28 resultados para implied volatility smile


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The purpose of this paper is to propose a multiobjective optimization approach for solving the manufacturing cell formation problem, explicitly considering the performance of this said manufacturing system. Cells are formed so as to simultaneously minimize three conflicting objectives, namely, the level of the work-in-process, the intercell moves and the total machinery investment. A genetic algorithm performs a search in the design space, in order to approximate to the Pareto optimal set. The values of the objectives for each candidate solution in a population are assigned by running a discrete-event simulation, in which the model is automatically generated according to the number of machines and their distribution among cells implied by a particular solution. The potential of this approach is evaluated via its application to an illustrative example, and a case from the relevant literature. The obtained results are analyzed and reviewed. Therefore, it is concluded that this approach is capable of generating a set of alternative manufacturing cell configurations considering the optimization of multiple performance measures, greatly improving the decision making process involved in planning and designing cellular systems. (C) 2010 Elsevier Ltd. All rights reserved.

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The theoretical and experimental open-circuit voltage optimizations of a simple fabrication process of silicon solar cells n(+)p with rear passivation are presented. The theoretical results were obtained by using an in-house developed program, including the light trapping effect and metal-grid optimization. On the other hand, the experimental steps were monitored by the photoconductive decay technique. The starting materials presented thickness of about 300 pm and resistivities: FZ (0.5 Omega cm), Cz-type 1 (2.5 Omega cm) and Cz-type 2 (3.3 Omega cm). The Gaussian profile emitters were optimized with sheet resistance between 55 Omega/sq and 100 Omega/sq, and approximately 2.0 mu m thickness in accordance to the theoretical results. Excellent implied open-circuit voltages of 670.8 mV, 652.5 mV and 662.6 mV, for FZ, Cz-type 1 and Cz-type 2 silicon wafers, respectively, could be associated to the measured lifetimes that represents solar cell efficiency up to 20% if a low cost anti-reflection coating system, composed by random pyramids and SiO(2) layer, is considered even for typical Cz silicon. (C) 2009 Elsevier Ltd. All rights reserved.

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Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

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A new approach to electrochromics, based on the reversible coating-dissolution of an oxide from an inorganic electrochromic electrolyte consisting of a silver-amine complex in a polymer electrolyte (PEO), has proven successful. The reversible electrodeposition of silver onto indium-tin oxide coated glass (ITO) was investigated and the influence of HClO(4) and KI was evaluated. Several characteristics of the electrolyte Ag-PEO make it suitable for use in electrochromic reversible silver electrodeposition devices, such as visible absorption spectrum with an absorbance variation of 60%, an electrochromic efficiency of 5.2 cm(2) C(-1) and an ionic conductivity 4.4 x 10(-4) S cm(-1). The addition of perchloric acid improved the transparency of Ag-PEO, and potassium iodide (KI) was fundamental in setting up the process of reversible silver electrodeposition in the PEO polymeric matrix. A description of the electrochemical processes implied is presented. A number of approaches focusing on the improvement of system performance are tested. (C) 2009 Elsevier Ltd. All rights reserved.

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Using data from a logging experiment in the eastern Brazilian Amazon region, we develop a matrix growth and yield model that captures the dynamic effects of harvest system choice on forest structure and composition. Multinomial logistic regression is used to estimate the growth transition parameters for a 10-year time step, while a Poisson regression model is used to estimate recruitment parameters. The model is designed to be easily integrated with an economic model of decisionmaking to perform tropical forest policy analysis. The model is used to compare the long-run structure and composition of a stand arising from the choice of implementing either conventional logging techniques or more carefully planned and executed reduced-impact logging (RIL) techniques, contrasted against a baseline projection of an unlogged forest. Results from log and leave scenarios show that a stand logged according to Brazilian management requirements will require well over 120 years to recover its initial commercial volume, regardless of logging technique employed. Implementing RIL, however, accelerates this recovery. Scenarios imposing a 40-year cutting cycle raise the possibility of sustainable harvest volumes, although at significantly lower levels than is implied by current regulations. Meeting current Brazilian forest policy goals may require an increase in the planned total area of permanent production forest or the widespread adoption of silvicultural practices that increase stand recovery and volume accumulation rates after RIL harvests. Published by Elsevier B.V.

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The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

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The purpose of this paper is to analyze the dynamics of national saving-investment relationship in order to determine the degree of capital mobility in 12 Latin American countries. The analytically relevant correlation is the short-term one, defined as that between changes in saving and investment. Of special interest is the speed at which variables return to the long run equilibrium relationship, which is interpreted as being negatively related to the degree of capital mobility. The long run correlation, in turn, captures the coefficient implied by the solvency constraint. We find that heterogeneity and cross-section dependence completely change the estimation of the long run coefficient. Besides we obtain a more precise short run coefficient estimate compared to the existent estimates in the literature. There is evidence of an intermediate degree of capital mobility, and the coefficients are extremely stable over time.

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In a recent thought-provoking paper, Ball and Sheridan [Ball, L., Sheridan, N., 2005. Does inflation targeting matter? In: Bernanke, B.S., Woodford, M. (Eds.), The Inflation-Targeting Debate, University of Chicago Press] show that the available evidence for a group of developed economies does not lend credence to the belief that adopting an inflation targeting regime (IT) was instrumental in bringing inflation and inflation volatility down. Here, we extend Ball and Sheridan`s analysis for a subset of 36 emerging market economies and find that, for them, the story is quite different. Compared to non-targeters, developing countries adopting the IT regime not only experienced greater drops in inflation, but also in growth volatility, thus corroborating the view that the regime`s ""constrained flexibility"" to deal with adverse shocks delivered concrete welfare gains. (c) 2006 Elsevier B.V. All rights reserved.

