Hedging Options with Scale-Invariant Models

A price process is scale-invariant if and only if the returns distribution is independent of the price level. We show that scale invariance preserves the homogeneity of a pay-off function throughout the life of the claim and hence prove that standard price hedge ratios for a wide class of contingent claims are model-free. Since options on traded assets are normally priced using some form of scale-invariant process, e.g. a stochastic volatility, jump diffusion or Lévy process, this result has important implications for the hedging literature. However, standard price hedge ratios are not always the optimal hedge ratios to use in a delta or delta-gamma hedge strategy; in fact we recommend the use of minimum variance hedge ratios for scale-invariant models. Our theoretical results are supported by an empirical study that compares the hedging performance of various smile-consistent scale-invariant and non-scale-invariant models. We find no significant difference between the minimum variance hedges in the smile-consistent models but a significant improvement upon the standard, model-free hedge ratiosScale invariance, hedging, minimum variance, hedging, stochastic volatility

Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models

The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets. This ‘scale invariance’ feature is common to the Black-Scholes (1973) model, most stochastic volatility models and most jump-diffusion models. In this paper we extend the scale-invariant property to other models, including some local volatility, Lévy and mixture models, and derive a set of equivalence properties that are useful for classifying their hedging performance. Bates (2005) shows that, if calibrated exactly to the implied volatility smile, scale-invariant models have the same ‘model-free’ partial price sensitivities for vanilla options. We show that these model-free price hedge ratios are not optimal hedge ratios for many scale-invariant models. We derive optimal hedge ratios for stochastic and local volatility models that have not always been used in the literature. An empirical comparison of well-known models applied to SP 500 index options shows that optimal hedges are similar in all the smile-consistent models considered and they perform better than the Black-Scholes model on average. The partial price sensitivities of scale-invariant models provide the poorest hedges.

Hedging with Stochastic and Local Volatility

We derive the local volatility hedge ratios that are consistent with a stochastic instantaneous volatility and show that this ‘stochastic local volatility’ model is equivalent to the market model for implied volatilities. We also show that a common feature of all Markovian single factor stochastic volatility models, (log)normal mixture option pricing models and ‘sticky delta’ models is that they predict incorrect dynamics for implied volatility. As a result they over-hedge the Black-Scholes model in the presence of a market skew and this explains the poor delta hedging performance of these models reported in the literature. Whilst the traditional ‘sticky tree’ local volatility models do not possess this unfortunate property, they cannot be used for pricing without exogenous and ad hoc smoothing of results. However the stochastic local volatility framework allows one to extend a good pricing model into a good hedging model. The theoretical results are supported by an empirical analysis of the hedging performance of seven models, each with different volatility characteristics, on the SP500 index skew.Local volatility, stochastic volatility, implied volatility, hedging, dynamic delta hedging, volatility dymamics

Sistemática filogenética e taxonomia da subtribo Calothecinae (Poaceae, Pooideae, Poeae s.l.)

