Essays on energy derivatives pricing and financial risk management

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.

Constraints, nostalgia and North Americans' visits to rural Europe

As Américas constituem a mais relevante fonte inter-regional de turistas vindos para a Europa, sendo os EUA de longe o maior mercado de long haul para a Europa. Mas, apesar da relevância deste mercado nas estatísticas, há uma carência de estudos sobre o mesmo. A maioria dos Norte-Americanos que visitam a Europa mantéem-se em áreas urbanas, limitando o potencial efeito do turismo para equilibrar o crescimento económico na Europa, principalmente em áreas rurais que têm vindo cada vez mais a atrair turistas nas últimas décadas, contando sobretudo da EU. Para o turismo ser realmente uma força positiva de desenvolvimento equilibrado na Europa, os pesquisadores do comportamento do consumidor devem tentar entender por que os viajantes Norte-Americanos não arriscam ir para zonas rurais que supostamente têm o capital tradicional e cultural autêntico que sobretudo os turistas nostálgicos procuram. Esta dissertação pretende contribuir para o conhecimento do mercado Norte-Americano que viaja para a Europa. O objectivo deste estudo centra-se na examinação do papel dos constrangimentos, da nostalgia, e da experiência de viagem para as intenções dos turistas Norte-Americanos de revisitar em destinos rurais Europeus. Apesar de existirem referências à nostalgia em pesquisas de turismo, estas centram-se essencialmente em estudos de carácter qualitativo e tem sido dada pouca relevância à construção de ferramentas quantitativas para o estudo da nostalgia a nível do turismo. Neste estudo, é desenvolvida uma escala de nostalgia para o turismo (NOSTOUR). Os resultados mostram que a nostalgia, relacionada com as viagens pode ser concebida e operacionalizada em quatro dimensões: individual, interpessoal, cultural e virtual. A nostalgia, por si só, não tem um efeito mediador nos constrangimentos para viajar a nível da intenção de regressar e visitar destinos rurais na Europa mas com a adição, do determinante experiência de viagem esse efeito existe.

Phosphatidylethanolamines glycoxidation: products and significance

As fosfatidiletanolaminas constituem a segunda classe de fosfolípidos mais abundantes nos organismos. Elas estão presentes nas membranas biológicas e nas lipoproteínas. As alterações estruturais dos fosfolípidos, ocorrem devido ao stress oxidativo e podem manisfestar-se em alterações das suas propriedades e funções. Já são conhecidas algumas condições fisiopatológicas, nas quais os fosfolípidos oxidados estão envolvidos, por exemplo sinalização celular, resposta imunitária, apoptose e doenças relacionadas com o envelhecimento. Por esse motivo, o interesse no estudo dos fosfolípidos oxidados e suas funções tem crescido nos últimos anos. Contudo, a maioria dos estudos realizados, focam a oxidação das fosfatidilcolinas, tendo sido dedicada pouca atenção a outras classes de fosfolipídos, como as fosfatidiletanolaminas. As fosfatidiletanolaminas, podem ainda sofrer outras modificações, devido ao grupo amina livre presente na cabeça polar, como por exemplo a glicação. As fosfatidiletanolaminas glicadas já foram detectadas em condições de hiperglicemia, em pacientes diabéticos, e tem correlação com a hemoglobina glicada. Sabe-se que a glicação de biomoléculas, pode aumentar as modificações oxidativas, que por sua vez, podem ser responsáveis pelo estado inflamatório, existente na diabetes mellitus. Tanto o stress oxidativo, como a inflamação estão relacionados com a diabetes e as suas complicações. A espectrometria de massa tem sido utilizada como uma importante tecnologia na detecção e caracterização de modificações oxidativas de fosfolípidos. Assim, neste trabalho pretendeu-se estudar as modificações oxidativas induzidas em fosfatidiletanolaminas glicadas, e os seus efeitos biológicos nos monócitos e células dendríticas do sangue periférico. Pretendeu-se ainda, estudar as alterações que ocorreram nas espécies de fosfatidiletanolaminas do fígado de ratos diabéticos. Os resultados obtidos permitiram identificar vários produtos de oxidação de fosfatidiletanolaminas glicadas, nomeadamente novos produtos formados pela oxidação da cabeça polar glicada. A oxidação na cabeça polar glicada foi, ainda, confirmada pela realização de experiências com spin traps combinadas com espetrometria de massa. Posteriormente, as fosfatidiletanolaminas oxidadas, glicadas e glicoxidadas demonstraram ter efeitos pró-inflamatórios, confirmados pelo aumento da estimulação monócitos e de células dendríticas, expresso no aumento do número de células produtoras de citocinas em comparação com o estado basal. As diferentes modificações de fosfatidiletanolaminas induziram estímulos distintos nos dois tipos de células. Sendo as fosfatidiletanolaminas glicadas e as glicoxidadas, os compostos que induziram um maior estímulo. Estes resultados sugeriram que as fosfatidiletanolaminas glicadas e as glicoxidadas podem estar associadas com o estado inflamatório que decorre da hiperglicemia crónica. Ainda, a avaliação do perfil lipídico de extratos de fígado de ratos diabéticos demonstrou que a hiperglicemia induz inúmeras alterações das espécies de fosfatidiletanolaminas e das espécies de outras classes de fosfolípidos, em simultâneo com sinais de lesão hepática. Em conclusão, este trabalho demonstra a relação existente entre, a hiperglicémia, o stress oxidativo, a glicação e oxidação de fosfatidiletanolaminas e ainda a inflamação e compliações diabéticas. Portanto a contribuição da lipidómica é importante para compreender os efeitos prejudiciais da hiperglicemia não controlada, e por isso, merece ser mais explorado.

