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.

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.

Pricing intraday dynamics across EUAS and CERS markets

The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader.

Fast optimum-predictive control and capacitor voltage balancing strategy for bipolar back-to-back NPC converters in high-voltage direct current transmission systems

Multilevel power converters have been introduced as the solution for high-power high-voltage switching applications where they have well-known advantages. Recently, full back-to-back connected multilevel neutral point diode clamped converters (NPC converter) have been used inhigh-voltage direct current (HVDC) transmission systems. Bipolar-connected back-to-back NPC converters have advantages in long-distance HVDCtransmission systems over the full back-to-back connection, but greater difficulty to balance the dc capacitor voltage divider on both sending and receiving end NPC converters. This study shows that power flow control and dc capacitor voltage balancing are feasible using fast optimum-predictive-based controllers in HVDC systems using bipolar back-to-back-connected five-level NPC multilevel converters. For both converter sides, the control strategytakes in account active and reactive power, which establishes ac grid currents in both ends, and guarantees the balancing of dc bus capacitor voltages inboth NPC converters. Additionally, the semiconductor switching frequency is minimised to reduce switching losses. The performance and robustness of the new fast predictive control strategy, and its capability to solve the DC capacitor voltage balancing problem of bipolar-connected back-to-back NPCconverters are evaluated.

HVDC transmission systems: Bipolar back-to-back diode clamped multilevel converter with fastoptimum-predictive control and capacitor balancing strategy

Voltage source multilevel power converter structures are being considered for high power high voltage applications where they have well known advantages. Recently, full back-to-back connected multilevel neutral diode clamped converters (NPC) have been used in high voltage direct current (HVDC) transmission systems. Bipolar back-to-back connection of NPCs have advantages in long distance HVDC transmission systems, but highly increased difficulties to balance the dc capacitor voltage dividers on both sending and receiving end NPCs. This paper proposes a fast optimum-predictive controller to balance the dc capacitor voltages and to control the power flow in a long distance HVDCsystem using bipolar back-to-back connected NPCs. For both converter sides, the control strategy considers active and reactive power to establish ac grid currents on sending and receiving ends, while guaranteeing the balancing of both NPC dc bus capacitor voltages. Furthermore, the fast predictivecontroller minimizes the semiconductor switching frequency to reduce global switching losses. The performance and robustness of the new fast predictive control strategy and the associated dc capacitors voltage balancing are evaluated. (C) 2011 Elsevier B.V. All rights reserved.

The hospital survey on patient safety culture in Portuguese hospitals: instrument validity and reliability

Purpose – Quantitative instruments to assess patient safety culture have been developed recently and a few review articles have been published. Measuring safety culture enables healthcare managers and staff to improve safety behaviours and outcomes for patients and staff. The study aims to determine the AHRQ Hospital Survey on Patient Safety Culture (HSPSC) Portuguese version's validity and reliability. Design/methodology/approach – A missing-value analysis and item analysis was performed to identify problematic items. Reliability analysis, inter-item correlations and inter-scale correlations were done to check internal consistency, composite scores. Inter-correlations were examined to assess construct validity. A confirmatory factor analysis was performed to investigate the observed data's fit to the dimensional structure proposed in the AHRQ HSPSC Portuguese version. To analyse differences between hospitals concerning composites scores, an ANOVA analysis and multiple comparisons were done. Findings – Eight of 12 dimensions had Cronbach's alphas higher than 0.7. The instrument as a whole achieved a high Cronbach's alpha (0.91). Inter-correlations showed that there is no dimension with redundant items, however dimension 10 increased its internal consistency when one item is removed. Originality/value – This study is the first to evaluate an American patient safety culture survey using Portuguese data. The survey has satisfactory reliability and construct validity.

Teatro no currículo: avaliar o quê e para quê?

Nalgumas áreas curriculares disciplinares, como o Teatro, as aprendizagens e as competências não se adquirem nem desenvolvem, em geral, de acordo com a díade de estratégias que os professores parecem privilegiar, isto é: transmissão do conhecimento e, pouco depois, confirmação – na maioria das vezes através da modalidade de escrita – da aprendizagem desse conhecimento pelos alunos. Note-se, porém, que, mesmo naquelas áreas que os responsáveis políticos distinguem com um “exame nacional”, como o Português, nem todas as aprendizagens promovidas e realizadas são testáveis numa prova escrita e no imediato (como, a título de exemplo, as que se inscrevem nos domínios da comunicação oral e da leitura em voz alta, também amplamente abordadas em Teatro). Às áreas da educação artística, e do Teatro em particular, os professores associam essencialmente – ou exclusivamente – a criatividade, a imaginação e a expressividade. Sendo, embora, competências potencialmente desenvolvidas e avaliadas também nas áreas da educação artística, não são um exclusivo destas áreas. Cada área curricular disciplinar do âmbito da educação artística – e o Teatro não é exceção – assenta numa específica linguagem artística, que integra conteúdos, estratégias, atividades, recursos, técnicas, conceitos e terminologias próprios, que as crianças, com vista ao seu desenvolvimento completo e harmonioso, têm o direito de aprender e desenvolver. Daqui decorrem algumas questões: O que – e como – avaliar nas áreas da educação artística, em particular no Teatro? Que princípios poderão estar inerentes a um dispositivo de avaliação em Teatro, em contexto curricular? Terão as modalidades de avaliação não escrita estatuto de fiabilidade? O binómio teatro/currículo encerra um paradoxo a que pretendemos dar atenção: embora nem sempre abordado com regularidade e seguindo uma lógica dedesenvolvimento curricular, o Teatro constitui, apesar disso, uma das estratégias privilegiadas pelos professores de participação em projetos e iniciativas formais, na maior parte das vezes de cariz pontual (como momentos festivos ou de apresentação à comunidade), em que os alunos são sujeitos ao juízo avaliativo dos públicos. Partindo dos princípios de que (i) em contexto curricular cada atividade tem uma intencionalidade e que (ii) a “educação” artística não visa a identificação ou a valorização de “talentos”, pretendemos defender a seguinte ideia: Só depois de estabelecermos inequivocamente os objetivos da nossa ação educativa-pedagógica e, por conseguinte, uma estratégia de avaliação, é que podemos definir um percurso com sentido. Esta comunicação de natureza teórica, cuja base reflexiva decorre de mais de vinte anos de intervenção em contextos escolares, tanto do ensino básico como de formação de professores, tentará formular questões e problematizar algumas linhas de pensamento, mais do que encontrar respostas, no sentido de suscitar, principalmente da parte dos professores, a necessidade de uma mudança de atitude e de práticas face ao teatro na escola.