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Tipulomorpha (craneflies) comprise one of the largest subgroups of Diptera, but its phylogeny at different levels has been poorly explored. This study presents the most comprehensive cladistic analysis of the group ever made, with emphasis on the genera and subgenera of the subfamily Limnophilinae (Limoniidae), assumed to include some of the earliest lineages of Tipulomorpha sensu stricto and therefore important for the understanding of the early patterns in the evolution of the craneflies. Eighty-eight characters of the male imago were scored for 104 exemplar species. The most parsimonious trees were searched using implied weighting, in the framework of a sensitivity analysis with different values of k (2 to 6). The dataset based on the characters of adult male morphology showed high levels of homoplasy and yielded very incongruent and unstable phylogenetic results, which are very sensitive to changes in analytical parameters. In the preferred and most parsimonious phylogenetic hypothesis, the Pediciidae is the sister-group of all other Tipulomorpha sensu stricto. The results indicate the paraphyly of the Limoniidae with respect to the Cylindrotomidae and Tipulidae, which are considered sister-groups. The Limoniidae subfamilies Limnophilinae, Limoniinae and Chioneinae are considered non-monophyletic. The study allowed a reconstruction of the possible ground plan condition of selected features of the adult male morphology of craneflies. The genera/subgenera Epiphragma (Epiphragma), Acantholimnophila, Shannonomyia, Limnophila (Arctolimnophila), Eloeophila, Conosia, Polymera, Polymera (Polymerodes), Prionolabis, Eutonia, Phylidorea (Phylidorea), Metalimnophila, Gynoplistia (Cerozodia), Gynoplistia (Dirhipis), Nothophila, Pseudolimnophila (Pseudolimnophila), Pilaria and Ulomorpha are considered monophyletic, but in general are defined by combinations of very homoplastic character states. Two Temperate Gondwanan clades, (Tonnoirella + (Edwardsomyia + (Tinemyia + (Rhamphophila + (Nothophila))))) and ((Notholimnophila + Bergrothomyia) + (Mesolimnophila + (Chilelimnophila + Ctenolimnophila))) are recovered. The genera Limnophila, Neolimnomyia, Gynoplistia (sensu lato) and Hexatoma (sensu lato) are considered non-monophyletic. The systematic position and some morphological characters of `problematic` taxa, such as Dactylolabis, Elephantomyia, Helius and Atarba are discussed on the light of the proposed phylogeny and the analysis of the characters. Character states are richly illustrated. A detailed study of the morphology of the male genitalia is made, and several genera and species have the morphology of the male genitalia illustrated for the first time.

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Thirty-one patients with unilateral long-standing facial palsy underwent I-stage reanimation with free gracilis muscle transplant innervated by the masseteric branch of the trigeminal nerve. They were divided into 2 nonrandomized groups according to insertion technique: group 1 (9 patients), interrupted suture between the free flap and the orbicularis oris of the upper and lower lip on the paralyzed side; group It (22 patients), palmaris longus tendon graft placed between the gracilis free flap and the orbicularis oris of the upper and lower lip on the nonparalyzed side. Qualitative evaluation of the smile demonstrated better results in patients from group II. Comparing the position Of the Cupid`s bow at rest, pre- and postoperatively in each patient, we observed significant improvement of facial symmetry in both groups. During smile, however, there was a significantly higher rate of centralization of the Cupid`s bow in patients submitted to reanimation with the use of the palmaris longus tendon (group II).

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In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

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An anterior open occlusal relationship and diastemata may negatively interfere with the harmony of the smile, often requiring a multidisciplinary intervention. This clinical report presents an integrated orthodontic, periodontal, and restorative solution for an anterior open occlusal relationship associated with multiple diastemata and discusses the most relevant aspects related to Its etiology and treatment planning.

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Introduction: The maxillary anterior teeth are the most important to facial esthetics because they are the first to show on a smile. Therefore, stability of the maxillary anterior teeth alignment is an important issue. The objective of this study was to compare the stability of maxillary anterior tooth alignment in Class I and Class II Division 1 malocclusions. Methods: The sample comprised dental casts of 70 patients with Class I and Class II Division 1 malocclusions and a minimum of 3 mm of maxillary anterior crowding measured by an irregularity index. The patients were treated with extractions and evaluated at pretreatment and posttreatment and at least 5 years after treatment. The sample was divided into 3 groups: group 1, Class I malocclusion treated with 4 first premolar extractions comprising 30 subjects, with an initial age of 13.16 years and 8.59 mm of initial maxillary irregularity; group 2, Class II malocclusion treated with 4 first premolar extractions comprising 20 subjects, with an initial age of 12.95 years and 11.10 mm of maxillary irregularity; and group 3, Class II malocclusion treated with 2 first maxillary premolar extractions comprising 20 subjects, with an initial age of 13.09 years and 9.68 mm of maxillary irregularity. Results: The decrease in the maxillary irregularity index was significantly greater in group 2 than in group 1 during treatment. The stability of maxillary anterior alignment was 88.12% over the long term; 77% of the linear displacement of the anatomic contact points tended to return to their original positions. Conclusions: Stability of maxillary anterior alignment between the 3 groups was similar. The stability of maxillary anterior alignment was high over the long term, but a high percentage of teeth tended to return to their original positions. (Am J Orthod Dentofacial Orthop 2011; 139: 768-74)