Multidimensional Quasi-Monte Carlo Malliavin Greeks

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin Calculus approach over different techniques that have been previously proposed. Indeed, these techniques may be computationally expensive and do not provide flexibility for variance reduction. In contrast, the Malliavin approach exhibits a higher flexibility by providing a class of functions that return the same expected value (the Greek) with different accuracies. This versatility for variance reduction is not possible without the use of the generalized integral by part formula of Malliavin Calculus. In the multidimensional context, we find convenient formulas that permit to improve the localization technique, introduced in Fourni\'e et al and reduce both the computational cost and the variance. Moreover, we show that the parameters employed for variance reduction can be obtained \textit{on the flight} in the simulation. We illustrate the efficiency of the proposed procedures, coupled with the enhanced version of Quasi-Monte Carlo simulations as discussed in Sabino, for the numerical estimation of the Deltas of call, digital Asian-style and Exotic basket options with a fixed and a floating strike price in a multidimensional Black-Scholes market.Comment: 22 pages, 6 figure

Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations

In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa (2003). Efficient path-generation algorithms, such as Linear Transformation and Principal Component Analysis, exhibit a high computational cost in a market with time-dependent volatilities. We present a new and fast Cholesky algorithm for block matrices that makes the Linear Transformation even more convenient. Moreover, we propose a new-path generation technique based on a Kronecker Product Approximation. This construction returns the same accuracy of the Linear Transformation used for the computation of the deltas and the prices in the case of correlated asset returns while requiring a lower computational time. All these techniques can be easily employed for stochastic volatility models based on the mixture of multi-dimensional dynamics introduced by Brigo et al. (2004).Comment: 16 page

On the spatial distribution of dark matter halos

We study the spatial distribution of dark matter halos in the Universe in terms of their number density contrast, related to the underlying dark matter fluctuation via a non-local and non-linear bias random field. The description of the matter dynamics is simplified by adopting the `truncated' Zel'dovich approximation to obtain both analytical results and simulated maps. The halo number density field in our maps and its probability distribution reproduce with excellent accuracy those of halos in a high-resolution N-body simulation with the same initial conditions. Our non-linear and non-local bias prescription matches the N-body halo distribution better than any Eulerian linear and local bias.Comment: 4 pages, LaTeX (uses emulateapj; included psfig.tex), 3 figures, 1 table. Shortened version, matching the size requirements of ApJ Letters. Accepted for publicatio

Real-time evaluation of two light delivery systems for photodynamic disinfection of Candida albicans biofilm in curved root canals

Antimicrobial photodynamic therapy (APDT) combined with endodontic treatment has been recognized as an alternative approach to complement conventional root canal disinfection methods on bacterial biofilms. We developed an in vitro model of bioluminescent Candida albicans biofilm inside curved dental root canals and investigated the microbial reduction produced when different light delivery methods are employed. Each light delivery method was evaluated in respect to the light distribution provided inside curved root canals. After conventional endodontic preparation, teeth were sterilized before canals were contaminated by a bioluminescent strain of C. albicans (CEC789). Methylene blue (90 μM) was introduced into the canals and then irradiated (λ = 660 nm, P = 100 mW, beam diameter = 2 mm) with laser tip either in contact with pulp chamber or within the canal using an optical diffuser fiber. Light distribution was evaluated by CCD camera, and microbial reduction was monitored through bioluminescence imaging. Our findings demonstrated that the bioluminescent C. albicans biofilm model had good reproducibility and uniformity. Light distribution in dental tissue was markedly dependent on the light delivery system, and this strategy was directly related to microbial destruction. Both light delivery systems performed significant fungal inactivation. However, when irradiation was performed with optical diffuser fiber, microbial burden reduction was nearly 100 times more effective. Bioluminescence is an interesting real-time analysis to endodontic C. albicans biofilm inactivation. APDT showed to be an effective way to inactivate C. albicans biofilms. Diffuser fibers provided optimized light distribution inside curved root canals and significantly increased APDT efficiency.Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP, grant 2010/13313-9)Conselho Nacional de Pesquisas (Brazil) Conselho Nacional de Desenvolvimento Cientifico e TecnologicoNational Institute of Mental Health (U.S.) (NIH R01AI050875

Interferência do material de construção na temperatura do ar no interior do escamoteador.

O desenvolvimento dos leitões na maternidade constitui-se um fator determinante para o sucesso econômico na granja. Dessa forma, objetivou-se avaliar o conforto térmico de dois escamoteadores diferentes para leitões. Foi utilizada uma sala com quatro celas parideiras individual, sendo dois escamoteadores de madeira e dois de polietileno. No interior de cada escamoteador e no centro geométrico de cada sala foi instalado um datalogger de temperatura e umidade. Os dados foram coletados em quatro lotes durante três semanas a cada 30 minutos. Essas variáveis foram analisadas, por meio do modelo de medidas repetidas. O escamoteador de polietileno foi mais adequado com 27,36 % e 27,19 % dos dados dentro da faixa de conforto, enquanto o de madeira obteve 13,61% e 23,85% nas semanas 1 e 2 respectivamente. Somente na terceira semana o escamoteador de madeira obteve melhores resultados com 42,45% enquanto o de polietileno obteve 16,52% dos dados dentro da faixa de conforto. Ambos os escamoteadores obtiveram bons resultados quanto a umidade, obtendo média de dados dentro da faixa ideal de 58,30% o de polietileno e 69,85%, o de madeira. Piglet development in the farrowing house is a determining factor for the economic success the farm. The objective was to evaluate the thermal comfort of two different creeps for piglets. For this, it was used a farrowing house with four individual cells, twomade of wood, and two ofpolyethylene. Inside each creep and at the geometric center of each room , a datalogger was installed for recording the temperature and humidity. Data were collected in four batches every 30 minutes for three weeks. These variables were analyzed using a repeated measures model. The polyethylene creep was the most suitable with 27.36 % and 27.19% of the data within the comfort range, while the wooden creep achieved 13.61 % and 23.85% , in the weeks 1 and 2, respectively. Only on the third week the wood creep presented better results, with 42.45%, whereas that of polyethylene attained 16.52% of the data within the comfort rang. Both creeps achieved satisfactory results for the humidity, reaching mean values within the appropriate range, 58.30% and 69.85%, for polyethylene and wood creeps, respectively

