Some bounds of loss in classical semideterministic immunization

Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics in bond portfolio analysis from both a theoretical and a practical point of view. Many results have been established, especially in semi-deterministic framework. As regards, however, the loss may be sustained, we do not think that the subject has been investigated enough, except for the results found in the wake of the theorem of Fong and Vasicek. In this paper we present some results relating to the limitation of the loss in the case of local immunization for multiple liabilities.

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.

Solution enthalpies of 1,4-dioxane: Study of solvent effects through quantitative structure-property relationships

Solution enthalpies of 1,4-dioxane have been obtained in 15 protic and aprotic solvents at 298.15 K. Breaking the overall process through the use of Solomonov's methodology the cavity term was calculated and interaction enthalpies (Delta H-int) were determined. Main factors involved in the interaction enthalpy have been identified and quantified using a QSPR approach based on the TAKA model equation. The relevant descriptors were found to be pi* and beta, which showed, respectively, exothermic and endothermic contributions. The magnitude of pi* coefficient points toward non-specific solute-solvent interactions playing a major role in the solution process. The positive value of the beta coefficient reflects the endothermic character of the solvents' hydrogen bond acceptor (HBA) basicity contribution, indicating that solvent molecules engaged in hydrogen bonding preferentially interact with each other rather than with 1,4-dioxane. (C) 2013 Elsevier B.V. All rights reserved.

Use of quantitative structure-property relationships to study the solvation process of 18-crown-6

Solution enthalpies of 18-crown-6 have been obtained for a set of 14 protic and aprotic solvents at 298.15 K. The complementary use of Solomonov's methodology and a QSPR-based approach allowed the identification of the most significant solvent descriptors that model the interaction enthalpy contribution of the solution process (Delta H-int(A/S)). Results were compared with data previously obtained for 1,4-dioxane. Although the interaction enthalpies of 18-crown-6 correlate well with those of 1,4-dioxane, the magnitude of the most relevant parameters, pi* and beta, is almost three times higher for 18-crown-6. This is rationalized in terms of the impact of the solute's volume in the solution processes of both compounds. (C) 2015 Elsevier B.V. All rights reserved.

A hybrid PSO-ANFIS approach for short-term wind power prediction in Portugal

The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Wind power prediction plays a key role in tackling these challenges. The contribution of this paper is to propose a new hybrid approach, combining particle swarm optimization and adaptive-network-based fuzzy inference system, for short-term wind power prediction in Portugal. Significant improvements regarding forecasting accuracy are attainable using the proposed approach, in comparison with the results obtained with five other approaches.

Synthesis, structure, and optical properties of an alternating calix[4]arene-based meta-linked phenylene ethynylene copolymer

Novel alternating copolymers comprising biscalix[4]arene-p-phenylene ethynylene and m-phenylene ethynylene units (CALIX-m-PPE) were synthesized using the Sonogashira-Hagihara cross-coupling polymerization. Good isolated yields (60-80%) were achieved for the polymers that show M-n ranging from 1.4 x 10(4) to 5.1 x 10(4) gmol(-1) (gel permeation chromatography analysis), depending on specific polymerization conditions. The structural analysis of CALIX-m-PPE was performed by H-1, C-13, C-13-H-1 heteronuclear single quantum correlation (HSQC), C-13-H-1 heteronuclear multiple bond correlation (HMBC), correlation spectroscopy (COSY), and nuclear overhauser effect spectroscopy (NOESY) in addition to Fourier transform-Infrared spectroscopy and microanalysis allowing its full characterization. Depending on the reaction setup, variable amounts (16-45%) of diyne units were found in polymers although their photophysical properties are essentially the same. It is demonstrated that CALIX-m-PPE does not form ground-or excited-state interchain interactions owing to the highly crowded environment of the main-chain imparted by both calix[4]arene side units which behave as insulators inhibiting main-chain pi-pi staking. It was also found that the luminescent properties of CALIX-m-PPE are markedly different from those of an all-p-linked phenylene ethynylene copolymer (CALIX-p-PPE) previously reported. The unexpected appearance of a low-energy emission band at 426 nm, in addition to the locally excited-state emission (365 nm), together with a quite low fluorescence quantum yield (Phi = 0.02) and a double-exponential decay dynamics led to the formulation of an intramolecular exciplex as the new emissive species.