Inter layer and cooperative design strategies for green mobile networks

The promise of a truly mobile experience is to have the freedom to roam around anywhere and not be bound to a single location. However, the energy required to keep mobile devices connected to the network over extended periods of time quickly dissipates. In fact, energy is a critical resource in the design of wireless networks since wireless devices are usually powered by batteries. Furthermore, multi-standard mobile devices are allowing users to enjoy higher data rates with ubiquitous connectivity. However, the bene ts gained from multiple interfaces come at a cost in terms of energy consumption having profound e ect on the mobile battery lifetime and standby time. This concern is rea rmed by the fact that battery lifetime is one of the top reasons why consumers are deterred from using advanced multimedia services on their mobile on a frequent basis. In order to secure market penetration for next generation services energy e ciency needs to be placed at the forefront of system design. However, despite recent e orts, energy compliant features in legacy technologies are still in its infancy, and new disruptive architectures coupled with interdisciplinary design approaches are required in order to not only promote the energy gain within a single protocol layer, but to enhance the energy gain from a holistic perspective. A promising approach is cooperative smart systems, that in addition to exploiting context information, are entities that are able to form a coalition and cooperate in order to achieve a common goal. Migrating from this baseline, this thesis investigates how these technology paradigm can be applied towards reducing the energy consumption in mobile networks. In addition, we introduce an additional energy saving dimension by adopting an interlayer design so that protocol layers are designed to work in synergy with the host system, rather than independently, for harnessing energy. In this work, we exploit context information, cooperation and inter-layer design for developing new energy e cient and technology agnostic building blocks for mobile networks. These technology enablers include energy e cient node discovery and short-range cooperation for energy saving in mobile handsets, complemented by energy-aware smart scheduling for promoting energy saving on the network side. Analytical and simulations results were obtained, and veri ed in the lab on a real hardware testbed. Results have shown that up to 50% energy saving could be obtained.

