Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets, where they often fail to verify. We are going to conduct a series of tests in simulated underlying price series, where alternatively each assumption will be violated and every option delta hedging profit and loss analysed. Ultimately we will monitor how the aggressiveness of an option payoff causes its hedging to be more vulnerable to profit and loss variations, caused by the referred assumptions.

Habitat preferences, diet, feeding strategy and social organization of the black spider monkey [Ateles paniscus paniscus Linnaeus 1758] in Surinam

A Socioecological Field Study.This monograph reports on a 26 month socioecological study of black spider monkeys (Ateles paniscus paniscus)in the Raleigh-vallen — Voltzberg Nature Reserve, Surinam. It recognizes the fundamental importance of food to the behavior and the regulation of population density fox this primate. It clarifies the complex temporal and spatial effects of tropical rain forest food sources on the behavior of a group of spider monkeys, concentrating on food category, food plant identity and phenology, and quantity, density and dispersion of the most important food sources. In addition, the present study describes habitat choice, optimal feeding strategy and sexual behavior of the spider monkey, and discusses implications of diet for social behavior. This study is also fundamental to conservation. Specialized in eating mature fruits, the spider monkey is a very important dispersal agent for many trees and lianes, particularly canopy species. However, the spider monkey is probably the most vulnerable monkey species in Surinam and it is disappearing rapidly throughout the remainder of its range. Unfortunately, it is large and noisy and can be easily tracked and hunted. It is largely restricted to undisturbed high forest, and consequently habitat destruction has more effect on it than on most other species. Together with its slow reproductive rate (a female gives birth only once every four or five years), this means that the species is poorly adapted to recover from exploitation. In order to implement proper measures for conservation, data on forest type preferences, diet and social behavior of the species, or on closely related species, in undisturbed areas, such as the one described in this monograph, are essential tools for assessing the potential of proposed protected areas.

Wood density of trees in black water floodplains of Rio Jaú National Park, Amazonia, Brazil

The Jaú National Park is the largest protected forested area in the world. The Vitória Amazônica Foundation is working towards understanding its ecosystem, to which this paper contributes. Wood density was analysed in 27 common tree species growing in the blackwater flood-plains of the Rio Jaú, an affluent of the Rio Negro (Amazonia, Brazil). Wood was sampled with an increment borer. Mean wood density of the analysed species ranged from 0.35 to 0.87 g cm-3. The mean of all sampled species was 0.67 g cm-3 (st. dev. 0.13). Lowest density was found for Hevea spruceana with 0.32 g cm-3 and highest for Crudia amazonica with 0.9 g cm-3.

Evaluation of the performance of recycled textile fibres in the mechanical behaviour of a gypsum and cork composite material

Given the need for using more sustainable constructive solutions, an innovative composite material based on a combination of distinct industrial by-products is proposed aiming to reduce waste and energy consumption in the production of construction materials. The raw materials are thermal activated flue-gas desulphurization (FGD) gypsum, which acts as a binder, granulated cork as the aggregate and recycled textile fibres from used tyres intended to reinforce the material. This paper presents the results of the design of the composite mortar mixes, the characterization of the key physical properties (density, porosity and ultrasonic pulse velocity) and the mechanical validation based on uniaxial compressive tests and fracture energy tests. In the experimental campaign, the influence of the percentage of the raw materials in terms of gypsum mass, on the mechanical properties of the composite material was assessed. It was observed that the percentage of granulated cork decreases the compressive strength of the composite material but contributes to the increase in the compressive fracture energy. Besides, the recycled textile fibres play an important role in the mode I fracture process and in the fracture energy of the composite material, resulting in a considerable increase in the mode I fracture energy.

The ceramic artifacts in archaeological black earth (terra preta) from lower Amazon region, Brazil: mineralogy

Several archaeological black earth (ABE) sites occur in the Amazon region. They contain fragments of ceramic artifacts, which are very important for the archaeological purpose. In order to improve the archaeological study in the region we carried out a detailed mineralogical and chemical study of the fragments of ceramic artifacts found in the two ABE sites of Cachoeira-Porteira, in the Lower Amazon Region. Their ceramics comprise the following tempers: cauixi, cariapé, sand, sand +feldspars, crushed ceramic and so on and are composed of quartz, clay equivalent material (mainly burned kaolinite), feldspars, hematite, goethite, maghemite, phosphates, anatase, and minerals of Mn and Ba. Cauixi and cariapé, siliceous organic compounds, were found too. The mineralogical composition and the morphology of their grains indicate a saprolite (clayey material rich on quartz) derived from fine-grained felsic igneous rocks or sedimentary rocks as source material for ceramic artifacts, where silica-rich components such cauixi, cariapé and/or sand (feldspar and rock fragments) were intentionally added to them. The high content of (Al,Fe)-phosphates, amorphous to low crystalline, must be product of the contact between the clayey matrix of pottery wall and the hot aqueous solution formed during the daily cooking of animal foods (main source of phosphor). The phosphate crystallization took place during the discharge of the potteries put together with waste of organic material from animal and vegetal origin, and leaving to the formation of the ABE-soil profile.