Grid structure impact in sparse point representation of derivatives

In the Sparse Point Representation (SPR) method the principle is to retain the function data indicated by significant interpolatory wavelet coefficients, which are defined as interpolation errors by means of an interpolating subdivision scheme. Typically, a SPR grid is coarse in smooth regions, and refined close to irregularities. Furthermore, the computation of partial derivatives of a function from the information of its SPR content is performed in two steps. The first one is a refinement procedure to extend the SPR by the inclusion of new interpolated point values in a security zone. Then, for points in the refined grid, such derivatives are approximated by uniform finite differences, using a step size proportional to each point local scale. If required neighboring stencils are not present in the grid, the corresponding missing point values are approximated from coarser scales using the interpolating subdivision scheme. Using the cubic interpolation subdivision scheme, we demonstrate that such adaptive finite differences can be formulated in terms of a collocation scheme based on the wavelet expansion associated to the SPR. For this purpose, we prove some results concerning the local behavior of such wavelet reconstruction operators, which stand for SPR grids having appropriate structures. This statement implies that the adaptive finite difference scheme and the one using the step size of the finest level produce the same result at SPR grid points. Consequently, in addition to the refinement strategy, our analysis indicates that some care must be taken concerning the grid structure, in order to keep the truncation error under a certain accuracy limit. Illustrating results are presented for 2D Maxwell's equation numerical solutions.

Projecto de execução da passagem superior 9A, na concessão Douro Litoral na A32/IC2 - Oliveira de Azeméis/IP1 (S. Lourenço)

O presente trabalho teve como principal objectivo a aplicação dos conceitos adquiridos nas unidades curriculares da licenciatura e do mestrado. Nesse sentido tomou-se a opção da realização de um projecto de execução de uma obra de arte para o trabalho final de mestrado, realizado num conceituado gabinete de projecto de pontes e viadutos, com vista à obtenção do grau de mestre. O projecto refere-se a uma obra de arte que se insere num nó rodoviário de ligação entre duas auto-estradas que, dados os seus condicionamentos de perfil, quer longitudinal quer transversal, e implantação no local, pode ser considerada uma obra de arte especial. O processo de análise foi feito com recurso ao programa de cálculo automático SAP2000®, tendo em conta os regulamentos nacionais aplicáveis a estruturas de pontes e os Eurocódigos em fase de implementação em Portugal. O projecto de execução, objecto deste trabalho, foi realizado em função de uma metodologia de construção simples, que é o recurso à utilização, por fases, de cimbres apoiados no solo. A optimização das fases de construção é um factor condicionante na análise e concepção da obra de arte deste projecto, pelo que se procura obter uma relação optimizada entre o rendimento de construção e o funcionamento estrutural da obra de arte, de forma a garantir a segurança da estrutura e o conforto dos utilizadores a longo prazo.

An artificial neural network approach for short-term wind power forecasting in Portugal

This paper presents an artificial neural network approach for short-term wind power forecasting in Portugal. The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Hence, good forecasting tools play a key role in tackling these challenges. The accuracy of the wind power forecasting attained with the proposed approach is evaluated against persistence and ARIMA approaches, reporting the numerical results from a real-world case study.

Nonlinear optimization method for short-term hydro scheduling considering head-dependency

This paper is on the problem of short-term hydro scheduling, particularly concerning head-dependent reservoirs under competitive environment. We propose a new nonlinear optimization method to consider hydroelectric power generation as a function of water discharge and also of the head. Head-dependency is considered on short-term hydro scheduling in order to obtain more realistic and feasible results. The proposed method has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems, providing a higher profit at a negligible additional computation time in comparison with a linear optimization method that ignores head-dependency.

From unthinned continent to ocean: The deep structure of the West Iberia passive continental margin at 38 degrees N

