Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

Fluência e precisão da leitura: avaliação e desenvolvimento

Projeto de Intervenção apresentado à Escola Superior de Educação de Lisboa para obtenção do grau de Mestre em Didática da Língua Portuguesa no 1.º e 2.º Ciclo do Ensino Básico

Real-time rheology of actively growing bacteria

The population growth of a Staphylococcus aureus culture, an active colloidal system of spherical cells, was followed by rheological measurements, under steady-state and oscillatory shear flows. We observed a rich viscoelastic behavior as a consequence of the bacteria activity, namely, of their multiplication and density-dependent aggregation properties. In the early stages of growth (lag and exponential phases), the viscosity increases by about a factor of 20, presenting several drops and full recoveries. This allows us to evoke the existence of a percolation phenomenon. Remarkably, as the bacteria reach their late phase of development, in which the population stabilizes, the viscosity returns close to its initial value. Most probably, this is caused by a change in the bacteria physiological activity and in particular, by the decrease of their adhesion properties. The viscous and elastic moduli exhibit power-law behaviors compatible with the "soft glassy materials" model, whose exponents are dependent on the bacteria growth stage. DOI: 10.1103/PhysRevE.87.030701.

Public relations in part-time : full-time service: estratégia de comunicação para o lançamento de um novo modelo de negócio ds relações públicas em Portugal

O presente trabalho visa propor uma estratégia para a construção e lançamento de um novo modelo de negócio para a atuação das Relações Públicas em Portugal, numa proposta direcionada para as micro e pequenas empresas. Entre o serviço in house e a consultadoria clássica existe um espaço não coberto em Portugal: um serviço in house partilhado. Apresenta-se aqui este projeto de serviço de Relações Públicas para aqueles para quem é incomportável assumir nos seus quadros um Técnico de Comunicação.

Auditoria dos sistemas de informação das instituições financeiras

Mestrado em Contabilidade e Gestão das Instituições Financeiras

A importância do follow-up na auditoria interna em Portugal

Mestrado em Auditoria

Convective patterns under the Indo-Atlantic << box >>

Using fluid mechanics, we reinterpret the mantle images obtained from global and regional tomography together with geochemical, geological and paleomagnetic observations, and attempt to unravel the pattern of convection in the Indo-Atlantic "box" and its temporal evolution over the last 260 Myr. The << box >> presently contains a) a broad slow seismic anomaly at the CMB which has a shape similar to Pangea 250 Myr ago, and which divides into several branches higher in the lower mantle, b) a "superswell, centered on the western edge of South Africa, c) at least 6 "primary hotspots" with long tracks related to traps, and d) numerous smaller hotspots. In the last 260 Myr, this mantle box has undergone 10 trap events, 7 of them related to continental breakup. Several of these past events are spatially correlated with present-day seismic anomalies and/or upwellings. Laboratory experiments show that superswells, long-lived hotspot tracks and traps may represent three evolutionary stages of the same phenomenon, i.e. episodic destabilization of a hot, chemically heterogeneous thermal boundary layer, close to the bottom of the mantle. When scaled to the Earth's mantle, its recurrence time is on the order of 100-200 Myr. At any given time, the Indo-Atlantic box should contain 3 to 9 of these instabilities at different stages of their development, in agreement with observations. The return flow of the downwelling slabs, although confined to two main << boxes >> (Indo-Atlantic and Pacific) by subduction zone geometry, may therefore not be passive, but rather take the form of active thermochemical instabilities. (c) 2005 Elsevier B.V. All rights reserved.

