Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking

The solution to the problem of hedging contingent claims by local risk-minimisation has been considered in detail in Follmer and Sondermann (1986), Follmer and Schweizer (1991) and Schweizer (1991). However, given a stochastic process Xt and tau1 tau2, the strategy that is locally risk-minimising for Xtau1 is in general not locally risk-minimising for Xtau2. In the case of diffusion processes, this paper considers the problem of determining a strategy that is simultaneously locally risk-minimising for Xtau for all tau. That is, a strategy that is locally risk-minimising for the entire process Xt. The necessary and sufficient conditions under which this is possible are obtained, and applied to the problem of index tracking. In particular, a close connection between the local risk-minimising and the tracking error variance minimising strategies for index tracking is established, and leads to a simple criterion for the selection of optimal set of assets from which to form a tracker portfolio, as well as a value-at-risk type measure for the set of assets used.minimal martingale measure; local risk-minimisation; hedging; incomplete market; index tracking; portfolio selection

HeII Recombination Lines From the First Luminous Objects

The hardness of the ionizing continuum from the first sources of UV radiation plays a crucial role in the reionization of the intergalactic medium (IGM). While usual stellar populations have soft spectra, mini-quasars or metal-free stars with high effective temperatures may emit hard photons, capable of doubly ionizing helium and increasing the IGM temperature. Absorption within the source and in the intervening IGM will render the ionizing continuum of high-redshift sources inaccessible to direct observation. Here we show that HeII recombination lines from the first luminous objects are potentially detectable by the Next Generation Space Telescope. Together with measurements of the hydrogen Balmer alpha emission line, this detection can be used to infer the ratio of HeII to HI ionizing photons. A measurement of this ratio would shed light on the nature and emission mechanism of the first luminous sources, with important astrophysical consequences for the reheating and reionization of the IGM.Comment: ApJ published version. Due to an error in one of the references, the strength of the 1640 A line was underestimated in a previous version; this line is now brighter by a factor of 1

Symptomatic Non-parasitic benign hepatic cyst: Evaluation of Management by Deroofing in Ten Consecutive Cases

Background/Purpose: Solitary non-parasitic cysts of the liver are commonly asymptomatic and do not require treatment. Rarely, however, the cysts become symptomatic and are then best treated surgically. The optimal surgical treatment is debatable. The aim of this study was to evaluate the role of deroofing as a safe and effective approach in the management of simple non-parasitic hepatic cysts. Materials & Methods: From January 2002 to October 2008, 10 patients (8 females and 2 males) with histologically proven non-parasitic, benign, simple hepatic cysts underwent deroofing at Tanta University Hospital. Deroofing was achieved by open surgery in 3 cases and by laparoscopic surgery in 7 patients. The principle of both open and laparoscopic approaches was to remove as much as possible of the cyst wall, destroy the endothelial lining and pack the residual cavity with omentum. Results: All of our patients had a solitary cyst with a mean diameter of 12.5 cm (range; 9-18 cm) and all were symptomatic. The most common complaint was upper abdominal pain (n=7, 70%). Age ranged from 1 - 72 year with a median of 15 years. Three patients (30%) were treated with open deroofing while 7 patients (70%) underwent laparoscopic deroofing. One out of these 7 patients was converted to open surgery. Recurrence occurred in 2 patients but was asymptomatic and discovered on follow up because of the small diameter of recurrent cysts (3-4 cm). The follow up period ranged between 12 – 72 months (median 20 months). Conclusion: with proper selection of patients, laparoscopic deroofing of symptomatic, benign, solitary, non-parasitic hepatic cysts is safe, effective and offers all the advantages of minimally invasive surgery. Open deroofing should be reserved for cysts inaccessible by laparoscopy, when the diagnosis is in doubt and for difficulties encountered at laparoscopy.Index Word: hepatic cyst, laparoscopy

Markers of liver function and inflammatory cytokines modulation by aerobic versus resisted exercise training for nonalcoholic steatohepatitis patients

