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

Electrostatic Quadrupole Plasma Mass Spectrometer Measurements during Thin Film Depositions using Simultaneous Matrix Assisted Pulsed Laser Evaporation and Magnetron Sputtering

A hybrid plasma deposition process, combining matrix assisted pulsed laser evaporation (MAPLE) of carbon nanopearls (CNPs) with magnetron sputtering of gold was investigated for growth of composite films, where 100 nm sized CNPs were encapsulated into a gold matrix. Composition and morphology of such composite films was characterized with x-ray photoelectron spectroscopy, scanning electron microscopy, and transmission electron microscopy (TEM) analysis. Carbondeposits on a gold magnetron sputter target and carbon impurities in the gold matrices of depositedfilms were observed while codepositing from gold and frozen toluene-CNP MAPLE targets in pure argon. Electrostatic quadrupole plasma analysis was used to determine that a likely mechanism for generation of carbon impurities was a reaction between toluene vapor generated from the MAPLE target and the argon plasma originating from the magnetron sputtering process. Carbon impurities of codeposited films were significantly reduced by introducing argon-oxygen mixtures into the deposition chamber; reactive oxygen species such as O and O+ effectively removed carbon contamination of gold matrix during the codeposition processes. Increasing the oxygen to argon ratio decreased the magnetron target sputter rate, and hence hybrid process optimization to prevent gold matrix contamination and maintain a high sputter yield is needed. High resolution TEM with energy dispersive spectrometry elemental mapping was used to study carbon distribution throughout the gold matrix as well as embedded CNP clusters. This research has demonstrated that a hybrid MAPLE and magnetron sputtering codeposition process is a viable means for synthesis of composite thin films from premanufactured nanoscale constituents, and that cross-process contaminations can be overcome with understanding of hybrid plasma process interaction mechanisms

HYDROCARBONS REMOVAL FROM BILGE WATER BY ADSORPTION ONTO ACTIVATED BIOCHAR FROM POSIDONIA OCEANICA

The normal operations carried out on the boats during navigation generate waste waters such as oily bilge water. The latter is the aqueous mixture of potential pollutants of different origins and types: oily fluids, lubricants and greases, cleaning fluids and other wastes that accumulate in the lower part of the vessel [1,2]. The current legislation provides that they can be discharge directly into the sea if the concentrations of some components are below the expected limits. In particular, with regard to oil / hydrocarbons contamination, the current regulatory limit is 15 mg L-1 of total hydrocarbons. The present work starts from a public/private partnership funded by a grant of the Ministry of Economic Development (MiSE). Among the aims of the project, novel methods shall be tested for the reduction of hydrocarbons concentration at values below 5 mg L-1. Moreover, instrumental techniques able to quickly measure the required low hydrocarbons concentration were tested. Among the different steps of bilge water treatment in pilot plant (coagulation, flotation, centrifugation, adsorption etc.), the latter requires the use of adsorbent materials able to reduce the oily concentration below the legal limits. Here we have hosen, optimized and tested materials obtained from bio-oil production waste, a biochar obtained by pyrolysis of Posidonia oceanica, a marine plant widespread in the Mediterranean sea. means of acid or alkali treatments. Moreover, a commercial activated carbon (Filtrasorb 400) has been used for comparison purpose. Synthetic bilge waters were prepared following the reference standards [3] for the preparation of test fluids (used to test the bilge separator plant), containing DMA (distillate marine fuel) and SLS (sodium lauryl sulfate). Batch adsorption isotherms were carried out without ionic medium and at different ionic strengths in NaCl in order to evaluate the effect of salinity on the adsorption ability of dsorbent materials. The same adsorbents were tested by column experiments. In particular, a bench pilot system was built (Figure 1.) and breakthrough curves were obtained changing amount of adsorbent material in column, flow rate, initial DMA and surfactant concentrations. Several instrumental techniques (turbidimetry, TOC, HPLC-QQQ and HPLC-FLD) have been used to measure surfactant and hydrocarbon concentrations in experimental samples. The batch experimental data were fitted with the most used isotherm models (Langmuir, Freundlich, Sips) and important considerations were made on the breakthrough curves of column experiments

Pressure and intermittency in passive vector turbulence

We investigate the scaling properties a model of passive vector turbulence with pressure and in the presence of a large-scale anisotropy. The leading scaling exponents of the structure functions are proven to be anomalous. The anisotropic exponents are organized in hierarchical families growing without bound with the degree of anisotropy. Nonlocality produces poles in the inertial-range dynamics corresponding to the dimensional scaling solution. The increase with the P\'{e}clet number of hyperskewness and higher odd-dimensional ratios signals the persistence of anisotropy effects also in the inertial range.Comment: 4 pages, 1 figur

A non-perturbative renormalization group study of the stochastic Navier--Stokes equation

