Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Geotermobarometria de Granulitos Associados à Supracrustais na Porção Norte do Complexo Guaxupé - Região de Arceburgo - Santa Cruz do Prata, MG

This paper is a contribution for the understanding of the geological evolution of Guaxupé Complex. New data on petrography and mineral chemistry as well as estimates of metamorphic (P-T) conditions in the region of Arceburgo - Santa Cruz do Prata (MG) Brazil, at the southern portion of the Brasília Belt, more specifically at the Guaxupé Complex (Domain) are now presented. The lithotypes are high-grade metamorphic rocks subdivided into two groups: metasediments and granulites (orthoderivates). Chemical analysis of minerals was performed in three steps including core and rim of amphibole, pyroxene, feldspar, biotite, and garnet from samples of the following rock types: enderbites, mafic granulites, charnockites, and alkali feldspar charnockites. Results obtained with geothermobarometric calculations show metamorphic peak around 900°C of T and 10 kbar of P. Enderbites and tonalite granulites (mafic) show the highest values of temperature and pressure, while alkali feldspar charnockites show the lowest probably due to their late generation in relation to mafic rock types (enderbites and mafic tonalite granulite). Chemical mineral analysis in metamorphic parageneses and geothermobarometric calculations indicate that the possible metamorphic peak may be higher than 900°C of temperature and around 10 kbar of pressure, within a isothermal decompression (ITD) regime.

The Aedes aegypti larval transcriptome: a comparative perspective with emphasis on trypsins and the domain structure of peritrophins

The genome sequence of Aedes aegypti was recently reported. A significant amount of Expressed Sequence Tags (ESTs) were sequenced to aid in the gene prediction process. In the present work we describe an integrated analysis of the genomic and EST data, focusing on genes with preferential expression in larvae (LG), adults (AG) and in both stages (SG). A total of 913 genes (5.4% of the transcript complement) are LG, including ion transporters and cuticle proteins that are important for ion homeostasis and defense. From a starting set of 245 genes encoding the trypsin domain, we identified 66 putative LG, AG, and SG trypsins by manual curation. Phylogenetic analyses showed that AG trypsins are divergent from their larval counterparts (LG), grouping with blood-induced trypsins from Anopheles gambiae and Simulium vittatum. These results support the hypothesis that blood-feeding arose only once, in the ancestral Culicomorpha. Peritrophins are proteins that interlock chitin fibrils to form the peritrophic membrane (PM) that compartmentalizes the food in the midgut. These proteins are recognized by having chitin-binding domains with 6 conserved Cys and may also present mucin-like domains (regions expected to be highly O-glycosylated). PM may be formed by a ring of cells (type 2, seen in Ae. aegypti larvae and Drosophila melanogaster) or by most midgut cells (type 1, found in Ae. aegypti adult and Tribolium castaneum). LG and D. melanogaster peritrophins have more complex domain structures than AG and T. castaneum peritrophins. Furthermore, mucin-like domains of peritrophins from T. castaneum (feeding on rough food) are lengthier than those of adult Ae. aegypti (blood-feeding). This suggests, for the first time, that type 1 and type 2 PM may have variable molecular architectures determined by different peritrophins and/or ancillary proteins, which may be partly modulated by diet.

Evolução metamórfica (P-T-t) de granulitos e migmatitos do Complexo Guaxupé na região de São João da Boa Vista, SP

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Identification of a Plasmodium falciparum intercellular adhesion molecule-1 binding domain: A parasite adhesion trait implicated in cerebral malaria

Binding of infected erythrocytes to brain venules is a central pathogenic event in the lethal malaria disease complication, cerebral malaria. The only parasite adhesion trait linked to cerebral sequestration is binding to intercellular adhesion molecule-1 (ICAM-1). In this report, we show that Plasmodium falciparum erythrocyte membrane protein 1 (PfEMP1) binds ICAM-1. We have cloned and expressed PfEMP1 recombinant proteins from the A4tres parasite. Using heterologous expression in mammalian cells, the minimal ICAM-1 binding domain was a complex domain consisting of the second Duffy binding-like (DBL) domain and the C2 domain. Constructs that contained either domain alone did not bind ICAM-1. Based on phylogenetic criteria, there are five distinct PfEMP1 DBL types designated α, β, γ, δ, and ɛ. The DBL domain from the A4tres that binds ICAM-1 is DBLβ type. A PfEMP1 cloned from a distinct ICAM-1 binding variant, the A4 parasite, contains a DBLβ domain and a C2 domain in tandem arrangement similar to the A4tres PfEMP1. Anti-PfEMP1 antisera implicate the DBLβ domain from A4var PfEMP1 in ICAM-1 adhesion. The identification of a P. falciparum ICAM-1 binding domain may clarify mechanisms responsible for the pathogenesis of cerebral malaria and lead to interventions or vaccines that reduce malarial disease.

