Dynamic delta hedging of autocallables under a discrete rebalancing context

This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.

Exposição profissional ao chumbo : utilização do doseamento do ácido delta-aminolevulínico urinário na vigilância médica dos trabalhadores

RESUMO - O ácido δ-aminolevulínico presente na urina (ALA-U) é generalizadamente aceite como um indicador adequado para a vigilância de saúde de trabalhadores expostos a chumbo. A necessidade ou não de recurso a colheitas de urina de 24 horas para um correcto doseamento desse metabolito tem, entretanto, suscitado algumas dúvidas. Num estudo abrangendo 45 indivíduos (28 dos quais profissionalmente expostos a chumbo inorgânico) efectuou-se o doseamento do ALA em urinas colhidas durante 24 horas e em urina de colheita única. Confirmou-se a existência de uma boa correlação entre o ALA urinário e a plumbemia e que o tipo de colheita de urina efectuada não influencia significativamente essa associação. Contudo, pela apreciação das variações interindividuais registadas, parece aconselhável que seja privilegiado o doseamento em urinas de 24 horas.

Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets, where they often fail to verify. We are going to conduct a series of tests in simulated underlying price series, where alternatively each assumption will be violated and every option delta hedging profit and loss analysed. Ultimately we will monitor how the aggressiveness of an option payoff causes its hedging to be more vulnerable to profit and loss variations, caused by the referred assumptions.

Degradation of all-inkjet-printed organic thin-film transistors with TIPS-pentacene under processes applied in textile manufacturing

Printed electronics represent an alternative solution for the manufacturing of low-temperature and large area flexible electronics. The use of inkjet printing is showing major advantages when compared to other established printing technologies such as, gravure, screen or offset printing, allowing the reduction of manufacturing costs due to its efficient material usage and the direct-writing approach without requirement of any masks. However, several technological restrictions for printed electronics can hinder its application potential, e.g. the device stability under atmospheric or even more stringent conditions. Here, we study the influence of specific mechanical, chemical, and temperature treatments usually appearing in manufacturing processes for textiles on the electrical performance of all-inkjet-printed organic thin-film transistors (OTFTs). Therefore, OTFTs where manufactured with silver electrodes, a UV curable dielectric, and 6,13-bis(triisopropylsilylethynyl) pentance (TIPS-pentacene) as the active semiconductor layer. All the layers were deposited using inkjet printing. After electrical characterization of the printed OTFTs, a simple encapsulation method was applied followed by the degradation study allowing a comparison of the electrical performance of treated and not treated OTFTs. Industrial calendering, dyeing, washing and stentering were selected as typical textile processes and treatment methods for the printed OTFTs. It is shown that the all-inkjet-printed OTFTs fabricated in this work are functional after their submission to the textiles processes but with degradation in the electrical performance, exhibiting higher degradation in the OTFTs with shorter channel lengths (L=10 μm).

Microencapsulation of ellagic acid from pomegranate husk and karaya gum by spray drying

Objective: The aim of this study was to obtain and characterize microcapsules with Ellagic Acid (EA) from pomegranate as core material and Karaya Gum (KG) as wall material. Methods: EA was obtained from dry pomegranate peel powder via methanolysis and quantified by HPLC. Microcapsules were obtained preparing a dispersion containing KG and EA in phosphate buffer pH 8. The dispersion was processed in a spray dryer under specific conditions (inlet temperature at 150 °C, feed flow at 30% and aspirator at 100 %) for obtaining of microcapsules. Fourier transform infrared (FTIR) spectroscopy, differential scanning calorimetry (DSC) and scanning electron microscopy (SEM) were used for characterization. Results: Obtained material contains 98.03±2.82 mg EA/g of pomegranate peel. FTIR showed that there were changes in the molecular structure of microcapsules referred to raw materials. SEM confirmed that particles obtained had micron-size (1-5 µm). DSC analysis showed that raw materials had glass transition temperatures of 79.58 and 83.41 °C and for microcapsules the value was67.25 °C. Conclusion: Methanolysis is a viable technique for the obtaining of EA from the peel of pomegranate. KG shows good potential for be used as wall material for EA microencapsulation.

