Fractional discrete-time signal processing: scale conversion and linear prediction

Nonlinear Dynamics, Vol. 29

Introduction to fractional linear systems. Part 2: discrete-time case

IEE Proceedings - Vision, Image, and Signal Processing, Vol. 147, nº 1

Reducing the number of membership functions in linguistic variables

Dissertation presented at Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia in fulfilment of the requirements for the Masters degree in Mathematics and Applications, specialization in Actuarial Sciences, Statistics and Operations Research

A score test for non-nested hypotheses with applications to discrete data models

This paper suggests that a convenient score test against non-nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models. It is shown that this procedure is essentially a test for the correct specification of the conditional distribution of the variable of interest.

Evaluation of Spatial interpolation techniques for mapping climate variables with low sample density: a case study using a new gridded dataset of Bangladesh

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

The fitting of the German yield curve: A dynamic approach using latent, macroeconomic and stock market variables

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

CSR practices and labor retention: How can these variables be related?

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Uncertainty, generalization, and neural representation of relevant variables for decision making

Dissertation presented to obtain the Ph.D degree in Biology, Computational Biology.

Compensating variation and the young Portuguese emigrants: A study on how to keep our own

Emigration has been a very present word in Portugal. Due to the effects of the Economic Crisis and the Memorandum of Understanding policies, we have witnessed a significant yearly migration outflow of people searching for better conditions. This study aims to measure the factors affecting this flow as well as how much the probability of emigrating has evolved during the years bridging 2006 to 2012. I shall consider the decision of emigrating as Discrete Choice Random Utility maximization use a conditional Logit framework to model the probability choice for 31 OECD countries of destination. Moreover I will ascertain the compensating variation required such that the probability of choice in 2012 is adjusted back to 2007 values, keeping all other variables constant. I replicate this exercise using the unemployment rate instead of income. The most likely country of destination is Luxembourg throughout the years analyzed and the values obtained for the CV is of circa 1.700€ in terms of Income per capita and -11% in terms of the unemployment rate adjustment.

Dynamic delta hedging of autocallables under a discrete rebalancing context

This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.

On the pricing of bivariate options in the presence of a discrete dividend payment

A Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from Insper

The accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend

This project characterizes the accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend. A description of the escrowed dividend model is provided, and a comparison between this model and the benchmark model is realized. It is concluded that options on stocks with either low volatility, low dividend yield, low ex-dividend to maturity ratio or that are deep in or out of the money are reasonably priced with the escrowed dividend model.

Analysis of world economic variables using multidimensional scaling

Waves of globalization reflect the historical technical progress and modern economic growth. The dynamics of this process are here approached using the multidimensional scaling (MDS) methodology to analyze the evolution of GDP per capita, international trade openness, life expectancy, and education tertiary enrollment in 14 countries. MDS provides the appropriate theoretical concepts and the exact mathematical tools to describe the joint evolution of these indicators of economic growth, globalization, welfare and human development of the world economy from 1977 up to 2012. The polarization dance of countries enlightens the convergence paths, potential warfare and present-day rivalries in the global geopolitical scene.