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.

A calibration approach based on Takagi-Sugeno fuzzy inference system for digital electronic compasses

Recently, the development of industrial processes brought on the outbreak of technologically complex systems. This development generated the necessity of research relative to the mathematical techniques that have the capacity to deal with project complexities and validation. Fuzzy models have been receiving particular attention in the area of nonlinear systems identification and analysis due to it is capacity to approximate nonlinear behavior and deal with uncertainty. A fuzzy rule-based model suitable for the approximation of many systems and functions is the Takagi-Sugeno (TS) fuzzy model. IS fuzzy models are nonlinear systems described by a set of if then rules which gives local linear representations of an underlying system. Such models can approximate a wide class of nonlinear systems. In this paper a performance analysis of a system based on IS fuzzy inference system for the calibration of electronic compass devices is considered. The contribution of the evaluated IS fuzzy inference system is to reduce the error obtained in data acquisition from a digital electronic compass. For the reliable operation of the TS fuzzy inference system, adequate error measurements must be taken. The error noise must be filtered before the application of the IS fuzzy inference system. The proposed method demonstrated an effectiveness of 57% at reducing the total error based on considered tests. (C) 2011 Elsevier Ltd. All rights reserved.

A Short Note on Transverse Vibrations of a Shaft Carrying Two (or One) Disk Excited by a Nonideal Motor

The paper presents a number of numerical simulations of the transverse vibrations of two (or one) imbalanced rotors forced by an electric motor with limited power supply, during the passage through of the two resonance zones (increasing and decreasing input voltages). The predominant presence of the Sommerfeld effect. when the rotational velocity of the motor is captured, in the second resonance frequency is demonstrated. We have shown that the hysteretic jump phenomenon exists in a rotor system with two (or one) disks, and with this, we have shown that a torque is influenced by the dynamical behavior of die rotor [DOI: 10.1115/1.3007979]

Probing the electronic delocalization in a cyclic pyrazine ruthenium cluster hexamer

[Ru(3)O(CH(3)COO)(6)(pz)(CO)](6) is a cyclic hexamer species encompassing six triangular ruthenium cluster centers bridged by pyrazine ligands. The electronic communication among the cluster units strongly depends on their oxidation states, and has been successfully probed by means of cyclic voltammetry and UV-vis spectroelectrochemistry. (C) 2010 Elsevier B.V. All rights reserved.

A first-principles density-functional calculation of the electronic and vibrational structure of the key melanin monomers

We report first-principles density-functional calculations for hydroquinone (HQ), indolequinone (IQ), and semiquinone (SQ). These molecules are believed to be the basic building blocks of the eumelanins, a class of biomacromolecules with important biological functions (including photoprotection) and with the potential for certain bioengineering applications. We have used the difference of self-consistent fields method to study the energy gap between the highest occupied molecular orbital and the lowest unoccupied molecular orbital, HL. We show that HL is similar in IQ and SQ, but approximately twice as large in HQ. This may have important implications for our understanding of the observed broadband optical absorption of the eumelanins. The possibility of using this difference in HL to molecularly engineer the electronic properties of eumelanins is discussed. We calculate the infrared and Raman spectra of the three redox forms from first principles. Each of the molecules have significantly different infrared and Raman signatures, and so these spectra could be used in situ to nondestructively identify the monomeric content of macromolecules. It is hoped that this may be a helpful analytical tool in determining the structure of eumelanin macromolecules and hence in helping to determine the structure-property-function relationships that control the behavior of the eumelanins.

Classical and quantum noise in electronic systems

We review the description of noise in electronic circuits in terms of electron transport. The Poisson process is used as a unifying principle. In recent years, much attention has been given to current noise in light-emitting diodes and laser diodes. In these devices, random events associated with electron transport are correlated with photon emission times, thus modifying both the current statistics and the statistics of the emitted light. We give a review of experiments in this area with special emphasis on the ability of such devices to produce subshot-noise currents and light beams. Finally we consider the noise properties of a class of mesoscopic devices based on the quantum tunnelling of an electron into and out of a bound state. We present a simple quantum model of this process which confirms that the current noise in such a device should be subshot-noise.

A note on extension variances in IR2

Matheron (1971) proposed an approximation of the extension variance in IR. We propose in this note an extension of this formula in IR2, based on a MacLaurin formula. Its application is shown in an example, the estimation of the maximum depressional storage of a soil surface.

Iron(III) and iron(II) complexes of 1-thia-4,7-diazacyclononane ([9]aneN(2)S) and 1,4-dithia-7-azacyclononane ([9]aneNS(2)). X-Ray structural analyses, magnetic susceptibility, Mossbauer, EPR and electronic spectroscopy