A SON Enhanced Algorithm for Observed Time Differences Based Geolocation in Real 3G Networks

Conferência - 16th International Symposium on Wireless Personal Multimedia Communications (WPMC)- Jun 24-27, 2013

The organ verses of Frei Jerónimo da Madre de Deus: Portuguese organ music in the time of D. João V

Contrastando com o importante legado dos mestres organistas portugueses dos séculos XVI e XVII, a música portuguesa para órgão pós-1700 parece quase inexistente (excluindo raros exemplos, como as quatro sonatas para órgão de Carlos Seixas). Seja devido à destruição causada pelo grande terramoto de Lisboa em 1755, ou a outras causas, a ausência de fontes é surpreendente, considerando os testemunhos de actividade musical durante aquele período. Este artigo lida com uma fonte até hoje relativamente ignorada: o manuscrito CLI/1-4 nº 7 da Biblioteca do Palácio Ducal de Vila Viçosa (Versos / Sobre o Canto Chão / Para Orgão / De Fr. Jeronimo da M.dre de DS.). Esta colecção de vinte versos para órgão de Jerónimo da Madre de Deus é, de longe, a maior obra portuguesa para órgão da primeira metade do século XVIII até hoje conhecida. Claramente pensadas para o órgão, estas curtas peças testemunham a transformação da escrita para tecla em Portugal durante o reinado de D. João V (nomeadamente através da absorção de influências italianas) e fornecem informações preciosas sobre o tipo de instrumento em que eram tocadas.

ECG-based biometrics: A real time classification approach

Behavioral biometrics is one of the areas with growing interest within the biosignal research community. A recent trend in the field is ECG-based biometrics, where electrocardiographic (ECG) signals are used as input to the biometric system. Previous work has shown this to be a promising trait, with the potential to serve as a good complement to other existing, and already more established modalities, due to its intrinsic characteristics. In this paper, we propose a system for ECG biometrics centered on signals acquired at the subject's hand. Our work is based on a previously developed custom, non-intrusive sensing apparatus for data acquisition at the hands, and involved the pre-processing of the ECG signals, and evaluation of two classification approaches targeted at real-time or near real-time applications. Preliminary results show that this system leads to competitive results both for authentication and identification, and further validate the potential of ECG signals as a complementary modality in the toolbox of the biometric system designer.

Trigger tool num serviço de medicina: uma ferramenta para a melhoria da segurança do doente

Mestrado em Gestão e Avaliação de Tecnologias em Saúde

O impacto do patrocínio na atitude e intenção de compra dos consumidores: estudo do caso do patrocínio do Festival NOS Alive

Dissertação apresentada à Escola Superior de Comunicação Social como parte dos requisitos para obtenção de grau de mestre em Publicidade e Marketing.

Juggling time concepts: complex metanarrative in Alejandro González Iñárritu’s 21 Grams

ABSTRACT - Starting with the explanation of metanarrative as a sort of self-reflexive storytelling (as defended by Kenneth Weaver Hope in his unpublished PhD. thesis), I propose to talk about enunciative practices that stress the telling more than the told. In line with some metaficcional practices applied to cinema, such as the ‘mindfuck’ film (Jonathan Eig, 2003), the ‘psychological puzzle film’ (Elliot Panek, 2003) and the ‘mind-game film’ (Thomas Elsaesser, 2009), I will address the manipulations that a narrative film endures in order to produce a more fruitful and complex experience for the viewer. I will particularly concentrate on the misrepresentation of time as a way to produce a labyrinthine work of fiction where the linear description of events is replaced by a game of time disclosure. The viewer is thus called upon to reconstruct the order of the various situations portrayed in a process that I call ‘temporal mapping’. However, as the viewer attempts to do this, the film, ironically, because of the intricate nature of the plot and the uncertain status of the characters, resists the attempt. There is a sort of teasing taking place between the film and its spectator: an invitation of decoding that is half-denied until the end, where the puzzle is finally solved. I will use three of Alejandro Iñárritu’s films to better convey my point: Amores perros (2000), 21 Grams (2003) and Babel (2006). I will consider Iñárritu’s methods to produce a non-linear storytelling as a way to stress the importance of time and its validity as one of the elements that make up for a metanarrative experience in films. I will focus especially on 21 Grams, which I consider to be a paragon of the labyrinth.

