Pricing and hedging of oil futures : a unifying approach

We develop and empirically test a continuous time equilibrium model for the pricing of oil futures. The model provides a link between no-arbitrage models and expectation oriented models. It highlights the role of inventories for the identification of different pricing regimes. In an empirical study the hedging performance of our model is compared with five other one- and two-factor pricing models. The hedging problem considered is related to Metallgesellschaft´s strategy to hedge long-term forward commitments with short-term futures. The results show that the downside risk distribution of our inventory based model stochastically dominates those of the other models.

The long-run economic impact of AIDS

This paper studies the long-run impact of HIV / AIDS on per capita income and education. We introduce a channel from HIV / AIDS to long-run income that has been overlooked by the literature, the reduction of the incentives to study due to shorter expected longevity. We work with a continuous time overlapping generations mo deI in which life cycle features of savings and education decision play key roles. The simulations predict that the most affected countries in Sub-Saharan Africa will be in the future, on average, a quarter poorer than they would be without AIDS, due only to the direct (human capital reduction) and indirect (decline in savings and investment) effects of life-expectancy reductions. Schooling will decline on average by half. These findings are well above previous results in the literature and indicate that, as pessimistic as they may be, at least in economic terms the worst could be yet to come.

Microfounded forecasting

Our focus is on information in expectation surveys that can now be built on thousands (or millions) of respondents on an almost continuous-time basis (big data) and in continuous macroeconomic surveys with a limited number of respondents. We show that, under standard microeconomic and econometric techniques, survey forecasts are an affine function of the conditional expectation of the target variable. This is true whether or not the survey respondent knows the data-generating process (DGP) of the target variable or the econometrician knows the respondents individual loss function. If the econometrician has a mean-squared-error risk function, we show that asymptotically efficient forecasts of the target variable can be built using Hansens (Econometrica, 1982) generalized method of moments in a panel-data context, when N and T diverge or when T diverges with N xed. Sequential asymptotic results are obtained using Phillips and Moon s (Econometrica, 1999) framework. Possible extensions are also discussed.

Análise operacional e econômica do processamento de madeira de Eucalitpo com Hypro em região montanhosa

O processo constante de avaliação técnica e econômica dos sistemas de colheita de madeira é intrínseco às empresas florestais, devido ao fato de corresponder a uma fase de suma importância que despende elevado investimento financeiro. No experimento deste trabalho, estudaram-se o rendimento operacional e custos operacionais e de produção do processador florestal Hypro. A análise técnica englobou estudos de tempos e movimentos pelo método de tempo contínuo. O rendimento operacional foi determinado através do volume, em metros cúbicos de madeira processada. A análise econômica incorporou os parâmetros do custo operacional, custo de processamento da madeira e rendimento energético. A análise dos dados evidenciou que o rendimento operacional por hora efetiva de trabalho foi de 38 árvores e, em metros cúbicos sem casca por hora efetiva de trabalho, de 11,68 m³ h-1, com custo de processamento de madeira sem casca de US$ 6.85 por metro cúbico.

Influência do relevo na produtividade e custos do harvester

Among the several variables that influence timber harvesting is the slope, which influences the productivity of forest machines. In this experiment the harvester was evaluated technically and economically while cutting and processing eucalyptus activity on different slope classes. The technical analysis included a study of time and movements by the method of continuous time; productivity was determined by the volume in cubic meters of wood processing. The economic analysis included the parameters of operational cost, production cost and energy consumption. The analysis of the data showed that productivity decreased according to the increase of the percent slope inclination, resulting in an effective work hour productivity increase from 18.72 to 39.71 m(3)sc, with a mean of operating cost of US$ 78.78 per work hour.

Avaliação técnica e econômica do corte de eucalipto com feller-buncher em diferentes condições operacionais

This study aimed to technically and economically evaluate the Feller-buncher in different conditions of harvest in eucalypt forests of second cut. The technical analysis included a study of time and movements by the method of continuous time, and operational performance was determined by volume in cubic meters of harvested wood. The economic analysis included the parameters of operational cost, harvest cost and energy consumption. The analysis of the data showed that the composition of main line harvesting and the arrangement of bundles of trees influenced operational performance. The average operational cost was US$ 86.26 per hour of actual work, which resulted in an average cost of forest harvesting of US$ 1.09 m(-3).

