The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Desvio de posicionamento em radioterapia para patologias de cabeça e pescoço e próstata: revisão de literatura

Introdução – Numa era em que os tratamentos de Radioterapia Externa (RTE) exigem cada vez mais precisão, a utilização de imagem médica permitirá medir, quantificar e avaliar o impacto do erro provocado pela execução do tratamento ou pelos movimentos dos órgãos. Objetivo – Analisar os dados existentes na literatura acerca de desvios de posicionamento (DP) em patologias de cabeça e pescoço (CP) e próstata, medidos com Cone Beam Computed Tomography (CBCT) ou Electronic Portal Image Device (EPID). Metodologia – Para esta revisão da literatura foram pesquisados artigos recorrendo às bases de dados MEDLINE/PubMed e b-on. Foram incluídos artigos que reportassem DP em patologias CP e próstata medidos através de CBCT e EPID. Seguidamente foram aplicados critérios de validação, que permitiram a seleção dos estudos. Resultados – Após a análise de 35 artigos foram incluídos 13 estudos e validados 9 estudos. Para tumores CP, a média (μ) dos DP encontra-se entre 0,0 e 1,2mm, com um desvio padrão (σ) máximo de 1,3mm. Para patologias de próstata observa-se μDP compreendido entre 0,0 e 7,1mm, com σ máximo de 7,5mm. Discussão/Conclusão – Os DP em patologias CP são atribuídos, maioritariamente, aos efeitos secundários da RTE, como mucosite e dor, que afetam a deglutição e conduzem ao emagrecimento, contribuindo para a instabilidade da posição do doente durante o tratamento, aumentando as incertezas de posicionamento. Os movimentos da próstata devem-se principalmente às variações de preenchimento vesical, retal e gás intestinal. O desconhecimento dos DP afeta negativamente a precisão da RTE. É importante detetá-los e quantificá-los para calcular margens adequadas e a magnitude dos erros, aumentando a precisão da administração de RTE, incluindo o aumento da segurança do doente. - ABSTRACT - Background and Purpose – In an era where precision is an increasing necessity in external radiotherapy (RT), modern medical imaging techniques provide means for measuring, quantifying and evaluating the impact of treatment execution and movement error. The aim of this paper is to review the current literature on the quantification of setup deviations (SD) in patients with head and neck (H&N) or prostate tumors, using Cone Beam Computed Tomography (CBCT) or Electronic Portal Image Device (EPID). Methods – According to the study protocol, MEDLINE/PubMed and b-on databases were searched for trials, which were analyzed using selection criteria based on the quality of the articles. Results – After assessment of 35 papers, 13 studies were included in this analysis and nine were authenticated (6 for prostate and 3 for H&N tumors). The SD in the treatment of H&N cancer patients is in the interval of 0.1 to 1.2mm, whereas in prostate cancer this interval is 0.0 to 7.1mm. Discussion – The reproducibility of patient positioning is the biggest barrier for higher precision in RT, which is affected by geometrical uncertainty, positioning errors and inter or intra-fraction organ movement. There are random and systematic errors associated to patient positioning, introduced since the treatment planning phase or through physiological organ movement. Conclusion – The H&N SD are mostly assigned to the Radiotherapy adverse effects, like mucositis and pain, which affect swallowing and decrease secretions, contributing for the instability of patient positioning during RT treatment and increasing positioning uncertainties. Prostate motion is mainly related to the variation in bladder and rectal filling. Ignoring SD affects negatively the accuracy of RT. Therefore, detection and quantification of SD is crucial in order to calculate appropriate margins, the magnitude of error and to improve accuracy in RTE and patient safety.

Industry energy optimization: A case study in a biodiesel production site

This paper presents a case study of heat exchanger network (HEN) retrofit with the objective to reduce the utilities consumption in a biodiesel production process. Pinch analysis studies allow determining the minimum duty utilities as well the maximum of heat recovery. The existence of heat exchangers for heat recovery already running in the process causes a serious restriction for the implementation of grassroot HEN design based on pinch studies. Maintaining the existing HEN, a set of alternatives with additional heat exchangers was created and analysed using some industrial advice and selection criteria. The final proposed solution allows to increase the actual 18 % of recovery heat of the all heating needs of the process to 23 %, with an estimated annual saving in hot utility of 35 k(sic)/y.

