XII Iberian-Italian Congress of Financial and Actuarial Mathematics

"The purpose of the XII Iberian-Italian Congress of Financial and Actuarial Mathematics is to provide a meeting point for researchers in Financial Economics from different countries and research backgrounds in universities, government or financial institutions. In fact, the Congress which is currently taking place in Lisbon has been organized to encourage communication and debate among the participants as well as to reinforce the bonds between us.The current edition of the Congress is characterized by the quality and diversity of the papers that have been submitted with special attention to the International Financial Crisis and measures of risk in different financial markets. However, as the Congress Program indicates, there are also parallel sessions about traditional topics in finance such as asset pricing, insurance, corporate finance, etc.Although this Congress has always been organized alternately between Spain and Italy, this year we have the great pleasure of celebrating it in Portugal which will be included as a permanent partner." [prefácio]

O sistema de controlo interno nas autarquias locais: o caso do Município de Espinho

Dissertação de Mestrado Apresentada ao Instituto de Contabilidade e Administração do Porto para a obtenção do grau de Mestre em Auditoria Orientador: Doutor Carlos Mota Coorientadora: Doutora Ana Paula Lopes

Multiple Roots of Systems of Equations by Repulsion Merit Functions

In this paper we address the problem of computing multiple roots of a system of nonlinear equations through the global optimization of an appropriate merit function. The search procedure for a global minimizer of the merit function is carried out by a metaheuristic, known as harmony search, which does not require any derivative information. The multiple roots of the system are sequentially determined along several iterations of a single run, where the merit function is accordingly modified by penalty terms that aim to create repulsion areas around previously computed minimizers. A repulsion algorithm based on a multiplicative kind penalty function is proposed. Preliminary numerical experiments with a benchmark set of problems show the effectiveness of the proposed method.

Estimation of the Crustal Bulk Properties Beneath Mainland Portugal from P-Wave Teleseismic Receiver Functions

In this work, we present results from teleseismic P-wave receiver functions (PRFs) obtained in Portugal, Western Iberia. A dense seismic station deployment conducted between 2010 and 2012, in the scope of the WILAS project and covering the entire country, allowed the most spatially extensive probing on the bulk crustal seismic properties of Portugal up to date. The application of the H-κ stacking algorithm to the PRFs enabled us to estimate the crustal thickness (H) and the average crustal ratio of the P- and S-waves velocities V p/V s (κ) for the region. Observations of Moho conversions indicate that this interface is relatively smooth with the crustal thickness ranging between 24 and 34 km, with an average of 30 km. The highest V p/V s values are found on the Mesozoic-Cenozoic crust beneath the western and southern coastal domain of Portugal, whereas the lowest values correspond to Palaeozoic crust underlying the remaining part of the subject area. An average V p/V s is found to be 1.72, ranging 1.63-1.86 across the study area, indicating a predominantly felsic composition. Overall, we systematically observe a decrease of V p/V s with increasing crustal thickness. Taken as a whole, our results indicate a clear distinction between the geological zones of the Variscan Iberian Massif in Portugal, the overall shape of the anomalies conditioned by the shape of the Ibero-Armorican Arc, and associated Late Paleozoic suture zones, and the Meso-Cenozoic basin associated with Atlantic rifting stages. Thickened crust (30-34 km) across the studied region may be inherited from continental collision during the Paleozoic Variscan orogeny. An anomalous crustal thinning to around 28 km is observed beneath the central part of the Central Iberian Zone and the eastern part of South Portuguese Zone.

