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.

Plantas ornamentais tóxicas: contributo para a sua caracterização e perceção do risco de exposição ocupacional

Mestrado em Segurança e Higiene do Trabalho.

The 27th British liquid crystal society annual meeting 2013, Cambridge

Attending the British Liquid Crystal Society’s (BLCS) Annual Meeting was a formative experience in my days as a PhD student, starting way back in the 1990s. At that time, this involved travelling to (to me) exotic parts of the United Kingdom, such as Reading, Oxford or Manchester, away from Southampton where I was based. Some postdoctoral years in a different country followed, and three BLCS Meetings were missed, until in 1997 and 1998, I was able to attend again, in Southampton and Leeds, respectively. Not much had changed from my student days, the size and the format were still about the same, many of the leading characters were still around, and the closing talk would still be given by John Lydon. Well, at some point, I got myself a proper academic job on the Continent and stopped attending BLCS Annual Meetings altogether. The fond memories of my youth started to fade. Were the Meetings still on? It seemed so, as old friends and acquaintances would occasionally recount attending them, and even winning prizes at them. But, it all seemed rather remote now. Until, that is, it came to pass that the 27th BLCS Meeting would be held in Selwyn College, Cambridge, just down (or up, depending on how you look at it) the road from the Isaac Newton Institute, where I was spending part of my sabbatical leave. The opportunity to resume attendance could not be missed. A brief e-mail exchange with the organisers, and a cheque to cover the fee, duly secured this. And thus, it was with trepidation that I approached my first BLCS Annual Meeting in more than a decade.

Revestimento de pisos em madeira para interiores

Dissertação para a obtenção do grau de Mestre em Engenharia Civil