Super-replicating Bounds on European Option Prices when the Underlying Asset is Illiquid

We derive super-replicating bounds on European option prices when the underlying asset is illiquid. Illiquidity is taken as the impossibility of transacting the underlying asset at some points in time, generating market incompleteness. We conclude that option price bounds follow a Black-Scholes partial differential equation where the volatility term is adjusted to reflect different levels of illiquidity.

Market Illiquidity and the Bid-Ask Spread of Derivatives

This paper analyzes the impact of illiquidity of a stock on the pricing of derivatives. In particular, it is shown how illiquidity generates a bid-ask spread in an option on this stock, even in the absence of other imperfections, such as transaction costs and asymmetry of information. Moreover, the spread is shown to be asymmetric with respect to the option price under perfect liquidity. This fact explains the appearance of a smile e$ect when the implied volatility is estimated from the mid-quote.

Towards automatic classification within the ChEBI ontology

*Background*
Appearing in a wide variety of contexts, biochemical 'small molecules' are a core element of biomedical data. Chemical ontologies, which provide stable identifiers and a shared vocabulary for use in referring to such biochemical small molecules, are crucial to enable the interoperation of such data. One such chemical ontology is ChEBI (Chemical Entities of Biological Interest), a candidate member ontology of the OBO Foundry. ChEBI is a publicly available, manually annotated database of chemical entities and contains around 18000 annotated entities as of the last release (May 2009). ChEBI provides stable unique identifiers for chemical entities; a controlled vocabulary in the form of recommended names (which are unique and unambiguous), common synonyms, and systematic chemical names; cross-references to other databases; and a structural and role-based classification within the ontology. ChEBI is widely used for annotation of chemicals within biological databases, text-mining, and data integration. ChEBI can be accessed online at "http://www.ebi.ac.uk/chebi/":http://www.ebi.ac.uk/chebi/ and the full dataset is available for download in various formats including SDF and OBO.

*Automated Classification*
The selection of chemical entities for inclusion in the ChEBI database is user-driven. As the use of ChEBI has grown, so too has the backlog of user-requested entries. Inevitably, the annotation backlog creates a bottleneck, and to speed up the annotation process, ChEBI has recently released a submission tool which allows community submissions of chemical entities, groups, and classes. However, classification of chemical entities within the ontology is a difficult and niche activity, and it is unlikely that the community as a whole will be able or willing to correctly and consistently classify each submitted entity, creating required classes where they are missing. As a result, it is likely that while the size of the database grows, the ontological classification will become less sophisticated, unless the classification of new entities is assisted computationally. In addition, the ChEBI database is expecting substantial size growth in the next year, so automatic classification, which has up till now not been possible, is urgently required. Automatic classification would also enable the ChEBI ontology classes to be applied to other compound databases such as PubChem. 

*Description Logic Reasoning*
Description logic based reasoning technology is a prime candidate for development of such an automatic classification system as it allows the rules of the classification system to be encoded within the knowledgebase. Already at 18000 entities, ChEBI is a fair size for a real-world application of description logic reasoning technology, and as the ontology is enhanced with a richer density of asserted relationships, the classification will become more complex and challenging. We have successfully tested a description logic-based classification of chemical entities based on specified structural properties using the hypertableaux-based HermiT reasoner, and found it to be sufficiently efficient to be feasible for use in a production environment on a database of the size that ChEBI is now. However, much work still remains to enrich the ChEBI knowledgebase itself with the properties needed to provide the formal class definitions for use in the automated classification, and to assess the efficiency of the available description logic reasoning technology on a database the size of ChEBI's forecast future growth.

*Acknowledgements*
ChEBI is funded by the European Commission under SLING, grant agreement number 226073 (Integrating Activity) within Research Infrastructures of the FP7 Capacities Specific Programme, and by the BBSRC, grant agreement number BB/G022747/1 within the “Bioinformatics and biological resources” fund

Política e segurança : desafios aos fundamentos do estado democrático e visões globais da segurança para o século XXI

