Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Effects of Black Leaf Streak Disease and Sigatoka Disease on fruit quality and maturation process of bananas produced in the subtropical conditions of southern Brazil

Banana fruits are harvested at the green-mature stage (pre-climacteric) in order to allow sufficient time for transport and marketing. The time between the harvest and the initiation of the natural ripening process is called green life (GL), which is closely correlated to physiological age. Sigatoka Disease (SD: also called yellow Sigatoka) and Black Leaf Streak Disease (BLSD; also called black Sigatoka) are the main foliar diseases affecting banana production. The aim of this work was to investigate the influence of these diseases on banana GL and postharvest behavior in subtropical conditions (southeastern Brazil). The results showed that both diseases shortened the banana's GL when compared to control bananas of the same physiological age. Moreover, fruits from infested plots showed higher values of CO2 (+100% for SD and +300% for BLSD) and C2H4 production (+30% for SD and +60% for BLSD) at the climacteric peak. BLSD caused 40% reduction in fruit weight. Fruits from plants with a high degree of SD or BLSD undergo an altered maturation process. (C) 2011 Elsevier Ltd. All rights reserved.

Parameterschätzung in zeitdiskreten ergodischen Markov-Prozessen am Beispiel des Cox-Ingersoll-Ross-Modells

In dieser Arbeit geht es um die Schätzung von Parametern in zeitdiskreten ergodischen Markov-Prozessen im allgemeinen und im CIR-Modell im besonderen. Beim CIR-Modell handelt es sich um eine stochastische Differentialgleichung, die von Cox, Ingersoll und Ross (1985) zur Beschreibung der Dynamik von Zinsraten vorgeschlagen wurde. Problemstellung ist die Schätzung der Parameter des Drift- und des Diffusionskoeffizienten aufgrund von äquidistanten diskreten Beobachtungen des CIR-Prozesses. Nach einer kurzen Einführung in das CIR-Modell verwenden wir die insbesondere von Bibby und Sørensen untersuchte Methode der Martingal-Schätzfunktionen und -Schätzgleichungen, um das Problem der Parameterschätzung in ergodischen Markov-Prozessen zunächst ganz allgemein zu untersuchen. Im Anschluss an Untersuchungen von Sørensen (1999) werden hinreichende Bedingungen (im Sinne von Regularitätsvoraussetzungen an die Schätzfunktion) für die Existenz, starke Konsistenz und asymptotische Normalität von Lösungen einer Martingal-Schätzgleichung angegeben. Angewandt auf den Spezialfall der Likelihood-Schätzung stellen diese Bedingungen zugleich lokal-asymptotische Normalität des Modells sicher. Ferner wird ein einfaches Kriterium für Godambe-Heyde-Optimalität von Schätzfunktionen angegeben und skizziert, wie dies in wichtigen Spezialfällen zur expliziten Konstruktion optimaler Schätzfunktionen verwendet werden kann. Die allgemeinen Resultate werden anschließend auf das diskretisierte CIR-Modell angewendet. Wir analysieren einige von Overbeck und Rydén (1997) vorgeschlagene Schätzer für den Drift- und den Diffusionskoeffizienten, welche als Lösungen quadratischer Martingal-Schätzfunktionen definiert sind, und berechnen das optimale Element in dieser Klasse. Abschließend verallgemeinern wir Ergebnisse von Overbeck und Rydén (1997), indem wir die Existenz einer stark konsistenten und asymptotisch normalen Lösung der Likelihood-Gleichung zeigen und lokal-asymptotische Normalität für das CIR-Modell ohne Einschränkungen an den Parameterraum beweisen.

Weathering of Fe-bearing minerals under extraterrestrial conditions, investigated by Mössbauer spectroscopy