A cultura e as características qualitativas da informação financeira: evidência empírica a partir do relato de entidades cotadas na União Europeia

Mestrado em Contabilidade

Application of GIS-based multi-criteria analysis for site selection of aquifer recharge with reclaimed water

Reclaimed water from small wastewater treatment facilities in the rural areas of the Beira Interior region (Portugal) may constitute an alternative water source for aquifer recharge. A 21-month monitoring period in a constructed wetland treatment system has shown that 21,500 m(3) year(-1) of treated wastewater (reclaimed water) could be used for aquifer recharge. A GIS-based multi-criteria analysis was performed, combining ten thematic maps and economic, environmental and technical criteria, in order to produce a suitability map for the location of sites for reclaimed water infiltration. The areas chosen for aquifer recharge with infiltration basins are mainly composed of anthrosol with more than 1 m deep and fine sand texture, which allows an average infiltration velocity of up to 1 m d(-1). These characteristics will provide a final polishing treatment of the reclaimed water after infiltration (soil aquifer treatment (SAT)), suitable for the removal of the residual load (trace organics, nutrients, heavy metals and pathogens). The risk of groundwater contamination is low since the water table in the anthrosol areas ranges from 10 m to 50 m. Oil the other hand, these depths allow a guaranteed unsaturated area suitable for SAT. An area of 13,944 ha was selected for study, but only 1607 ha are suitable for reclaimed water infiltration. Approximately 1280 m(2) were considered enough to set up 4 infiltration basins to work in flooding and drying cycles.

Increasing availability through maintainability growth using partial Multi Criteria Decision Making (pMCDM)

In the last decades considerations about equipments' availability became an important issue, as well as its dependence on components characteristics such as reliability and maintainability. This is particularly of outstanding importance if one is dealing with high risk industrial equipments, where these factors play an important and fundamental role in risk management when safety or huge economic values are in discussion. As availability is a function of reliability, maintainability, and maintenance support activities, the main goal is to improve one or more of these factors. This paper intends to show how maintainability can influence availability and present a methodology to select the most important attributes for maintainability using a partial Multi Criteria Decision Making (pMCDM). Improvements in maintainability can be analyzed assuming it as a probability related with a restore probability density function [g(t)].

Enhancing the selection of a model-based clustering with external categorical variables

In cluster analysis, it can be useful to interpret the partition built from the data in the light of external categorical variables which are not directly involved to cluster the data. An approach is proposed in the model-based clustering context to select a number of clusters which both fits the data well and takes advantage of the potential illustrative ability of the external variables. This approach makes use of the integrated joint likelihood of the data and the partitions at hand, namely the model-based partition and the partitions associated to the external variables. It is noteworthy that each mixture model is fitted by the maximum likelihood methodology to the data, excluding the external variables which are used to select a relevant mixture model only. Numerical experiments illustrate the promising behaviour of the derived criterion. © 2014 Springer-Verlag Berlin Heidelberg.

Efficient feature selection filters for high-dimensional data

Feature selection is a central problem in machine learning and pattern recognition. On large datasets (in terms of dimension and/or number of instances), using search-based or wrapper techniques can be cornputationally prohibitive. Moreover, many filter methods based on relevance/redundancy assessment also take a prohibitively long time on high-dimensional. datasets. In this paper, we propose efficient unsupervised and supervised feature selection/ranking filters for high-dimensional datasets. These methods use low-complexity relevance and redundancy criteria, applicable to supervised, semi-supervised, and unsupervised learning, being able to act as pre-processors for computationally intensive methods to focus their attention on smaller subsets of promising features. The experimental results, with up to 10(5) features, show the time efficiency of our methods, with lower generalization error than state-of-the-art techniques, while being dramatically simpler and faster.

Enhancing the selection of a model-based clustering with external categorical variables

In cluster analysis, it can be useful to interpret the partition built from the data in the light of external categorical variables which are not directly involved to cluster the data. An approach is proposed in the model-based clustering context to select a number of clusters which both fits the data well and takes advantage of the potential illustrative ability of the external variables. This approach makes use of the integrated joint likelihood of the data and the partitions at hand, namely the model-based partition and the partitions associated to the external variables. It is noteworthy that each mixture model is fitted by the maximum likelihood methodology to the data, excluding the external variables which are used to select a relevant mixture model only. Numerical experiments illustrate the promising behaviour of the derived criterion.