A subtribo Calothecinae atualmente inclui três gêneros, Chascolytrum s.l., Laegaardia e Paramochloa, dos quais o primeiro se destaca por incluir o maior número de espécies. O gênero Chascolytrum s.l. apresenta um histórico taxonômico e controverso, em virtude das diferentes circunscrições propostas anteriormente. Como atualmente circunscrito, o gênero inclui 22 espécies que já foram anteriormente reconhecidas em nove gêneros distintos (Chascolytrum, Briza, Poidium, Calotheca, Microbriza, Gymnachne, Rhombolytrum, Lombardochloa e Erianthecium). Contudo, as relações entre as espécies de Chascolytrum s.l. permanecem pouco resolvidas devido à baixa resolução filogenética encontrada em estudos anteriores. A presente tese utiliza sequências de DNA, dados morfológicos e uma ampla amostragem e táxons, para resolver a circunscrição dos gêneros reconhecidos em Calothecinae, particularmente aqueles incluídos na sinonímia de Chascolytrum s.l. As análises filogenéticas suportaram, em um primeiro momento, Chascolytrum s.l. como uma linhagem monofilética, permitindo o reconhecimento de oito seções para o gênero, das quais três são novas. Além disso, uma nova espécie de Chascolytrum sect.. Hildaea foi descrita para a ciência (C. serranum). Subsequentemente, análises filogenéticas incluindo uma amostragem mais ampla, tanto em número de táxons quanto marcadores moleculares, revelaram que tanto Calothecinae quanto Chascolytrum s.l. são polifiléticos, devido à inclusão de Trisetum brasiliense e T. bulbosum dentro do clado Chascolytrum s.l. Como resultado, o gênero Chascolytrum s.l. foi desmembrado em nove gêneros, dos quais dois são novos para a ciência, e os gêneros Laegaardia e Paramochloa foram transferidos para a nova subtribo Paramochloinae. As espécies T. brasiliense e T. bulbosum foram formalmente incluídas em Calothecinae, como incertae sedis, e seus posicionamentos taxonômicos necessitam estudos mais aprofundados, incluindo novas amostras sul-americanas do gênero Trisetum.Currently, the subtribe Calothecinae includes three genera, Chascolytrum s.l., Laegaardia and Paramochloa, of which Chascolytrum is the most diverse. The genus Chascolytrum s.l. has a complex and controversial taxonomic background due to several circumscriptions proposed in the past. As now cirscumscribed, the genus includes 22 species that were previously recognized in nine different genera (Chascolytrum, Briza, Poidium, Calotheca, Microbriza, Gymnachne, Rhombolytrum, Lombardochloa e Erianthecium). However, the internal relationships of Chascolytrum s.l. remain poorly resolved due to lack of phylogenetic resolution found in previous studies. The present thesis includes DNA sequences, morphological data and a comprehensive taxon sampling to resolve the generic circumscription of Calothecinae, mainly of those genera included as synonymy of Chascolytrum s.l. The phylogenetic analyses supported, at first, Chascolytrum s.l. as monophyletic and allowed the recognition of eight sections, of which three are newly described. Besides, a new species of Chascolytrum sect. Hildaea was first described (C. serranum). Thereafter, phylogenetic analyses including a broader sampling and more molecular markers revealed that both Calothecinae and Chascolytrum s.l. are polyphyletic, due to the inclusion of Trisetum brasiliense and T. bulbosum in the Chascolytrum s.l. clade. As a result, Chascolytrum s.l. was split in nine different genera of which two are newly described, and Laegaardia and Paramochloa were transferred to the new subtribe Paramochloinae. Trisetum brasiliense and T. bulbosum were formally included in Calothecinae, although as incertae sedis. Further studies to resolve their taxonomic placement are still needed

Morte morrida ou matada? Que diferença faz? : abordagens jurídicas e de política criminal quanto à inoperância estatal nos casos de homicídio dolosos

Orientador: Priscilla Placha SáMonografia (graduação) - Universidade Federal do Paraná, Setor de Ciências Jurídicas, Curso de Graduação em DireitoResumo: O presente trabalho procura demonstrar o complexo fenômeno do homicídio no país, em especial aqueles dolosos, não raro cometidos à mão armada, delito esse certo modo endêmico no país, na medida em que as cifras de mortes ultrapassam 50 mil óbitos anuais. Nesse sentido, a presente pesquisa tem por objeto, através de um significativo conjunto de dados empíricos, bibliográficos e outros colhidos em campo, evidenciar esse altíssimo índice de homicídios dolosos, bem como apontar o que têm impactado na baixíssima elucidação de casos (variando em média na proporção de 10% dos casos). Nada obstante, nessa espécie de "radiografia" do crime, procurando entendê-lo, virão à tona nas páginas seguintes alguns pontos escolhidos como relevantes para entendimento desse objeto supracitado. Dentre eles vale citar o impacto da impunidade evidenciado pelos baixíssimos índices de inquéritos instaurados (ou seja, a não correspondência entre o número de homicídios e o número de IPs); bem como a demonstração de que nada obstante baixíssimos inquéritos instaurados ainda mais baixos são os índices de elucidação de casos, ou de eficácia investigativa na medida em que não raro a investigação não consegue apontar indícios mínimos de autoria; e, ainda, traremos à tona a emblemática cultura da violência urbana e o medo na contemporaneidade líquida social; bem como a questão das armas de fogo, a facilidade de acesso e o tráfico principalmente interno de armas no país; a questão dos grupos criminosos (enquanto gênero) e algumas espécies como "esquadrões da morte, ou grupos de extermínio", "milícias", dentre outras espécies de máfia à brasileira; entre outras abordagens. Finalmente, sempre buscando relação como o objeto (altíssimos índices de homicídios e baixíssimos índices de elucidação), levantar-se-á, na pesquisa, abordagens críticas a despeito da atual política de segurança pública, como, por exemplo, a sobreposição ou relevância dada à proteção de bens jurídicos patrimoniais em contrapartida a bens jurídicos significativamente mais relevantes como "a vida humana." E, por fim, levantaremos a questão do desenvolvimento humano como pressuposto fundamental, talvez inicial de uma pretensa efetiva política de segurança pública, que atualmente se presenta questionável no Brasil diante dos índices de violência que serão expostos nas páginas seguintes