The weathering of Fe-bearing minerals under extraterrestrial conditions was investigated by Mössbauer (MB) spectroscopy to gain insights into the role of water on the planet Mars. The NASA Mars Exploration Rovers Spirit and Opportunity each carry a miniaturized Mössbauer spectrometer MIMOS II for the in situ investigation of Martian soils and rocks as part of their payload. The MER flight instruments had to be modified in order to work over the Martian diurnal temperature range (180 K – 290 K) and within the unique electronic environment of the rovers. The modification required special calibration procedures. The integration time necessary to obtain a good quality Mössbauer spectrum with the MIMOS II flight instruments was reduced by 30 % through the design of a new collimator. The in situ investigation of rocks along the rover Spirit's traverse in Gusev crater revealed weakly altered olivine basalt on the plains and pervasively altered basalt in the Columbia Hills. Correlation plots of primary Fe-bearing minerals identified by MB spectroscopy such as olivine versus secondary Fe-bearing phases such as nanophase Fe oxides showed that olivine is the mineral which is primarily involved in weathering reactions. This argues for a reduced availability of water. Identification of the Fe-oxyhydroxide goethite in the Columbia Hills is unequivocal evidence for aqueous weathering processes in the Columbia Hills. Experiments in which mineral powders were exposed to components of the Martian atmosphere showed that interaction with the atmosphere alone, in the absence of liquid water, is sufficient to oxidize Martian surface materials. The fine-grained dust suspended in the Martian atmosphere may have been altered solely by gas-solid reactions. Fresh and altered specimens of Martian meteorites were investigated with MIMOS II. The study of Martian meteorites in the lab helped to identify in Bounce Rock the first rock on Mars which is similar in composition to basaltic shergottites, a subgroup of the Martian meteorites. The field of astrobiology includes the study of the origin, evolution and distribution of life in the universe. Water is a prerequisite for life. The MER Mössbauer spectrometers identified aqueous minerals such as jarosite and goethite. The identification of jarosite was crucial to evaluate the habitability of Opportunity's landing site at Meridiani Planum during the formation of the sedimentary outcrop rocks, because jarosite puts strong constrains on pH levels. The identification of olivine in rocks and soils on the Gusev crater plains provide evidence for the sparsity of water under current conditions on Mars. Ratios of Fe2+/Fe3+ were obtained with Mössbauer spectroscopy from basaltic glass samples which were exposed at a deep sea hydrothermal vent. The ratios were used as a measure of potential energy for use by a microbial community. Samples from Mars analogue field sites on Earth exhibiting morphological biosignatures were also investigated.

Computational Modeling of Cardiac Excitation-Contraction Coupling in Physiological and Pathological Conditions

The cardiomyocyte is a complex biological system where many mechanisms interact non-linearly to regulate the coupling between electrical excitation and mechanical contraction. For this reason, the development of mathematical models is fundamental in the field of cardiac electrophysiology, where the use of computational tools has become complementary to the classical experimentation. My doctoral research has been focusing on the development of such models for investigating the regulation of ventricular excitation-contraction coupling at the single cell level. In particular, the following researches are presented in this thesis: 1) Study of the unexpected deleterious effect of a Na channel blocker on a long QT syndrome type 3 patient. Experimental results were used to tune a Na current model that recapitulates the effect of the mutation and the treatment, in order to investigate how these influence the human action potential. Our research suggested that the analysis of the clinical phenotype is not sufficient for recommending drugs to patients carrying mutations with undefined electrophysiological properties. 2) Development of a model of L-type Ca channel inactivation in rabbit myocytes to faithfully reproduce the relative roles of voltage- and Ca-dependent inactivation. The model was applied to the analysis of Ca current inactivation kinetics during normal and abnormal repolarization, and predicts arrhythmogenic activity when inhibiting Ca-dependent inactivation, which is the predominant mechanism in physiological conditions. 3) Analysis of the arrhythmogenic consequences of the crosstalk between β-adrenergic and Ca-calmodulin dependent protein kinase signaling pathways. The descriptions of the two regulatory mechanisms, both enhanced in heart failure, were integrated into a novel murine action potential model to investigate how they concur to the development of cardiac arrhythmias. These studies show how mathematical modeling is suitable to provide new insights into the mechanisms underlying cardiac excitation-contraction coupling and arrhythmogenesis.

In vitro hemodynamic evaluation of ventricular suction conditions of the EVAHEART ventricular assist pump

Purpose: Mismatches between pump output and venous return in a continuous-flow ventricular assist device may elicit episodes of ventricular suction. This research describes a series of in vitro experiments to characterize the operating conditions under which the EVAHEART centrifugal blood pump (Sun Medical Technology Research Corp., Nagano, Japan) can be operated with minimal concern regarding left ventricular (LV) suction. Methods: The pump was interposed into a pneumatically driven pulsatile mock circulatory system (MCS) in the ventricular apex to aorta configuration. Under varying conditions of preload, afterload, and systolic pressure, the speed of the pump was increased step-wise until suction was observed. Identification of suction was based on pump inlet pressure. Results: In the case of reduced LV systolic pressure, reduced preload (=10 mmHg), and afterload (=60 mmHg), suction was observed for speeds =2,200 rpm. However, suction did not occur at any speed (up to a maximum speed of 2,400 rpm) when preload was kept within 10-14 mmHg and afterload =80 mmHg. Although in vitro experiments cannot replace in vivo models, the results indicated that ventricular suction can be avoided if sufficient preload and afterload are maintained. Conclusion: Conditions of hypovolemia and/or hypotension may increase the risk of suction at the highest speeds, irrespective of the native ventricular systolic pressure. However, in vitro guidelines are not directly transferrable to the clinical situation; therefore, patient-specific evaluation is recommended, which can be aided by ultrasonography at various points in the course of support.