The complexes [Fe([9]aneN(2)S)(2)][ClO4](2), [Fe([9]aneN(2)S)(2)][ClO4](3) and [Fe([9]aneNS(2))(2)][ClO4](2) ([9]aneN(2)S = 1-thia-4. 7-diazacyclononane and [9]aneNS(2) = 1,4-dithia-7-azacyclononane) have been prepared and the latter two characterised by X-ray crystallography. The Mossbauer spectra (isomer shift/mm s(-1), quadrupole splitting/mm s(-1), 4.2 K) for [Fe([9]aneN(2)S)(2)][ClO4](2) (0.52, 0.57), [Fe([9]aneN(2)S)(2)][ClO4](3) (0.25, 2.72) and [Fe([9]aneNS(2))(2)][ClO4](2) (0.43, 0.28) are typical for iron(II) and iron(III) complexes. Variable-temperature susceptibility measurements for [Fe([9]aneN(2)S)(2)][ClO4](2) (2-300 K) revealed temperature-dependent behaviour in both the solid state [2.95 mu(B) (300 K)-0.5 mu(B) (4.2 K)] and solution (Delta H degrees 20-22 kJ mol(-1), Delta S degrees 53-60 J mol(-1) K-1). For [Fe([9]aneN(2)S)(2)][ClO4](3) in the solid state [2.3 mu(B) (300 K)-1.9 mu(B) (4.2 K)] the magnetic data were fit to a simple model (H = -lambda L . S + mu L-z) to give the spin-orbit coupling constant (lambda) of -260 +/- 10 cm(-1). The solid-state X-band EPR spectrum of [Fe([9]aneN(2)S)(2)][ClO4](3) revealed axial symmetry (g(perpendicular to) = 2.607, g(parallel to) = 1.599). Resolution of g(perpendicular to) into two components at Q-band frequencies indicated a rhombic distortion. The low-temperature single-crystal absorption spectra of [Fe([9]aneN(2)S)(2)][ClO4](2) and [Fe([9]aneNS(2))(2)][ClO4](2) exhibited additional bands which resembled pseudotetragonal low-symmetry splitting of the parent octahedral (1)A(1g) --> T-1(2g) and (1)A(1g) ---> T-1(1g) transitions. However, the magnitude of these splittings was too large, requiring 10Dq for the thioether donors to be significantly larger than for the amine donors. Instead, these bands were tentatively assigned to weak, low-energy S --> Fe-II charge-transfer transitions. Above 200 K, thermal occupation of the high-spin T-5(2g) ground state resulted in observation of the T-5(2g) --> E-5(g) transition in the crystal spectrum of [Fe([9]aneN(2)S)(2)][ClO4](2). From a temperature-dependence study, the separation of the low-spin (1)A(1g) and high-spin T-5(2g) ground states was approximately 1700 cm(-1). The spectrum of the iron(III) complex [Fe([9]aneN(2)S)(2)][ClO4](3) is consistent with a low-spin d(5) configuration.

Phonon anomalies due to strong-electronic correlations in layered organic metals

We show how the coupling between the phonons and electrons in a strongly correlated metal can result in phonon frequencies that have a nonmonotonic temperature dependence. Dynamical mean-field theory is used to study the Hubbard-Holstein model that describes the kappa-(BEDT-TTF)(2)X [where BEDT-TTF is bis-(ethylenedithia-tetrathiafulvalene)] family of superconducting molecular crystals. The crossover with increasing temperature from a Fermi liquid to a bad metal produces phonon anomalies that are relevant to recent Raman scattering and acoustic experiments.

A note on the decomposition of the health concentration index

In recent work, the concentration index has been widely used as a measure of income-related health inequality. The purpose of this note is to illustrate two different methods for decomposing the overall health concentration index using data collected from a Short Form (SF-36) survey of the general Australian population conducted in 1995. For simplicity, we focus on the physical functioning scale of the SF-36. Firstly we examine decomposition 'by component' by separating the concentration index for the physical functioning scale into the ten items on which it is based. The results show that the items contribute differently to the overall inequality measure, i.e. two of the items contributed 13% and 5%, respectively, to the overall measure. Second, to illustrate the 'by subgroup' method we decompose the concentration index by employment status. This involves separating the population into two groups: individuals currently in employment; and individuals not currently employed. We find that the inequality between these groups is about five times greater than the inequality within each group. These methods provide insights into the nature of inequality that can be used to inform policy design to reduce income related health inequalities. Copyright (C) 2002 John Wiley Sons, Ltd.

A note on the multiple partners assignment game

In the assignment game of Shapley and Shubik [Shapley, L.S., Shubik, M., 1972. The assignment game. I. The core, International journal of Game Theory 1, 11-130] agents are allowed to form one partnership at most. That paper proves that, in the context of firms and workers, given two stable payoffs for the firms there is a stable payoff which gives each firm the larger of the two amounts and also one which gives each of them the smaller amount. Analogous result applies to the workers. Sotomayor [Sotomayor, M., 1992. The multiple partners game. In: Majumdar, M. (Ed.), Dynamics and Equilibrium: Essays in Honor to D. Gale. Mcmillian, pp. 322-336] extends this analysis to the case where both types of agents may form more than one partnership and an agent`s payoff is multi-dimensional. Instead, this note concentrates in the total payoff of the agents. It is then proved the rather unexpected result that again the maximum of any pair of stable payoffs for the firms is stable but the minimum need not be, even if we restrict the multiplicity of partnerships to one of the sides. (C) 2009 Elsevier B.V. All rights reserved.

Targeted! Population segmentation, electronic surveillance and governing the unemployed in Australia

Targeting is increasingly used to manage people. It operates by segmenting populations and providing different levels of opportunities and services to these groups. Each group is subject to different levels of surveillance and scrutiny. This article examines the deployment of targeting in Australian social security. Three case studies of targeting are presented in Australia's management of benefit overpayment and fraud, the distribution of employment services and the application of workfare. In conceptualizing surveillance as governance, the analysis examines the rationalities, technologies and practices that make targeting thinkable, practicable and achievable. In the case studies, targeting is variously conceptualized and justified by calculative risk discourses, moral discourses of obligation and notions of welfare dependency Advanced information technologies are also seen as particularly important in giving rise to the capacity to think about and act on population segments.

Integrability and exact solution of an electronic model with long range interactions

We present an electronic model with long range interactions. Through the quantum inverse scattering method, integrability of the model is established using a one-parameter family of typical irreducible representations of gl(211). The eigenvalues of the conserved operators are derived in terms of the Bethe ansatz, from which the energy eigenvalues of the Hamiltonian are obtained.