System-on-chip field-programmable gate array design for onboard real-time hyperspectral unmixing

Hyperspectral instruments have been incorporated in satellite missions, providing large amounts of data of high spectral resolution of the Earth surface. This data can be used in remote sensing applications that often require a real-time or near-real-time response. To avoid delays between hyperspectral image acquisition and its interpretation, the last usually done on a ground station, onboard systems have emerged to process data, reducing the volume of information to transfer from the satellite to the ground station. For this purpose, compact reconfigurable hardware modules, such as field-programmable gate arrays (FPGAs), are widely used. This paper proposes an FPGA-based architecture for hyperspectral unmixing. This method based on the vertex component analysis (VCA) and it works without a dimensionality reduction preprocessing step. The architecture has been designed for a low-cost Xilinx Zynq board with a Zynq-7020 system-on-chip FPGA-based on the Artix-7 FPGA programmable logic and tested using real hyperspectral data. Experimental results indicate that the proposed implementation can achieve real-time processing, while maintaining the methods accuracy, which indicate the potential of the proposed platform to implement high-performance, low-cost embedded systems, opening perspectives for onboard hyperspectral image processing.

Unmixing hyperspectral data: independent and dependent component analysis

The development of high spatial resolution airborne and spaceborne sensors has improved the capability of ground-based data collection in the fields of agriculture, geography, geology, mineral identification, detection [2, 3], and classification [4–8]. The signal read by the sensor from a given spatial element of resolution and at a given spectral band is a mixing of components originated by the constituent substances, termed endmembers, located at that element of resolution. This chapter addresses hyperspectral unmixing, which is the decomposition of the pixel spectra into a collection of constituent spectra, or spectral signatures, and their corresponding fractional abundances indicating the proportion of each endmember present in the pixel [9, 10]. Depending on the mixing scales at each pixel, the observed mixture is either linear or nonlinear [11, 12]. The linear mixing model holds when the mixing scale is macroscopic [13]. The nonlinear model holds when the mixing scale is microscopic (i.e., intimate mixtures) [14, 15]. The linear model assumes negligible interaction among distinct endmembers [16, 17]. The nonlinear model assumes that incident solar radiation is scattered by the scene through multiple bounces involving several endmembers [18]. Under the linear mixing model and assuming that the number of endmembers and their spectral signatures are known, hyperspectral unmixing is a linear problem, which can be addressed, for example, under the maximum likelihood setup [19], the constrained least-squares approach [20], the spectral signature matching [21], the spectral angle mapper [22], and the subspace projection methods [20, 23, 24]. Orthogonal subspace projection [23] reduces the data dimensionality, suppresses undesired spectral signatures, and detects the presence of a spectral signature of interest. The basic concept is to project each pixel onto a subspace that is orthogonal to the undesired signatures. As shown in Settle [19], the orthogonal subspace projection technique is equivalent to the maximum likelihood estimator. This projection technique was extended by three unconstrained least-squares approaches [24] (signature space orthogonal projection, oblique subspace projection, target signature space orthogonal projection). Other works using maximum a posteriori probability (MAP) framework [25] and projection pursuit [26, 27] have also been applied to hyperspectral data. In most cases the number of endmembers and their signatures are not known. Independent component analysis (ICA) is an unsupervised source separation process that has been applied with success to blind source separation, to feature extraction, and to unsupervised recognition [28, 29]. ICA consists in finding a linear decomposition of observed data yielding statistically independent components. Given that hyperspectral data are, in given circumstances, linear mixtures, ICA comes to mind as a possible tool to unmix this class of data. In fact, the application of ICA to hyperspectral data has been proposed in reference 30, where endmember signatures are treated as sources and the mixing matrix is composed by the abundance fractions, and in references 9, 25, and 31–38, where sources are the abundance fractions of each endmember. In the first approach, we face two problems: (1) The number of samples are limited to the number of channels and (2) the process of pixel selection, playing the role of mixed sources, is not straightforward. In the second approach, ICA is based on the assumption of mutually independent sources, which