Crashes, volatility, and the equity premium: Lessons from S&P 500 options

We use a novel pricing model to imply time series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex ante risk assessed by investors. Using a simple general equilibrium model, we translate the implied measures of ex ante risk into an ex ante risk premium. The average premium that compensates the investor for the ex ante risks is 70% higher than the premium for realized volatility. The equity premium implied from option prices is shown to significantly predict subsequent stock market returns.

Portfolio optimization with options

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

Working in IT projects – Options and Limits of Work Design

Flexible forms of work like project work are gaining importance in industry and services. Looking at the research on project work, the vast majority of present literature is on project management, but increasingly, problems concerning the quality of work and the efficiency of project teams become visible. The question now is how project work can be structured in order to simultaneously provide efficient and flexible work and healthy working conditions ensuring the development of human resources for a long time. Selected results of publicly funded research into project work will be presented based on case studies in 7 software development /IT consulting project teams (N=34). A set of different methods was applied: interviews with management/project managers, group interviews on work constraints, a monthly diary about well-being and critical incidences in the course of the project, and a final evaluation questionnaire on project outcomes focusing on economic and health aspects. Findings reveal that different types of projects exist with varying degree of team members’ autonomy and influence on work structuring. An effect of self-regulation on mental strain could not be found. The results emphasize, that contradicting requirements and insufficient organizational resources with respect to the work requirements lead to an increased work intensity or work obstruction. These contradicting requirements are identified as main drivers for generating stress. Finally, employees with high values on stress for more than 2 months have significantly higher exhaustion rates than those with only one month peaks. Structuring project work and taking into account the dynamics of project work, there is a need for an active role of the project team in contract negotiation or the detailed definition of work – this is not only a question of individual autonomy but of negotiation the range of option for work structuring. Therefore, along with the sequential definition of the (software) product, the working conditions need to be re-defined.

Developing and implementing an environmental performance index for the Portuguese military

Business Strategy and the Environment nº 15, p. 71–86

Anthropocentric-based robotic and autonomous systems: assessment for new organisational options

Text based on the paper presented at the Conference "Autonomous systems: inter-relations of technical and societal issues" held at Monte de Caparica (Portugal), Universidade Nova de Lisboa, November, 5th and 6th 2009 and organized by IET-Research Centre on Enterprise and Work Innovation

Spatial and temporal analysis of recent drought using vegetation temperature condition index: case of Somali regional state of Ethiopia

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

Contribuição para a adaptação cultural do Neck Disability Index e caraterização da prática de fisioterapia em pacientes com dor crónica cervical