The ceramic artifacts in archaeological black earth (terra preta) from Lower Amazon Region, Brazil: chemistry and geochemical evolution

This paper carried out a chemical investigation of archaeological ceramic artifacts found in archaeological sites with Black Earth (ABE) in the Lower Amazon Region at Cachoeira-Porteira, State of Pará, Brazil. The ceramic artifacts, mostly of daily use, belong to Konduri culture (from 900 to 400 years BP). They are constituted of SiO2, Al2O3, Fe2O3, Na2O and P2O5; SiO2 and Al2O3 together add up to 80 % and indicate influence of acid rocks, transformed into clay minerals basically kaolinite. The relative high contents of P2O5 (2.37 % in average) come out as (Al,Fe)-phosphate, an uncommon fact in primitive red ceramics, but found in some roman and egyptian archaeological sites. The contents of the trace elements are similar or below the Earth's crust average. This chemical composition (except P2O5) detaches saprolite material derived acid igneous rocks or sedimentary ones as the main raw material of the ceramics. The contents of K, Na and Ca represent the feldspars and rock fragments possibly introduced into saprolitic groundmass, indicated by mineralogical studies. The presence of cauixi and cariapé as well as quartz sand was confirmed by optical microscope, SEM analyses and by the high silica contents of ceramic fragments. Phosphorus was possibly incorporated into groundmass during cooking of foods, and ABE soil profile formation developed on yellow Latosols. The raw materials and its tempers (cauixi, or cariapé, feldspar, crushed rocks, old ceramic artifacts and quartz fragments) are found close to the sites and therefore and certainly came from them.

Rényi entropy and the thermodynamic stability of black holes

Thermodynamic stability of black holes, described by the Rényi formula as equilibrium compatible entropy function, is investigated. It is shown that within this approach, asymptotically flat, Schwarzschild black holes can be in stable equilibrium with thermal radiation at a fixed temperature. This implies that the canonical ensemble exists just like in anti-de Sitter space, and nonextensive effects can stabilize the black holes in a very similar way as it is done by the gravitational potential of an anti-de Sitter space. Furthermore, it is also shown that a Hawking–Page-like black hole phase transition occurs at a critical temperature which depends on the q-parameter of the Rényi formula.

Actinella species (Bacillariophyta) from an Amazon black water floodplain lake (Amazonas - Brazil)

The genus Actinella Lewis was studied using planktonic samples from a black water floodplain lake in Central Amazon region. For species identification the taxa were morphological and morphometricaly analyzed on base in light microscope (LM) and scanning electronic microscope (SEM). Five species were registered: Actinella brasiliensis Grunow, A. guianensis Grunow, A. gracile Kociolek, A. mirabilis (Eulenstein ex Grunow) Grunow and A. robusta Hustedt. A. gracile is reported for the first time for Amazon State and black water systems and it is firstly documented with SEM. In addition, a review of geographic distribution of Actinella species in Brazilian Amazon region is given.

Cylindrically symmetric models of gravitational collapse to black holes: a short review

We survey results about exact cylindrically symmetric models of gravitational collapse in General Relativity. We focus on models which result from the matching of two spacetimes having collapsing interiors which develop trapped surfaces and vacuum exteriors containing gravitational waves. We collect some theorems from the literature which help to decide a priori about eventual spacetime matchings. We revise, in more detail, some toy models which include some of the main mathematical and physical issues that arise in this context, and compute the gravitational energy flux through the matching boundary of a particular collapsing region. Along the way, we point out several interesting open problems.

On the temperature dependence of the absorption cross section for black holes in string theory

We study the low frequency absorption cross section of spherically symmetric nonextremal d-dimensional black holes. In the presence of α′ corrections, this quantity must have an explicit dependence on the Hawking temperature of the form 1/TH. This property of the low frequency absorption cross section is shared by the D1-D5 system from type IIB superstring theory already at the classical level, without α′ corrections. We apply our formula to the simplest example, the classical d-dimensional Reissner-Nordstr¨om solution, checking that the obtained formula for the cross section has a smooth extremal limit. We also apply it for a d-dimensional Tangherlini-like solution with α′3 corrections.