Background: Non-alcoholic steatohepatitis is a growing public health problem with no approved therapy; as cytokines and other pro-inflammatory mediators may each play a role in transition of steatosis to NASH which is projected to be the leading cause of liver transplantation in the United States by 2020.Objective: The aim of this study was to compare the impact of aerobic versus resisted exercise training on inflammatory cytokines and markers of liver function in patients with nonalcoholic steatohepatitis.Material and Methods: Fifty patients with NASH were included in the study and divided into two subgroups. Participants were included into 2 equal groups; the first group (A) received aerobic exercise training. The second group (B) received resisted exercise training three times a week for 3 months.Results: The mean values of TNF- α, IL6, IL8, ALT and AST were significantly decreased in group (A) and group (B).Also; there was a significant difference between both groups after treatment.Conclusion: Aerobic exercise training modulates inflammatory cytokine levels and markers of liver function in patients with nonalcoholic steatohepatitis.Keywords: Aerobic Exercise; Resisted Exercises; Inflammatory Cytokine; markers of liver function; Non-alcoholicsteatohepatitis

Bone metabolism and hand grip strength response to aerobic versus resistance exercise training in non-insulin dependent diabetic patients

Background: Diabetes mellitus has been shown in many studies to be associated with reduced bone mass and an increased risk of fracture. Currently, our understanding of how to use exercise effectively in diabetic patients in prevention of osteoporosis is incomplete and has prompted our interest to identify the type of effective osteogenic exercise.Objective: The aim of this study was to compare the changes in handgrip strength and bone metabolism after 6 months between aerobic and resistance exercise training in non-insulin dependent diabetic patients in Jeddah area.Materials and methods: One hundred non-insulin dependent diabetic male patients participated in this study and were divided into two equal groups; the first group (A) received aerobic exercise training, where the second group (B) received resistance exercise training. The program consisted of three sessions per week for six months.Results: The mean values of serum calcium and Hand grip strength were significantly increased, while the mean values of parathyroid hormone were significantly decreased in both groups .Also, there were significant differences between mean levels of the investigated parameters in group (A) and group (B) after treatment.Conclusion: Aerobic exercise training on treadmill is appropriate to improve markers of bone  metabolism and hand grip strength in non-insulin dependent diabetic patients.Keywords: Aerobic exercise, resistance exercise, bone mineral density, non-insulin dependent diabetes

Liver enzymes and psychological well-being response to aerobic exercise training in patients with chronic hepatitis C

Background: Chronic hepatitis C (CHC) is a medical condition that has broad implications for a person’s physical and psychological health.Objective: The aim of this study was to detect changes in liver enzymes and psychological well-being in response to aerobic exercise training in patients with CHC.Material and Methods: Fifty CHC patients were included in two equal  groups. The first group (A) received aerobic exercise training in addition to their regular medical treatment. The second group (B) received no training and only has their regular medical treatment. The program consisted of three sessions per week for three months.Results: There was a significant decrease in mean values of Alkaline Phosphatase (ALP), Alanine Aminotransferase (ALT), Aspartate  Aminotransferase (AST), Gamma – Glutamyltransferase (GGT) , Beck  Depression Inventory (BDI ) & Profile of Mood States(POMS) and increase in Rosenberg Self-Esteem Scale (RSES) in group (A) after treatments, but the changes in group (B) were not significant. Also, there were significant differences between mean levels of the investigated parameters in group (A) and group (B) at the end of the study.Conclusion: Aerobic exercise training improves hepatic enzymes and psychological well-being in patients with chronic hepatitis C.Key words: liver enzymes; psychological well-being; aerobic exercise; chronic hepatitis C

Adipocyte PU.1 knockout promotes insulin sensitivity in HFD-fed obese mice.

Insulin resistance is a key feature of obesity and type 2 diabetes. PU.1 is a master transcription factor predominantly expressed in macrophages but after HFD feeding PU.1 expression is also significantly increased in adipocytes. We generated adipocyte specific PU.1 knockout mice using adiponectin cre to investigate the role of PU.1 in adipocyte biology, insulin and glucose homeostasis. In HFD-fed obese mice systemic glucose tolerance and insulin sensitivity were improved in PU.1 AKO mice and clamp studies indicated improvements in both adipose and liver insulin sensitivity. At the level of adipose tissue, macrophage infiltration and inflammation was decreased and glucose uptake was increased in PU.1 AKO mice compared with controls. While PU.1 deletion in adipocytes did not affect the gene expression of PPARg itself, we observed increased expression of PPARg target genes in eWAT from HFD fed PU.1 AKO mice compared with controls. Furthermore, we observed decreased phosphorylation at serine 273 in PU.1 AKO mice compared with fl/fl controls, indicating that PPARg is more active when PU.1 expression is reduced in adipocytes. Therefore, in obesity the increased expression of PU.1 in adipocytes modifies the adipocyte PPARg cistrome resulting in impaired glucose tolerance and insulin sensitivity

Does the Fornax dwarf spheroidal have a central cusp or core?