Effects of Nitrate Supplementation on In Vivo Muscle Torque Recovery From BaCl2-Induced Injury

During repair from muscle injury, muscle satellite cells depend on nitric oxide production by immune cells to proliferate and differentiate. Nitrate supplementation has been shown to improve muscle endurance and oxygen consumption, but little is known about the ability of nitrate supplementation to interfere with muscle regeneration following injury. PURPOSE: To investigate whether nitrate supplementation affects muscle recovery of force after muscle injury produced by intramuscular injection of barium chloride. METHODS: Transgenic male mice (12 weeks old) that express Td-Tomato fluorescent protein in Pax7+ cells (i.e., satellite cells; Pax7CreER-Ai9 mice) were treated with tamoxifen (2 mg in corn oil, i.p.) once a day for 5 days. Four days after the last tamoxifen injection, both legs were subjected to stimulation of the peroneal nerve to evoke contractions of the anterior crural muscles at different frequencies of stimulation (1-200 Hz; i.e., Torque-frequency curve), followed by intramuscular injections of 1.2% BaCl2 (w/v) to produce injury of the tibialis anterior (TA) and extensor digitorum longus (EDL) muscles of the right leg. The contralateral leg served as a non-injured control. Torque-frequency curves were tested for both legs on days 2, 7, 14 and 21 post injury. At day 21, mice were euthanized, and muscles were dissected for histology (TA) and ex-vivo muscle contractility (EDL). A group of mice was treated with 1 g/L of NaNO3 in drinking water (nitrate group) 1 week before muscle injury, and a second group of mice was not treated (water group). RESULTS: Mice treated with NaNO3 (nitrate group) showed smaller torque in the non-injured leg compared to water group (103 ± 3 vs 84 ± 2 Nmm/kg, for water vs nitrate groups, respectively). However, the torque produced by the injured leg normalized by the torque developed by the non-injured leg was not different between groups on days 2 (28 ± 13% vs 25 ± 1%), 7 (41 ± 4% vs 35 ± 2%), 14 (81 ± 7% vs 87 ± 1%) and 21 (104 ± 3% vs 105 ± 3%) for water and nitrate groups respectively. CONCLUSION: The data suggest that nitrate supplementation decreases nerve-stimulated torque development in uninjured leg but does not change the recovery of torque after BaCl2 injury. Support: TRDRP grant # T29KT0397CA (to L.N.

Diaphragm Force and Mitochondrial Function Ex Vivo Following GSNOR Inhibition In Vivo Preceding Mechanical Ventilation

During mechanical ventilation (MV), force developed by the diaphragm is decreased over time much faster than locomotor muscles. This is known as ventilator-induced diaphragm dysfunction (VIDD), and VIDD may be accelerated by intramyofiber oxidative stress. An important free radical used for the treatment of acute respiratory distress syndrome (ARDS) is nitric oxide (NO) which can diffuse to diaphragm myofibers during treatment. However, little is known whether NO or NO by-products such as S-nitrosothiols (RSNO), can accelerate or prevent VIDD. PURPOSE: To investigate whether inhibiting S-nitrosoglutathione reductase (GSNORi) during MV could affect ex vivo diaphragm force and mitochondrial respiration. METHODS: Male (C57BL6J) mice (n=27) were anesthetized and subjected to MV for 2, 4, or 6h, and non-MV mice (0 h) were used as controls. Alternatively, mice were treated with PBS/10% DMSO (n=6) or 25 µg SPL-334 (GSNORi, n=6) or 25 µg SPL-334 + 1.7 mg isosorbide dinitrate (ISDN; n=6), and then subjected to MV for 2 h. After MV, mice were euthanized, and diaphragm strips were used for force or for mitochondrial oxidative phosphorylation and reactive oxygen species generation measurements. RESULTS: Peak tetanic force was decreased by MV starting at 4 h (30 ± 2 N/cm2 vs 26 ± 1 N/cm2 vs 23 ± 2 N/cm2 vs 18 ± 4 N/cm2, for 0 vs 2 vs 4 vs 6h MV, P=0.0097 one-way ANOVA). Peak force was not different between DMSO vs GSNORi (P=0.3834). Leak respiration (Mann-Whitney p=0.26; CI95 7, 45 vs 10, 68 pmol/s/mg), coupled-phosphorylating mitochondrial respiration (Mann-Whitney p=0.91; CI95 121, 180 vs 107, 215 pmol/s/mg), and H2O2 flux in any of the respiratory states (e.g. coupled-phosphorylating Mann-Whitney p=0.26; CI95 30, 245 vs 4, 543 fmol/s/mg), were not different between DMSO vs GSNORi. CONCLUSION: VIDD was developed at 4 hours MV, but GSNORi treatment for 2 h did not produce any changes to VIDD and to mitochondrial function. These data suggest that if exogenous NO is not provided, inhibiting GSNOR in vivo alone does not affect diaphragm function ex vivo. Support: SDSU 2023 SEED Grant (to L.N.

