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  • Articles  (5,848)
  • Springer Nature  (2,932)
  • Blackwell Publishing Ltd  (2,916)
  • American Meteorological Society
  • Springer Science + Business Media
  • 2000-2004  (5,257)
  • 1960-1964  (591)
  • Process Engineering, Biotechnology, Nutrition Technology  (5,753)
  • Mathematics  (95)
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  • Articles  (5,848)
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  • 1
    Electronic Resource
    Electronic Resource
    PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a numerically accurate and computationally fast approximation to the prices of European options on coupon-bearing instruments that is applicable to the entire family of affine term structure models. Exploiting the typical shapes of the conditional distributions of the risk factors in affine diffusions, we show that one can reliably compute the relevant probabilities needed for pricing options on coupon-bearing instruments by the same Fourier inversion methods used in the pricing of options on zero-coupon bonds. We apply our theoretical results to the pricing of options on coupon bonds and swaptions, and the calculation of “expected exposures” on swap books. As an empirical illustration, we compute the expected exposures implied by several affine term structure models fit to historical swap yields.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00132.x
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  • 2
    Electronic Resource
    Electronic Resource
    PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of partial hedging of derivative risk in a stochastic volatility environment. It is related to state-dependent utility maximization problems in classical economics. We derive the dual problem from the Legendre transform of the associated Bellman equation and interpret the optimal strategy as the perfect hedging strategy for a modified claim. Under the assumption that volatility is fast mean-reverting and using a singular perturbation analysis, we derive approximate value functions and strategies that are easy to implement and study. The analysis identifies the usual mean historical volatility and the harmonically averaged long-run volatility as important statistics for such optimization problems without further specification of a stochastic volatility model. The approximation can be improved by specifying a model and can be calibrated for the leverage effect from the implied volatility skew. We study the effectiveness of these strategies using simulated stock paths.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00130.x
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  • 3
    Electronic Resource
    Electronic Resource
    MARKET SELECTION OF FINANCIAL TRADING STRATEGIES: GLOBAL STABILITY (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easlcy (1992) to any complete or incomplete asset market.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00127.x
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  • 4
    Electronic Resource
    Electronic Resource
    A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A senera1 proof of the Dybvig-Ingersoll-Ross Theorem o n thc monotonicity of long foraard rates is presented. Some inconsistencies in the original proof o f this theorein are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00133.x
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  • 5
    Electronic Resource
    Electronic Resource
    VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A topical problem is how to price and hedge claims on nontraded assets. A natural approach is to use for hedging purposes another similar asset or index which is traded. To model this situation, we introduce a second nontraded log Brownian asset into the well-known Merton investment model with power law and exponential utilities. The investor has an option on units of the nontraded asset and the question is how to price and hedge this random payoff. The presence of the second Brownian motion means that we are in the situation of incomplete markets. Employing utility maximization and duality methods we obtain a series approximation to the optimal hedge and reservation price using the power utility. The problem is simpler for the exponential utility, and in this case we derive an explicit representation for the price. Price and hedging strategy are computed for some example options and the results for the utilities are compared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00129.x
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  • 6
    Electronic Resource
    Electronic Resource
    REDUCTION OF FUNGI AND MYCOTOXINS FORMATION IN SEEDS BY GAMMA-RADIATION (2004)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of food safety 24 (2004), S. 0 
    Details
    ISSN: 1745-4565