Mantle beneath the Gibraltar Arc from receiver functions

P and S receiver functions (PRF and SRF) from 19 seismograph stations in the Gibraltar Arc and the Iberian Massif reveal new details of the regional deep structure. Within the high-velocity mantle body below southern Spain the 660-km discontinuity is depressed by at least 20 km. The Ps phase from the 410-km discontinuity is missing at most stations in the Gibraltar Arc. A thin (similar to 50 km) low-S-velocity layer atop the 410-km discontinuity is found under the Atlantic margin. At most stations the S410p phase in the SRFs arrives 1.0-2.5 s earlier than predicted by IASP91 model, but, for the propagation paths through the upper mantle below southern Spain, the arrivals of S410p are delayed by up to +1.5 s. The early arrivals can be explained by elevated Vp/Vs ratio in the upper mantle or by a depressed 410-km discontinuity. The positive residuals are indicative of a low (similar to 1.7 versus similar to 1.8 in IASP91) Vp/Vs ratio. Previously, the low ratio was found in depleted lithosphere of Precambrian cratons. From simultaneous inversion of the PRFs and SRFs we recognize two types of the mantle: 'continental' and 'oceanic'. In the 'continental' upper mantle the S-wave velocity in the high-velocity lid is 4.4-4.5 km s(-1), the S-velocity contrast between the lid and the underlying mantle is often near the limit of resolution (0.1 km s(-1)), and the bottom of the lid is at a depth reaching 90 100 km. In the 'oceanic' domain, the S-wave velocities in the lid and the underlying mantle are typically 4.2-4.3 and similar to 4.0 km s(-1), respectively. The bottom of the lid is at a shallow depth (around 50 km), and at some locations the lid is replaced by a low S-wave velocity layer. The narrow S-N-oriented band of earthquakes at depths from 70 to 120 km in the Alboran Sea is in the 'continental' domain, near the boundary between the 'continental' and 'oceanic' domains, and the intermediate seismicity may be an effect of ongoing destruction of the continental lithosphere.

On derivatives and norms of generalized matrix functions and respective symmetric powers

In recent papers, the authors obtained formulas for directional derivatives of all orders, of the immanant and of the m-th xi-symmetric tensor power of an operator and a matrix, when xi is a character of the full symmetric group. The operator norm of these derivatives was also calculated. In this paper, similar results are established for generalized matrix functions and for every symmetric tensor power.

A fractional perspective to financial indices

The application of mathematical methods and computer algorithms in the analysis of economic and financial data series aims to give empirical descriptions of the hidden relations between many complex or unknown variables and systems. This strategy overcomes the requirement for building models based on a set of ‘fundamental laws’, which is the paradigm for studying phenomena usual in physics and engineering. In spite of this shortcut, the fact is that financial series demonstrate to be hard to tackle, involving complex memory effects and a apparently chaotic behaviour. Several measures for describing these objects were adopted by market agents, but, due to their simplicity, they are not capable to cope with the diversity and complexity embedded in the data. Therefore, it is important to propose new measures that, on one hand, are highly interpretable by standard personal but, on the other hand, are capable of capturing a significant part of the dynamical effects.

Estimation of rotational frequency response functions

As it is widely known, in structural dynamic applications, ranging from structural coupling to model updating, the incompatibility between measured and simulated data is inevitable, due to the problem of coordinate incompleteness. Usually, the experimental data from conventional vibration testing is collected at a few translational degrees of freedom (DOF) due to applied forces, using hammer or shaker exciters, over a limited frequency range. Hence, one can only measure a portion of the receptance matrix, few columns, related to the forced DOFs, and rows, related to the measured DOFs. In contrast, by finite element modeling, one can obtain a full data set, both in terms of DOFs and identified modes. Over the years, several model reduction techniques have been proposed, as well as data expansion ones. However, the latter are significantly fewer and the demand for efficient techniques is still an issue. In this work, one proposes a technique for expanding measured frequency response functions (FRF) over the entire set of DOFs. This technique is based upon a modified Kidder's method and the principle of reciprocity, and it avoids the need for modal identification, as it uses the measured FRFs directly. In order to illustrate the performance of the proposed technique, a set of simulated experimental translational FRFs is taken as reference to estimate rotational FRFs, including those that are due to applied moments.

Reducing the number of membership functions in linguistic variables

Dissertation presented at Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia in fulfilment of the requirements for the Masters degree in Mathematics and Applications, specialization in Actuarial Sciences, Statistics and Operations Research

Expression of antibodies and retroviralVectors from defined chromosomal sites: strategies towards reliable production systems

Dissertation presented to obtain a Ph.D. degree in Sciences of Engineering and Technology, Cell Technology, at the Instituto de Tecnologia Química e Biológica, Universidade Nova de Lisboa

Lean enterprise resource planning

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia e Gestão Industrial

Multi-Objective and Financial Portfolio Optimization of Carrier-Sense Multiple Access Protocols with Cooperative Diversity

8th International Workshop on Multiple Access Communications (MACOM2015), Helsinki, Finland.

Metabolism of primary astrocytes studied by NMR: metabolic trafficking and neuroprotection

Dissertation presented to obtain a Ph. D. degree in Biochemistry by Universidade Nova de Lisboa, Instituto de Tecnologia Química e Biológica.

Metabolic flux analysis of neural cell metabolism in primary cultures

Dissertation presented to obtain the Ph.D degree in Biochemistry, Neuroscience