Exploiting the bin-class histograms for feature selection on discrete data

In machine learning and pattern recognition tasks, the use of feature discretization techniques may have several advantages. The discretized features may hold enough information for the learning task at hand, while ignoring minor fluctuations that are irrelevant or harmful for that task. The discretized features have more compact representations that may yield both better accuracy and lower training time, as compared to the use of the original features. However, in many cases, mainly with medium and high-dimensional data, the large number of features usually implies that there is some redundancy among them. Thus, we may further apply feature selection (FS) techniques on the discrete data, keeping the most relevant features, while discarding the irrelevant and redundant ones. In this paper, we propose relevance and redundancy criteria for supervised feature selection techniques on discrete data. These criteria are applied to the bin-class histograms of the discrete features. The experimental results, on public benchmark data, show that the proposed criteria can achieve better accuracy than widely used relevance and redundancy criteria, such as mutual information and the Fisher ratio.

Low Complexity Intra Mode Selection for Efficient Distributed Video Coding

Motion compensated frame interpolation (MCFI) is one of the most efficient solutions to generate side information (SI) in the context of distributed video coding. However, it creates SI with rather significant motion compensated errors for some frame regions while rather small for some other regions depending on the video content. In this paper, a low complexity Infra mode selection algorithm is proposed to select the most 'critical' blocks in the WZ frame and help the decoder with some reliable data for those blocks. For each block, the novel coding mode selection algorithm estimates the encoding rate for the Intra based and WZ coding modes and determines the best coding mode while maintaining a low encoder complexity. The proposed solution is evaluated in terms of rate-distortion performance with improvements up to 1.2 dB regarding a WZ coding mode only solution.

Aplicação dos critérios de adequação (appropriateness criteria) a um laboratório de ecocardiografia de grande volume de um hospital privado

Mestrado em Tecnologia de Diagnóstico e Intervenção. Área de especialização: Ultrassonografia Cardiovascular.

Caracterização tecnológica da mamografia digital em Portugal: progresso de um projeto em implementação

