Model risk in the pricing of exotic options

The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Variance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework.

Strange matter in the universe

The strange quark matter hypothesis is one of the most exciting speculations of the XX Century Physics. If this hypothesis is correct, the ground state of the matter would be the strange matter, which could form the core of compact objects like neutron stars or even more exotic objects like quarks stars. Due to the high-density and low-temperature regime in these stars, the interaction between quarks through gluon exchange could favor the appearance of a color superconducting state, significantl modifying the equation of state of the system. In this paper we present a general overview of this Subject, taking also into account the effect of strong magnetic field in the quark stars.

SU(5) x SU(5) unification revisited

The idea of grand unification in a minimal supersymmetric SU(5) x SU(5) framework is revisited. It is shown that the unification of gauge couplings into a unique coupling constant can be achieved at a high-energy scale compatible with proton decay constraints. This requires the addition of minimal particle content at intermediate energy scales. In particular, the introduction of the SU(2)(L) triplets belonging to the (15, 1)+((15) over bar, 1) representations, as well as of the scalar triplet Sigma(3) and octet Sigma(8) in the (24, 1) representation, turns out to be crucial for unification. The masses of these intermediate particles can vary over a wide range, and even lie in the TeV region. In contrast, the exotic vector-like fermions must be heavy enough and have masses above 10(10) GeV. We also show that, if the SU(5) x SU(5) theory is embedded into a heterotic string scenario, it is not possible to achieve gauge coupling unification with gravity at the perturbative string scale.

A comprehensive approach to evaluate nutritional status in Crohn's patients in the era of biologic therapy: a case-control study

Objectives - Evaluate the nutritional status of patients with inactive or mildly active Crohn's disease (CD), and identify possible causes for potential deficiencies. Methods - A total of 78 CD patients and 80 healthy controls were evaluated in respect of nutritional status, dietary intake, and life styles factors. Results - These 73/78 CD patients were on immunomodulating therapies. Mean body mass index (BMI) was lower in patients as compared to controls (P= 0.006) but 32% of CD patients and 33.8% of controls had a BMI > 25, whereas 8% and 23.8% in each group, respectively, were obese (BMI > 30Kg/m(2)). Fat free mass was significantly decreased in both genders (P < 0.05) whereas fat mass was decreased only in males (P= 0.01). Energy intake was significantly lower in CD patients (P < 0.0001) and we observed significantly lower adjusted mean daily intakes of carbohydrates, monounsaturated fat, fiber, calcium, and vitamins C, D, E, and K (P < 0.05). 29% of patients had excluded grains from their usual diet, 28% milk, 18% vegetables, and 11% fruits. Milk exclusion resulted in a significantly lower consumption of calcium and vitamin K (P < 0.001) and the exclusion of vegetables was associated to a lower consumption of vitamins C and E (P < 0.05). Physical activity was significantly lower in CD patients (P= 0.01) and this lack of physical activity was inversely correlated with increased fat mass percentage (r=-0.315, P= 0.001). Conclusions - Results showed that the most prevalent form of malnutrition in CD patients was an excess of body weight, which was concomitant with an inadequate dietary intake, namely micronutrients, clearly related to dietary exclusion of certain foods.

Sobrevivência: jogo interactivo para estudo de arquitecturas de agentes autónomos

Trabalho de projeto para obtenção do grau de Mestre em Engenharia Informática e de Computadores