A importância dos preços de transferência interna na avaliação de desempenho

Mestrado em Controlo e Gestão dos Negócios

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.

Study of the one dimensional and transient bioheat transfer equation: Multi-layer solution development and applications

: In this work we derive an analytical solution given by Bessel series to the transient and one-dimensional (1D) bioheat transfer equation in a multi-layer region with spatially dependent heat sources. Each region represents an independent biological tissue characterized by temperature-invariant physiological parameters and a linearly temperature dependent metabolic heat generation. Moreover, 1D Cartesian, cylindrical or spherical coordinates are used to define the geometry and temperature boundary conditions of first, second and third kinds are assumed at the inner and outer surfaces. We present two examples of clinical applications for the developed solution. In the first one, we investigate two different heat source terms to simulate the heating in a tumor and its surrounding tissue, induced during a magnetic fluid hyperthermia technique used for cancer treatment. To obtain an accurate analytical solution, we determine the error associated with the truncated Bessel series that defines the transient solution. In the second application, we explore the potential of this model to study the effect of different environmental conditions in a multi-layered human head model (brain, bone and scalp). The convective heat transfer effect of a large blood vessel located inside the brain is also investigated. The results are further compared with a numerical solution obtained by the Finite Element Method and computed with COMSOL Multi-physics v4.1 (c). (c) 2013 Elsevier Ltd. All rights reserved.

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.

The effect of metal transfer modes and shielding gas composition on the emission of ultraafine particles in MAG steel welding

The present study aims to characterize ultrafine particles emitted during gas metal arc welding of mild steel and stainless steel, using different shielding gas mixtures, and to evaluate the effect of metal transfer modes, controlled by both processing parameters and shielding gas composition, on the quantity and morphology of the ultrafine particles. It was found that the amount of emitted ultrafine particles (measured by particle number and alveolar deposited surface area) are clearly dependent from the main welding parameters, namely the current intensity and the heat input of the Welding process. The emission of airborne ultrafine particles increases with the current intensity as fume formation rate does. When comparing the shielding gas mixtures, higher emissions were observed for more oxidizing mixtures, that is, with higher CO2 content, which means that these mixtures originate higher concentrations of ultrafine particles (as measured by number of particles. by cubic centimeter of air) and higher values of alveolar deposited surface area of particles, thus resulting in a more hazardous condition regarding welders exposure.

The effect of metal transfer stability (spattering) on fume generation, morphology and composition in short-circuit MAG welding

The main objective of this work was to evaluate the hypothesis that the greater transfer stability leads also to less volume of fumes. Using an Ar + 25%CO2 blend as shielding gas and maintaining constant the average current, wire feed speed and welding speed, bead-on-plate welds were carried out with plain carbon steel solid wire. The welding voltage was scanned to progressively vary the transfer stability. Using two conditions of low stability and one with high stability, fume generation was evaluated by means of the AWS F1.2:2006 standard. The influence of these conditions on fume morphology and composition was also verified. A condition with greater transfer stability does not generate less fume quantity, despite the fact that this condition produces fewer spatters. Other factors such as short-circuit current, arcing time, droplet diameters and arc length are the likely governing factors, but in an interrelated way. Metal transfer stability does not influence either the composition or the size/morphology of fume particulates. (c) 2014 Elsevier B.V. All rights reserved.

Numerical 3D modeling of heat transfer in human tissues for microwave radiometry monitoring of Brown fat metabolismo

Background: Brown adipose tissue (BAT) plays an important role in whole body metabolism and could potentially mediate weight gain and insulin sensitivity. Although some imaging techniques allow BAT detection, there are currently no viable methods for continuous acquisition of BAT energy expenditure. We present a non-invasive technique for long term monitoring of BAT metabolism using microwave radiometry. Methods: A multilayer 3D computational model was created in HFSS™ with 1.5 mm skin, 3-10 mm subcutaneous fat, 200 mm muscle and a BAT region (2-6 cm3) located between fat and muscle. Based on this model, a log-spiral antenna was designed and optimized to maximize reception of thermal emissions from the target (BAT). The power absorption patterns calculated in HFSS™ were combined with simulated thermal distributions computed in COMSOL® to predict radiometric signal measured from an ultra-low-noise microwave radiometer. The power received by the antenna was characterized as a function of different levels of BAT metabolism under cold and noradrenergic stimulation. Results: The optimized frequency band was 1.5-2.2 GHz, with averaged antenna efficiency of 19%. The simulated power received by the radiometric antenna increased 2-9 mdBm (noradrenergic stimulus) and 4-15 mdBm (cold stimulus) corresponding to increased 15-fold BAT metabolism. Conclusions: Results demonstrated the ability to detect thermal radiation from small volumes (2-6 cm3) of BAT located up to 12 mm deep and to monitor small changes (0.5°C) in BAT metabolism. As such, the developed miniature radiometric antenna sensor appears suitable for non-invasive long term monitoring of BAT metabolism.