Scalable Intelligence for Scheduling Systems

A personalização é um aspeto chave de uma interação homem-computador efetiva. Numa era em que existe uma abundância de informação e tantas pessoas a interagir com ela, de muitas maneiras, a capacidade de se ajustar aos seus utilizadores é crucial para qualquer sistema moderno. A criação de sistemas adaptáveis é um domínio bastante complexo que necessita de métodos muito específicos para ter sucesso. No entanto, nos dias de hoje ainda não existe um modelo ou arquitetura padrão para usar nos sistemas adaptativos modernos. A principal motivação desta tese é a proposta de uma arquitetura para modelação do utilizador que seja capaz de incorporar diferentes módulos necessários para criar um sistema com inteligência escalável com técnicas de modelação. Os módulos cooperam de forma a analisar os utilizadores e caracterizar o seu comportamento, usando essa informação para fornecer uma experiência de sistema customizada que irá aumentar não só a usabilidade do sistema mas também a produtividade e conhecimento do utilizador. A arquitetura proposta é constituída por três componentes: uma unidade de informação do utilizador, uma estrutura matemática capaz de classificar os utilizadores e a técnica a usar quando se adapta o conteúdo. A unidade de informação do utilizador é responsável por conhecer os vários tipos de indivíduos que podem usar o sistema, por capturar cada detalhe de interações relevantes entre si e os seus utilizadores e também contém a base de dados que guarda essa informação. A estrutura matemática é o classificador de utilizadores, e tem como tarefa a sua análise e classificação num de três perfis: iniciado, intermédio ou avançado. Tanto as redes de Bayes como as neuronais são utilizadas, e uma explicação de como as preparar e treinar para lidar com a informação do utilizador é apresentada. Com o perfil do utilizador definido torna-se necessária uma técnica para adaptar o conteúdo do sistema. Nesta proposta, uma abordagem de iniciativa mista é apresentada tendo como base a liberdade de tanto o utilizador como o sistema controlarem a comunicação entre si. A arquitetura proposta foi desenvolvida como parte integrante do projeto ADSyS - um sistema de escalonamento dinâmico - utilizado para resolver problemas de escalonamento sujeitos a eventos dinâmicos. Possui uma complexidade elevada mesmo para utilizadores frequentes, daí a necessidade de adaptar o seu conteúdo de forma a aumentar a sua usabilidade. Com o objetivo de avaliar as contribuições deste trabalho, um estudo computacional acerca do reconhecimento dos utilizadores foi desenvolvido, tendo por base duas sessões de avaliação de usabilidade com grupos de utilizadores distintos. Foi possível concluir acerca dos benefícios na utilização de técnicas de modelação do utilizador com a arquitetura proposta.