O tema da Segurança, primeiro fim do Estado, é indissociável da democracia e da liberdade, e é crucial na medida em que se trata de um desígnio dos homens (que amam a liberdade) e remete para o cuidado com a própria conservação do Estado, assim como com o bem-estar dos seus cidadãos e bens, independentemente do país e da conjuntura em que vivam. É ainda o desejo de sair daquela mísera condição de guerra que é a consequência necessária das paixões naturais dos homens, quando não há um poder visível capaz de os manter em respeito, forçando-os, por medo do castigo, ao cumprimento dos seus pactos e ao respeito àquelas leis, como ensinara Thomas Hobbes, no seu magistral Leviatã. Por conseguinte, o Estado tem a obrigação de regular a relação política com os diversos modos de entender a incerteza, o risco e a conflitualidade e, no limite, a própria violência no seio da polis, limitadora da própria liberdade, fundamento do rule of law. É esta íntima relação circular entre segurança, democracia e liberdade nas democracias liberais que impõe uma tal pressão sobre o aparelho de Estado, mormente nos organismos que têm por função e competência a segurança do Estado (nas suas vertentes interna e externa), que o obriga a reconhecer a impotência da sua tradicional supremacia.Apoio da FC

Plantio compensatório à supressão de árvores nativas de espécies protegidas na BR 101 Sul

TCC (graduação em Agronomia) - Universidade Federal de Santa Catarina, Centro de Ciências Agrárias, 2011Este relatório descreve as atividades desempenhadas durante a disciplina de Estágio Curricular Obrigatório do curso de Agronomia da Universidade Federal de Santa Catarina, realizado no segundo semestre de 2011, cujo período foi possível acompanhar parte do plantio compensatório de espécies imunes de corte. Este aconteceu em seis municípios entre Torres/RS e Osório/RS, os quais foram atingidos com a supressão de diversas espécies de árvores nativas ao longo do trecho das obras de duplicação da BR 101 - Sul

Relatório final de estágio : Escola Secundária José Falcão

Relatório de estágio do mestrado em Ensino da Educação Física nos Ensinos Básico e Secundário, apresentado à Fac. de Ciências do Desporto e Educação Física da Univ. de CoimbraEste documento apresenta uma cuidada reflexão do trabalho realizado aquando o estágio pedagógico na Escola Secundária José Falcão, referente ao ano lectivo 2009/2010, inserido no Mestrado em Educação Física nos Ensinos Básico e Secundário da Faculdade de Ciências do Desporto e Educação Física da Universidade de Coimbra. A elaboração do presente relatório tem como objectivo reflectir detalhadamente todo o processo realizado ao longo de todo o ano lectivo e analisar, de forma aprofundada e criteriosa, todos os pormenores deste percurso que consubstancia o estágio pedagógico. Neste relatório final são manifestadas as expectativas iniciais, as principais dificuldades encontradas, bem como as capacidades e aprendizagens desenvolvidas ao longo deste ano de repleto trabalho, consumando com um balanço que pressagia a forma como o estágio pedagógico implicou a minha formação académico-pessoal

Market Illiquidity and the Bid-Ask Spread of Derivatives

This paper analyzes the impact of illiquidity of a stock on the pricing of derivatives. In particular, it is shown how illiquidity generates a bid-ask spread in an option on this stock, even in the absence of other imperfections, such as transaction costs and asymmetry of information. Moreover, the spread is shown to be asymmetric with respect to the option price under perfect liquidity. This fact explains the appearance of a smile effect when the implied volatility is estimated from the mid-quote.N/

The development of decision support models for European air traffic flow management

Congestion severely affects air traffic in the US and Europe. To protect air traffic controllers from overloads a planning activity, Air Traffic Flow Management (ATFM), emerged during the 1970s. ATFM control actions range from departure delays to the re-routing of flights. This research explores how models can be used to support decision-making in European ATFM. To date, most research into this subject has been directed at ATFM in the US, which differs from European ATFM both in terms of decision-making and time scales. Fieldwork was carried out at the EUROCONTROL Central Flow Management Unit, the organisation that manages traffic flows in most of the European airspace. The fieldwork was an OR intervention aimed at identifying suitable decision support models for re-routing flights. The research described here contributes by: 1) describing the European ATFM field and identifying decision support needs; 2) structuring the problems involved in re-routing flights in Europe; 3) providing a framework for the development of re-routing decision support systems (DSS) and 4) assessing the usefulness of optimisation approaches to re-routing flights. A demonstrator is developed to illustrate different re-routing decision support possibilities to the users. This leads to conclusions on the feasibility of various decision support functions including an identification of models and algorithms which can be used for each of the functions. Conclusions on levels of automation and complexity for re-routing DSS are also taken. Three integer models for re-routing flows are presented. They differ in the way congestion is represented. The models are tested on data of traffic crossing the whole French upper airspace. The test reveals that the models can be of use in re-routing flows and can provide significant savings in delays. It also shows that an 'intelligent' component to define the scope of the optimisation problem and a component to process all the data for the models, are needed in a re-routing DSS. The models are compared in terms of impact on congestion, size and execution time and conclusions on their feasibility taken. Extensions to the models are suggested