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.

Volatile terpenoids and C13 norisoprenoids in wines: development of rapid methods of analysis and evaluation of the sesquiterpenoids biological potential

Vitis vinifera L., the most widely cultivated fruit crop in the world, was the starting point for the development of this PhD thesis. This subject was exploited following on two actual trends: i) the development of rapid, simple, and high sensitive methodologies with minimal sample handling; and ii) the valuation of natural products as a source of compounds with potential health benefits. The target group of compounds under study were the volatile terpenoids (mono and sesquiterpenoids) and C13 norisoprenoids, since they may present biological impact, either from the sensorial point of view, as regards to the wine aroma, or by the beneficial properties for the human health. Two novel methodologies for quantification of C13 norisoprenoids in wines were developed. The first methodology, a rapid method, was based on the headspace solid-phase microextraction combined with gas chromatography-quadrupole mass spectrometry operating at selected ion monitoring mode (HS-SPME/GC-qMS-SIM), using GC conditions that allowed obtaining a C13 norisoprenoid volatile signature. It does not require any pre-treatment of the sample, and the C13 norisoprenoid composition of the wine was evaluated based on the chromatographic profile and specific m/z fragments, without complete chromatographic separation of its components. The second methodology, used as reference method, was based on the HS-SPME/GC-qMS-SIM, allowing the GC conditions for an adequate chromatographic resolution of wine components. For quantification purposes, external calibration curves were constructed with β-ionone, with regression coefficient (r2) of 0.9968 (RSD 12.51 %) and 0.9940 (RSD of 1.08 %) for the rapid method and for the reference method, respectively. Low detection limits (1.57 and 1.10 μg L-1) were observed. These methodologies were applied to seventeen white and red table wines. Two vitispirane isomers (158-1529 L-1) and 1,1,6-trimethyl-1,2-dihydronaphthalene (TDN) (6.42-39.45 μg L-1) were quantified. The data obtained for vitispirane isomers and TDN using the two methods were highly correlated (r2 of 0.9756 and 0.9630, respectively). A rapid methodology for the establishment of the varietal volatile profile of Vitis vinifera L. cv. 'Fernão-Pires' (FP) white wines by headspace solid-phase microextraction combined with comprehensive two-dimensional gas chromatography with time-of-flight mass spectrometry (HS-SPME/GCxGC-TOFMS) was developed. Monovarietal wines from different harvests, Appellations, and producers were analysed. The study was focused on the volatiles that seem to be significant to the varietal character, such as mono and sesquiterpenic compounds, and C13 norisoprenoids. Two-dimensional chromatographic spaces containing the varietal compounds using the m/z fragments 93, 121, 161, 175 and 204 were established as follows: 1tR = 255-575 s, 2tR = 0,424-1,840 s, for monoterpenoids, 1tR = 555-685 s, 2tR = 0,528-0,856 s, for C13 norisoprenoids, and 1tR = 695-950 s, 2tR = 0,520-0,960 s, for sesquiterpenic compounds. For the three chemical groups under study, from a total of 170 compounds, 45 were determined in all wines, allowing defining the "varietal