Optimal hedging of Derivatives with transaction costs

We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a Hamilton-Bellman-Jacobi equation, which by the verification theorem has well-behaved solutions if certain conditions on a potential are satisfied. In the case at hand, these conditions simply imply arbitrage-free ("Black-Scholes") pricing of the derivative. While pricing is hence not changed by friction allow a portfolio to fluctuate around a delta hedge. In the limit of weak friction, we determine the optimal control to essentially be of two parts: a strong control, which tries to bring the stock-and-derivative portfolio towards a Black-Scholes delta hedge; and a weak control, which moves the portfolio by adding or subtracting a Black-Scholes hedge. For simplicity we assume growth-optimal investment criteria and quadratic friction.Comment: Revised version, expanded introduction and references 17 pages, submitted to International Journal of Theoretical and Applied Finance (IJTAF

Lignin biomarkers as tracers of mercury sources in lakes water column

This study presents the role of specific terrigenous organic compounds as important vectors of mercury (Hg) transported from watersheds to lakes of the Canadian boreal forest. In order to differentiate the autochthonous from the allochthonous organic matter (OM), lignin derived biomarker signatures [Lambda, S/V, C/V, P/(V ? S), 3,5-Bd/V and (Ad/Al)v] were used. Since lignin is exclusively produced by terrigenous plants, this approach can give a non equivocal picture of the watershed inputs to the lakes. Moreover, it allows a characterization of the source of OM and its state of degradation. The water column of six lakes from the Canadian Shield was sampled monthly between June and September 2005. Lake total dissolved Hg concentrations and Lambda were positively correlated, meaning that Hg and ligneous inputs are linked (dissolved OM r2 = 0.62, p\0.0001; particulate OM r2 = 0.76, p\0.0001). Ratios of P/(V ? S) and 3,5-Bd/V from both dissolved OM and particulate OM of the water column suggest an inverse relationship between the progressive state of pedogenesis and maturation of the OM in soil before entering the lake, and the Hg concentrations in the water column. No relation was found between Hg levels in the lakes and the watershed flora composition—angiosperm versus gymnosperm or woody versus non-woody compounds. This study has significant implications for watershed management of ecosystems since limiting fresh terrestrial OM inputs should reduce Hg inputs to the aquatic systems. This is particularly the case for largescale land-use impacts, such as deforestation, agriculture and urbanization, associated to large quantities of soil OM being transferred to aquatic systems

Effects of metal-contaminated soils on the accumulation of heavy metals in gotu kola (Centella asiatica) and the potential health risks: a study in Peninsular Malaysia

Centella asiatica is a commonly used medicinal plant in Malaysia. As heavy metal accumulation in medicinal plants which are highly consumed by human is a serious issue, thus the assessment of heavy metals in C. asiatica is important for the safety of consumers. In this study, the heavy metal accumulation in C. asiatica and the potential health risks were investigated. Samples of C. asiatica and surface soils were collected from nine different sites around Peninsular Malaysia. The concentration of six heavy metals namely Cd, Cu, Ni, Fe, Pb and Zn were determined by air-acetylene flame atomic absorption spectrophotometer (AAS). The degree of anthropogenic influence was assessed by calculating the enrichment factor (EF) and index of geoaccumulation (Igeo). The heavy metal uptake into the plant was estimated through the calculation of translocation factor (TF), bioconcentration factor (BCF) and correlation study. Estimated daily intakes (EDI) and target hazard quotients (THQ) were used to determine the potential health risk of consuming C. asiatica. The results showed that the overall surface soil was polluted by Cd, Cu and Pb, while the uptake of Zn and Ni by the plants was high. The value of EDI and THQ showed that the potential of Pb toxicity in C. asiatica was high as well. As heavy metal accumulation was confirmed in C. asiatica, daily consumption of the plant derived from polluted sites in Malaysia was not recommended

COX-2 selective inhibition reverses the trophic properties of gastrin in colorectal cancer

Gastrin is a gastrointestinal peptide that possesses potent trophic properties on both normal and neoplastic cells of gastrointestinal origin. Previous studies have indicated that chronic hypergastrinaemia increases the risk of colorectal cancer and cancer growth and that interruption of the effects of gastrin could be a potential target in the treatment of colorectal cancer. Here we demonstrate that gastrin leads to a dose-dependent increase in colon cancer cell proliferation and tumour growth in vitro and in vivo, and that this increment is progressively reversed by pretreatment with the cyclo-oxygenase-2 inhibitor NS-398. Gastrin was able to induce cyclo-oxygenase-2 protein expression, as well as the synthesis of prostaglandin E2, the major product of cyclo-oxygenase. Moreover, gastrin leads to approximately a two-fold induction of cyclo-oxygenase-2 promoter activity in transiently transfected cells. The results of these studies demonstrate that cyclo-oxygenase-2 appears to represent one of the downstream targets of gastrin and that selective cyclo-oxygenase-2 inhibition is capable of reversing the trophic properties of gastrin and presumably might prevent the growth of colorectal cancer induced by hypergastrinaemia

New Directions in the Development of Population Estimates in the United States?