Introdução – A mamografia é o principal método de diagnóstico por imagem utilizado no rastreio e diagnóstico do cancro da mama, sendo a modalidade de imagem recomendada em vários países da Europa e Estados Unidos para utilização em programas de rastreio. A implementação da tecnologia digital causou alterações na prática da mamografia, nomeadamente a necessidade de adaptar os programas de controlo de qualidade. Objetivos – Caracterizar a tecnologia instalada para mamografia em Portugal e as práticas adotadas na sua utilização pelos profissionais de saúde envolvidos. Concluir sobre o nível de harmonização das práticas em mamografia em Portugal e a conformidade com as recomendações internacionais. Identificar oportunidades para otimização que permitam assegurar a utilização eficaz e segura da tecnologia. Metodologia – Pesquisa e recolha de dados sobre a tecnologia instalada, fornecidos por fontes governamentais, prestadores de serviços de mamografia e indústria. Construção de três questionários, orientados ao perfil do médico radiologista, técnico de radiologia com atividade em mamografia digital e técnico de radiologia coordenador. Os questionários foram aplicados em 65 prestadores de serviços de mamografia selecionados com base em critérios de localização geográfica, tipo de tecnologia instalada e perfil da instituição. Resultados – Foram identificados 441 sistemas para mamografia em Portugal. A tecnologia mais frequente (62%) e vulgarmente conhecida por radiografia computorizada (computed radiography) é constituída por um detector (image plate) de material fotoestimulável inserido numa cassete de suporte e por um sistema de processamento ótico. A maioria destes sistemas (78%) está instalada em prestadores privados. Aproximadamente 12% dos equipamentos instalados são sistemas para radiografia digital direta (Direct Digital Radiography – DDR). Os critérios para seleção dos parâmetros técnicos de exposição variam, observando-se que em 65% das instituições são adotadas as recomendações dos fabricantes do equipamento. As ferramentas de pós-processamento mais usadas pelos médicos radiologistas são o ajuste do contraste e brilho e magnificação total e/ou localizada da imagem. Quinze instituições (em 19) têm implementado um programa de controlo de qualidade. Conclusões – Portugal apresenta um parque de equipamentos heterogéneo que inclui tecnologia obsoleta e tecnologia “topo de gama”. As recomendações/guidelines (europeias ou americanas) não são adotadas formalmente na maioria das instituições como guia para fundamentação das práticas em mamografia, dominando as recomendações dos fabricantes do equipamento. Foram identificadas, pelos técnicos de radiologia e médicos radiologistas, carências de formação especializada, nomeadamente nas temáticas da intervenção mamária, otimização da dose e controlo da qualidade. A maioria dos inquiridos concorda com a necessidade de certificação da prática da mamografia em Portugal e participaria num programa voluntário. ABSTRACT - Introduction – Mammography is the gold standard for screening and imaging diagnosis of breast disease. It is the imaging modality recommended by screening programs in various countries in Europe and the United States. The implementation of the digital technology promoted changes in mammography practice and triggered the need to adjust quality control programs. Aims –Characterize the technology for mammography installed in Portugal. Assess practice in use in mammography and its harmonization and compliance to international guidelines. Identify optimization needs to promote an effective and efficient use of digital mammography to full potential. Methodology – Literature review was performed. Data was collected from official sources (governmental bodies, mammography healthcare providers and medical imaging industry) regarding the number and specifications of mammography equipment installed in Portugal. Three questionnaires targeted at radiologists, breast radiographers and the chief-radiographer were designed for data collection on the technical and clinical practices in mammography. The questionnaires were delivered in a sample of 65 mammography providers selected according to geographical criteria, type of technology and institution profile. Results – Results revealed 441 mammography systems installed in Portugal. The most frequent (62%) technology type are computerized systems (CR) mostly installed in the private sector (78%). 12% are direct radiography systems (DDR). The criteria for selection of the exposure parameters differ between the institutions with the majority (65%) following the recommendations from the manufacturers. The use of available tools for post-processing is limited being the most frequently reported tools used the contrast/ brightness and Zoom or Pan Magnification tools. Fifteen participant institutions (out of 19) have implemented a quality control programme. Conclusions – The technology for mammography in Portugal is heterogeneous and includes both obsolete and state of the art equipment. International guidelines (European or American) are not formally implemented and the manufacturer recommendations are the most frequently used guidance. Education and training needs were identified amongst the healthcare professionals (radiologists and radiographers) with focus in the areas of mammography intervention, patient dose optimization and quality control. The majority of the participants agree with the certification of mammography in Portugal.

IGRT com CBCT: o impacto na precisão em radioterapia

Mestrado em Radiações Aplicadas às Tecnologias da Saúde.

O álbum infantil: alguns critérios de seleção

A literatura para a infância e juventude desempenha um papel fundamental na formação de leitores autónomos, isto é, leitores que queiram ler por iniciativa própria e que gostem de o fazer. Lendo e ouvindo ler literatura para a infância desde muito cedo, a criança vai descobrindo a linguagem escrita, vai-se familiarizando com ela e vai sentindo vontade de querer aprender a ler. Por outro lado, o contacto precoce com a literatura para a infância constitui-se como um fator de desenvolvimento da criança a nível social, cultural, afetivo e linguístico. Destaca-se ainda a importância deste recurso no âmbito de uma educação para os valores numa sociedade que se quer mais humana e respeitadora dos direitos de todos e de cada um. O álbum ilustrado veicula valores através das suas componentes textual e icónica, possibilitando uma discussão enriquecedora sem ser moralista, uma discussão suficientemente descentrada da criança para que a mesma não se sinta avaliada e suficientemente próxima para que a criança se sinta envolvida. Nesta comunicação pretende-se:  caracterizar o álbum de literatura para a infância;  identificar critérios que devem presidir à escolha de álbuns que contribuam para o desenvolvimento da educação literária, para odesenvolvimento linguístico e para o alargamento de horizontes no que se refere ao conhecimento do mundo em geral.  apresentar alguns exemplos de álbuns que possibitem percursos enriquecedores de acordo com o que atrás se disse