volatile profile" of FP wine. Among these compounds, 15 were detected for the first time in FP wines. This study proposes a HS-SPME/GCxGC-TOFMS based methodology combined with classification-reference sample to be used for rapid assessment of varietal volatile profile of wines. This approach is very useful to eliminate the majority of the non-terpenic and non-C13 norisoprenic compounds, allowing the definition of a two-dimensional chromatographic space containing these compounds, simplifying the data compared to the original data, and reducing the time of analysis. The presence of sesquiterpenic compounds in Vitis vinifera L. related products, to which are assigned several biological properties, prompted us to investigate the antioxidant, antiproliferative and hepatoprotective activities of some sesquiterpenic compounds. Firstly, the antiradical capacity of trans,trans-farnesol, cis-nerolidol, α-humulene and guaiazulene was evaluated using chemical (DPPH• and hydroxyl radicals) and biological (Caco-2 cells) models. Guaiazulene (IC50= 0.73 mM) was the sesquiterpene with higher scavenger capacity against DPPH•, while trans,trans-farnesol (IC50= 1.81 mM) and cis-nerolidol (IC50= 1.48 mM) were more active towards hydroxyl radicals. All compounds, with the exception of α-humulene, at non-cytotoxic levels (≤ 1 mM), were able to protect Caco-2 cells from oxidative stress induced by tert-butyl hydroperoxide. The activity of the compounds under study was also evaluated as antiproliferative agents. Guaiazulene and cis-nerolidol were able to more effectively arrest the cell cycle in the S-phase than trans,trans-farnesol and α-humulene, being the last almost inactive. The relative hepatoprotection effect of fifteen sesquiterpenic compounds, presenting different chemical structures and commonly found in plants and plant-derived foods and beverages, was assessed. Endogenous lipid peroxidation and induced lipid peroxidation with tert-butyl hydroperoxide were evaluated in liver homogenates from Wistar rats. With the exception of α-humulene, all the sesquiterpenic compounds under study (1 mM) were effective in reducing the malonaldehyde levels in both endogenous and induced lipid peroxidation up to 35% and 70%, respectively. The developed 3D-QSAR models, relating the hepatoprotection activity with molecular properties, showed good fit (R2LOO > 0.819) with good prediction power (Q2 > 0.950 and SDEP < 2%) for both models. A network of effects associated with structural and chemical features of sesquiterpenic compounds such as shape, branching, symmetry, and presence of electronegative fragments, can modulate the hepatoprotective activity observed for these compounds. In conclusion, this study allowed the development of rapid and in-depth methods for the assessment of varietal volatile compounds that might have a positive impact on sensorial and health attributes related to Vitis vinifera L. These approaches can be extended to the analysis of other related food matrices, including grapes and musts, among others. In addition, the results of in vitro assays open a perspective for the promising use of the sesquiterpenic compounds, with similar chemical structures such as those studied in the present work, as antioxidants, hepatoprotective and antiproliferative agents, which meets the current challenges related to diseases of modern civilization.

