Ensaios sobre a estrutura a termo da taxa de juros

Esta tese é composta de três artigos que analisam a estrutura a termo das taxas de juros usando diferentes bases de dados e modelos. O capítulo 1 propõe um modelo paramétrico de taxas de juros que permite a segmentação e choques locais na estrutura a termo. Adotando dados do tesouro americano, duas versões desse modelo segmentado são implementadas. Baseado em uma sequência de 142 experimentos de previsão, os modelos propostos são comparados à benchmarks e concluí-se que eles performam melhor nos resultados das previsões fora da amostra, especialmente para as maturidades curtas e para o horizonte de previsão de 12 meses. O capítulo 2 acrescenta restrições de não arbitragem ao estimar um modelo polinomial gaussiano dinâmico de estrutura a termo para o mercado de taxas de juros brasileiro. Esse artigo propõe uma importante aproximação para a série temporal dos fatores de risco da estrutura a termo, que permite a extração do prêmio de risco das taxas de juros sem a necessidade de otimização de um modelo dinâmico completo. Essa metodologia tem a vantagem de ser facilmente implementada e obtém uma boa aproximação para o prêmio de risco da estrutura a termo, que pode ser usada em diferentes aplicações. O capítulo 3 modela a dinâmica conjunta das taxas nominais e reais usando um modelo afim de não arbitagem com variáveis macroeconômicas para a estrutura a termo, afim de decompor a diferença entre as taxas nominais e reais em prêmio de risco de inflação e expectativa de inflação no mercado americano. Uma versão sem variáveis macroeconômicas e uma versão com essas variáveis são implementadas e os prêmios de risco de inflação obtidos são pequenos e estáveis no período analisado, porém possuem diferenças na comparação dos dois modelos analisados.

Do options contain information about excess bond returns ?

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of time-varying volatility on excess returns for long-term bonds. To address this issue, we incorporate interest rate option prices, which are very sensitive to interest rate volatility, into a dynamic model for the term structure of interest rates. We estimate three-factor affine term structure models using both swap rates and interest rate cap prices. When we incorporate option prices, the model better captures interest rate volatility and is better able to predict excess returns for long-term swaps over short-term swaps, both in- and out-of-sample. Our results indicate that interest rate options contain valuable infor- mation about risk premia and interest rate dynamics that cannot be extracted from interest rates alone.

A systematic component of the jump-risk premium in an AJD model

We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite set of new state variables that affect the paths of the primitive, under both the actual and the risk-neutral measure, by being related to the primitive's jump process. Those new variables are assumed to be commom to all the primitives. We present simulations to ensure that the model generates the volatility smile and compute the "discounted conditional characteristic function'' transform that permits the pricing of a wide range of derivatives.

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.

Plane detection from monocular image sequences

AIRES, Kelson R. T. ; ARAÚJO, Hélder J. ; MEDEIROS, Adelardo A. D. . Plane Detection from Monocular Image Sequences. In: VISUALIZATION, IMAGING AND IMAGE PROCESSING, 2008, Palma de Mallorca, Spain. Proceedings..., Palma de Mallorca: VIIP, 2008

Interaction of small amounts of bovine serum albumin with phospholipid monolayers investigated by surface pressure and atomic force microscopy

The influence of small amounts of bovine serum albumin (BSA) (nM concentration) on the lateral organization of phospholipid monolayers at the air-water interface and transferred onto solid substrates as one-layer Langmuir-Blodgett (LB) films was investigated. The kinetics of adsorption of BSA onto the phospholipid monolayers was monitored with surface pressure isotherms in a Langmuir trough, for the zwitterionic dipalmitoylphosphatidyl ethanolamine (N,N-dimethyl-PE) and the anionic dimyristoylphosphatidic acid (DMPA). A monolayer of N,N-dimethyl-PE or DMPA incorporating BSA was transferred onto a solid substrate using the Langmuir-Blodgett technique. Atomic force microscopy (AFM) images of one-layer LB films displayed protein-phospholipid domains, whose morphology was characterized using dynamic scaling theories to calculate roughness exponents. For DMPA-BSA films the surface is characteristic of self-affine fractals, which may be described with the Kardar-Parisi-Zhang (KPZ) equation. on the other hand, for N,N-dimethyl-PE-BSA films, the results indicate a relatively flat surface within the globule. The height profile and the number and size of globules varied with the type of phospholipid. The overall results, from kinetics of adsorption on Langmuir monolayers and surface morphology in LB films, could be interpreted in terms of the higher affinity of BSA to the anionic DMPA than to the zwitterionic N,N-dimethyl-PE. Furthermore, the effects from such small amounts of BSA in the monolayer point to a cooperative response of DMPA and N,N-dimethyl-PE monolayers to the protein. (c) 2005 Elsevier B.V. All rights reserved.

