Arbitrage and deflators in illiquid markets

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash account/numeraire. In addition to classical frictionless markets and markets with transaction costs or bid-ask spreads, our framework covers markets with nonlinear illiquidity effects for large instantaneous trades. In the presence of nonlinearities, the classical notion of arbitrage turns out to have two equally meaningful generalizations, a marginal and a scalable one. We study their relations to state price deflators by analyzing two auxiliary market models describing the local and global behavior of the cost functions and constraints

Paratesticular Liposarcoma: What is the Best Therapeutic Strategy?

Introduction: Liposarcomas are neoplasms of mesodermal origin derived from adipose tissue and correspond to 10–14% of all soft tissue sarcomas. Paratesticular liposarcoma is very rare.Case report: We report a 60-year old man who presented with a left testicular tumor 20 cm in diameter. Initial incisional biopsy was reported as fibromatosis. Chest and abdominal CT scan did not show distant metastases. Through an inguinal incision orchidectomy with homolateral inguinal node dissection was performed. Histopathological examination showed a paratesticular myxoid liposarcoma. Adjuvant radiotherapy without chemotherapy was administered. The patient remains well at 11 months followup, with no evidence of recurrence.Conclusion: Complete surgical extirpation reduces the risk of local recurrence. Neoadjuvant chemotherapy or radiotherapy may reduce the tumor size, thus facilitating complete excision

Synthesis and X-ray structure of the dysprosium(III) complex derived from the ligand 5-chloro-1,3-diformyl-2-hydroxybenzene-bis-(2-hydroxybenzoylhydrazone) [Dy2(C22H16ClN4O5)3]

The title compound [Dy2(C22H16ClN4O5)3](SCN)3(H2O)(CH3OH) has been synthesized and its crystal structure determined by single X-ray diffraction at room temperature. The two nine coordinated Dy(III) are bound to three macromolecules ligand through the phenolic oxygens of the p-chlorophenol moieties, the nitrogen atoms and the carbonyl functions of the hydrazonic moieties. The phenolic oxygen atoms of the 2-hydroxybenzoyl groups are not bonded to the metal ions. In the bases of the coordination polyhedra the six Dy-N bonds are in the range 2.563(13)-2.656(13) Å and the twelve Dy-O bonds are in the range 2.281(10)-2.406(10) Å. KEY WORDS: Dysprosium(III) complex, 5-Chloro-1,3-diformyl-2-hydroxybenzene-bis-(2-hydroxybenzoylhydrazone), Crystal structure  Bull. Chem. Soc. Ethiop. 2003, 17(2), 167-172

Multivariate risks and depth-trimmed regions

We describe a general framework for measuring risks, where the risk measure takes values in an abstract cone. It is shown that this approach naturally includes the classical risk measures and set-valued risk measures and yields a natural definition of vector-valued risk measures. Several main constructions of risk measures are described in this abstract axiomatic framework. It is shown that the concept of depth-trimmed (or central) regions from the multivariate statistics is closely related to the definition of risk measures. In particular, the halfspace trimming corresponds to the Value-at-Risk, while the zonoid trimming yields the expected shortfall. In the abstract framework, it is shown how to establish a both-ways correspondence between risk measures and depth-trimmed regions. It is also demonstrated how the lattice structure of the space of risk values influences this relationship.Comment: 26 pages. Substantially revised version with a number of new results adde

Benthic foraminifera as tracers of brine production in the Storfjorden "sea ice factory"

The rapid response of benthic foraminifera to environmental factors (e.g. organic matter quality and quantity, salinity, pH) and their high fossilisation potential make them promising bio-indicators for the intensity and recurrence of brine formation in Arctic seas. Such an approach, however, requires a thorough knowledge of their modern ecology in such extreme settings. To this aim, seven stations along a north-south transect across the Storfjorden (Svalbard archipelago) have been sampled using an interface multicorer. This fjord is an area of intense sea ice formation characterised by the production of brine-enriched shelf waters (BSW) as a result of a recurrent latent-heat polynya. Living (rose bengal-stained) foraminiferal assemblages were analysed together with geochemical and sedimentological parameters in the top 5 cm of the sediment. Three major biozones were distinguished. (i) The inner fjord zone, dominated by typical glacier proximal calcareous species, which opportunistically respond to fresh organic matter inputs. (ii) The deep basins and sill zone, characterised by glacier distal agglutinated fauna; these are either dominant because of the mostly refractory nature of organic matter and/or the brine persistence that hampers the growth of calcareous species and/or causes their dissolution. (iii) The outer fjord zone, characterised by typical North Atlantic species due to the intrusion of the North Atlantic water in the Storfjordrenna. The stressful conditions present in the deep basins and sill (i.e. acidic waters and low food quality) result in a high agglutinated = calcareous ratio (A=C). This supports the potential use of the A=C ratio as a proxy for brine persistence and overflow in Storfjorden

