Pricing with Variance Gamma Information

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {Ft}_t≥0 is generated by an information process {ξ_t}t≥0 defined in such a way that at some fixed time T an F_T -measurable random variable X_T is “revealed”. A cash flow H_T is taken to depend on the market factor X_T , and one considers the valuation of a financial asset that delivers H_T at T. The value of the asset S_t at any time t ∈ [0, T ) is the discounted conditional expectation of H_T with respect to F_t, where the expectation is under the risk neutral measure and the interest rate is constant. Then S_T− = H_T , and S_t = 0 for t ≥ T. In the general situation one has a countable number of cash flows, and each cash flow can depend on a vector of market factors, each associated with an information process. In the present work we introduce a new process, which we call the normalized variance-gamma bridge. We show that the normalized variance-gamma bridge and the associated gamma bridge are jointly Markovian. From these processes, together with the specification of a market factor X_T , we construct a so-called variance-gamma information process. The filtration is then taken to be generated by the information process together with the gamma bridge. We show that the resulting extended information process has the Markov property and hence can be used to develop pricing models for a variety of different financial assets, several examples of which are discussed in detail

Holocene Fire Occurrence and Alluvial Responses at the Leading Edge of Pinyon–Juniper Migration in the Northern Great Basin, USA

Fire and vegetation records at the City of Rocks National Reserve (CIRO), south-central Idaho, display the interaction of changing climate, fire and vegetation along the migrating front of single-leaf pinyon (Pinus monophylla) and Utah juniper (Juniperus osteosperma). Radiocarbon dating of alluvial charcoal reconstructed local fire occurrence and geomorphic response, and fossil woodrat (Neotoma) middens revealed pinyon and juniper arrivals. Fire peaks occurred ~10,700–9500, 7200–6700, 2400–2000, 850–700, and 550–400 cal yr BP, whereas ~9500–7200, 6700–4700 and ~1500–1000 cal yr BP are fire-free. Wetter climates and denser vegetation fueled episodic fires and debris flows during the early and late Holocene, whereas drier climates and reduced vegetation caused frequent sheetflooding during the mid-Holocene. Increased fires during the wetter and more variable late Holocene suggest variable climate and adequate fuels augment fires at CIRO. Utah juniper and single-leaf pinyon colonized CIRO by 3800 and 2800 cal yr BP, respectively, though pinyon did not expand broadly until ~700 cal yr BP. Increased fire-related deposition coincided with regional droughts and pinyon infilling ~850–700 and 550–400 cal yr BP. Early and late Holocene vegetation change probably played a major role in accelerated fire activity, which may be sustained into the future due to pinyon–juniper densification and cheatgrass invasion

Thermo-rheological-kinetical Study of Compression Molding of Fibre-reinforced Composites

International audienceTo improve the modeling of fiber reinforced composites, we present in this work numerical methods able to compute both fiber-reinforced composites deformation in squeeze flow and thermal-kinetic evolution. The rheology is given by an homogeneous orthotropic model for fiber composites which describes the anisotropy of the in-plane fiber. The thermics is then extended accounting for the reaction here formulated by the Bailleul's model. Both physics are related since the kinetic evolution as well as the temperature profile modify the rheology of the composites, giving raise to the thermo-rheological-kinetical coupling by means of the viscosity temperature dependence. A study case is presented, where the mold temperature is set to 150 • C with a composite sample at 40 • C. Thermal transfer begins as well as sample compression at constant speed. We present the evolution of the reaction, temperature and viscosity at the core and the surface. Reaction in the core of the material is much quicker than in the surface. Which means that a mapping of viscosity values is presented during the reaction modifying the mechanical response

Relación del conocimiento del etiquetado “Semáforo Nutricional” en el estado nutricional de adolescentes ecuatorianos/List of labeling knowledge: "Nutritional traffic light" in the nutritional status of Ecuadorian adolescents