Unfolded singularities of analytic differential equations

La thèse est composée d’un chapitre de préliminaires et de deux articles sur le sujet du déploiement de singularités d’équations différentielles ordinaires analytiques dans le plan complexe. L’article Analytic classification of families of linear differential systems unfolding a resonant irregular singularity traite le problème de l’équivalence analytique de familles paramétriques de systèmes linéaires en dimension 2 qui déploient une singularité résonante générique de rang de Poincaré 1 dont la matrice principale est composée d’un seul bloc de Jordan. La question: quand deux telles familles sontelles équivalentes au moyen d’un changement analytique de coordonnées au voisinage d’une singularité? est complètement résolue et l’espace des modules des classes d’équivalence analytiques est décrit en termes d’un ensemble d’invariants formels et d’un invariant analytique, obtenu à partir de la trace de la monodromie. Des déploiements universels sont donnés pour toutes ces singularités. Dans l’article Confluence of singularities of non-linear differential equations via Borel–Laplace transformations on cherche des solutions bornées de systèmes paramétriques des équations non-linéaires de la variété centre de dimension 1 d’une singularité col-noeud déployée dans une famille de champs vectoriels complexes. En général, un système d’ÉDO analytiques avec une singularité double possède une unique solution formelle divergente au voisinage de la singularité, à laquelle on peut associer des vraies solutions sur certains secteurs dans le plan complexe en utilisant les transformations de Borel–Laplace. L’article montre comment généraliser cette méthode et déployer les solutions sectorielles. On construit des solutions de systèmes paramétriques, avec deux singularités régulières déployant une singularité irrégulière double, qui sont bornées sur des domaines «spirals» attachés aux deux points singuliers, et qui, à la limite, convergent vers une paire de solutions sectorielles couvrant un voisinage de la singularité confluente. La méthode apporte une description unifiée pour toutes les valeurs du paramètre.

The Court of Justice of the European Union as a fundamental rights tribunal: challenges for the effective delivery of fundamental rights in the area of freedom, security and justice. CEPS Paper in Liberty and Security in Europe No. 49, 29 August 2012

This paper reflects on the challenges facing the effective implementation of the new EU fundamental rights architecture that emerged from the Lisbon Treaty. Particular attention is paid to the role of the Court of Justice of the European Union (CJEU) and its ability to function as a ‘fundamental rights tribunal’. The paper first analyses the praxis of the European Court of Human Rights in Strasbourg and its long-standing experience in overseeing the practical implementation of the European Convention for the Protection of Human Rights and Fundamental Freedoms. Against this analysis, it then examines the readiness of the CJEU to live up to its consolidated and strengthened mandate on fundamental rights as one of the prime guarantors of the effective implementation of the EU Charter of Fundamental Rights. We specifically review the role of ‘third-party interventions’ by non-governmental organisations, international and regional human rights actors as well as ‘interim relief measures’ when ensuring effective judicial protection of vulnerable individuals in cases of alleged violations of fundamental human rights. To flesh out our arguments, we rely on examples within the scope of the relatively new and complex domain of EU legislation, the Area of Freedom, Security and Justice (AFSJ), and its immigration, external border and asylum policies. In view of the fundamental rights-sensitive nature of these domains, which often encounter shifts of accountability and responsibility in their practical application, and the Lisbon Treaty’s expansion of the jurisdiction of the CJEU to interpret and review EU AFSJ legislation, this area can be seen as an excellent test case for the analyses at hand. The final section puts forth a set of policy suggestions that can assist the CJEU in the process of adjusting itself to the new fundamental rights context in a post-Lisbon Treaty setting.

Pragmatic oriented data interoperability for smart healthcare information systems

Smart healthcare is a complex domain for systems integration due to human and technical factors and heterogeneous data sources involved. As a part of smart city, it is such a complex area where clinical functions require smartness of multi-systems collaborations for effective communications among departments, and radiology is one of the areas highly relies on intelligent information integration and communication. Therefore, it faces many challenges regarding integration and its interoperability such as information collision, heterogeneous data sources, policy obstacles, and procedure mismanagement. The purpose of this study is to conduct an analysis of data, semantic, and pragmatic interoperability of systems integration in radiology department, and to develop a pragmatic interoperability framework for guiding the integration. We select an on-going project at a local hospital for undertaking our case study. The project is to achieve data sharing and interoperability among Radiology Information Systems (RIS), Electronic Patient Record (EPR), and Picture Archiving and Communication Systems (PACS). Qualitative data collection and analysis methods are used. The data sources consisted of documentation including publications and internal working papers, one year of non-participant observations and 37 interviews with radiologists, clinicians, directors of IT services, referring clinicians, radiographers, receptionists and secretary. We identified four primary phases of data analysis process for the case study: requirements and barriers identification, integration approach, interoperability measurements, and knowledge foundations. Each phase is discussed and supported by qualitative data. Through the analysis we also develop a pragmatic interoperability framework that summaries the empirical findings and proposes recommendations for guiding the integration in the radiology context.

