The Variance Gamma plus plus process and applications to energy markets

The purpose of this article is to introduce a new Levy process, termed the Variance Gamma++ process, to model the dynamics of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is obtained by applying the self-decomposability of the gamma law. Compared to the Variance Gamma model, it has an additional parameter representing the measure of the trading activity. We give a full characterization of the Variance Gamma++ process in terms of its characteristic triplet, characteristic function, and transition density. In addition, we provide efficient path simulation algorithms, both forward and backward in time. We also obtain an efficient "integral-free" explicit pricing formula for European options. These results are instrumental to apply Fourier-based option pricing and maximum likelihood techniques for the parameter estimation. Finally, we apply our model to illiquid markets, namely to the calibration of European power futures market data. We accordingly evaluate exotic derivatives using the Monte Carlo method and compare these values to those obtained using the Variance Gamma process and give an economic interpretation. Finally, we illustrate an extension to the multivariate framework.Peer reviewe

Maximal operators associated with Generalized Hermite polynomials and function expansions

We study the weak and strong type boundedness of maximal heat?diffusion operators associated with the system of generalized Hermite polynomials and with two different systems of generalized Hermite functions. We also give a necessary background to define Sobolev spaces in this context.Fil: Forzani, Liliana Maria. Consejo Nacional de Invest.cientif.y Tecnicas. Centro Cientifico Tecnol - CONICET - Santa Fe. Instituto de Matematica Aplicada; Argentina; Universidad Nacional del Litoral. Facultad de Ingenieria Quimica;Fil: Sasso. Emanuela. Universita Di Genova; Italia;Fil: Scotto, Roberto Aníbal. Consejo Nacional de Invest.cientif.y Tecnicas. Centro Cientifico Tecnol - CONICET - Santa Fe. Instituto de Matematica Aplicada; Argentina; Universidad Nacional del Litoral. Facultad de Ingenieria Quimica

On non-centered maximal operators related to a non-doubling and non-radial exponential measure

We investigate mapping properties of non-centered Hardy–Littlewood maximal operators related to the exponential measure dμ(x) = exp (- | x1| - ⋯ - | xd|) dx in Rd. The mean values are taken over Euclidean balls or cubes (ℓ∞ balls) or diamonds (ℓ1 balls). Assuming that d≥ 2 , in the cases of cubes and diamonds we prove the Lp-boundedness for p> 1 and disprove the weak type (1,\ua01) estimate. The same is proved in the case of Euclidean balls, under the restriction d≤ 4 for the positive part

Energy transfer in open quantum systems weakly coupled with two reservoirs

We show that the energy transfer through an open quantum system with non-degenerate Hamiltonian weakly coupled with two reservoirs in equilibrium is approximately proportional to the difference of their temperatures unless both temperatures are small

Natural Biocides to Prevent the Microbial Growth On Cultural Heritage

Many historic, cultural and artistic objects and buildings are made of stone. Like all materials, stone is subject to inexorable deterioration. Along with chemical and physical weathering factors, microbial growth plays an important role in this process. Stones type and local climatic differences have a great impact on the biodeterioration process and their outcomes. Microbial metabolism results in deteriorating agents such as organic and inorganic acid, chelating agents, enzymes and extracellular polymeric substances (EPS) causing e.g. biocorrosion and biomineralization; furthermore phototropic and heterotropic microorganism (ex. Firmicutes and fungi) are able to penetrate into stone mineral [1,2,3]. In addition to structural damage, rock biofilms cause aesthetic damage. In general the biocides used to prevent the growth of microbes are mostly based by using chemical methods, but they show a restricted efficiency and can cause discolorations and severe damages to the cultural heritage and ,also, they affect higher organisms including humans. Recently, the biotechnology and the applied microbiology (the use of antagonistic organisms or their metabolites products against the biodeteriorating agents) offers a wide range of new procedures for the cleaning and conservation of the artistic substrata [4-9]. The case of the study regards two historical bridges: the “San Vito Bridge” located in Potenza and “Della Vecchia Bridge” located in Campomaggiore, a little village near Potenza. The bacteria isolated belong to a wide variety of phylogenetic group being closely related to species of 10 genera within the Proteobacteria, the Firmicutes and the Actinobacteria; the number of fungi was slightly lower than those of bacteria. The fungi isolated on two bridges belong to Aspergillus, Penicillium and Stemphylium genera. In this work secondary metabolites of Burkholderia gladioli pv. agaricicola (Bga) ICMP 11096 strain and glycoalkaloids derived from Solanacee extracts, were used against bacteria and fungi isolated. Results show that all secondary metabolites inhibited in vitro and in vivo the growth of these colonising confirming that the application of biopesticides will be is a promising alternative to synthetic pesticides over traditional technologies. In fact, the use of these natural substances consents a more homogeneous removal of the surface deposits without compromising the substrata structure and the preservation of patina noble ; in addition, bio-cleaning has proven to be more selective than chemicals