El semáforo nutricional (SN) es un tipo de etiquetado de alimentos creado para mejorar la comprensión del contenido de nutrientes (sodio, azúcar y grasa) en los alimentos procesados. En Ecuador, el SN es de uso obligatorio desde el año 2012. Objetivo: Evaluar la relación del conocimiento del etiquetado SN en el estado nutricional de adolescentes ecuatorianos. Métodos: Estudio transversal. Con 599 adolescentes (14- 18 años). Se recopilaron datos antropométricos, actividad física (IPAQ-A) e ingesta alimentaria utilizando 3 encuestas de recordatorio de 24 horas, el conocimiento del SN se evaluó con un cuestionario preparado para este fin: puntuaciones >5 significaron adecuado conocimiento (AC). Las relaciones entre las variables se determinaron mediante prueba t de student, utilizando el software STATA-14. Resultados: 55% de los adolescentes presentaron diagnóstico de sobrepeso, el 28% obesidad, según los indicadores IMC//Edad, el 48% un AC. Los adolescentes que mostraron inadecuado conocimiento evidenciaron medias más altas de IMC//edad, circunferencia de la cintura, circunferencia de la cadera y porcentaje de masa grasa (p<0.001), no se encontró diferencias en la ingesta alimentaria y conocimiento del SN. Conclusiones: El conocimiento del SN puede estar relacionado con el sobrepeso-obesidad en adolescentes, se necesita realizar más estudios para conocer cuál es el impacto de SN sobre el estado nutricional de la población en general. Nutritional traffic light (NT) is a type of food labeling created to improve the understanding of nutrient content (sodium, sugar and fat) in industrialized foods. In Ecuador, the TN is mandatory since 2012. Objective: To evaluate the relationship of NT labeling knowledge in the nutritional status of Ecuadorian adolescents. Methods: cross-sectional study. With 600 teenagers (14-18 years old). Anthropometric data, physical activity (IPAQ-A), and food intake were collected using 3 reminder surveys of 24 hours. Knowledge of NT was assessed with a questionnaire prepared for this purpose: scores> 5 meant adequate knowledge (AK). The relationships between the variables were determined by student’s T-test, using the STATA-14 software. Results: 55% of the adolescents presented a diagnosis of overweight and 28% of the adolescents presented a diagnosis of obesity according to the BMI indicators // age 48% presented a AK. Adolescents who presented inadequate knowledge presented higher means of BMI // age, waist circumference, hip circumference and percentage of fat mass (p <0.001), no differences were found in food intake and NT knowledge. Conclusions: Knowledge of NT may be related to overweight-obesity in adolescents, more studies are needed to establish these associations. Palabras clave: Semáforo nutricional, estado nutricional, adolescentes, Ecuador. Keywords: Nutritional traffic light, nutritional status, adolescents, Ecuador

Lévy-Ito Models in Finance

We present an overview of the broad class of financial models in which the prices of assets are L évy-Ito processes driven by an n-dimensional Brownian motion and an independent Poisson random measure. The Poisson random measure is associated with an n-dimensional Lévy process. Each model consists of a pricing kernel, a money market account, and one or more risky assets. We show how the excess rate of return above the interest rate can be calculated for risky assets in such models, thus showing the relationship between risk and return when asset prices have jumps. The framework is applied to a variety of asset classes, allowing one to construct new models as well as interesting generalizations of familiar models

Optimización de los parámetros de operación en un proceso de tratamiento de aguas por electro-oxidación

En este estudio se evaluó la electro-oxidación como tratamiento para aguas residuales provenientes del proceso de producción de resinas fenólicas. Los experimentos se llevaron a cabo en un reactor tipo batch a escala laboratorio con una configuración monopolar con electrodos de grafito y titanio. Se realizaron ensayos preliminares con un volumen de muestra de 200 ml, un área sumergida de 25.13 cm2 para el electrodo de grafito (ánodo) y 40 cm2 para el electrodo de titanio (cátodo) y un tiempo de residencia de 240 minutos, 15 voltios y una agitación de 200 rpm.113 p.This study evaluated the electro-oxidation of phenolic resins production wastewater treatment. The experiments were carried out in a laboratory scale batch reactor with a monopolar configuration was built with graphite (anode) and titanium (cathode) electrodes. Prelimary tests were carried out with a sample volume of 200 ml, a submerged area of 25.13 cm2 for the graphite electrode and 40 cm2 for the titanium electrode and 240 minutes as a residence time, voltage of 15 V and an agitation value of 200 rpm.Contenido parcial: Aguas contaminadas con fenol -- Procesos electroquímicos de oxidación avanzada -- Electro-Oxidación -- Aspectos técnicos de operación de la electro-oxidación -- Especificaciones técnicas de la celda para electro-oxidación -- Diseño de experimentos

Local cohomology and Lyubeznik numbers of F-pure rings

In this article, we study certain local cohomology modules over F-pure rings. We give sufficient conditions for the vanishing of some Lyubeznik numbers, derive a formula for computing these invariants when the F-pure ring is standard graded and, by its means, we provide some new examples of Lyubeznik tables. We study associated primes of certain Ext-modules, showing that they are all compatible ideals. Finally, we focus on properties that Lyubeznik numbers detect over a globally F-split projective variety

Temporal visitation patterns of points of interest in cities on a planetary scale: a network science and machine learning approach

We aim to study the temporal patterns of activity in points of interest of cities around the world. In order to do so, we use the data provided by the online location-based social network Foursquare, where users make check-ins that indicate points of interest in the city. The data set comprises more than 90 million check-ins in 632 cities of 87 countries in 5 continents. We analyzed more than 11 million points of interest including all sorts of places: airports, restaurants, parks, hospitals, and many others. With this information, we obtained spatial and temporal patterns of activities for each city. We quantify similarities and differences of these patterns for all the cities involved and construct a network connecting pairs of cities. The links of this network indicate the similarity of temporal visitation patterns of points of interest between cities and is quantified with the Kullback-Leibler divergence between two distributions. Then, we obtained the community structure of this network and the geographic distribution of these communities worldwide. For comparison, we also use a Machine Learning algorithm - unsupervised agglomerative clustering - to obtain clusters or communities of cities with similar patterns. The main result is that both approaches give the same classification of five communities belonging to five different continents worldwide. This suggests that temporal patterns of activity can be universal, with some geographical, historical, and cultural variations, on a planetary scale.Comment: 18 pages, 7 figure