Seasonal Climatology of Hydrographic Conditions in the Upwelling Region Off Northern Chile

Over 30 years of hydrographic data from the northern Chile (18 degreesS-24 degreesS) upwelling region are used to calculate the surface and subsurface seasonal climatology extending 400 km offshore. The data are interpolated to a grid with sufficient spatial resolution to preserve cross-shelf gradients and then presented as means within four seasons: austral winter (July-September), spring (October-December), summer (January-March), and fall (April-June). Climatological monthly wind forcing, surface temperature, and sea level from three coastal stations indicate equatorward (upwelling favorable) winds throughout the year, weakest in the north. Seasonal maximum alongshore wind stress is in late spring and summer (December-March). Major water masses of the region are identified in climatological T-S plots and their sources and implied circulation discussed. Surface fields and vertical transects of temperature and salinity confirm that upwelling occurs year-round, strongest in summer and weakest in winter, bringing relatively fresh water to the surface nearshore. Surface geostrophic flow nearshore is equatorward throughout the year. During summer, an anticyclonic circulation feature in the north which extends to at least 200 m depth is evident in geopotential anomaly and in both temperature and geopotential variance fields. Subsurface fields indicate generally poleward flow throughout the year, strongest in an undercurrent near the coast. This undercurrent is strongest in summer and most persistent and organized in the south (south of 21 degreesS), A subsurface oxygen minimum, centered at similar to 250 m, is strongest at lower latitudes. Low-salinity subsurface water intrudes into the study area near 100 m, predominantly in offshore regions, strongest during summer and fall and in the southernmost portion of the region. The climatological fields are compared to features off Baja within the somewhat analogous California Current and to measurements from higher latitudes within the Chile-Peru Current system.

Flow conditions, bed form dimensions and shear stress experiments

Large asymmetric bed forms commonly develop in rivers. The turbulence associated with flow separation that develops over their steep lee side is responsible for the form shear stress which can represent a substantial part of total shear stress in rivers. This paper uses the Delft3D modeling system to investigate the effects of bed form geometry and forcing conditions on flow separation length and associated turbulence, and bed form shear stress over angle-of-repose (30 lee side angle) bed forms. The model was validated with lab measurements that showed sufficient agreement to be used for a systematic analysis. The influence of flow velocity, bed roughness, relative height (bed form height/water depth), and aspect ratio (bed form height/length) on the variations of the normalized length of the flow separation zone, the extent of the wake region (where the turbulent kinetic energy (TKE) was more than 70% of the maximum TKE), the average TKE within the wake region and the form shear stress were investigated. Form shear stress was found not to scale with the size of the flow separation zone but to be related to the product of the normalized extent of the wake region (extent of the wake region/extent of water body above the bed form) and the average TKE within the wake region. The results add to understanding of the hydrodynamics of bed forms and may be used for the development of better parameterizations of smallscale processes for application in large-scale studies.

Performance data of the coral Pocillopora verrucosa and environmental conditions along the Saudi Arabian Red Sea coast as assessed during 3 expeditions in the years 2011 and 2012

Large scale patterns of ecologically relevant traits may help identify drivers of their variability and conditions beneficial or adverse to the expression of these traits. Antimicrofouling defenses in scleractinian corals regulate the establishment of the associated biofilm as well as the risks of infection. The Saudi Arabian Red Sea coast features a pronounced thermal and nutritional gradient including regions and seasons with potentially stressful conditions to corals. Assessing the patterns of antimicrofouling defenses across the Red Sea may hint at the susceptibility of corals to global change. We investigated microfouling pressure as well as the relative strength of 2 alternative antimicrofouling defenses (chemical antisettlement activity, mucus release) along the pronounced environmental gradient along the Saudi Arabian Red Sea coast in 2 successive years. Microfouling pressure was exceptionally low along most of the coast but sharply increased at the southernmost sites. Mucus release correlated with temperature. Chemical defense tended to anti-correlate with mucus release. As a result, the combined action of mucus release and chemical antimicrofouling defense seemed to warrant sufficient defense against microbes along the entire coast. In the future, however, we expect enhanced energetic strain on corals when warming and/or eutrophication lead to higher bacterial fouling pressure and a shift towards putatively more costly defense by mucus release.