Silver zeolite antimicrobial activity in aluminium heating, ventilation and air conditioning system ducts

Introduction. Air pollution in confined environments is a serious health problem, in that most people spend long periods indoors (in homes, offices, classrooms etc.). Some people (children, the elderly, heart disease patients, asthmatic or allergic subjects) are at greater risk because of their conditions of frailty. The growing use of air-conditioning systems in many public and private buildings aggravates this health risk, especially when these systems are not correctly installed or regularly serviced. The aim of our study was to verify the capacity of Ag + ions to stop the growth of bacteria and moulds inside the ducts of Heating, Ventilation and Air Conditioning system ducts (HVAC) systems when these ducts were lined with active Ag + ions zeolite-coated panels. Material and methods. A Y-shaped HVAC model with two branches was used; one branch was made of traditional galvanized iron, as was the whole system, while the other was lined with active Ag + zeolite-coated polyurethane panels. During the test, samples of dust present inside both ducts were collected and seeded in liquid and solid media to detect bacteria and moulds. The presence of bacteria was also sought in the air emerging from the outlets of both ducts. Results. Tests made on samples of particulate collected from the two different ducts revealed a lower total bacterial load in the samples collected from the Ag + zeolite-coated duct than in the samples from the traditional Zn galvanized duct. In addition, the values of bacterial load found in the air emerging from the Ag+ ions zeolite-lined duct were 5 times lower than those found in the air from the traditional galvanized iron duct. Conclusions. The utilization of Ag + zeolite-coated panels in air-conditioning systems could improve the quality of the emerging air in comparison with traditional installations in galvanized iron. This innovation could prove particularly advantageous in the event of accidents during the installation of air-conditioning systems or of contaminated aerosols coming from outside

MK-4101 - a potent inhibitor of the hedgehog pathway - is highly active against medulloblastoma and basal cell carcinoma

Aberrant activation of the Hedgehog (Hh) signaling pathway is implicated in the pathogenesis of many cancers, including medulloblastoma and basal cell carcinoma (BCC). In this study, using neonatally irradiated Ptch1+/- mice as a model of Hh-dependent tumors, we investigated the in vivo effects of MK-4101, a novel SMO antagonist, for treatment of medulloblastoma and BCC. Results clearly demonstrated a robust antitumor activity of MK-4101, achieved through the inhibition of proliferation and induction of extensive apoptosis in tumor cells. Of note, beside antitumor activity on transplanted tumors, MK-4101 was highly efficacious against primary medulloblastoma and BCC developing in the cerebellum and skin of Ptch1+/- mice. By identifying the changes induced by MK-4101 in gene expression profiles in tumors, we also elucidated the mechanism of action of this novel, orally administrable compound. MK-4101 targets the Hh pathway in tumor cells, showing the maximum inhibitory effect on Gli1. MK-4101 also induced deregulation of cell cycle and block of DNA replication in tumors. Members of the IGF and Wnt signaling pathways, were among the most highly deregulated genes by MK-4101, suggesting that the interplay among Hh, IGF and Wnt is crucial in Hh-dependent tumorigenesis. Altogether, the results of this preclinical study support a therapeutic opportunity for MK-4101 in the treatment of Hh-driven cancers, also providing useful information for combination therapy with drugs targeting pathways cooperating with Hh oncogenic activity