Avaliação do ambiente de dois modelos de sala de maternidade na suinocultura com o uso do programa surfer.

Projeto: 11.11.11.111

Frequência de conforto da temperatura e umidade em creches de suínos com programas de iluminação nos períodos de inverno e verão.

Projeto: 11.11.11.111

The Asiago-ESO/RASS QSO Survey. III. Clustering analysis and its theoretical interpretation

This is the third paper of a series describing the Asiago-ESO/RASS QSO survey (AERQS), a project aimed at the construction of an all-sky statistically well-defined sample of relatively bright QSOs (B<15) at z<0.3. We present here the clustering analysis of the full spectroscopically identified database (392 AGN). The clustering signal at 0.02<z<0.22 is detected at a 3-4 sigma level and its amplitude is measured to be r_0=8.6\pm 2.0 h^{-1} Mpc (in a LambdaCDM model). The comparison with other classes of objects shows that low-redshift QSOs are clustered in a similar way to Radio Galaxies, EROs and early-type galaxies in general, although with a marginally smaller amplitude. The comparison with recent results from the 2QZ shows that the correlation function of QSOs is constant in redshift or marginally increasing toward low redshift. We discuss this behavior with physically motivated models, deriving interesting constraints on the typical mass of the dark matter halos hosting QSOs, M_DMH= 10^{12.7} h^{-1} M_sun (10^{12.0}-10^{13.5}h^{-1} M_sun at 1 sigma confidence level). Finally, we use the clustering data to infer the physical properties of local AGN, obtaining M_BH=2 10^8 h^{-1} M_sun (10^7-3 10^9 h^{-1} M_sun) for the mass of the active black holes, tau_{AGN}= 8 10^6 yr (2 10^{6}-5 10^{7} yr) for their life-time and eta = 0.14 for their efficiency (always for a LambdaCDM model).Comment: 37 pages, Astronomical Journal in press. Changes to match the referee comment

General Relativistic Dynamics of Irrotational Dust: Cosmological Implications

The non--linear dynamics of cosmological perturbations of an irrotational collisionless fluid is analyzed within General Relativity. Relativistic and Newtonian solutions are compared, stressing the different role of boundary conditions in the two theories. Cosmological implications of relativistic effects, already present at second order in perturbation theory, are studied and the dynamical role of the magnetic part of the Weyl tensor is elucidated.Comment: 12 pages , DFPD 93/A/6

Effects of L-carnitine administration on left ventricular remodeling after acute anterior myocardial infarction: The L-carnitine Ecocardiografia Digitalizzata Infarto Miocardico (CEDIM) trial

Objectives. This study was performed to evaluate the effects of l-carnitine administration on long-term left ventricular dilation in patients with acute anterior myocardial infarction. Background. Carnitine is a physiologic compound that performs an essential role in myocardial energy production at the mitochondrial level. Myocardial carnitine deprivation occurs during ischemia, acute myocardial infarction and cardiac failure. Experimental studies have suggested that exogenous carnitine administration during these events has a beneficial effect on function. Methods. The l-Carnitine Ecocardiografia Digitalizzata Infarto Miocardico (CEDIM) trial was a randomized, double-blind, placebo-controlled, multicenter trial in which 472 patients with a first acute myocardial infarction and high quality two-dimensional echocardiograms received either placebo (239 patients) or l-carnitine (233 patients) within 24 h of onset of chest pain. Placebo or l-carnitine was given at a dose of 9 g/day intravenously for the first 5 days and then 6 g/day orally for the next 12 months. Left ventricular volumes and ejection fraction were evaluated on admission, at discharge from hospital and at 3, 6 and 12 months after acute myocardial infarction. Results. A significant attenuation of left ventricular dilation in the first year after acute myocardial infarction was observed in patients treated with l-carnitine compared with those receiving placebo. The percent increase in both end-diastolic and endsystolic volumes from admission to 3-, 6- and 12-mouth evaluation was significantly reduced in the l-carnitine group. No significant differences were observed in left ventricular ejection fraction changes over time in the two groups. Although not designed to demonstrate differences in clinical end points, the combined incidence of death and congestive heart failure after discharge was 14 (6%) in the l-carnitine treatment group versus 23 (9.6%) in the placebo group (p = NS). Incidence of ischemic events during follow-up was similar in the two groups of patients. Conclusions. l-Carnitine treatment initiated early after acute myocardial infarction and continued for 12 months can attenuate left ventricular dilation during the first year after an acute myocardial infarction, resulting in smaller left ventricular volumes at 3, 6 and 12 months after the emergent event