The dark matter dominated Fornax dwarf spheroidal has five globular clusters orbiting at ~1 kpc from its centre. In a cuspy CDM halo the globulars would sink to the centre from their current positions within a few Gyrs, presenting a puzzle as to why they survive undigested at the present epoch. We show that a solution to this timing problem is to adopt a cored dark matter halo. We use numerical simulations and analytic calculations to show that, under these conditions, the sinking time becomes many Hubble times; the globulars effectively stall at the dark matter core radius. We conclude that the Fornax dwarf spheroidal has a shallow inner density profile with a core radius constrained by the observed positions of its globular clusters. If the phase space density of the core is primordial then it implies a warm dark matter particle and gives an upper limit to its mass of ~0.5 keV, consistent with that required to significantly alleviate the substructure problem.Comment: 6 pages, 5 figures, accepted for publication in MNRAS, high resolution simulations include

Collisional dark matter density profiles around supermassive black holes

We solve the spherically symmetric time dependent relativistic Euler equations on a Schwarzschild background space-time for a perfect fluid, where the perfect fluid models the dark matter and the space-time background is that of a non-rotating supermassive black hole. We consider the fluid obeys an ideal gas equation of state as a simple model of dark matter with pressure. Assuming out of equilibrium initial conditions we search for late-time attractor type of solutions, which we found to show a constant accretion rate for the non-zero pressure case, that is, the pressure itself suffices to produce stationary accretion regimes. We then analyze the resulting density profile of such late-time solutions with the function $A/r^{\kappa}$. For different values of the adiabatic index we find different slopes of the density profile, and we study such profile in two regions: a region one near the black hole, located from the horizon up to 50$M$ and a region two from $\sim 800M$ up to $\sim 1500M$, which for a black hole of $10^{9}M_{\odot}$ corresponds to $\sim 0.1$pc. The profile depends on the adiabatic index or equivalently on the pressure of the fluid and our findings are as follows: in the near region the density profile shows values of $\kappa <1.5$ and in the limit of the pressure-less case $\kappa \rightarrow 1.5$; on the other hand, in region two, the value of $\kappa<0.3$ in all the cases we studied. If these results are to be applied to the dark matter problem, the conclusion is that, in the limit of pressure-less gas the density profile is cuspy only near the black hole and approaches a non-cuspy profile at bigger scales within 1pc. These results show on the one hand that pressure suffices to provide flat density profiles of dark matter and on the other hand show that the presence of a central black hole does not distort the density profile of dark matter at scales of 0.1pc.Comment: 7 pages, 8 eps figures, accepted for publication in MNRA

Plasma actuator: influence of dielectric surface temperature

Plasma actuators have become the topic of interest of many researchers for the purpose of flow control. They have the advantage of manipulating the flow without the need for any moving parts, a small surface profile which does not disturb the free stream flow, and the ability to switch them on or off depending on the particular situation (active flow control). Due to these characteristics they are becoming very popular for flow control over aircraft wings. The objective of the current study is to examine the effect of the actuator surface temperature on its performance. This is an important topic to understand when dealing with real life aircraft equipped with plasma actuators. The temperature variations encountered during a flight envelope may have adverse effects in actuator performance. A peltier heater along with dry ice are used to alter the actuator temperature, while particle image velocimetry (PIV) is utilised to analyse the flow field. The results show a significant change in the induced flow field by the actuator as the surface temperature is varied. It is found that for a constant peak-to-peak voltage the maximum velocity produced by the actuator depends directly on the dielectric surface temperature. The findings suggest that by changing the actuator temperature the performance can be maintained or even altered at different environmental conditions