Strict and non-strict independent and-parallelism in logic programs: Correctness, efficiency, and compile-time conditions.

This paper presents some fundamental properties of independent and-parallelism and extends its applicability by enlarging the class of goals eligible for parallel execution. A simple model of (independent) and-parallel execution is proposed and issues of correctness and efficiency discussed in the light of this model. Two conditions, "strict" and "non-strict" independence, are defined and then proved sufficient to ensure correctness and efñciency of parallel execution: if goals which meet these conditions are executed in parallel the solutions obtained are the same as those produced by standard sequential execution. Also, in absence of failure, the parallel proof procedure does not genérate any additional work (with respect to standard SLD-resolution) while the actual execution time is reduced. Finally, in case of failure of any of the goals no slow down will occur. For strict independence the results are shown to hold independently of whether the parallel goals execute in the same environment or in sepárate environments. In addition, a formal basis is given for the automatic compile-time generation of independent and-parallelism: compile-time conditions to efficiently check goal independence at run-time are proposed and proved sufficient. Also, rules are given for constructing simpler conditions if information regarding the binding context of the goals to be executed in parallel is available to the compiler.

Infrequent Translation of a Nonsense Codon Is Sufficient to Decrease mRNA Level

In many organisms nonsense mutations decrease the level of mRNA. In the case of mammalian cells, it is still controversial whether translation is required for this nonsense-mediated RNA decrease (NMD). Although previous analyzes have shown that conditions that impede translation termination at nonsense codons also prevent NMD, the residual level of termination was unknown in these experiments. Moreover, the conditions used to impede termination might also have interfered with NMD in other ways. Because of these uncertainties, we have tested the effects of limiting translation of a nonsense codon in a different way, using two mutations in the immunoglobulin μ heavy chain gene. For this purpose we exploited an exceptional nonsense mutation at codon 3, which efficiently terminates translation but nonetheless maintains a high level of μ mRNA. We have shown 1) that translation of Ter462 in the double mutant occurs at only ∼4% the normal frequency, and 2) that Ter462 in cis with Ter3 can induce NMD. That is, translation of Ter462 at this low (4%) frequency is sufficient to induce NMD.

An endogenous rate of time preference, the Penrose effect, and dynamic optimality of environmental quality.

In the present paper, the endogenous theory of time preference is extended to analyze those processes of capital accumulation and changes in environmental quality that are dynamically optimum with respect to the intertemporal preference ordering of the representative individual of the society in question. The analysis is carried out within the conceptual framework of the dynamic analysis of environmental quality, as has been developed by a number of economists for specific cases of the fisheries and forestry commons. The duality principles on intertemporal preference ordering and capital accumulation are extended to the situation where processes of capital accumulation are subject to the Penrose effect, which exhibit the marginal decrease in the effect of investment in private and social overhead capital upon the rate at which capital is accumulated. The dynamically optimum time-path of economic activities is characterized by the proportionality of two systems of imputed, or efficient, prices, one associated with the given intertemporal ordering and another associated with processes of accumulation of private and social overhead capital. It is particularly shown that the dynamically optimality of the processes of capital accumulation involving both private and social overhead capital is characterized by the conditions that are identical with those involving private capital, with the role of social overhead capital only indirectly exhibited.

A general two-process model describes the hydrogen exchange behavior of RNase A in unfolding conditions.

