11 resultados para Return-based pricing kernel

em Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho"


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The problems of wave propagation and power flow in the distribution network composed of an overhead wire parallel to the surface of the ground have not been satisfactorily solved. While a complete solution of the actual problem is impossible, as it is explained in the famous Carson's paper (1926), the solution of the problem, where the actual earth is replaced by a plane homogenous semi-infinite solid, is of considerable interest. In this paper, a power flow algorithm in distribution networks with earth return, based on backward-forward technique, is discussed. In this novel use of the technique, the ground is explicitly represented. In addition, an iterative method for determining impedance for modelling ground effect in the extended power flow algorithm is suggested. Results obtained from single-wire and three-wire studies using IEEE test networks are presented and discussed. (C) 2003 Elsevier Ltd. All rights reserved.

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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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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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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

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Two colonies of Acromyrmex subterraneus brunneus Forel (Hymenoptera: Formicidae) were studied regarding their behavior during cultivation of the fungus garden to determine a) the existence of post-selection of foraged material by the workers, and b) if present, the mechanism of this discrimination and how this material is returned. Many studies on plant processing by leaf-cutting ants have been carried out, but none of them has investigated the decision-making process of workers in the case of erroneous food selection. For this purpose, material with different degrees of moisture and hardness (floral sponge, polystyrene, plastic and clay) were individually offered to the colonies and the tasks performed by the different size categories were carefully recorded. Three tasks, i.e., foraging, cultivation of the fungus garden and return of the foraged material, were studied and subdivided into 14 subtasks. Analysis of all inert materials as a whole showed the presence of post-selection of foraged material through the return of material inadequate for the workers and the fungus. Discrimination of the inert material was observed at the time of shredding, probably based on parameters such as physical resistance to cutting and moisture content. A. s. brunneus workers showed flexibility in their activities during substrate processing. The observed post-selection of foraged material provides strong evidence for the cognitive abilities of worker ants and of the colony as a whole. Polymorphism and a complex society represent vital characteristics for the ecological success of this species.

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In this paper, a novel methodology to price the reactive power support ancillary service of Distributed Generators (DGs) with primary energy source uncertainty is shown. The proposed methodology provides the service pricing based on the Loss of Opportunity Costs (LOC) calculation. An algorithm is proposed to reduce the uncertainty present in these generators using Multiobjective Power Flows (MOPFs) implemented in multiple probabilistic scenarios through Monte Carlo Simulations (MCS), and modeling the time series associated with the generation of active power from DGs through Markov Chains (MC). © 2011 IEEE.

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Pós-graduação em Agronomia (Energia na Agricultura) - FCA

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

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The use of rainwater for non-potable purposes generates a reduction in the consumption of treated water, however, this reduction is not observed in the generation of wastewater, as this is independent of the water source. In Brazil, the pricing on the services of collection and treatment of sewage, in general, is based on the coefficient of return of the sewage disposal system, which has a relation sewer / water proportional to the consumption of treated water measured at the consumer unit. The use of rainwater originating from utilization systems infer on the coefficient, underestimating the volume of wastewater generated. Therefore, this study presents a methodology for setting the coefficient of return. Different roof areas, reservoir volumes and rates of water consumption situations were simulated. The behavior of adjustment of the coefficient of return were also analyzed for the average area per capita roof (m² / inhabitant) of Rio Claro - SP. As a result, it can be seen that the adjustment of the coefficient of return is directly proportional to the increase of the roof areas and the volumes of reservoirs, and inversely proportional to the total water demand. The corrected coefficient of return showed the minimum value of 0.83 and a maximum value of 1.45, this variation corresponds to the maximum ratio between the demands of total water and rainwater, since the exploitation of rain water should be used only for non-potable uses, according to NBR 15527 / 07. To the municipality of Rio Claro - SP was noted an adjustment of the coefficient of return ranging from 0.99 to 6.61

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Non-Hodgkin lymphomas are of many distinct types, and different classification systems make it difficult to diagnose them correctly. Many of these systems classify lymphomas only based on what they look like under a microscope. In 2008 the World Health Organisation (WHO) introduced the most recent system, which also considers the chromosome features of the lymphoma cells and the presence of certain proteins on their surface. The WHO system is the one that we apply in this work. Herewith we present an automatic method to classify histological images of three types of non-Hodgkin lymphoma. Our method is based on the Stationary Wavelet Transform (SWT), and it consists of three steps: 1) extracting sub-bands from the histological image through SWT, 2) applying Analysis of Variance (ANOVA) to clean noise and select the most relevant information, 3) classifying it by the Support Vector Machine (SVM) algorithm. The kernel types Linear, RBF and Polynomial were evaluated with our method applied to 210 images of lymphoma from the National Institute on Aging. We concluded that the following combination led to the most relevant results: detail sub-band, ANOVA and SVM with Linear and RBF kernels.