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

Leishmania (Viannia) spp. dissemination and tissue tropism in naturally infected dogs (Canis familiaris).

First evidence is presented for Leishmania (Viannia) spp. dissemination and tissue tropism in the domestic dog. Using PCR and histology, parasites were detected in the conjunctiva, lung, lymph nodes and ovaries of 2 naturally infected Peruvian dogs. The detection of parasites in the blood indicates that parasite dissemination to those organs may have been haematogenous

Measuring the Redshift Evolution of Clustering: the Hubble Deep Field South

We present an analysis of the evolution of galaxy clustering in the redshift interval 0<z<4.5 in the HDF-S. The HST optical data are combined with infrared ISAAC/VLT observations, and photometric redshifts are used for all the galaxies brighter than I_AB<27.5. The clustering signal is obtained in different redshift bins using two different approaches: a standard one, which uses the best redshift estimate of each object, and a second one, which takes into account the redshift probability function of each object. This second method makes it possible to improve the information in the redshift intervals where contamination from objects with insecure redshifts is important. With both methods, we find that the clustering strength up to z~3.5 in the HDF-S is consistent with the previous results in the HDF-N. While at redshift lower than z~1 the HDF galaxy population is un/anti-biased (b<1) with respect to the underlying dark matter, at high redshift the bias increases up to b~2-3, depending on the cosmological model. These results support previous claims that, at high redshift, galaxies are preferentially located in massive haloes, as predicted by the biased galaxy formation scenario. The impact of cosmic errors on our analyses has been quantified, showing that errors in the clustering measurements in the HDF surveys are indeed dominated by shot-noise in most regimes. Future observations with instruments like the ACS on HST will improve the S/N by at least a factor of two and more detailed analyses of the errors will be required. In fact, pure shot-noise will give a smaller contribution with respect to other sources of errors, such as finite volume effects or non-Poissonian discreteness effects.Comment: 17 pages Latex, with 12 PostScript figures, Accepted for publication in MNRA

Tinea Corporis Causada por Trichophyton Benhamiae de Transmissão Canina: Primeiro Relato em Portugal

Dermatophytoses are superficial and contagious infections caused by dermatophyte fungi. They are the most fre-quent infectious dermatosis in clinical practice, and can affect the skin, hair and nails. Its correct diagnosis allows the understanding of clinical, ecological and epidemiological aspects associated with these microorganisms. Clinical presentation is variable and depends on the habitat (human, animal or soil origin), virulence of the fungus and on the host’s immune status.We report the clinical case of a 62-year-old man with tinea corporis, which stands out for its exuberant clinical pres-entation and by the isolated agent, Trichophyton benhamiae (formerly known as Arthroderma benhamiae), an etiologi-cal agent of dermatophytosis that has not been scientifically reported in Portugal yet.info:eu-repo/semantics/publishedVersio

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

Fungal contamination in one hotel room: Does carpet coating in the floor enhance fungal contamination?

Study developed in order to know the carpet influence when used in the floor of a hotel room. Twelve air samples of 250L (six in a room with carpet and six more in a room with wood floor) were collected through an impaction method with a flow rate of 140 L/min onto malt extract agar (MEA) supplemented with chloramphenicol (0.05%), using the Millipore air Tester (Millipore), during cleaning activities. Outdoor sample was also performed to be used as a reference. Surface samples from floor and desks, taken at the same time, were collected by the swabbing method. to 7 days. Besides fungal contamination, we also assessed particulate matter contamination in both rooms during the same cleaning tasks. In the analyzed sur- faces, isolates belonging to Aspergillus fumigatus complex were the only fungi found in the carpeted room, whereas in the other room we found Penicllium sp. (63.6%) and Aspergillus sp. (13.6%) as the most frequent genera. In the case of particles the room with carpet obtained significant higher values for both metrics (PMC and PNC), showing that carpet may has influence on particles’ contamination of the room

Are air-borne mycotoxins a public health concern in Portugal?

Introduction - Microscopic filamentous fungi, under suitable environmental conditions, can lead to the production of highly toxic chemical substances, commonly known as mycotoxins. The most widespread and studied mycotoxins are metabolites of some genera of moulds such as Aspergillus, Penicillium and Fusarium. Quite peculiar conditions may influence mycotoxin biosynthesis, such as climate, geographical location, cultivation practices, storage and type of substrate. Toxicity has been extensively investigated for the most important mycotoxins, such as aflatoxins, ochratoxin A and Fusarium toxins, and much information derived from toxicokinetics in animal models has also been obtained. The adverse effects are mainly related to genotoxicity, carcinogenicity, mutagenicity, teratogenicity and immunotoxicity. Aim of the study - To identify fungal species able to produce important mycotoxins in different Portuguese settings

Banco de estacas para multiplicação de Gliricidia sepium: uma espécie de múltiplo uso.

Avaliação do desempenho de banco de estacas de gliricidia implantado em áreas degradadas e determinação da relação entre diâmetro e comprimento das estacas com a qualidade das hastes que elas produzem visando acelerar a produção de material multiplicativo dessa espécie

Comparison of indoor and outdoor fungi and particles in poultry units

A descriptive study was developed in order to compare indoor and outdoor air contamination caused by fungi and particles in seven poultry units. Twenty eight air samples of 25 litters were collected through the impaction method on malt extract agar. Air sampling and particles concentration measurement were done in the interior and also outside premises of the poultries’ pavilions. Regarding the fungal load in the air, indoor concentration of mold was higher than outside air in six poultry units. Twenty eight species / genera of fungi were identified indoor, being Scopulariopsis brevicaulis (40.5%) the most commonly isolated species and Rhizopus sp. (30.0%) the most commonly isolated genus. Concerning outdoor, eighteen species/genera of fungi were isolated, being Scopulariopsis brevicaulis (62.6%) also the most isolated. All the poultry farms analyzed presented indoor fungi different from the ones identified outdoors. Regarding particles’ contamination, PM2.5, PM5.0 and PM10 had a statistically significant difference (Mann-Whitney U test) between the inside and outside of the pavilions, with the inside more contaminated (p=.006; p=.005; p=.005, respectively). The analyzed poultry units are potential reservoirs of substantial amounts of fungi and particles and could therefore free them in the atmospheric air. The developed study showed that indoor air was more contaminated than outdoors, and this can result in emission of potentially pathogenic fungi and particles via aerosols from poultry units to the environment, which may post a considerable risk to public health and contribute to environmental pollution

SETE. FotoEnsaio

Pictures from SETE, musical drama based on Aeschylus’Against Thebes and Euripides’The Phoenician Women. All pictures by Tiago Sabino.Fotos do espetáculo SETE, baseado em Sete Contra Tebas de Ésquilo, e As Fenícias, de Eurípides. Fotos de Tiago Sabino