Multilayer optimization in radio resource allocation for the packet transmission in wireless networks

Na última década tem-se assistido a um crescimento exponencial das redes de comunicações sem fios, nomeadamente no que se refere a taxa de penetração do serviço prestado e na implementação de novas infra-estruturas em todo o globo. É ponto assente neste momento que esta tendência irá não só continuar como se fortalecer devido à convergência que é esperada entre as redes móveis sem fio e a disponibilização de serviços de banda larga para a rede Internet fixa, numa evolução para um paradigma de uma arquitectura integrada e baseada em serviços e aplicações IP. Por este motivo, as comunicações móveis sem fios irão ter um papel fundamental no desenvolvimento da sociedade de informação a médio e longo prazos. A estratégia seguida no projecto e implementação das redes móveis celulares da actual geração (2G e 3G) foi a da estratificação da sua arquitectura protocolar numa estrutura modular em camadas estanques, onde cada camada do modelo é responsável pela implementação de um conjunto de funcionalidades. Neste modelo a comunicação dá-se apenas entre camadas adjacentes através de primitivas de comunicação pré-estabelecidas. Este modelo de arquitectura resulta numa mais fácil implementação e introdução de novas funcionalidades na rede. Entretanto, o facto das camadas inferiores do modelo protocolar não utilizarem informação disponibilizada pelas camadas superiores, e vice-versa acarreta uma degradação no desempenho do sistema. Este paradigma é particularmente importante quando sistemas de antenas múltiplas são implementados (sistemas MIMO). Sistemas de antenas múltiplas introduzem um grau adicional de liberdade no que respeita a atribuição de recursos rádio: o domínio espacial. Contrariamente a atribuição de recursos no domínio do tempo e da frequência, no domínio espacial os recursos rádio mapeados no domínio espacial não podem ser assumidos como sendo completamente ortogonais, devido a interferência resultante do facto de vários terminais transmitirem no mesmo canal e/ou slots temporais mas em feixes espaciais diferentes. Sendo assim, a disponibilidade de informação relativa ao estado dos recursos rádio às camadas superiores do modelo protocolar é de fundamental importância na satisfação dos critérios de qualidade de serviço exigidos. Uma forma eficiente de gestão dos recursos rádio exige a implementação de algoritmos de agendamento de pacotes de baixo grau de complexidade, que definem os níveis de prioridade no acesso a esses recursos por base dos utilizadores com base na informação disponibilizada quer pelas camadas inferiores quer pelas camadas superiores do modelo. Este novo paradigma de comunicação, designado por cross-layer resulta na maximização da capacidade de transporte de dados por parte do canal rádio móvel, bem como a satisfação dos requisitos de qualidade de serviço derivados a partir da camada de aplicação do modelo. Na sua elaboração, procurou-se que o standard IEEE 802.16e, conhecido por Mobile WiMAX respeitasse as especificações associadas aos sistemas móveis celulares de quarta geração. A arquitectura escalonável, o baixo custo de implementação e as elevadas taxas de transmissão de dados resultam num processo de multiplexagem de dados e valores baixos no atraso decorrente da transmissão de pacotes, os quais são atributos fundamentais para a disponibilização de serviços de banda larga. Da mesma forma a comunicação orientada à comutação de pacotes, inenente na camada de acesso ao meio, é totalmente compatível com as exigências em termos da qualidade de serviço dessas aplicações. Sendo assim, o Mobile WiMAX parece satisfazer os requisitos exigentes das redes móveis de quarta geração. Nesta tese procede-se à investigação, projecto e implementação de algoritmos de encaminhamento de pacotes tendo em vista a eficiente gestão do conjunto de recursos rádio nos domínios do tempo, frequência e espacial das redes móveis celulares, tendo como caso prático as redes móveis celulares suportadas no standard IEEE802.16e. Os algoritmos propostos combinam métricas provenientes da camada física bem como os requisitos de qualidade de serviço das camadas superiores, de acordo com a arquitectura de redes baseadas no paradigma do cross-layer. O desempenho desses algoritmos é analisado a partir de simulações efectuadas por um simulador de sistema, numa plataforma que implementa as camadas física e de acesso ao meio do standard IEEE802.16e.

Study of oxidation and non-enzymatic glycosylation posttranslational modifications using a proteomic approach