The crustal and lithospheric mantle structure at the south segment of the west Iberian margin was investigated along a 370 km long seismic transect. The transect goes from unthinned continental crust onshore to oceanic crust, crossing the ocean-continent transition (OCT) zone. The wide-angle data set includes recordings from 6 OBSs and 2 inland seismic stations. Kinematic and dynamic modeling provided a 2D velocity model that proved to be consistent with the modeled free-air anomaly data. The interpretation of coincident multi-channel near-vertical and wide-angle reflection data sets allowed the identification of four main crustal domains: (i) continental (east of 9.4 degrees W); (ii) continental thinning (9.4 degrees W-9.7 degrees W): (iii) transitional (9.7 degrees W-similar to 10.5 degrees W); and (iv) oceanic (west of similar to 10.5 degrees W). In the continental domain the complete crustal section of slightly thinned continental crust is present. The upper (UCC, 5.1-6.0 km/s) and the lower continental crust (LCC, 6.9-7.2 km/s) are seismically reflective and have intermediate to low P-wave velocity gradients. The middle continental crust (MCC, 6.35-6.45 km/s) is generally unreflective with low velocity gradient. The main thinning of the continental crust occurs in the thinning domain by attenuation of the UCC and the LCC. Major thinning of the MCC starts to the west of the LCC pinchout point, where it rests directly upon the mantle. In the thinning domain the Moho slope is at least 13 degrees and the continental crust thickness decreases seaward from 22 to 11 km over a similar to 35 km distance, stretched by a factor of 1.5 to 3. In the oceanic domain a two-layer high-gradient igneous crust (5.3-6.0 km/s; 6.5-7.4 km/s) was modeled. The intra-crustal interface correlates with prominent mid-basement, 10-15 km long reflections in the multi-channel seismic profile. Strong secondary reflected PmP phases require a first order discontinuity at the Moho. The sedimentary cover can be as thick as 5 km and the igneous crustal thickness varies from 4 to 11 km in the west, where the profile reaches the Madeira-Tore Rise. In the transitional domain the crust has a complex structure that varies both horizontally and vertically. Beneath the continental slope it includes exhumed continental crust (6.15-6.45 km/s). Strong diffractions were modeled to originate at the lower interface of this layer. The western segment of this transitional domain is highly reflective at all levels, probably due to dykes and sills, according to the high apparent susceptibility and density modeled at this location. Sub-Moho mantle velocity is found to be 8.0 km/s, but velocities smaller than 8.0 km/s confined to short segments are not excluded by the data. Strong P-wave wide-angle reflections are modeled to originate at depth of 20 km within the lithospheric mantle, under the eastern segment of the oceanic domain, or even deeper at the transitional domain, suggesting a layered structure for the lithospheric mantle. Both interface depths and velocities of the continental section are in good agreement to the conjugate Newfoundland margin. A similar to 40 km wide OCT having a geophysical signature distinct from the OCT to the north favors a two pulse continental breakup.

Enhanced short wavelength response in laser-scanned-photodiode image sensor using an a-SiC : H/a-Si : H tandem structure

We report in this paper the recent advances we obtained in optimizing a color image sensor based on the laser-scanned-photodiode (LSP) technique. A novel device structure based on a a-SiC:H/a-Si:H pin/pin tandem structure has been tested for a proper color separation process that takes advantage on the different filtering properties due to the different light penetration depth at different wavelengths a-SM and a-SiC:H. While the green and the red images give, in comparison with previous tested structures, a weak response, this structure shows a very good recognition of blue color under reverse bias, leaving a good margin for future device optimization in order to achieve a complete and satisfactory RGB image mapping. Experimental results about the spectral collection efficiency are presented and discussed from the point of view of the color sensor applications. The physics behind the device functioning is explained by recurring to a numerical simulation of the internal electrical configuration of the device.

Novel structure for large area image sensing

This work presents preliminary results in the study of a novel structure for a laser scanned photodiode (LSP) type of image sensor. In order to increase the signal output, a stacked p-i-n-p-i-n structure with an intermediate light-blocking layer is used. The image and the scanning beam are incident through opposite sides of the sensor and their absorption is kept in separate junctions by an intermediate light-blocking layer. As in the usual LSP structure the scanning beam-induced photocurrent is dependent on the local illumination conditions of the image. The main difference between the two structures arises from the fact that in this new structure the image and the scanner have different optical paths leading to an increase in the photocurrent when the scanning beam is incident on a region illuminated on the image side of the sensor, while a decreasing in the photocurrent was observed in the single junction LSP. The results show that the structure can be successfully used as an image sensor even though some optimization is needed to enhance the performance of the device.

Influence of growth temperature and carrier flux on the structure and transport properties of highly oriented CrO2 on Al2O3 (0001)

In this work we report on the structure and magnetic and electrical transport properties of CrO2 films deposited onto (0001) sapphire by atmospheric pressure (AP)CVD from a CrO3 precursor. Films are grown within a broad range of deposition temperatures, from 320 to 410 degrees C, and oxygen carrier gas flow rates of 50-500 seem, showing that it is viable to grow highly oriented a-axis CrO2 films at temperatures as low as 330 degrees C i.e., 60-70 degrees C lower than is reported in published data for the same chemical system. Depending on the experimental conditions, growth kinetic regimes dominated either by surface reaction or by mass-transport mechanisms are identified. The growth of a Cr2O3 interfacial layer as an intrinsic feature of the deposition process is studied and discussed. Films synthesized at 330 degrees C keep the same high quality magnetic and transport properties as those deposited at higher temperatures.

Short-term electricity prices forecasting in a competitive market by a hybrid PSO-ANFIS approach

In this paper, a novel hybrid approach is proposed for electricity prices forecasting in a competitive market, considering a time horizon of 1 week. The proposed approach is based on the combination of particle swarm optimization and adaptive-network based fuzzy inference system. Results from a case study based on the electricity market of mainland Spain are presented. A thorough comparison is carried out, taking into account the results of previous publications, to demonstrate its effectiveness regarding forecasting accuracy and computation time. Finally, conclusions are duly drawn. (C) 2012 Elsevier Ltd. All rights reserved.