Fractal characterization of brittle fracture in ceramics under mode I stress loading

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

Função Afifim: Teoria e aplicações

In this work we present a proposal to contribute to the teaching and learning of affine function in the first year of high school having as prerequisite mathematical knowledge of basic education. The proposal focuses on some properties, special cases and applications of affine functions in order to show the importance of the demonstrations while awaken student interest by showing how this function is important to solve everyday problems

Effect of salivary stimulation on erosion of human and bovine enamel subjected or not to subsequent abrasion: An in situ/ex vivo study

This in situ/ex vivo study evaluated whether saliva stimulated by chewing gum could prevent or reduce the wear and the percent change in microhardness (%SMH) of bovine and human enamel submitted to erosion followed by brushing abrasion immediately or after 1 h. During 2 experimental 7-day crossover phases, 9 previously selected volunteers wore intraoral palatal devices, with 12 enamel specimens (6 human and 6 bovine). In the first phase, the volunteers immersed the device for 5 min in 150 ml of cola drink, 4 times per day (at 8, 12, 16 and 20 h). Immediately after the immersions, no treatment was performed in 4 specimens, 4 other specimens were immediately brushed (0 min) using a fluoride dentifrice, and the device was replaced into the mouth. After 60 min, the remaining 4 specimens were brushed. In the second phase, the procedures were repeated, but after the immersions, the volunteers stimulated the salivary flow rate by chewing a sugar-free gum for 30 min. Changes in wear and %SMH were measured. ANOVA and Tukey's test showed statistical differences (p < 0.05) for the following comparisons. The chewing gum promoted less wear and %SMH. A decreasing %SMH and an increasing enamel wear were observed in the following conditions: erosion only, 60 min and 0 min. The human enamel presented greater %SMH and less wear compared to bovine enamel. The data suggest that the salivary stimulation after an erosive or erosive/abrasive attack can reduce the dental wear and the %SMH.

Titanium surface topography after brushing with fluoride and fluoride-free toothpaste simulating 10 years of use

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Classification and characterization of places for mapping of environment using hierarchical neural network and omnivision

Mobile robots need autonomy to fulfill their tasks. Such autonomy is related whith their capacity to explorer and to recognize their navigation environments. In this context, the present work considers techniques for the classification and extraction of features from images, using artificial neural networks. This images are used in the mapping and localization system of LACE (Automation and Evolutive Computing Laboratory) mobile robot. In this direction, the robot uses a sensorial system composed by ultrasound sensors and a catadioptric vision system equipped with a camera and a conical mirror. The mapping system is composed of three modules; two of them will be presented in this paper: the classifier and the characterizer modules. Results of these modules simulations are presented in this paper.

T-duality in 2D integrable models

The non-conformal analogue of Abelian T-duality transformations relating pairs of axial and vector integrable models from the non-Abelian affine Toda family is constructed and studied in detail.

Solitons from dressing in an algebraic approach to the constrained KP hierarchy

The algebraic matrix hierarchy approach based on affine Lie sl(n) algebras leads to a variety of 1 + 1 soliton equations. By varying the rank of the underlying sl(n) algebra as well as its gradation in the affine setting, one encompasses the set of the soliton equations of the constrained KP hierarchy.The soliton solutions are then obtained as elements of the orbits of the dressing transformations constructed in terms of representations of the vertex operators of the affine sl(n) algebras realized in the unconventional gradations. Such soliton solutions exhibit non-trivial dependence on the KdV (odd) time flows and KP (odd and even) time Bows which distinguishes them From the conventional structure of the Darboux-Backlund-Wronskian solutions of the constrained KP hierarchy.

Electrically charged topological solitons

Two new families of T-dual integrable models of dyonic type are constructed. They represent specific A(n)((1)) singular non-abelian affine Toda models having U(1) global symmetry. Their I-soliton spectrum contains both neutral and U(I)-charged topological solitons sharing the main properties of 4-dimensional Yang-Mills-Higgs monopoles and dyons. The semiclassical quantization of these solutions as well as the exact counterterms and the coupling constant renormalization are studied. (C) 2001 Elsevier B.V. B.V. All rights reserved.