Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem

In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness results for such BSDEs and then, we give an application to the utility maximization problem. Three cases of utility functions will be discussed: the exponential, power and logarithmic ones

The Contrasting Behavior of Strongly and Weakly Interfacially Active Asphaltenes on the Rheology of Model Waxy Oils

Asphaltenes and waxes are two components of crude oil that cause flow assurance issues. Although the components coexist, few studies have considered the effect of asphaltenes on wax crystallization and gel-forming properties. Furthermore, the current understanding remains contradictory with both wax-alleviating and wax-aggravating behaviors observed. In this study, asphaltenes extracted from a heavy crude oil were fractionated into strongly and weakly interfacially active asphaltenes by partitioning at a water–oil interface. The two asphaltene fractions exhibited contrasting physicochemical properties, with the strongly interfacially active asphaltenes (IAA) being more polar due to their higher heteroatom content (particularly S and O) and forming larger aggregates in the solution compared to the weakly interfacially active asphaltenes (referred to as remaining asphaltenes, RA). The two asphaltene fractions lowered both the wax gelation temperature and wax appearance temperature; however, the effect was comparable. The unit cell lattice structure of the wax particle remained unchanged in the presence of asphaltenes, but the wax particles were found to be smaller with RA compared to IAA. However, the key finding of the study is how the two asphaltene fractions affected the yield strength of the gelled wax. For RA, the yield strength was lowered with an increasing asphaltene concentration, whereas for IAA, the overall effect was to increase the gel yield strength. Because the properties of the wax particles were largely unchanged by the two asphaltene fractions, the result suggests that the asphaltene–asphaltene interaction contributes to the overall yield strength. It was shown that the interaction between RA and RA is repulsive with negligible adhesion, whereas that between IAA and IAA is attractive with strong adhesion. These structure-breaker and structure-maker properties of the two asphaltenes confirm that the asphaltene–asphaltene interaction significantly contributes to modifying the yield strength of a waxy gel

Reducing the environmental impact of surgery on a global scale: systematic review and co-prioritization with healthcare workers in 132 countries

Background Healthcare cannot achieve net-zero carbon without addressing operating theatres. The aim of this study was to prioritize feasible interventions to reduce the environmental impact of operating theatres. Methods This study adopted a four-phase Delphi consensus co-prioritization methodology. In phase 1, a systematic review of published interventions and global consultation of perioperative healthcare professionals were used to longlist interventions. In phase 2, iterative thematic analysis consolidated comparable interventions into a shortlist. In phase 3, the shortlist was co-prioritized based on patient and clinician views on acceptability, feasibility, and safety. In phase 4, ranked lists of interventions were presented by their relevance to high-income countries and low–middle-income countries. Results In phase 1, 43 interventions were identified, which had low uptake in practice according to 3042 professionals globally. In phase 2, a shortlist of 15 intervention domains was generated. In phase 3, interventions were deemed acceptable for more than 90 per cent of patients except for reducing general anaesthesia (84 per cent) and re-sterilization of ‘single-use’ consumables (86 per cent). In phase 4, the top three shortlisted interventions for high-income countries were: introducing recycling; reducing use of anaesthetic gases; and appropriate clinical waste processing. In phase 4, the top three shortlisted interventions for low–middle-income countries were: introducing reusable surgical devices; reducing use of consumables; and reducing the use of general anaesthesia. Conclusion This is a step toward environmentally sustainable operating environments with actionable interventions applicable to both high– and low–middle–income countries

The Dynamics of the Volatility Skew: A Kalman Filter Approach

Much attention has been devoted to understanding and modeling the dynamics of implied volatility curves and surfaces. This is crucial for both trading, pricing and risk management of option positions. We suggest a simple, yet flexible, model, based on a discrete and linear Kalman filter updating of the volatility skew. From a risk management perspective, we assess whether this model is capable of producing good density forecasts of daily returns on a number of option portfolios. We also compare our model to the sticky-delta and the vega-gamma alternatives. We find that it clearly outperforms both alternatives, given its ability to easily account for movements of different nature in the volatility curve