both in bend testing and scratch testing. A micro-scale finite element method (FEM) modelling and stress simulation of a 2 mu m TiN-coated steel surface was carried out and showed a reduction of the generated tensile buckling stresses in front of the sliding tip when compressive residual stresses of 1 GPa were included in the model. However, this reduction is not similarly observed in the scratch groove behind the tip, possibly due to sliding contact-induced stress relaxation. Scratch and bending tests allowed calculation of the fracture toughness of the three coated surfaces, based on both empirical crack pattern observations and FEM stress calculation, which resulted in highest values for TiN coating followed by MoS(2) and DLC coatings, being K(C) = 4-11, about 2, and 1-2 MPa M(1/2), respectively. Higher compressive residual stresses in the coating and higher elastic modulus of the coating correlated to increased fracture toughness of the coated surface. (C) 2009 Elsevier B.V. All rights reserved.

Ciratefi: An RST-invariant template matching with extension to color images

Template matching is a technique widely used for finding patterns in digital images. A good template matching should be able to detect template instances that have undergone geometric transformations. In this paper, we proposed a grayscale template matching algorithm named Ciratefi, invariant to rotation, scale, translation, brightness and contrast and its extension to color images. We introduce CSSIM (color structural similarity) for comparing the similarity of two color image patches and use it in our algorithm. We also describe a scheme to determine automatically the appropriate parameters of our algorithm and use pyramidal structure to improve the scale invariance. We conducted several experiments to compare grayscale and color Ciratefis with SIFT, C-color-SIFT and EasyMatch algorithms in many different situations. The results attest that grayscale and color Ciratefis are more accurate than the compared algorithms and that color-Ciratefi outperforms grayscale Ciratefi most of the time. However, Ciratefi is slower than the other algorithms.

Rotation-discriminating template matching based on Fourier coefficients of radial projections with robustness to scaling and partial occlusion

We consider brightness/contrast-invariant and rotation-discriminating template matching that searches an image to analyze A for a query image Q We propose to use the complex coefficients of the discrete Fourier transform of the radial projections to compute new rotation-invariant local features. These coefficients can be efficiently obtained via FFT. We classify templates in ""stable"" and ""unstable"" ones and argue that any local feature-based template matching may fail to find unstable templates. We extract several stable sub-templates of Q and find them in A by comparing the features. The matchings of the sub-templates are combined using the Hough transform. As the features of A are computed only once, the algorithm can find quickly many different sub-templates in A, and it is Suitable for finding many query images in A, multi-scale searching and partial occlusion-robust template matching. (C) 2009 Elsevier Ltd. All rights reserved.