Calculus of variations on time scales and applications to economics

We consider some problems of the calculus of variations on time scales. On the beginning our attention is paid on two inverse extremal problems on arbitrary time scales. Firstly, using the Euler-Lagrange equation and the strengthened Legendre condition, we derive a general form for a variation functional that attains a local minimum at a given point of the vector space. Furthermore, we prove a necessary condition for a dynamic integro-differential equation to be an Euler-Lagrange equation. New and interesting results for the discrete and quantum calculus are obtained as particular cases. Afterwards, we prove Euler-Lagrange type equations and transversality conditions for generalized infinite horizon problems. Next we investigate the composition of a certain scalar function with delta and nabla integrals of a vector valued field. Euler-Lagrange equations in integral form, transversality conditions, and necessary optimality conditions for isoperimetric problems, on an arbitrary time scale, are proved. In the end, two main issues of application of time scales in economic, with interesting results, are presented. In the former case we consider a firm that wants to program its production and investment policies to reach a given production rate and to maximize its future market competitiveness. The model which describes firm activities is studied in two different ways: using classical discretizations; and applying discrete versions of our result on time scales. In the end we compare the cost functional values obtained from those two approaches. The latter problem is more complex and relates to rate of inflation, p, and rate of unemployment, u, which inflict a social loss. Using known relations between p, u, and the expected rate of inflation π, we rewrite the social loss function as a function of π. We present this model in the time scale framework and find an optimal path π that minimizes the total social loss over a given time interval.

Numerical and combinatorial applications of generalized Appell polynomials

This thesis studies properties and applications of different generalized Appell polynomials in the framework of Clifford analysis. As an example of 3D-quasi-conformal mappings realized by generalized Appell polynomials, an analogue of the complex Joukowski transformation of order two is introduced. The consideration of a Pascal n-simplex with hypercomplex entries allows stressing the combinatorial relevance of hypercomplex Appell polynomials. The concept of totally regular variables and its relation to generalized Appell polynomials leads to the construction of new bases for the space of homogeneous holomorphic polynomials whose elements are all isomorphic to the integer powers of the complex variable. For this reason, such polynomials are called pseudo-complex powers (PCP). Different variants of them are subject of a detailed investigation. Special attention is paid to the numerical aspects of PCP. An efficient algorithm based on complex arithmetic is proposed for their implementation. In this context a brief survey on numerical methods for inverting Vandermonde matrices is presented and a modified algorithm is proposed which illustrates advantages of a special type of PCP. Finally, combinatorial applications of generalized Appell polynomials are emphasized. The explicit expression of the coefficients of a particular type of Appell polynomials and their relation to a Pascal simplex with hypercomplex entries are derived. The comparison of two types of 3D Appell polynomials leads to the detection of new trigonometric summation formulas and combinatorial identities of Riordan-Sofo type characterized by their expression in terms of central binomial coefficients.

Evaluation of the matabolic response of osteosarcoma cells to conventional and new anticancer drugs by NMR metabolomics