Analog neural nonderivative optimizers

Continuous-time neural networks for solving convex nonlinear unconstrained;programming problems without using gradient information of the objective function are proposed and analyzed. Thus, the proposed networks are nonderivative optimizers. First, networks for optimizing objective functions of one variable are discussed. Then, an existing one-dimensional optimizer is analyzed, and a new line search optimizer is proposed. It is shown that the proposed optimizer network is robust in the sense that it has disturbance rejection property. The network can be implemented easily in hardware using standard circuit elements. The one-dimensional net is used as a building block in multidimensional networks for optimizing objective functions of several variables. The multidimensional nets implement a continuous version of the coordinate descent method.

A current-mode based Field-Programmable Analog Array for signal processing applications

This paper presents a new approach to develop Field Programmable Analog Arrays (FPAAs),(1) which avoids excessive number of programming elements in the signal path, thus enhancing the performance. The paper also introduces a novel FPAA architecture, devoid of the conventional switching and connection modules. The proposed FPAA is based on simple current mode sub-circuits. An uncompounded methodology has been employed for the programming of the Configurable Analog Cell (CAC). Current mode approach has enabled the operation of the FPAA presented here, over almost three decades of frequency range. We have demonstrated the feasibility of the FPAA by implementing some signal processing functions.

On relaxed LMI-based design for fuzzy controllers

Relaxed conditions for stability of nonlinear continuous-time systems given by fuzzy models axe presented. A theoretical analysis shows that the proposed method provides better or at least the same results of the methods presented in the literature. Digital simulations exemplify this fact. This result is also used for fuzzy regulators design. The nonlinear systems are represented by fuzzy models proposed by Takagi and Sugeno. The stability analysis and the design of controllers axe described by LMIs (Linear Matrix Inequalities), that can be solved efficiently using convex programming techniques.

Variable-Structure Control Design of Switched Systems With an Application to a DC-DC Power Converter

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

Less Conservative Control Design for Linear Systems with Polytopic Uncertainties via State-Derivative Feedback

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

O sobre-sinal e a resposta inversa em sistemas de controle lineares contínuos no tempo

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

A low-voltage wide-swing programmable-gain current amplifier

A CMOS low-voltage, wide-swing continuous-time current amplifier is presented. Exhibiting an open-loop architecture, the circuit is composed of transresistance and transconductance stages built upon triode-operating transistors. In addition to an extended dynamic range, the current gain can be programmed within good accuracy by a rapport involving only transistor geometries and tuning biases. Low temperature-drift on gain setting is then expected.In accordance with a 0.35 mum n-well CMOS fabrication process and a single 1.1 V-supply, a balanced current-amplifier is designed for a programmable gain-range of 6 - 34 dB and optimized with respect to dynamic range. Simulated results from PSPICE and Bsim3v3 models indicate, for a 100 muA(pp)-output current, a THD of 0.96 and 1.87% at 1 KHz and 100 KHz, respectively. Input noise is 120 pArootHz @ 10 Hz, with S/N = 63.2 dB @ 1%-THD. At maximum gain, total quiescent consumption is 334 muW. Measurements from a prototyped amplifier reveal a gain-interval of 4.8-33.1 dB and a maximum current swing of 120 muA(pp). The current-amplifier bandwidth is above 1 MHz.

Global optimization approach for the H2-norm model reduction problem

A branch and bound algorithm is proposed to solve the H2-norm model reduction problem for continuous-time linear systems, with conditions assuring convergence to the global optimum in finite time. The lower and upper bounds used in the optimization procedure are obtained through Linear Matrix Inequalities formulations. Examples illustrate the results.

A low-voltage programmable-gain current-mode amplifier

A CMOS low-voltage, wide-band continuous-time current amplifier is presented. Based on an open-loop topology, the circuit is composed by transresistance and transconductance stages built around triode-operating transistors. In addition to an extended dynamic range, the amplifier gain can be programmed within good accuracy by the rapport between the aspect-ratio of such transistors and tuning biases Vxand Vy. A balanced current-amplifier according to a single I. IV-supply and a 0.35μm fabrication process is designed. Simulated results from PSPiCE and Bsm3v3 models indicate a programmable gain within the range 20-34dB and a minimum break-frequency of IMHz @CL=IpF. For a 200 μApp-level, THD is 0.8% and 0.9% at IKHz and 100KHz, respectively. Input noise is 405pA√Hz @20dB-gain, which gives a SNR of 66dB @1MHz-bandwidth. Maximum quiescent power consumption is 56μ W. © 2002 IEEE.