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Ninety samples of maize, chick-peas and groundnut seeds collected from the Egyptian market were found to be heavily contaminated by molds. Alternaria, Aspergillus, Cladosporium, Eurotium, Fusarium, Mucor, Penicillium and Rhizopus were the most common fungal genera isolated from nondisinfected seeds. Aspergillus alutaceus, A. flavus, Fusarium verticillioides and F. oxysporum were isolated from all surface-disinfected seeds and were reported to produce ochratoxin A, aflatoxin B1 and zearalenone, respectively. Irradiation at a dose 4.0 kGy reduced the mold growth greatly relative to unirradiated controls. There was no growth at dose 5.0 kGy. On the basis of the radiation survival data, the decimal reduction values D10 for A. alutaceus, A. flavus and F. verticilliodies were 0.70. 2.10 and 0.93 kGy in maize. A dose of 5 kGy inhibited the toxigenic molds and mycotoxin formation in seeds. Aflatoxin B1 and ochratoxin A were detected in maize and chick-peas, whereas zearalenone was detected in maize samples. Application of radiation at a dose of 6.0 kGy detoxified aflatoxin B1 by 74.3–76.7%, ochratoxin A by 51.3–96.2% and zearalenone by about 78%.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-4565.2004.tb00379.x
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  • 7
    Electronic Resource
    Electronic Resource
    INHIBITION OF LISTERIA MONOCYTOGENES BY NATIVE MICROFLORA OF WHOLE CANTALOUPE (2004)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of food safety 24 (2004), S. 0 
    Details
    ISSN: 1745-4565
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Fresh-cut cantalcupe has been recalled due to the possible presence of Listeria monocytogenes. Several studies have reported that naturally occurring microflora of vegetable surfaces may be antagonistic to pathogen attachment, growth or survival. To test this possibility for L. monocytogenes and cantaloupes, whole melon were treated with water, ethanol (70%) or chlorine (200 ppm) to reduce the native microflora on the melon surfaces. Treated or untreated melons were immersed in a six strain cocktail of L. monocytogenes (107 CFU/mL) for 10 min and then allowed to dry for 1 h inside a biosafety cabinet followed by storage at 5, 10 and 20C for 15 days. Fresh-cut pieces prepared from the treated or untreated melons and directly inoculated with L. monocytogenes (3.48 log CFU/g) were stored under the same conditions listed above. Populations of L. monocytogenes and five classes of native microflora were investigated. Growth of L. monocytogenes in sterile or nonsterile rind and fresh-cut homogenates was also studied. The population of L. monocytogenes recovered from inoculated (103 to 108 CFU/mL) whole melons given no disinfection treatment or washed with water was significantly less (P 〈 0.05) than that recovered from melons treated with chlorine or EtOH. In general, populations of L. monocytogenes declined on the surface of treated and untreated whole melons and on fresh-cut pieces over the 15 days storage period at the temperatures tested. However, the decline in pathogen populations was less rapid in the presence of reduced populations of native microflora. Higher populations of L. monocytogenes were attained in sterile tissue homogenates than in nonsterile homogenates. Addition of yeast and mold to sterile rind homogenates was highly inhibitory to growth and survival of the pathogen. The results of this study indicate that native microflora of whole cantaloupe inhibited attachment to rind surfaces as well as survival and growth of L. monocytogenes on cantaloupe surfaces and homogenized fresh-cut pieces. Thus, L. monocytogenes recontamination of melons having a reduced level of native microflora following application of a disinfection treatment may be a food safety concern.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-4565.2004.tb00380.x
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  • 8
    Electronic Resource
    Electronic Resource
    BEHAVIOR OF STREPTOCOCCUS PYOGENES IN MASHED POTATOES (2004)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of food safety 24 (2004), S. 0 
    Details
    ISSN: 1745-4565
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Streptococcus pyogenes is widely recognized as a human pathogen. Whereas person-to-person transmission is the most common transmission mechanism for this pathogen, some outbreaks of S. pyogenes disease have been reported to occur in association with consumption of contaminated foods such as shrimp or potato salads. In this study, the behavior of S. pyogenes was studied in mashed potatoes as a function of storage temperature, types and amount of background biota and type of ingredients. Combined mashed potatoes (potatoes, butter, milk, egg and table salt) or plain mashed potatoes (potatoes only) were inoculated with a 5-strain cocktail of S. pyogenes and stored at 7, 25, 35 or 37C. At intervals during storage, samples were collected for counting S. pyogenes in blood agar plates or blood agar added with sodium azide, polymyxin and crystal violet. Mashed potatoes obtained from fast-food restaurants were used to determine the fate of S. pyogenes as affected by changes in aerobic mesophiles, coliform and lactic acid bacteria counts. S. pyogenes was able to survive in mashed potatoes stored at 7C and to grow in mashed potatoes stored at 25 or 37C with lag phase lengths of 3 and 2 h and generation times of 26.0 and 25.3 min, respectively. The generation time of S. pyogenes in plain mashed potatoes was 30.7 min at 35 C. Presence of active background biota at 2–3 log10 CFU/g concentrations did not prevent growth of S. pyogenes when stored at 35C. These results contribute to a better understanding of the potential for S. pyogenes to cause foodborne outbreaks.