Estudo e proposta de algoritmo para a minimização do corte de eólica no contexto de uma análise custo-benefício multicritério

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo de Energia

Simulation of offshore wind system with two-level converters: HVDC power transmission

A new integrated mathematical model for the simulation of offshore wind energy conversion system performance is presented in this paper. The mathematical model considers an offshore variable-speed turbine in deep water equipped with a permanent magnet synchronous generator using full-power two-level converter, converting the energy of a variable frequency source in injected energy into the electric network with constant frequency, through a high voltage DC transmission submarine cable. The mathematical model for the drive train is a concentrate two mass model which incorporates the dynamic for the structure and tower due to the need to emulate the effects of the moving surface. Controller strategy considered is a proportional integral one. Also, pulse width modulation using space vector modulation supplemented with sliding mode is used for trigger the transistor of the converter. Finally, a case study is presented to access the system performance. © 2014 IEEE.

Beach sand and the potential for infectious disease transmission: observations and recommendations

Recent studies suggest that sand can serve as a vehicle for exposure of humans to pathogens at beach sites, resulting in increased health risks. Sampling for microorganisms in sand should therefore be considered for inclusion in regulatory programmes aimed at protecting recreational beach users from infectious disease. Here, we review the literature on pathogen levels in beach sand, and their potential for affecting human health. In an effort to provide specific recommendations for sand sampling programmes, we outline published guidelines for beach monitoring programmes, which are currently focused exclusively on measuring microbial levels in water. We also provide background on spatial distribution and temporal characteristics of microbes in sand, as these factors influence sampling programmes. First steps toward establishing a sand sampling programme include identifying appropriate beach sites and use of initial sanitary assessments to refine site selection. A tiered approach is recommended for monitoring. This approach would include the analysis of samples from many sites for faecal indicator organisms and other conventional analytes, while testing for specific pathogens and unconventional indicators is reserved for high-risk sites. Given the diversity of microbes found in sand, studies are urgently needed to identify the most significant aetiological agent of disease and to relate microbial measurements in sand to human health risk.

Partial utility-driven scheduling for flexible SLA and pricing arbitration in clouds

Cloud SLAs compensate customers with credits when average availability drops below certain levels. This is too inflexible because consumers lose non-measurable amounts of performance being only compensated later, in next charging cycles. We propose to schedule virtual machines (VMs), driven by range-based non-linear reductions of utility, different for classes of users and across different ranges of resource allocations: partial utility. This customer-defined metric, allows providers transferring resources between VMs in meaningful and economically efficient ways. We define a comprehensive cost model incorporating partial utility given by clients to a certain level of degradation, when VMs are allocated in overcommitted environments (Public, Private, Community Clouds). CloudSim was extended to support our scheduling model. Several simulation scenarios with synthetic and real workloads are presented, using datacenters with different dimensions regarding the number of servers and computational capacity. We show the partial utility-driven driven scheduling allows more VMs to be allocated. It brings benefits to providers, regarding revenue and resource utilization, allowing for more revenue per resource allocated and scaling well with the size of datacenters when comparing with an utility-oblivious redistribution of resources. Regarding clients, their workloads’ execution time is also improved, by incorporating an SLA-based redistribution of their VM’s computational power.

Simulation of offshore wind system with two levels converters: HVDC power transmission

A new integrated mathematical model for the simulation of offshore wind energy conversion system performance is presented in this paper. The mathematical model considers an offshore variable-speed turbine in deep water equipped with a permanent magnet synchronous generator using full-power two-level converter, converting the energy of a variable frequency source in injected energy into the electric network with constant frequency, through a high voltage DC transmission submarine cable. The mathematical model for the drive train is a concentrate two mass model which incorporates the dynamic for the structure and tower due to the need to emulate the effects of the moving surface. Controller strategy considered is a proportional integral one. Also, pulse width modulation using space vector modulation supplemented with sliding mode is used for trigger the transistor of the converter. Finally, a case study is presented to access the system performance. © 2014 IEEE.

Otimização energética em redes óticas de próxima geração Flex-grid vs Fixed-grid

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia de Eletrónica e Telecomunicações

Simulation of offshore wind system with three-level converters: HVDC power transmission in cloud scope

This paper is on a simulation for offshore wind systems in deep water under cloud scope. The system is equipped with a permanent magnet synchronous generator and a full-power three-level converter, converting the electric energy at variable frequency in one at constant frequency. The control strategies for the three-level are based on proportional integral controllers. The electric energy is injected through a HVDC transmission submarine cable into the grid. The drive train is modeled by a three-mass model taking into account the resistant stiffness torque, structure and tower in the deep water due to the moving surface elevation. Conclusions are taken on the influence of the moving surface on the energy conversion. © IFIP International Federation for Information Processing 2015.