RESUMO: Objetivo: Este trabalho teve como objetivo contribuir para o processo de adaptação cultural do Neck Disability Index (NDI), através da análise da sua unidimensionalidade e do estudo da sua fiabilidade (consistência interna e fiabilidade teste-reteste), validade de constructo e poder de resposta. De igual forma pretendeu-se caraterizar a intervenção realizada pela fisioterapia e os resultados obtidos em pacientes com Dor Cervical Crónica (DCC). Introdução: A dor cervical é um problema cada vez mais comum nos países industrializados, constituindo uma das três condições mais frequentemente reportadas por queixas de origem músculo-esquelética. A sua incidência é um fenómeno em crescimento, com custos implicados para a sociedade. Desta forma reconhece-se a importância de um instrumento que monitorize a evolução da incapacidade funcional associada à DCC. O NDI é atualmente o instrumento de avaliação mais recomendado para avaliar a incapacidade funcional associada à dor cervical. Foi traduzido e adaptado à língua portuguesa, mas à data não foi realizada nenhuma avaliação das suas propriedades psicométricas. Por outro lado, apesar de a literatura referir que os serviços de Fisioterapia são extremamente procurados por indivíduos com DCC, em Portugal, a informação sobre a sua prática nesta condição clínica é escassa ou mesmo inexistente. Assim, e sendo a incapacidade nas atividades funcionais uma das variáveis de maior impacto da DCC e ao mesmo tempo um dos resultados principais da intervenção da Fisioterapia, importa por um lado possuir instrumentos capazes de avaliar o nível de incapacidade funcional e a sua mudança, e por outro, aferir qual a intervenção realizada pela Fisioterapia e quais os resultados obtidos. Metodologia: Realizou-se um estudo de coorte prospetivo com uma amostra de conveniência, do tipo não probabilístico, constituída por 88 pacientes com DCC de origem músculo-esquelética e causa não traumática referenciados para 6 serviços de fisioterapia / medicina física e de reabilitação de clínicas e centros de reabilitação, sendo elegíveis todos os pacientes que cumprissem os critérios de inclusão e exclusão estabelecidos. Os pacientes foram avaliados em três momentos pré-definidos: antes do início das sessões de fisioterapia ou na 1ª semana de tratamento; 4 a 7 dias após a 1ª avaliação; e 7 semanas após o início da fisioterapia. Para verificação da unidimensionalidade do NDI, procedeu-se a uma Análise Fatorial Exploratória. As propriedades psicométricas do NDI avaliadas foram a Fiabilidade (consistência interna e fiabilidade teste-reteste), a Validade de Constructo e o Poder de Resposta. Posteriormente procedeu-se à caraterização da prática da fisioterapia quanto às modalidades utilizadas, número de sessões de tratamento e duração do episódio de cuidados. Adicionalmente descreveu-se os resultados obtidos após a intervenção da fisioterapia ao nível da dor e incapacidade. Resultados: os resultados obtidos foram positivos e significativos, com a confirmação da unidimensionalidade do NDI, sendo que em todos os critérios seguidos o fator mínimo retido foi de um. Na avaliação da consistência interna o valor obtido foi acima do mínimo aceitável (α Cronbach = 0,77), enquanto o valor de fiabilidade teste-reteste foi elevado (CCI =0,95). De igual forma, os resultados foram positivos para a validade de constructo, obtendo-se uma associação positiva do NDI com a Escala Numérica da dor (END). O valores de poder de resposta reportaram uma Área Abaixo da Curva de 0,63 (IC 95%=0,51-0,75), com valor de Diferença Mínima Clinicamente importante de 5,5 pontos (sensibilidade = 69,6%; especificidade = 43,6%). Relativamente á intervenção de fisioterapia em casos de DCC verificou-se que as características da prática da fisioterapia reportadas neste relatório são de difícil comparação ou análise dada a escassez ou inexistência de trabalhos publicados sobre este assunto em pacientes com DCC. No entanto, neste estudo, encontraram-se reduções significativas na intensidade da dor e incapacidade funcional após a intervenção de fisioterapia (z= -7,16; p<0,001 e t= 10,412, p<0,05, respetivamente). Conclusão: Os resultados do presente estudo revelam que o NDI-VP possui uma boa Fiabilidade, Validade de Constructo e Poder de Resposta. Revela ainda que a intervenção da fisioterapia em casos de DCC, apesar da escassez de trabalhos publicados, proporciona uma redução significativa dos níveis de dor e incapacidade em pacientes com DCC.--------------- ABSTRACT:Objective: the aim of this study was to contribute for the process of cultural adaption of the Neck Disability Index (NDI), through the analysis of his unidimensionality and the study of his reliability (internal consistency and test-retest reliability), construct validity and responsiveness. At the same time it pretends to characterize the intervention performed by physical therapy and the results in patients with Chronic Neck Pain (CNP). Introduction: neck pain is a common problem in the industrialized countries, since is one of the three most reported conditions by complaints with musculoskeletal origin. His incidence is a growth phenomena that implicate great costs to society. Therefore the importance of an instrument that monitories the evolution of the functional disability associated to CNP is recognized. Nowadays, NDI is the instrument most recommended to evaluate functional disability associated to neck pain. It has been translated and adapted to portuguese but, till now, no evaluation of his psychometric proprieties has been completed. In the other hand, despite literature refers that physical therapy services are extremely searched by patients with neck pain, in Portugal, the information about practice in this clinical condition is very few or inexistent. Therefore, and since disability in the functional activities is one of the variables with most impact of CNP and, at the same time, one of the main results of physical therapy interventions, it’s important to have instruments capable of evaluate the level of functional disability and his change, and also calculate which intervention of physical therapy is most appropriate and his results. Methodology: it was used a prospective cohort study with a convenience sample, non-probabilistic, consisting of 88 patients with CNP of musculoskeletal origin and non-traumatic cause, referred to 6 physical therapy services of clinics and rehabilitation centers, and fulfilled the inclusion and exclusion criteria established. Patients were evaluated in three pre-defined moments: before the beginning of physical therapy or during the first week of treatment; 4 to 7 days after the first evaluation; and 7 weeks after beginning of physical therapy. To verify NDI unidimensionality, we run an Exploratory Factorial Analysis. NDI psychometric proprieties evaluated were reliability (internal consistency and test-retest reliability), construct validity and responsiveness. Subsequently, it was proceeded the characterization the practice of physical therapy regarding to the modalities used, the number of treatment sessions and duration of the episode of care. Additionally it was described the results obtained after the intervention of the physical therapy, the level of pain and the disability. Results: results were positive and significant, with the confirmation of the NDI unidimensionality, since in every followed criteria the minimal retained factor was one. In the evaluation of internal consistency the value was above the minimal accepted (α Cronbach = 0,77), and the test-retest reliability value was high (CCI =0,95). Results were positive to construct validity, with an positive association of the NDI with Numeric Rating Scale (NRS). Responsiveness values reported an Area Under Curve (AUC) of 0,63 (IC 95%=0,51-0,75) with a Minimal Important Detectable Change (MIDC) of 5,5 points (sensitivity = 69,9%; specificity = 43,6%). Regarding physical therapy interventions in CNP, it was verified that the physical therapy characteristics reported are difficult to compare or analyze since there are very few published studies about this topic. However, in this study, significant reductions were founded in pain intensity and functional disability after intervention(z= -7,16; p<0,001 and t= 10,412, p<0,05, respectively).Conclusion: present study results reveals that NDI has an good reliability, construct validity and responsiveness. It also reveals that physical therapy intervention in CNP, beside few studies published, result in a significant reduction of pain and disability levels in patients with CNP.