is not the case of hyperspectral data, since the sum of the abundance fractions is constant, implying dependence among abundances. This dependence compromises ICA applicability to hyperspectral images. In addition, hyperspectral data are immersed in noise, which degrades the ICA performance. IFA [39] was introduced as a method for recovering independent hidden sources from their observed noisy mixtures. IFA implements two steps. First, source densities and noise covariance are estimated from the observed data by maximum likelihood. Second, sources are reconstructed by an optimal nonlinear estimator. Although IFA is a well-suited technique to unmix independent sources under noisy observations, the dependence among abundance fractions in hyperspectral imagery compromises, as in the ICA case, the IFA performance. Considering the linear mixing model, hyperspectral observations are in a simplex whose vertices correspond to the endmembers. Several approaches [40–43] have exploited this geometric feature of hyperspectral mixtures [42]. Minimum volume transform (MVT) algorithm [43] determines the simplex of minimum volume containing the data. The MVT-type approaches are complex from the computational point of view. Usually, these algorithms first find the convex hull defined by the observed data and then fit a minimum volume simplex to it. Aiming at a lower computational complexity, some algorithms such as the vertex component analysis (VCA) [44], the pixel purity index (PPI) [42], and the N-FINDR [45] still find the minimum volume simplex containing the data cloud, but they assume the presence in the data of at least one pure pixel of each endmember. This is a strong requisite that may not hold in some data sets. In any case, these algorithms find the set of most pure pixels in the data. Hyperspectral sensors collects spatial images over many narrow contiguous bands, yielding large amounts of data. For this reason, very often, the processing of hyperspectral data, included unmixing, is preceded by a dimensionality reduction step to reduce computational complexity and to improve the signal-to-noise ratio (SNR). Principal component analysis (PCA) [46], maximum noise fraction (MNF) [47], and singular value decomposition (SVD) [48] are three well-known projection techniques widely used in remote sensing in general and in unmixing in particular. The newly introduced method [49] exploits the structure of hyperspectral mixtures, namely the fact that spectral vectors are nonnegative. The computational complexity associated with these techniques is an obstacle to real-time implementations. To overcome this problem, band selection [50] and non-statistical [51] algorithms have been introduced. This chapter addresses hyperspectral data source dependence and its impact on ICA and IFA performances. The study consider simulated and real data and is based on mutual information minimization. Hyperspectral observations are described by a generative model. This model takes into account the degradation mechanisms normally found in hyperspectral applications—namely, signature variability [52–54], abundance constraints, topography modulation, and system noise. The computation of mutual information is based on fitting mixtures of Gaussians (MOG) to data. The MOG parameters (number of components, means, covariances, and weights) are inferred using the minimum description length (MDL) based algorithm [55]. We study the behavior of the mutual information as a function of the unmixing matrix. The conclusion is that the unmixing matrix minimizing the mutual information might be very far from the true one. Nevertheless, some abundance fractions might be well separated, mainly in the presence of strong signature variability, a large number of endmembers, and high SNR. We end this chapter by sketching a new methodology to blindly unmix hyperspectral data, where abundance fractions are modeled as a mixture of Dirichlet sources. This model enforces positivity and constant sum sources (full additivity) constraints. The mixing matrix is inferred by an expectation-maximization (EM)-type algorithm. This approach is in the vein of references 39 and 56, replacing independent sources represented by MOG with mixture of Dirichlet sources. Compared with the geometric-based approaches, the advantage of this model is that there is no need to have pure pixels in the observations. The chapter is organized as follows. Section 6.2 presents a spectral radiance model and formulates the spectral unmixing as a linear problem accounting for abundance constraints, signature variability, topography modulation, and system noise. Section 6.3 presents a brief resume of ICA and IFA algorithms. Section 6.4 illustrates the performance of IFA and of some well-known ICA algorithms with experimental data. Section 6.5 studies the ICA and IFA limitations in unmixing hyperspectral data. Section 6.6 presents results of ICA based on real data. Section 6.7 describes the new blind unmixing scheme and some illustrative examples. Section 6.8 concludes with some remarks.