Absorption of scalars by nonextremal charged black holes in string theory

We analyze the low frequency absorption cross section of minimally coupled massless scalar fields by different kinds of charged static black holes in string theory, namely the D1–D5 system in d=5 and a four dimensional dyonic four-charged black hole. In each case we show that this cross section always has the form of some parameter of the solution divided by the black hole Hawking temperature. We also verify in each case that, despite its explicit temperature dependence, such quotient is finite in the extremal limit, giving a well defined cross section. We show that this precise explicit temperature dependence also arises in the same cross section for black holes with string \alpha' corrections: it is actually induced by them.

Polish immigrants in Ireland's black economy: a phenomenological investigation

The purpose of this thesis is to answer the research question ‗why do some Polish migrants engage in shadow employment in the Republic of Ireland?‘ The individual and group interviews, which were conducted in August 2011 with thirteen Polish migrants, living and working in Ireland, generated the answer to the research question. Interviewees‘ responses were analysed from the point of view of the literature that examines the various factors within the topics of migration and the black economy. The thesis begins with theoretical background information regarding the enlargement of the European Union and the economic situation of Poland and Ireland. Then migration theories are explained and Polish and Irish migration history is presented. Next, the issue of the black economy and shadow employment is developed with a focus on its presence in Poland and Ireland. The following section is dedicated to the research methodology that was adopted to ensure effective collection of the information. The issues of the qualitative and quantitative research, phenomenological approach to the research and interviews as data collection are raised in that section. The last part of the thesis is based on an analysis of the respondents‘ statements. It explores interviewees‘ experience of life and work in Ireland. The main part of that section develops the reasons why do Polish workers engage in shadow employment in the Republic of Ireland. Simultaneously, it provides the answers to the research question of this thesis.

Implementation of the I.S. EN 16001:2009 energy management standard into GlaxoSmithKline (GSK) Ltd, Cork

As manufacturers face an increasingly competitive environment, they seek out opportunities to reduce production costs without negatively affecting the yield or the quality of their finished products. The challenge of maintaining high product quality while simultaneously reducing production costs can often be met through investments in energy efficient technologies and energy efficiency practices. Energy management systems can offer both technological and best practice efficiencies in order to achieve substantial savings. A strong energy management system provides a solid foundation for an organisation to reduce production costs and improve site efficiency. The I.S EN16001 energy management standard specifies the requirements for establishing, implementing, maintaining and improving an energy management system and represents the latest best practice for energy management in Ireland. The objective of the energy management system is to establish a systematic approach for improving energy performance continuously. The I.S EN16001 standard specifies the requirements for continuous improvement through using energy more efficiently. The author analysed how GlaxoSmithKline’s (GSK) pharmaceutical manufacturing facility in Cork implemented the I.S. EN16001 energy management system model, and defined how energy saving opportunities where identified and introduced to improve efficiency performance. The author performed an extensive literature research in order to determine the current status of the pharmaceutical industry in Ireland, the processes involved in pharmaceutical manufacturing, the energy users required for pharmaceutical manufacturing and the efficiency measures that can be applied to these energy users in order to reduce energy consumption. The author then analysed how energy management standards are introduced to industry and critically analysed the driving factors for energy management performance in Ireland through case studies. Following an investigation as to how the I.S. EN16001 energy management standard is operated in GSK, a critical analysis of the performance achieved by the GSK energy management system is undertaken in order to determine if implementing the I.S EN16001 standard accelerates achieving energy savings. Since its introduction, the I.S. EN16001 model for energy management has enabled GSK to monitor, target and identify energy efficiency opportunities throughout the site. The model has put in place an energy management system that is continuously reviewed for improvement and to date has reduced GSK’s site operations cost by over 30% through technical improvements and generating energy awareness for smarter energy consumption within the GSK Cork site. Investment in I.S. EN16001 has proved to be a sound business strategy for GSK especially in today's manufacturing environment.

The diet of the black widow spider Latrodectus mirabilis (Theridiidae) in two cereal crops of central Argentina

The spider Latrodectus mirabilis (Holmberg, 1876) is commonly found in cereals crops of central Argentina. We studied its diet composition at the field and capture rate on leaf-cutting ants based on laboratory experiments. This study comprises the first approach that documents the diet of L. mirabilis in wheat and oat fields of central Argentina. We identified 1,004 prey items collected from its webs during the last phenological stages of both cereal crops. The prey composition was variable but the spiders prey mainly on ants (Formicidae, Hymenoptera), who represented more than 86% of the total. Meanwhile, in the capture rate experiences we registered a high proportion of ants captured by spiders at the beginning of experiences, capturing the half of the ants from total in the first four hours. Summarizing, we reported a polyphagous diet of this spider species in wheat and oat fields. Ants were the most important prey item of this spider, as found in other Latrodectus spiders around the world.