113 resultados para 13077-018


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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

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The dressing and vertex operator formalism is emploied to study the soliton solutions of the N = I super mKdV and sinh-Gordon models. Explicit two and four vertex solutions are constructed. The relation between the soliton solutions of both models is verified. (c) 2006 Elsevier B.V. All rights reserved.

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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The main concern of activities developed in oil and gas well construction is safety. But safety during the well construction process is not a trivial subject. Today risk evaluation approaches are based in static analyses of existent systems. In other words, those approaches do not allow a dynamic analysis that evaluates the risk for each alteration of the context. This paper proposes the use of Quantitative and Dynamic Risk Assessment (QDRA) to assess the degree of safety of each planned job. The QDRA can be understood as a safe job analysis approach, developed with the purpose of quantifying the safety degree in entire well construction and maintenance activities. The QDRA is intended to be used in the planning stages of well construction and maintenance, where the effects of hazard on job sequence are important unknowns. This paper also presents definitions of barrier, and barriers integrated set (BIS), and a modeling technique showing their relationships. (c) 2006 Elsevier B.V. All rights reserved.

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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First, the effect of ferrioxalate or iron nitrate on the photo-Fenton degradation efficiency of the pharmaceuticals lincomycin (LCM) and diazepam (DZP) was evaluated. The degradation of both pharmaceuticals was improved in the presence of ferrioxalate in relation to Fe(NO(3)), either under black-light or solar irradiation. The degradation of the pharmaceuticals was then evaluated when present in an effluent from sewage treatment plant (STP) under black-light irradiation. Pharmaceuticals oxidation was not influenced by the matrix, since very similar results were obtained when compared to the experiments carried out in distilled water. However, DOC removal was slightly affected by the matrix, due probably to the generation of recalcitrant intermediates during effluent photodegradation and to the high content of inorganic carbon of STP effluent. Even so, high DOC removal percentages were achieved, 65% for lincomycin and 80% for diazepam after 60 min irradiation. (C) 2010 Elsevier B.V. All rights reserved.

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

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OBJETIVO: A insuficiência renal aguda (IRA) no pósoperatório (PO) de cirurgia cardíaca é complicação grave. O objetivo deste trabalho é avaliar o tempo de circulação extracorpórea (CEC) como fator de risco para IRA. MÉTODO: Foram avaliados 116 pacientes de um único centro, submetidos a cirurgia cardíaca com CEC. Foram avaliados os dados demográficos, características clínicas, variáveis intra e pós-operatórias. A creatinina sérica e o clearance de creatinina foram avaliados até o 5ºPO. IRA foi definida como necessidade de diálise. Os pacientes foram estratificados em dois grupos: grupo CEC< 70 min e grupo CEC> 90min. RESULTADOS: O aumento médio da creatinina sérica no PO foi 0,18+0,41 no grupo CEC<70min e 0,42+0,44 no grupo CEC>90min (p=0,005). Diálise foi necessária em 1,3% dos pacientes do grupo CEC<70min, e em 12,5% do grupo CEC> 90min (p=0,018). O risco relativo para diálise foi 1,12 (IC 95%, 1,00-1,20) para CEC>90min. Não houve diferença para mortalidade (5,2 versus 7,5%, p=0,631). CONSLUSÃO: O desenvolvimento de IRA no pós-operatório de cirurgia cardíaca foi observado em pacientes com tempo de CEC superior a 90 minutos, embora o clearance de creatinina não tenha demonstrado alteração entre os grupos.