The main scope of this work was to evaluate the metabolic effects of anticancer agents (three conventional and one new) in osteosarcoma (OS) cells and osteoblasts, by measuring alterations in the metabolic profile of cells by nuclear magnetic resonance (NMR) spectroscopy metabolomics. Chapter 1 gives a theoretical framework of this work, beginning with the main metabolic characteristics that globally describe cancer as well as the families and mechanisms of action of drugs used in chemotherapy. The drugs used nowadays to treat OS are also presented, together with the Palladium(II) complex with spermine, Pd2Spm, potentially active against cancer. Then, the global strategy for cell metabolomics is explained and the state of the art of metabolomic studies that analyze the effect of anticancer agents in cells is presented. In Chapter 2, the fundamentals of the analytical techniques used in this work, namely for biological assays, NMR spectroscopy and multivariate and statistical analysis of the results are described. A detailed description of the experimental procedures adopted throughout this work is given in Chapter 3. The biological and analytical reproducibility of the metabolic profile of MG-63 cells by high resolution magic angle spinning (HRMAS) NMR is evaluated in Chapter 4. The metabolic impact of several factors (cellular integrity, spinning rate, temperature, time and acquisition parameters) on the 1H HRMAS NMR spectral profile and quality is analysed, enabling the definition of the best acquisition parameters for further experiments. The metabolic consequences of increasing number of passages in MG-63 cells as well as the duration of storage are also investigated. Chapter 5 describes the metabolic impact of drugs conventionally used in OS chemotherapy, through NMR metabolomics studies of lysed cells and aqueous extracts analysis. The results show that MG-63 cells treated with cisplatin (cDDP) undergo a strong up-regulation of lipid contents, alterations in phospholipid constituents (choline compounds) and biomarkers of DNA degradation, all associated with cell death by apoptosis. Cells exposed to doxorubicin (DOX) or methotrexate (MTX) showed much slighter metabolic changes, without any relevant alteration in lipid contents. However, metabolic changes associated with altered Krebs cycle, oxidative stress and nucleotides metabolism were detected and were tentatively interpreted at the light of the known mechanisms of action of these drugs. The metabolic impact of the exposure of MG-63 cells and osteoblasts to cDDP and the Pd2Spm complex is described in Chapter 6. Results show that, despite the ability of the two agents to bind DNA, the metabolic consequences that arise from exposure to them are distinct, namely in what concerns to variation in lipid contents (absent for Pd2Spm). Apoptosis detection assays showed that, differently from what was seen for MG-63 cells treated with cDDP, the decreased number of living cells upon exposure to Pd2Spm was not due to cell death by apoptosis or necrosis. Moreover, the latter agent induces more marked alterations in osteoblasts than in cancer cells, while the opposite seemed to occur upon cDDP exposure. Nevertheless, the results from MG-63 cells exposure to combination regimens with cDDP- or Pd2Spm-based cocktails, described in Chapter 7, revealed that, in combination, the two agents induce similar metabolic responses, arising from synergy mechanisms between the tested drugs. Finally, the main conclusions of this thesis are summarized in Chapter 8, and future perspectives in the light of this work are presented.

Development of a sustainable method for the extraction of lycopene and β-carotene from food wastes

The main objective of the present work is the study of a profitable process not only in the extraction and selective separation of lycopene and β-carotene, two compounds present in tomato, but also in its potential application to food industry wastes. This is one of the industries that produce larger amounts of wastes, which are rich in high value biomolecules with great economic interest. However, the conventional methods used to extract this kind of compounds are expensive which limits their application at large scale. Lycopene and βcarotene are carotenoids with high commercial value, known for their antioxidant activity and benefits to human health. Their biggest source is tomato, one of the world’s most consumed fruits, reason for which large quantities of waste is produced. This work focuses on the study of diverse solvents with a high potential to extract carotenoids from tomato, as well as the search for more environmentally benign solvents than those currently used to extract lycopene and β-carotene from biomass. Additionally, special attention was paid to the creation of a continuous process that would allow the fractionation of the compounds for further purification. Thus, the present work started with the extraction of both carotenoids using a wide range of solvents, namely, organic solvents, conventional salts, ionic liquids, polymers and surfactants. In this stage, each solvent was evaluated in what regards their capacity of extraction as well as their penetration ability in biomass. The results collected showed that an adequate selection of the solvents may lead to the complete extraction of both carotenoids in one single step, particularly acetone and tetrahydrofuran were the most effective ones. However, the general low penetration capacity of salts, ionic liquids, polymers and surfactants makes these solvents ineffective in the solid-liquid extraction process. As the organic solvents showed the highest capacity to extract lycopene and βcarotene, in particular tetrahydrofuran and acetone, the latter solvent used in the development process of fractionation, using to this by strategic use of solvents. This step was only successfully developed through the manipulation of the solubility of each compound in ethanol and n-hexane. The results confirmed the possibility of fractionating the target compounds using the correct addition order of the solvents. Approximately, 39 % of the β-carotene was dissolved in ethanol and about 64 % of lycopene was dissolved in n-hexane, thus indicating their separation for two different solvents which shows the selective character of the developed process without any prior stage optimization. This study revealed that the use of organic solvents leads to selective extraction of lycopene and β-carotene, allowing diminishing the numerous stages involved in conventional methods. At the end, it was possible to idealize a sustainable and of high industrial relevance integrated process, nevertheless existing the need for additional optimization studies in the future.