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-4565.2004.tb00381.x
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  • 9
    Electronic Resource
    Electronic Resource
    SURVIVAL OF LISTERIA INNOCUA IN APPLE JUICE AS AFFECTED BY VANILLIN OR POTASSIUM SORBATE (2004)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of food safety 24 (2004), S. 0 
    Details
    ISSN: 1745-4565
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Process Engineering, Biotechnology, Nutrition Technology
    Notes: Survival of stationary phase Listeria innocua (as surrogate microorganism for L. monocytogenes) inoculated in apple juice (pH 3.3 or 3.8) supplemented with vanillin (1,500 ppm or 3,000 ppm) or potassium sorbate (500 ppm or 1,000 ppm) and stored at room temperature was studied. L. innocua survived in apple juice without the preservatives at pH 3.3 or 3.8, with minimal population reductions. In the juices with the incorporation of potassium sorbate or vanillin, L. innocua behavior depended on the pH value, the type of antimicrobial and its concentration. At pH 3.3, the presence of vanillin (3,000 ppm) or potassium sorbate (1,000 ppm or 500 ppm) decreased L. innocua counts, with population reductions ranging from 4 to 5 log cycles after a 4 h – 8 h exposure at 30C. However, at pH 3.8, L. innocua showed sensitivity only to 3,000 ppm vanillin. Survival curves were successfully fitted using a Weibull type distribution of resistances. The results suggest that the use of potassium sorbate or vanillin could prevent the survival of L. innocua in contaminated unpasteurized and pasteurized apple juice. Vanillin, a natural antimicrobial, would be particularly suitable as an antilisterial additive for less acidic apple juice.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-4565.2004.tb00372.x
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  • 10
    Electronic Resource
    Electronic Resource
    A BELGIAN SURVEY OF HYGIENE INDICATOR BACTERIA AND PATHOGENIC BACTERIA IN RAW MILK AND DIRECT MARKETING OF RAW MILK FARM PRODUCTS (2004)
    Oxford, UK : Blackwell Publishing Ltd
    Journal of food safety 24 (2004), S. 0 
    Details
    ISSN: 1745-4565
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Process Engineering, Biotechnology, Nutrition Technology
    Notes: To monitor the bacteriological quality of raw milk and raw milk farm products, 143 samples of raw farm milk and 100 samples of raw milk farm products, 64 butters, 9 yogurts, 16 cheeses, 7 ice creams and 4 fresh cheeses, produced in Belgium were examined for coliforms, β-glucuronidase positive Escherichia coli, verotoxin producing Escherichia coli O157, Staphylococcus aureus, Salmonella spp., Listeria spp. and Listeria monocytogenes. The results were compared with the threshold and maximum values of the EC directive 92/46/EC or the maximum values of the Belgian Order of Council from September 3, 2000. The presence of staphylococcal enterotoxins was investigated on samples with S. aureus counts higher than the legal threshold values mentioned in the EC directive or, if not regulated in the directive, higher than the maximum value mentioned in the Belgian Order of Council. The obtained results for the hygiene-indicators coliforms, β-glucuronidase positive E. coli and S. aureus in the raw milk samples were comparable with most other industrialized countries. Compared to a prevalence of 0.7% and 6.3% for, respectively, E. coli O157 and L. monocytogenes, no Salmonella was found in the 25 g raw milk farm samples. The isolated E. coli O157 strain was confirmed to be verotoxigenic; it was positive for VT2, eaeA and hlyA. In butter not only a prevalence of 18.7% for L. monocytogenes in 25 g was found but also the maximum values for the hygiene-indicators mentioned in the Belgian Order of Council were often exceeded. No significant difference was found between the count of hygiene-indicators and the presence of Listeria spp. as well in raw milk as in raw milk butter. The bacteriological quality of on-farm made raw milk butter suggest that suitable hygienic conditions are not always provided. One of the 7 ice cream samples contained L. monocytogenes in 25 g.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1745-4565.2004.tb00373.x
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