Appendagite épiploïque primitive: à propos de cinq cas

La torsion de frange épiploïque (ou appendagite) est une pathologie rare qui survient principalement chez les adultes entre 20 et 50 ans.L'incidence de cette pathologie n'est pas réellement connue et elle varie de 2 à 7% chez les patients hospitalisés pour suspicion d'appendicite oude sigmoïdite. Nous rapportons cinq cas d'appendagites dont nous précisons les particularités cliniques, radiologiques et thérapeutiques. Il s'agit de 5 patients dont l'âge moyen est de 34.6 ans (24-55). Le sexe ratio est de 1.5. Le principal motif de consultation était un syndrome douloureux de l'abdomen principalement au niveau de la fosse iliaque droite. L'examen abdominal montrait toujours une sensibilité localisée. La fièvre était présente chez 3 patients. Le bilan biologique révèle un syndrome inflammatoire biologique chez trois patients. Les examens complémentaires radiologiques en particulier échographie abdominale et TDM abdominale ont éliminé formellement une urgence chirurgicale et ont évoqué le diagnostic d'appendagite dans trois cas. Trois patients ont bénéficié d'une coelioscopie diagnostique confirmant le diagnostic  d'appendagite. L'évolution était favorable chez tous les patients. Les appendagites épiploïques primitives sont des étiologies rares et  sous-estimées de syndrome abdominal aigu. Le diagnostic peut être affirmé par imagerie notamment avec le scanner hélicoïdal injecté,  permettant d'instaurer ainsi un traitement médical premier et d'éviter un traitement chirurgical et des hospitalisations excessives

Phase boundary between Na–Si clathrates of structures I and II at high pressures and high temperatures

Understanding of the covalent clathrate formation is a crucial point for the design of new superhard materials with intrinsic coupling of superhardness and metallic conductivity. It has been found that silicon clathrates have the archetype structures, which can serve an existent model compounds for superhard clathrate frameworks Si–B, Si–C, B–C and C with intercalated atoms (e.g., alkali metals or even halogens) that can assure the metallic properties. Here we report our in situ and ex situ studies of high-pressure formation and stability of clathrates Na₈Si₄₆ (structure I) and Na₂₄₊xSi₁₃₆ (structure II). Experiments have been performed using standard Paris–Edinburgh cells (opposite anvils) up to 6 GPa and 1500 K. We have established that chemical interactions in the Na–Si system and transition between two structures of clathrates occur at temperatures below silicon melting. The strong sensitivity of crystallization products to the sodium concentration has been observed. A tentative diagram of clathrate transformations has been proposed. At least up to ~ 6 GPa, Na₂₄₊xSi₁₃₆ (structure II) is stable at lower temperatures as compared to Na₈Si₄₆ (structure I).Изучен in situ и ex situ процесс образования при высоких давлениях и стабильности клатратов Na₈Si₄₆ (структура I) и Na₂₄₊xSi₁₃₆ (структура II). Эксперименты были проведены в стандартных Париж-Эдинбургских ячейках (opposite anvils) при давлениях и температурах до 6 ГПа и 1500 K соответственно. Установлено, что химическое взаимодействие в системе Na–Si и переходы между двумя структурами клатратов происходят при температурах ниже температуры плавления кремния. Предложено первое приближение диаграммы превращений клатратов. Отмечена большая чувствительность продуктов кристаллизации к концентрации натрия. Na₂₄₊xSi₁₃₆ (структура II) является стабильной при более низких температурах по сравнению с Na₈Si₄₆ (структура I), по крайней мере до ~ 6 ГПа.Вивчено in situ і ex situ процес утворення при високих тисках і стабільності клатратів Na₈Si₄₆ (структура I) і Na₂₄₊xSi₁₃₆ (структура II). Експерименти було проведено в стандартних Париж-Единбурзький комірках (opposite anvils) при тисках і температурах до 6 ГПа і 1500 K відповідно. Встановлено, що хімічна взаємодія в системі Na–Si і переходи між двома структурами клатратов відбуваються при температурах нижче температури плавлення кремнію. Запропоновано перше наближення діаграми перетворень клатратів. Відзначено велику чутливість продуктів кристалізації до концентрації натрію. Na₂₄₊xSi₁₃₆ (структура II) є стабільною при більш низьких температурах у порівнянні з Na₈Si₄₆ (структура I), принаймні до ~ 6 ГПа

Market consistent valuations with financial imperfection

In this paper, we study market consistent valuations in imperfect markets. In the first part of the paper, we observe that in an imperfect market one needs to distinguish two type of market consistencies, namely types I and II. We show that while market consistency of type I holds without very strong conditions, market consistency of type II (which in the literature is known as the usual definition of market consistency) is only well defined in perfect markets. This is important since the existing literature on market consistency considers perfect markets where the two market consistencies are equivalent. In the second part of the paper, by introducing a best estimator we find strong connections between hedging and market consistency of either type. We show under very general conditions, the type I and the type II market consistent evaluators are best estimators, and establish a two-step representation for the market consistent risk evaluators. In the third part of the paper, we present several families of market consistent evaluators in imperfect markets

Eliciting Dirichlet and Gaussian copula prior distributions for multinomial models

In this paper, we propose novel methods of quantifying expert opinion about prior distributions for multinomial models. Two different multivariate priors are elicited using median and quartile assessments of the multinomial probabilities. First, we start by eliciting a univariate beta distribution for the probability of each category. Then we elicit the hyperparameters of the Dirichlet distribution, as a tractable conjugate prior, from those of the univariate betas through various forms of reconciliation using least-squares techniques. However, a multivariate copula function will give a more flexible correlation structure between multinomial parameters if it is used as their multivariate prior distribution. So, second, we use beta marginal distributions to construct a Gaussian copula as a multivariate normal distribution function that binds these marginals and expresses the dependence structure between them. The proposed method elicits a positive-definite correlation matrix of this Gaussian copula. The two proposed methods are designed to be used through interactive graphical software written in Java