The advent of a continuously updated Master Area File (MAF) following the 2000 census represents an information resource that can be tapped for purposes of developing timely, cost-effective, and precise population estimates for even the smallest of geographical units (e.g., census blocks). We argue that the MAF can be enhanced (EMAF) for these purposes. In support of our argument we describe a set of activities needed to develop EMAF, each of which is well within the current capabilities of the U.S. Census Bureau and discuss various costs and benefits of each. We also describe how EMAF would provide population estimates containing a wide range of demographic (e.g., age, race, and sex) and socio-economic characteristics (e.g., educational attainment, income, and employment). As such, it could largely negate and eliminate the need for many of the traditional demographic methods of population estimation and possibly reduce the number of sample surveys. We identify important challenges that must be surmounted in order to realize EMAF and make suggestions for doing so. We conclude by noting that the idea of the EMAF could be of interest to other countries with MAF files and strong administrative records systems that, like the United States, are facing the challenge of producing good population information in the face of increasing census costs

Drivers and Effects of Internationalising Innovation by SMEs

This paper investigates the drivers and the effects of the internationalisation of innovation activities in SMEs based on a large data set of German firms covering the period 2002-2007. We look at different stages of the innovation process (R&D, design, production and sales of new products, and implementation of new processes) and explore the role of internal resources, home market competition and innovationrelated location advantages for an SME’s decision to engage in innovation activities abroad. By linking international innovation activities to firm growth in the home market we try to identify likely internationalisation effects at the firm level. The results show that export experience and experience in knowledge protection are highly important for international innovation activities of SMEs. Fierce home market competition turns out to be rather an obstacle than a driver. High innovation costs stimulate internationalisation of non-R&D innovation activities, and shortage of qualified labour expels production of new products. R&D activities abroad and exports of new products spur firm growth in the home market while there are no negative effects on home market growth from shifting production of new products abroad

Highway increases concentrations of toxic metals in giant panda habitat

The Qinling panda subspecies (Ailuropoda melanoleuca qinlingensis) is highly endangered with fewer than 350 individuals inhabiting the Qinling Mountains. Previous studies have indicated that giant pandas are exposed to heavy metals, and a possible source is vehicle emission. The concentrations of Cu, Zn, Mn, Pb, Cr, Ni, Cd, Hg, and As in soil samples collected from sites along a major highway bisecting the panda's habitat were analyzed to investigate whether the highway was an important source of metal contamination. There were 11 sites along a 30-km stretch of the 108th National Highway, and at each site, soil samples were taken at four distances from the highway (0, 50, 100, and 300 m) and at three soil depths (0, 5, 10 cm). Concentrations of all metals except As exceeded background levels, and concentrations of Cu, Zn, Mn, Pb, and Cd decreased significantly with increasing distance from the highway. Geo-accumulation index indicated that topsoil next to the highway was moderately contaminated with Pb and Zn, whereas topsoil up to 300 m away from the highway was extremely contaminated with Cd. The potential ecological risk index demonstrated that this area was in a high degree of ecological hazards, which were also due to serious Cd contamination. And, the hazard quotient indicated that Cd, Pb, and Mn especially Cd could pose the health risk to giant pandas. Multivariate analyses demonstrated that the highway was the main source of Cd, Pb, and Zn and also put some influence on Mn. The study has confirmed that traffic does contaminate roadside soils and poses a potential threat to the health of pandas. This should not be ignored when the conservation and management of pandas is considered

Drivers for international innovation activities in developed and emerging countries

This paper aims to shed light on firm specific drivers that lead firms to internationalise their innovation activities. The paper draws a comprehensive picture of driving forces by including firm capabilities, characteristics of the firm’s competitive environment and the influence of innovation obstacles in the home country. In particular, the role of the potential driving forces is tested on the probability to carry out different innovative activities abroad (R&D, design/conception of new products, manufacturing of innovative products and implementation of new processes). In a second step these driving forces are used to observe their impact on the decision to locate innovation activities in various countries and regions (China, Eastern Europe, Western Europe and North America) as well as in groups of countries with similar levels of knowledge (country clubs). The analysis is based on the Mannheim Innovation Panel survey which represents the German CIS (Community Innovation Survey) contribution. Two survey waves are combined and result in a sample of about 1400 firms. The results show that the decision to perform innovation activities abroad is mainly driven by organisational capabilities such as absorptive capacities, international experience and existing technological competences of the respective firm. Innovation barriers at the German home base such as lack of labour and high innovation costs foster the set up of later-stage innovation activities abroad while the lack of demand demonstrates a barrier to the internationalisation decision for the development and manufacturing of new products. Location decisions receive the strongest influencing effects from the international experience of the firm. Firms which innovate in developing countries seem to require a more extensive level of international experience by international R&D cooperation

Effects of anthropogenic activities on the heavy metal levels in the clams and sediments in a tropical river

The present study aimed to assess the effects of anthropogenic activities on the heavy metal levels in the Langat River by transplantation of Corbicula javanica. In addition, potential ecological risk indexes (PERI) of heavy metals in the surface sediments of the river were also investigated. The correlation analysis revealed that eight metals (As, Co, Cr, Fe, Mn, Ni, Pb and Zn) in total soft tissue (TST) while five metals (As, Cd, Cr, Fe and Mn) in shell have positively and significantly correlation with respective metal concentration in sediment, indicating the clams is a good biomonitor of the metal levels. Based on clustering patterns, the discharge of dam impoundment, agricultural activities and urban domestic waste were identified as three major contributors of the metals in Pangsun, Semenyih and Dusun Tua, and Kajang, respectively. Various geochemical indexes for a single metal pollutant (geoaccumulation index (I geo), enrichment factors (EF), contamination factor (C f) and ecological risk (Er)) all agreed that Cd, Co, Cr, Cu, Fe, Mn, Ni and Zn are not likely to cause adverse effect to the river ecosystem, but As and Pb could pose a potential ecological risk to the river ecosystem. All indexes (degree of contamination (C d), combined pollution index (CPI) and PERI) showed that overall metal concentrations in the tropical river are still within safe limit. River metal pollution was investigated. Anthropogenic activities were contributors of the metal pollution. Geochemical indexes showed that metals are within the safe limit