We study the renormalization group flow of the average action of the stochastic Navier--Stokes equation with power-law forcing. Using Galilean invariance we introduce a non-perturbative approximation adapted to the zero frequency sector of the theory in the parametric range of the H\"older exponent $4-2\,\varepsilon$ of the forcing where real-space local interactions are relevant. In any spatial dimension $d$, we observe the convergence of the resulting renormalization group flow to a unique fixed point which yields a kinetic energy spectrum scaling in agreement with canonical dimension analysis. Kolmogorov's -5/3 law is, thus, recovered for $\varepsilon=2$ as also predicted by perturbative renormalization. At variance with the perturbative prediction, the -5/3 law emerges in the presence of a \emph{saturation} in the $\varepsilon$-dependence of the scaling dimension of the eddy diffusivity at $\varepsilon=3/2$ when, according to perturbative renormalization, the velocity field becomes infra-red relevant.Comment: RevTeX, 18 pages, 5 figures. Minor changes and new discussion

Role of CBL Mutations in Cancer and Non-Malignant Phenotype

CBL plays a key role in different cell pathways, mainly related to cancer onset and progres-sion, hematopoietic development and T cell receptor regulation. Somatic CBL mutations have been reported in a variety of malignancies, ranging from acute myeloid leukemia to lung cancer. Growing evidence have defined the clinical spectrum of germline CBL mutations configuring the so-called CBL syndrome; a cancer-predisposing condition that also includes multisystemic involvement char-acterized by variable phenotypic expression and expressivity. This review provides a comprehensive overview of the molecular mechanisms in which CBL exerts its function and describes the clinical manifestation of CBL mutations in humans

Manifestation of anisotropy persistence in the hierarchies of MHD scaling exponents

The first example of a turbulent system where the failure of the hypothesis of small-scale isotropy restoration is detectable both in the `flattening' of the inertial-range scaling exponent hierarchy, and in the behavior of odd-order dimensionless ratios, e.g., skewness and hyperskewness, is presented. Specifically, within the kinematic approximation in magnetohydrodynamical turbulence, we show that for compressible flows, the isotropic contribution to the scaling of magnetic correlation functions and the first anisotropic ones may become practically indistinguishable. Moreover, skewness factor now diverges as the P\'eclet number goes to infinity, a further indication of small-scale anisotropy.Comment: 4 pages Latex, 1 figur

Ultrasound Examination of Common Carotid Adventitial Thickness Can Differentiate Takayasu Arteritis and Large Vessel Giant Cell Arteritis

Pathological studies have demonstrated that the adventitial layer is markedly thickened in Takayasu (TAK) as compared to large vessel giant cell arteritis (LV-GCA). An ultrasound (US) examination of the arterial vessels allows the determination of intima media thickness (IMT) and of adventitial layer thickness (extra media thickness (EMT)). No previous study has evaluated if there are differences in EMT thickness between TAK and LV-GCA. In this cross-sectional retrospective study of stored ultrasound (US) imaging, we have compared common carotid artery (CCA) EMT and IMT in a series of consecutive TAK and LV-GCA patients. US examination CCA IMT and EMT were significantly higher in TAK as compared to LV-GCA. With ROC curve analysis, we have found that an EMT > 0.76 mm has high sensitivity and specificity for TAK CCA examination. The percentage of CCA at EMT > 0.76 mm and the total arterial wall thickening were significantly higher in TAK group examinations. EMT thickness correlated with disease duration and IMT in the TAK group, as well as with the IMT and ESR values in the LV-GCA group. Upon multivariate logistic regression analysis, factors independently associated with TAK CCA were EMT > 0.76 mm and age. No significant variation in IMT and EMT could be demonstrated in subsequent US CCA examinations

Disease activity and damage in juvenile idiopathic arthritis: Methotrexate era versus biologic era

Objective: To compare the long-term disease state, in terms of activity and damage, of children with juvenile idiopathic arthritis (JIA) who had their disease onset in methotrexate (MTX) or biologic eras. Methods: Patients were included in MTX or biologic era cohort depending on whether their disease presentation occurred before or after January 2000. All patients had disease duration 65 5 years and underwent a prospective cross-sectional assessment, which included measurement of disease activity and damage. Inactive disease (ID) and low disease activity (LDA) states were defined according to Wallace, JADAS10, and cJADAS10 criteria. Articular and extraarticular damage was assessed with the Juvenile Arthritis Damage Index (JADI). Results: MTX and biologic era cohorts included 239 and 269 patients, respectively. Patients were divided in the "functional phenotypes" of oligoarthritis and polyarthritis. At cross-sectional visit, patients in the biologic era cohort with either oligoarthritis or polyarthritis had consistently higher frequencies of ID and LDA by all criteria. The measurement of disease damage at cross-sectional visit revealed that the frequency of impairment of > 1 JADI-Articular items was higher in MTX than in biologic era cohort (17.6% versus 11% in oligoarthritis and 52.6% versus 21.8% in polyarthritis). Likewise, frequency of involvement of > 1 JADI-Extraarticular items was higher in the MTX than in the biologic era cohort (26.5% versus 16.2% in oligoarthritis and 31.4% versus 13.5% in polyarthritis). Conclusion: Our study provides evidence of the remarkable outcome improvement obtained with the recent therapeutic advance in JIA