On hedging in finite security markets

A market is considered where trading can take place only at discrete time points, the trading frequency cannot grow without bound, and the number of states of nature is finite. The main objectives of the paper are to show that the market can be completed also with highly correlated risky assets, and to describe an efficient algorithm to compute a self-financing hedging strategy. The algorithm consists off-line of a backwards recursion and on-line of the solution, in each period, of a system of linear equations; it is a consequence of a proof where, using a well-known mathematical property, it is shown that uniqueness of the martingale measure implies completeness also in our setting. The significance of ‘multistate’ models versus the familiar binomial model is discussed and it is shown how the evolution of prices of the (correlated) risky assets can be chosen so that a given probability measure is already the unique equivalent martingale measure.     

Hybrid passive/active absorbers for flow ducts

A new type of acoustic liner developed for broadband noise reduction in flow ducts is considered in this paper. It combines passive absorbent properties of a porous layer and active control at its rear face. The complete design procedure of this hybrid passive/active liner is developed here. The passive part is first considered with the determination of a suitable porous material and the cut-off frequency separating the active low frequency regime from the passive high frequency one. The control system is then presented: a digital adaptive feedback control is performed independently cell by cell, allowing an easy subsequent increase of the liner surface. The entire optimization process has been successfully applied to a laboratory flow duct: both predictions and measurements show the interest of the hybrid liner to reduce the noise radiation.     

部分线性变系数模型的Profile Lagrange乘子检验

对于部分线性变系数模型附有约束条件时的估计与检验问题,基于Profile最小二乘方法给出了参数部分以及非参数部分的约束估计并研究了它们的渐近性质,并针对约束条件构造了Profile Lagrange乘子检验统计量,证明了该统计量在原假设下的渐近分布为χ2分布,从而将Lagrange乘子检验方法推广到了半参数模型上.     

Four equivalent lot-sizing models

We study the following lot-sizing models that recently appeared in the literature: a lot-sizing model with a remanufacturing option, a lot-sizing model with production time windows, and a lot-sizing model with cumulative capacities. We show the equivalence of these models with a classical model: the lot-sizing model with inventory bounds.     

Ultrasound-assisted of alkali chloride separation using bulk ionic liquid membrane

An ultrasonic-assisted separation of alkali chloride (LiCl, NaCl, and KCl) salts have been carried out using of an hydrophobic ionic liquid membrane (ILM). The ionic liquid 1-butyl-3-methylimidazolium hexafluorophosphate and tributyl phosphate mixture have been used as ILM. An ultrasonic probe with different frequencies (25, 100, and 250) kHz have been applied as source of ultrasound generator with different times of sonication (2, 5, and 10) min in three phases system containing feed, ILM, and receiver in osmotic U-shaped tube. Also, 250, 500, and 1000 ppm of the feed (alkali chloride) concentration have been used to separate. The frequency of 250 kHz with higher sonication time provides optimum condition for separation of LiCl with lower feed concentration. The thermodynamic properties such as density and speed of sound and the related thermodynamic properties have been calculated to optimize ILM composition (x_IL = 0.45) for ultrasound-separation.     

Prediction of sound velocity and compressibility via molecular simulation at fixed entropy

A molecular-level simulation route is proposed to compute the isentropic thermodynamic properties in a fluid system by Monte Carlo simulation at fixed entropy. The method involves computation of the pressure response of a system to an infinitesimal change in system density by introduction of a single molecule, while retaining the system volume as well as the absolute molar entropy. The probability for accepting a change in temperature during the Monte Carlo moves was weighted against the argument proposed by Smith et al. [W.R. Smith, M. Lísal, I. Nezbeda, Chem. Phys. Lett. 426 (2006) 436–440]. Application to fluid argon has confirmed superior accuracy for the technique within the gas state to yield results within 1.2% of the measured values for the range of thermodynamic conditions investigated.     

High-efficiency hydrophilic interaction chromatography by coupling 25 cm × 4.6 mm ID × 5 μm silica columns and operation at 80 °C

Recently, hydrophilic interaction chromatography (HILIC) has emerged as a valuable orthogonal tool to reversed-phase liquid chromatography (RP-LC) as it allows for resolution of highly polar ionisable compounds. The relationships between separation efficiency, column length and speed of analysis for 4.6 mm ID × 5 μm silica particle columns in HILIC are demonstrated using kinetic plots. The kinetic plots constructed for conventional pressure systems operating at 350 bar and at 30 °C and 80 °C are confirmed using experimental data for different column lengths. Efficiencies of more than 130,000 theoretical plates could be achieved by connecting up to six columns of 25 cm. As expected, a significant gain in analysis speed without loss of efficiency could be obtained by operating at 80 °C compared to 30 °C. The advantages of using long columns in HILIC in combination with elevated column temperature for the pharmaceutical industry are illustrated using test mixtures comprised of commercially available ionisable compounds (including some containing functional groups with potential genotoxic typical structural alerts) as well as real polar ionisable pharmaceuticals.     

The characteristics of acoustic line array prototypes for scale model experiments

The sound fields created by three different settings of a 5 m long linear loudspeaker array were studied experimentally in the present investigation in an attempt to find out a method to produce a reasonable sound field for scaled down model experiments. The first setting was with all the loudspeakers facing vertically upward, while the second setting was with all the loudspeakers facing the horizontal. The last one resembled the first setting but the loudspeakers were put inside a small partial enclosure whose opening was facing vertically upward. Results show that the last setting can produce a sound field with characteristics close to those of a two-dimensional sound field. The second setting results in a sound directivity pattern relevant to that of the measured A-weighted traffic noise.     

Space averaging of vibration level differences measured in lightweight building structures

This paper examines space averaging methods applied to structural level differences measured in lightweight building structures (two beam junction and single plate and beam junction). The methods studied include the averaging assuming a constant input force, the averaging based on a constant vibration level across the source element, and the arithmetic averaging of level differences. Tests indicate that a fairly steady input force can be easily produced when using an impulsive source such as a hammer; the constant input force method is then appropriate and can be used to space average level differences (the two beam structure showing a standard deviation of 0.1 dB from the averaging based on levels normalised to the force). On the other hand, acceleration levels can exhibit significant variations with position due to the low mode count and modal overlap of some lightweight elements such as timber beams. Variations in the vibration level across the source element can then be responsible for large inaccuracies in the level difference calculated from the constant level assumption, the two beams’ results showing errors greater than 5 dB at several 1/3 octave band frequencies. The latter averaging method is then inappropriate and should not be used.