Sulfur and carbon isotopes in scapolite-bearing granulites of the São José do Rio Pardo area, Brazil

Sulfur and carbon isotope compositions of ten scapolites from granulite-facies rocks of the São José do Rio Pardo area, Guaxupé Complex, Brazil, were measured. Scapolite is the primary and major rock-forming mineral in these rocks (up to 40 volume %). The isotopic composition of the sulfate and carbonate group in the scapolite structure has δ34S values of +1.0‰ to +6.7‰, and δ13C values of -14.3‰ to -6.3‰, respectively. The sulfur isotope data may be related to an upper mantle (external) or lower crustal (internal) source for the sulfur, whereas the carbon appears to have been derived from an internal source. Thus, the carbon and sulfur isotope data can be explained without invoking an external (mantle) source. © 1993.

U Pb and Sm Nd geochronologic studies of the eastern Borborema Province, Northeastern Brazil: initial conclusions

The Borborema Province of NE Brasil comprises the central part of a wide Pan-African-Brasiliano orogenetic belt that formed as a consequence of late Neoproterozoic convergence and collision of the São Luis-West Africa craton and the São Francisco-Congo-Kasai cratons. New Sm Nd and U Pb results from the eastern part of this province help to define the basic internal architecture and pre-collisional history of this province, with particular emphasis on delineating older cratonic terranes, their fragmentation during the Mesoproterozoic, and their assembly into West Gondwana during the Pan African-Brasiliano orogeny at ca. 600 Ma. The region can be divided into three major geotectonic domains: a) Rio Piranhas-Caldas Brandão massif, with overlying Paleoproterozoic to Neoproterozoic supracrustal rocks, north of the Patos Lineament; b) the Archean to Paleoproterozoic São Francisco craton (SFC) to the south; and c) a complex domain of Paleoproterozoic to Archean basement blocks with several intervening Mesoproterozoic to Neoproterozoic fold belts in the center (south of Patos Lineament and north of SFC). The northern and central domains comprise the Borborema Province. Archean basement gneiss and Transamazonian granulite of northern SFC are exposed in the southern part of the central domain, underlying southern parts of the Sergipano fold belt. Basement in the Rio Piranhas massif appears to consist mostly of Transamazonian (2.1 to 2.2 Ga) gneissic rocks; Nd model ages (TDM) of ca. 2.6 Ga for 2.15 Ga gneisses indicate a substantial Archean component in the protoliths to these gneisses. The Caldas Brandão massif to the east yields both Transamazonian and Archean U Pb zircon and Nd (TDM) ages, indicating a complex architecture. Metasedimentary rocks of the Jucurutu Formation yield detrital zircons with original crystallization ages as young as 1.8 Ga, indicating that these rocks may be late Paleoproterozoic and correlate with other ca. 1.8 Ga cratonic supracrustal rocks in Brazil such as the Roraima Group and Espinhaço Group. Most metavolcanic and pre-Brasiliano granitic units of the Sergipano (SDS), Pajeú-Paraíba (SPP), Riacho Pontal (SRP), and Piancó-Alto Brígida (SPAB) fold belts in the central domain formed ~ 1.0 ± 0.1 Ga, based on U Pb ages of zircons. Nd model ages (TDM) for these same rocks, as well as Brasiliano granites intruded into them and large parts of the Pernambuco-Alagoas massif, are commonly 1.3-1.7 Ga, indicating that rocks of the fold belts were not wholly derived from either older (> 2.1 Ga) or juvenile (ca. 1.0 Ga) crust, but include mixtures of both components. A simple interpretation of Brasiliano granite genesis and the Nd data implies that there is no Transamazonian or Archean basement underlying large parts of these fold belts or of the Pernambuco-Alagoas massif. An exception is a belt of syenitic Brasiliano plutons (Syenitoid Line) and host gneisses between SPAB and SPP that clearly has a Transamazonian (or older) source. In addition, there are several smaller blocks of Archean to Transamazonian gneiss that can be defined within and among these fold belts. These blocks do not appear to constitute a continuous basement complex, but appear to be isolated older crustal fragments. Our data support a model in which ca. 1.0 Ga rifting was an important tectonic and crust-forming event along the northern edge of the São Francisco craton. Our data also show that significant parts of the Borborema Province are not remobilized Transamazonian to Archean crust, but that Mesoproterozoic crust is a major feature of the Province. There are several small remnants of older crust within the area dominated by Mesoproterozoic crust, suggesting that the rifting event created several small continental fragments that were later incorporated into the Brasiliano collisional orogen. We cannot at present determine if the Rio Piranhas-Caldas Brandão massifs and the older crustal blocks of the central domain were originally part of the São Francisco craton or whether some (or all) of them came from more exotic parts of the Proterozoic Earth. Finally, our data have not yet revealed any juvenile terranes of either Transamazonian or Brasiliano age. © 1995.

