Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

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

Production of cyclodextrins by CGTase from Bacillus clausii using different starches as substrates

Cyclodextrins ( CDs) are cyclic oligasaccharides composed by D- glucose monomers joined by alpha- 1,4-D glicosidic linkages. The main types of CDs are alpha-,beta-and gamma-CDs consisting of cycles of six, seven, and eight glucose monomers, respectively. Their ability to form inclusion complexes is the most important characteristic, allowing their wide industrial application. The physical property of the CD-complexed compound can be altered to improve stability, volatility, solubility, or bio-availability. The cyclomaltodextrin glucanotransferase ( CGTase, EC 2.4.1.19) is an enzyme capable of converting starch into CD molecules. In this work, the CGTase produced by Bacillus clausii strain E16 was used to produce CD from maltodextrin and different starches ( commercial soluble starch, corn, cassava, sweet potato, and waxy corn starches) as substrates. It was observed that the substrate sources influence the kind of CD obtained and that this CGTase displays a beta- CGTase action, presenting a better conversion of soluble starch at 1.0%, of which 80% was converted in CDs. The ratio of total CD produced was 0: 0.89: 0.11 for alpha/beta/gamma. It was also observed that root and tuber starches were more accessible to CGTase action than seed starch under the studied conditions.

Testing option pricing with the Edgeworth expansion

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.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Composição do óleo essencial de rubim (Leonurus sibiricus L. - Lamiaceae)

The essential oils are found in a great number of Lamiaceae family species, but few researches were carried out on this subject. This work had as a goal to identify the Leonurus sibiricus L. (rubim) essential oil composition. Rubim leaves and flowers in infusion are able to avoid vomit, diarrhea, and are also indicated in cold, cough, bronchitis and rheumatisms cases. In order to know what are the phytochemical compositions involved, it was used the gas chromatography techniques with mass spectrometry (GC-MS) as methodology. The results showed 70% volatility compound by trans-cariophylene, alpha-humulene and germacrene-D. Other substances like gamacadinene, beta-bourborene and alpha-copaene were found like compounds of this essential oil species.

Multiresidue determination of herbicides in environmental waters from Primavera do Leste region (Middle West of Brazil) by SPE-GC-NPD

A study on the presence of herbicides, namely simazine, metribuzin, metolachlor, trifluralin, atrazine and two metabolites, deisopropylatrazine (DIA) and deethylatrazine (DEA), was performed in ground and surface waters from Primavera do Leste region, Mato Grosso state (Middle West of Brazil). The analytical procedure was based on solid-phase extraction (SPE) with Sep-Pak C18 disposable cartridges and ethyl acetate for elution solvent. Residue levels were determined by gas chromatography with nitrogen-phosphorus detection. For most of the pesticides average recoveries at different fortification levels were >with relative standard deviation < The recoveries of DIA and trifluralin in water were 25% and 56%, respectively, which were attributed to the incomplete retention of DIA and strong retention on the sorbing material and high volatility of trifluralin. Detection limits ranged from 0.023 to 0.088 μg L-1. This method was applied for the analysis of 5 superficial water samples and 28 groundwater samples, in places used for human consumption without previous treatment, collected in Primavera do Leste, Mato Grosso, Brazil. Results indicated that the highest level of contamination in a water sample was 1.732 μg L-1 for metolachlor, while metribuzin was the most frequently detected herbicide with maximum concentration of 0.351 μg L-1. ©2006 Sociedade Brasileira de Química.

Hybrid nanocomposites containing carboxymethylcellulose and silver nanoparticles

Silver nanoparticles have high temperature stability and low volatility, and at the nanoscale are known to be an effective antifungal and antimicrobial agent. The present investigation involves the synthesis of silver nanoparticle/carboxymethylcellulose nanocomposites. The nanoparticles synthesised in this study had sizes in the range of 100 and 40 nm. The nanocomposites formed by a combination of metallic nanoparticles and carboxymethylcellulose were characterised by contact angle measurements, solubility tests, thermal and mechanical analyses, and morphological images. Improvements in the hydrophobic properties were observed with inclusion of the nanoparticles in the nanocomposites, with the best results occurring after the addition of 40 nm nanoparticles in a carboxymethylcellulose matrix. The silver nanoparticles tend to occupy the empty spaces in the pores of the carboxymethylcellulose matrix, inducing the collapse of these pores and thereby improving the tensile and barrier properties of the film. Copyright © 2013 American Scientific Publishers All rights reserved.

Modelagem estocástica de opções de câmbio no Brasil: aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston

Pós-graduação em Física - IFT

Verificação e análise dos fatos estilizados no mercado de ações brasileiro

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estrutura e propriedades de filmes finos ferroelétricos do sistema PZT

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

O dualismo partidário no período de 1966 a 1982 e sua representação local

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Desenvolvimento de biodiesel microemulsionado com reaproveitamento de resíduos de óleos vegetais

Pós-graduação em Engenharia Mecânica - FEG

Confidence and the Stock Market: An Agent-Based Approach

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

The Use of Headspace Solid-Phase Microextraction (HS-SPME) to Assess the Quality and Stability of Fruit Products: An Example Using Red Mombin Pulp (Spondias purpurea L.)

The present study aimed to evaluate the volatiles profile of red mombin (Spondias purpurea) pulp and its powder produced by spray-drying (SD) as an example to show utility of headspace solid-phase microextraction (HS-SPME) in the analysis of parameters such as the quality and stability of fruit products. Volatiles profiles of the pulp were identified by gas chromatography-mass spectrometry (GC-MS), quantified by gas chromatography-flame ionization detector (GC-FID) and compared to the profile of the powder stored at 0, 60 and 120 days in plastic (PP) or laminated packages (LP). The results showed that the technique was able to identify 36 compounds in the red mombin pulp, 17 out of which have been described for the first time in this fruit, showing that red mombin fresh pulp appears to be unique in terms of volatiles composition. However, only 24 compounds were detected in the powder. This decrease is highly correlated (r(2) = 0.99), at least for the majority of compounds, to the degree of volatility of compounds. Furthermore, the powder stored in PP or LP showed no statistical differences in the amounts of its components for a period of 120 days of storage. Finally, this work shows how HS-SPME analysis can be a valuable tool to assess the quality and stability of fruit products.