Recent droughts and the impact of North Atlantic Oscillation in Iberia; a spatiotemporal analysis based on vegetation temperature condition Index (VTCI)

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

The effects Ishares IBovespa index fund creation on the liquidity of underlying stocks

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

A happiness index of human development

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

Active ageing index and quality of life

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

Options and Requirements for a potential market entry into Portugal with renewable energy technologies that are applicable for heating and cooling of buildings

NSBE-UNL

Rigid pavements distresses - pavement condition index evaluation

Pavements require maintenance in order to provide good service levels during their life period. Because of the significant costs of this operation and the importance of a proper planning, a pavement evaluation methodology, named Pavement Condition Index (PCI), was created by the U.S. Army Corps of Engineers. This methodology allows for the evaluation of the pavement condition along the life period, generally yearly, with minimum costs and, in this way, it is possible to plan the maintenance action and to adopt adequate measures, minimising the rehabilitation costs. The PCI methodology provides an evaluation based on visual inspection, namely on the distresses observed on the pavement. This condition index of the pavement is classified from 0 to 100, where 0 it is the worst possible condition and 100 the best possible condition. This methodology of pavement assessment represents a significant tool for management methods such as airport pavement management system (APMS) and life-cycle costs analysis (LCCA). Nevertheless, it has some limitations which can jeopardize the correct evaluation of the pavement behavior. Therefore the objective of this dissertation is to help reducing its limitations and make it easier and faster to use. Thus, an automated process of PCI calculation was developed, avoiding the abaci consultation, and consequently, minimizing the human error. To facilitate also the visual inspection a Tablet application was developed to replace the common inspection data sheet and thus making the survey easier to be undertaken. Following, an airport pavement condition was study accordingly with the methodology described at Standard Test Method for Airport Pavement Condition Index Surveys D5340, 2011 where its original condition level is compared with the condition level after iterate possible erroneous considered distresses as well as possible rehabilitations. Afterwards, the results obtained were analyzed and the main conclusions presented together with some future developments.

Almirante: Evaluating the board game: Board game, startup, discounted cash flow, venture capital method, real options

This thesis evaluates a start-up company (Jogos Almirante Lda) whose single asset is a board game named Almirante. It aims to conclude whether it makes sense to create a company or just earn copyrights. The thesis analyzes the board game’s market, as part of the general toy’s market, from which some data exists: European countries as well as the USA. In this work it is analyzed the several ways to finance a start-up company and then present an overview of the valuation of the Jogos Almirante based on three different methods: Discounted Cash Flow, Venture Capital Method and Real Options.

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