When NMR hydrogen exchange was used previously to monitor the kinetics of RNase A unfolding, some peptide NH protons were found to show EX2 exchange (detected by base catalysis) in addition to the expected EX1 exchange, whose rate is limited by the kinetic unfolding process. In earlier work, two groups showed independently that a restricted two-process model successfully fits published hydrogen exchange rates of native RNase A in the range 0-0.7 M guanidinium chloride. We find that this model predicts properties that are very different from the observed properties of the EX2 exchange reactions of RNase A in conditions where guanidine-induced unfolding takes place. The model predicts that EX2 exchange should be too fast to measure by the technique used, whereas it is readily measurable. Possible explanations for the contradiction are considered here, and we show that removing the restriction from the earlier two-process model is sufficient to resolve the contradiction; instead of specifying that exchange caused by global unfolding occurs by the EX2 mechanism, we allow it to occur by the general mechanism, which includes both the EX1 and EX2 cases. It is logical to remove this restriction because global unfolding of RNase A is known to give rise to EX1 exchange in these unfolding conditions. Resolving the contradiction makes it possible to determine whether populated unfolding intermediates contribute to the EX2 exchange, and this question is considered elsewhere. The results and simulations indicate that moderate or high denaturant concentrations readily give rise to EX1 exchange in native proteins. Earlier studies showed that hydrogen exchange in native proteins typically occurs by the EX2 mechanism but that high temperatures or pH values above 7 may give rise to EX1 exchange. High denaturant concentrations should be added to the list of variables likely to cause EX1 exchange.

Real time optimization in chemical process: evaluation of strategies, improvements and industrial application.

The increasing economic competition drives the industry to implement tools that improve their processes efficiencies. The process automation is one of these tools, and the Real Time Optimization (RTO) is an automation methodology that considers economic aspects to update the process control in accordance with market prices and disturbances. Basically, RTO uses a steady-state phenomenological model to predict the process behavior, and then, optimizes an economic objective function subject to this model. Although largely implemented in industry, there is not a general agreement about the benefits of implementing RTO due to some limitations discussed in the present work: structural plant/model mismatch, identifiability issues and low frequency of set points update. Some alternative RTO approaches have been proposed in literature to handle the problem of structural plant/model mismatch. However, there is not a sensible comparison evaluating the scope and limitations of these RTO approaches under different aspects. For this reason, the classical two-step method is compared to more recently derivative-based methods (Modifier Adaptation, Integrated System Optimization and Parameter estimation, and Sufficient Conditions of Feasibility and Optimality) using a Monte Carlo methodology. The results of this comparison show that the classical RTO method is consistent, providing a model flexible enough to represent the process topology, a parameter estimation method appropriate to handle measurement noise characteristics and a method to improve the sample information quality. At each iteration, the RTO methodology updates some key parameter of the model, where it is possible to observe identifiability issues caused by lack of measurements and measurement noise, resulting in bad prediction ability. Therefore, four different parameter estimation approaches (Rotational Discrimination, Automatic Selection and Parameter estimation, Reparametrization via Differential Geometry and classical nonlinear Least Square) are evaluated with respect to their prediction accuracy, robustness and speed. The results show that the Rotational Discrimination method is the most suitable to be implemented in a RTO framework, since it requires less a priori information, it is simple to be implemented and avoid the overfitting caused by the Least Square method. The third RTO drawback discussed in the present thesis is the low frequency of set points update, this problem increases the period in which the process operates at suboptimum conditions. An alternative to handle this problem is proposed in this thesis, by integrating the classic RTO and Self-Optimizing control (SOC) using a new Model Predictive Control strategy. The new approach demonstrates that it is possible to reduce the problem of low frequency of set points updates, improving the economic performance. Finally, the practical aspects of the RTO implementation are carried out in an industrial case study, a Vapor Recompression Distillation (VRD) process located in Paulínea refinery from Petrobras. The conclusions of this study suggest that the model parameters are successfully estimated by the Rotational Discrimination method; the RTO is able to improve the process profit in about 3%, equivalent to 2 million dollars per year; and the integration of SOC and RTO may be an interesting control alternative for the VRD process.

Highly selective hydrogenation of furfural over supported Pt nanoparticles under mild conditions

The selective liquid phase hydrogenation of furfural to furfuryl alcohol over Pt nanoparticles supported on SiO2, ZnO, γ-Al2O3, CeO2 is reported under extremely mild conditions. Ambient hydrogen pressure, and temperatures as low as 50 °C are shown sufficient to drive furfural hydrogenation with high conversion and >99% selectivity to furfuryl alcohol. Strong support and solvent dependencies are observed, with methanol and n-butanol proving excellent solvents for promoting high furfuryl alcohol yields over uniformly dispersed 4 nm Pt nanoparticles over MgO, CeO2 and γ-Al2O3. In contrast, non-polar solvents conferred poor furfural conversion, while ethanol favored acetal by-product formation. Furfural selective hydrogenation can be tuned through controlling the oxide support, reaction solvent and temperature.