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

Metal nanoparticles in strongly confined beams: transmission, reflection and absorption

We investigate the interaction of tightly focused light with the surface-plasmon-polariton resonances of metal nanospheres. In particular, we compute the scattering and absorption ratios as well as transmission and reflection coefficients. Inspired by our previous work in Ref. [1], we discuss how well a metal nanoparticle approximates a point-like dipolar radiator. We find that a 100 nm silver nanosphere is very close to such an ideal oscillator. Our results have immediate implications for single nanoparticle spectroscopy and microscopy as well as plasmonics.Comment: 6 pages, 4 figure

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

Quantitative-spatial assessment of soil contamination in S. Francisco de Assis due to mining activity of the Panasqueira mine (Portugal)

Through the years, mining and beneficiation processes produces large amounts of As-rich mine wastes laid up in huge tailings and open-air impoundments (Barroca Grande and Rio tailings) that are the main source of pollution in the surrounding area once they are exposed to the weathering conditions leading to the formation of AMD and consequently to the contamination of the surrounding environments, in particularly soils. In order to investigate the environmental contamination impact on S. Francisco de Assis (village located between the two major impoundments and tailings) agricultural soils, a geochemical survey was undertaken to assess toxic metals associations, related levels and their spatial distribution, and to identify the possible contamination sources. According to the calculated contamination factor, As and Zn have a very high contamination factor giving rise to 65.4 % of samples with a moderate to high pollution degree; 34.6 % have been classified as nil to very low pollution degree. The contamination factor spatial distribution put in evidence the fact that As, Cd, Cu, Pb, and Zn soils contents, downstream Barroca Grande tailing, are increased when compared with the local Bk soils. The mechanical dispersion, due to erosion, is the main contamination source. The chemical extraction demonstrates that the trace metals distribution and accumulation in S. Francisco de Assis soils is related to sulfides, but also to amorphous or poorly crystalline iron oxide phases. The partitioning study allowed understanding the local chemical elements mobility and precipitation processes, giving rise to the contamination dispersion model of the study area. The wind and hydrological factors are responsible for the chemical elements transport mechanisms, the water being the main transporter medium and soils as one of the possible retention media

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

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