FTMOntology: An ontology to fill the semantic gap between music, mood, personality, and human physiology

This paper presents a domain ontology, the FeelingTheMusic Ontology - FTMOntology. FTMOntology is designed to represent the complex domain of music and how it relates to other domains like mood, personality and physiology. This includes representing the main concepts and relations of music domain with each of the above-mentioned domains. The concepts and relations between music, mood, personality and physiology. The main contribution of this work is to model and relate these different domains in a consistent ontology. © 2011 Springer-Verlag.

Drivers of collaboration to mitigate climate change: An illustration of Swiss climate policy over 15 years

Climate change mitigation policy is driven by scientific knowledge and involves actors from the international, national and local decision-making levels. This multi-level and cross-sectoral context requires collaborative management when designing mitigation solutions over time and space. But collaboration in general policymaking settings, and particularly in the complex domain of climate mitigation, is not an easy task. This paper addresses the question of what drives collaboration among collective actors involved in climate mitigation policy. We wish to investigate whether common beliefs or power structures influence collaboration among actors. We adopt a longitudinal approach to grasp differences between the early and more advanced stages of mitigation policy design. We use survey data to investigate actors’ collaboration, beliefs and power, and apply a Stochastic Actor-oriented Model for network dynamics to three subsequent networks in Swiss climate policy between 1995 and 2012. Results show that common beliefs among actors, as well as formal power structures, have a higher impact on collaboration relations than perceived power structures. Furthermore, those effects hold true for decision-making about initial mitigation strategies, but less so for the implementation of those measures.

Smart electricity grids: A very slow deployment in the EU. Egmont Paper No. 74, February 2015

Summary. The European electricity sector will have to deal with a huge challenge in the decades to come. On the one hand, electrical power is increasingly substituted for other forms of energy. It has been forecast that electricity demand will increase in the future (notably because of new needs in transport and heat sectors), although it is currently stagnant, mainly because of the economic crisis. Unless a major alternative energy source is discovered, electricity will become the central energy pillar in the long term. On the other hand, electricity production remains uncertain and will depend on numerous factors: the growth of renewable energy and decentralized energy, the renewal of old power generation capacities, increased external dependency, CO2 charges, etc. This increases the demand for electricity networks that are more reliable, more efficient, and more flexible. Europe’s current electricity networks are ageing, and, as already indicated by the International Energy Agency, many of them will need to be modernized or replaced in the decades to come. Finally, the growing impact of energy trading also needs to be taken into account. These considerations explain the need to modernize the electric grid through various ICT means. This modernization alone may allow the grid to become more flexible and interactive, to provide real time feedback, more adaptation to a fluctuating demand, and finally to reduce the global electricity costs. The paper begins with a description of the EU definition of the term ‘smart grid’ (§ 1) and of the body in charge of advising the Commission (§ 2). The EU legal framework applicable to smart grids is also detailed (§ 3). It is a rather complex domain, connected to various regulations. The paper then examines three critical factors in the development of smart grids (and smart meters as a precondition). Standardization is quite complex, but absolutely essential (§ 4). Innovation is not easily put into action (§ 5). Finally, as digital insecurity has worsened dramatically in recent years, the security of electricity networks, and especially their multiplied electronic components, will become increasingly important (§ 6). Lastly, the paper provides a concise overview of the progress of smart grids in the EU in recent years (§ 7). In a nutshell, the conclusion is that progress is quite slow, many obstacles remain, and, given the appearance of many new regulatory problems, it would be useful to organize a review of the present EU strategy.