Algoritmos de pontos interiores aplicados a fluxo em redes

Orientador: Clovis Perin FilhoDissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Computação CientificaResumo: Não informado.Abstract: Not informed.MestradoMestre em Matemática Aplicad

A química, meio ambiente e a sociedade: fazendo uma educação ambiental consciente

A Educação Ambiental não deve ser vista como uma disciplina eletiva ou contextualizada dentro de outras de maior influência do conhecimento humano. Ela deve ser vivida diariamente por todos os cidadãos brasileiros, conscientes de que suas ações interferem diretamente ou indiretamente no Meio Ambiente e encará-lo como um ser vivo, do qual fazemos parte simbioticamente. A educação é tudo, transforma o ser, a sua consciência e a seu espírito, será somente desta forma que conseguiremos mudar o panorama mundial atual, onde catástrofes naturais acontecem devido aos anos e anos de descuido e descaso com a Natureza e o quanto antes fizermos será melhor para nós mesmos. O presente trabalho têm como proposta apresentar a variedade de temas que podem ser desenvolvidos nas turmas de educação infantil, ensino fundamental e médio, além de servir como uma visão ampliada do que seja Educação Ambiental, pois esta não se restringe só ao ensino de Ecologia, mas esta de forma contextualizada em áreas como o Direito (Ambiental, Civil, Penal), Economia, Sociologia, História e Química, além de outras áreas do conhecimento humano

Single-Leg Resistance Exercise Training in Mice Leads to a Fast Increase in In Vivo Torque of Anterior Crural Muscles

Resistance exercise is known to produce muscle hypertrophy. However, little is known about the role of muscle satellite cells in generating new myofibers or in incorporating satellite cells to live myofibers during exercise training. PURPOSE: To investigate whether single-leg resistance exercise training can activate the incorporation of muscle satellite cells in mice. METHODS: Transgenic male mice (12 weeks old) that express Td-Tomato fluorescent protein in Pax7+ (i.e., satellite cells) cells (Pax7CreER-Ai9) were treated with tamoxifen (2 mg in corn oil, i.p.) once a day for 5 days. Three days later, mice were single-leg exercise trained (i.e stimulation of the peroneal nerve of the right leg of each mouse to evoke fused tetanic contractions [100 Hz] of the anterior crural muscles), 3x per week for either 1 or 2 weeks. Each training session was composed of 3-s contractions with 7 s recovery between contractions, 10 contractions each set, 5 sets with 5 min rest between sets. Before the first training session and 3 days after the last training session (1 week or 2 weeks training), torque produced by the ankle was measured at different frequencies of pulse-stimulation (1-200 Hz), mice were euthanized, and muscles were frozen for histological measurements. RESULTS: During each session of training, peak torque developed at the last contraction was ~30% of the torque developed in the initial contraction of the session suggesting fatigue development. Between sessions of training, initial torque was not significantly different suggesting that muscle recovered function between sessions. Torque measurements at different frequencies of stimulation 3 days after 1 week or 2 weeks of training showed a ~50% increase in maximal tetanic torque relative to the mice body weight, after 1 week of training but there were no additional changes at 2 weeks of training. Tibialis anterior muscle cross sectional area and number of Td-tomato positive myofibers were also measured in these mice. CONCLUSION: Resistance exercise training in mice by using single-leg electrical stimulations leads to a fast (i.e., 1 week) increase in muscle force development