A glicosilação não-enzimática e o stress oxidativo representam dois processos importantes visto desempenharem um papel importante no que respeita às complicações de vários processos patofisiológicos. No presente, a associação entre a glicosilação não-enzimática e a oxidação de proteínas é reconhecida como sendo um dos principais responsáveis pela acumulação de proteínas não-funcionais que, por sua vez, promove uma contínua sensibilização para um aumento do stress oxidativo ao nível celular. Embora esteja disponível bastante informação no que respeita aos dois processos e suas consequências ao nível estrutural e funcional, permanecem questões por esclarecer acerca do que se desenvolve ao nível molecular. Com o objectivo de contribuir para uma melhor compreensão da relação entre a glicosilação não-enzimática e a oxidação, proteínas modelo (albumina, insulina e histonas H2B e H1) foram submetidas a sistemas in vitro de glicosilação não-enzimática e oxidação em condições controladas e durante um período de tempo específico. A identificação dos locais de glicosilação e oxidação foi realizada através de uma abordagem proteómica, na qual após digestão enzimática se procedeu à análise por cromatografia líquida acoplada a espectrometria de massa tandem (MALDI-TOF/TOF). Esta abordagem permitiu a obtenção de elevadas taxas de cobertura das sequências proteicas, permitindo a identificação dos locais preferenciais de glicosilação e oxidação nas diferentes proteínas estudadas. Como esperado, os resíduos de lisina foram os preferencialmente glicosilados. No que respeita à oxidação, além das modificações envolvendo hidroxilações e adições de oxigénio, foram identificadas deamidações, carbamilações e conversões oxidativas específicas de vários aminoácidos. No geral, os resíduos mais afectados pela oxidação foram os resíduos de cisteína, metionina, triptofano, tirosina, prolina, lisina e fenilalanina. Ao longo do período de tempo estudado, os resultados indicaram que a oxidação teve início em zonas expostas da proteína e/ou localizadas na vizinhança de resíduos de cisteína e metionina, ao invés de exibir um comportamente aleatório, ocorrendo de uma forma nãolinear por sua vez dependente da estabilidade conformacional da proteína. O estudo ao longo do tempo mostrou igualmente que, no caso das proteínas préglicosiladas, a oxidação das mesmas ocorreu de forma mais rápida e acentuada, sugerindo que as alterações estruturais induzidas pela glicosilação promovem um estado pro-oxidativo. No caso das proteínas pré-glicosiladas e oxidadas, foi identificado um maior número de modificações oxidativas assim como de resíduos modificados na vizinhança de resíduos glicosilados. Com esta abordagem é realizada uma importante contribuição na investigação das consequências do dano ‘glico-oxidativo’ em proteínas ao nível molecular através da combinação da espectrometria de massa e da bioinformática.

Development of open models and tools for seismic risk assessment: application to Portugal

The exponential growth of the world population has led to an increase of settlements often located in areas prone to natural disasters, including earthquakes. Consequently, despite the important advances in the field of natural catastrophes modelling and risk mitigation actions, the overall human losses have continued to increase and unprecedented economic losses have been registered. In the research work presented herein, various areas of earthquake engineering and seismology are thoroughly investigated, and a case study application for mainland Portugal is performed. Seismic risk assessment is a critical link in the reduction of casualties and damages due to earthquakes. Recognition of this relation has led to a rapid rise in demand for accurate, reliable and flexible numerical tools and software. In the present work, an open-source platform for seismic hazard and risk assessment is developed. This software is capable of computing the distribution of losses or damage for an earthquake scenario (deterministic event-based) or earthquake losses due to all the possible seismic events that might occur within a region for a given interval of time (probabilistic event-based). This effort has been developed following an open and transparent philosophy and therefore, it is available to any individual or institution. The estimation of the seismic risk depends mainly on three components: seismic hazard, exposure and vulnerability. The latter component assumes special importance, as by intervening with appropriate retrofitting solutions, it may be possible to decrease directly the seismic risk. The employment of analytical methodologies is fundamental in the assessment of structural vulnerability, particularly in regions where post-earthquake building damage might not be available. Several common methodologies are investigated, and conclusions are yielded regarding the method that can provide an optimal balance between accuracy and computational effort. In addition, a simplified approach based on the displacement-based earthquake loss assessment (DBELA) is proposed, which allows for the rapid estimation of fragility curves, considering a wide spectrum of uncertainties. A novel vulnerability model for the reinforced concrete building stock in Portugal is proposed in this work, using statistical information collected from hundreds of real buildings. An analytical approach based on nonlinear time history analysis is adopted and the impact of a set of key parameters investigated, including the damage state criteria and the chosen intensity measure type. A comprehensive review of previous studies that contributed to the understanding of the seismic hazard and risk for Portugal is presented. An existing seismic source model was employed with recently proposed attenuation models to calculate probabilistic seismic hazard throughout the territory. The latter results are combined with information from the 2011 Building Census and the aforementioned vulnerability model to estimate economic loss maps for a return period of 475 years. These losses are disaggregated across the different building typologies and conclusions are yielded regarding the type of construction more vulnerable to seismic activity.