Multifunctional Ti–Me (Me=Al, Cu) thin film systems for biomedical sensing devices

Ti-Me binary intermetallic thin films based on a titanium matrix doped with increasing amounts of Me (Me = Al, Cu) were prepared by magnetron sputtering (under similar conditions), aiming their application in biomedical sensing devices. The differences observed on the composition and on the micro(structural) features of the films, attributed to changes in the discharge characteristics, were correlated with the electrical properties of the intermetallic systems (Ti-Al and Ti-Cu). For the same Me exposed areas placed on the Ti target (ranging from 0.25 cm2 to 20 cm2) the Cu content increased from 3.5 at.% to 71.7 at.% in the Ti-Cu system and the Al content, in Ti-Al films, ranged from 11 to 45 at.%. The structural characterization evidenced the formation of metastable Ti-Me intermetallic phases for Al/Ti atomic ratios above 0.20 and for Cu/Ti ratios above 0.25. For lower Me concentrations, the effect of the α-Ti(Me) structure domains the overall structure. With the increase amount of the Me into Ti structure a clear trend for amorphization was observed. For both systems it was observed a significant decrease of the electrical resistivity with increasing Me/Ti atomic ratios (higher than 0.5 for Al/Ti atomic ratio and higher than 1.3 for Cu/Ti atomic ratio). Although similar trends were observed in the resistivity evolution for both systems, the Ti-Cu films presented lower resistivity values in comparison to Ti-Al system.

Flexible gastrointestinal motility pressure sensors based on aluminum thin-film strain-gauge arrays

This paper reports on an innovative approach to measuring intraluminal pressure in the upper gastrointestinal (GI) tract, especially monitoring GI motility and peristaltic movements. The proposed approach relies on thin-film aluminum strain gauges deposited on top of a Kapton membrane, which in turn lies on top of an SU-8 diaphragm-like structure. This structure enables the Kapton membrane to bend when pressure is applied, thereby affecting the strain gauges and effectively changing their electrical resistance. The sensor, with an area of 3.4 mm2, is fabricated using photolithography and standard microfabrication techniques (wet etching). It features a linear response (R2 = 0.9987) and an overall sensitivity of 2.6 mV mmHg−1. Additionally, its topology allows a high integration capability. The strain gauges’ responses to pressure were studied and the fabrication process optimized to achieve high sensitivity, linearity, and reproducibility. The sequential acquisition of the different signals is carried out by a microcontroller, with a 10-bit ADC and a sample rate of 250 Hz. The pressure signals are then presented in a user-friendly interface, developed using the Integrated Development Environment software, QtCreator IDE, for better visualization by physicians.

Flexible thin-film lithium battery

Tese de Doutoramento Programa Doutoral em Engenharia Electrónica e Computadores.

Identificación de canales voltaje-activados de calcio cuya función es inhibida por la activación de receptores opioides tipo delta

Los canales de calcio proveen la vía más importante para el influjo de calcio al interior de las neuronas, ion que tiene importancia central en la liberación de neurotransmisor, regulación de la excitabilidad celular e inicio de un número importante de respuestas celulares. Y están además involucrados en diversas patologías cerebrales. Los agonistas opioides, por su parte, son reconocidos como importantes substancias que regulan la neurotransmisión y excitabilida neuronal, ya sean liberados como agentes hormonales endógenos o administrados exógenamente. La literatura y nuestros experimentos preliminares indican que es de esperar que los agonistas delta-opioides inhiban más de un tipo de canal de calcio. Determinar los tipos es de importancia porque distintos tipos de canales de calcio pueden estar involucrados en funciones celulares diferentes, ya sea en virtud de la particular forma de funcionar de cada uno de ellos o debido a su distribución localizada en distintos dominios subcelulares (dendritas, axones, soma). Además, el estudio de esta cuestión es central para entender el mecanismo celular y subcelular de acción de los neuromoduladores opioides. Con el Objetivo General de entender los mecanismos celulares básicos mediante los cuales los compuestos opioides afectan la excitabilidad de las células nerviosas y la transmisión sináptica, nos planteamos como Objetivo Específico la determinación de los tipos específicos de canales iónicos voltaje-dependientes de Ca2+, cuya función es inhibida por agonistas opioides selectivos para receptores opiáceos delta.

Experimental study of local heat transfer during quenching of metals by spray and multiple jets

Magdeburg, Univ., Fak. für Verfahrens- und Systemtechnik, Diss., 2011

Humeruskopffrakturen : funktionelle, radiologische und neurophysiologische Ergebnisse nach winkelstabiler Plattenosteosynthese über den erweiterten anterolateralen Delta-Splitting-Zugang

Magdeburg, Univ., Med. Fak., Diss., 2012

Control of fluidized bed spray granulation processes

Magdeburg, Univ., Fak. für Elektrotechnik und Informationstechnik, Diss., 2012

Model-based measurement and control of fluidised bed spray granulation processes

Magdeburg, Univ., Fak. für Verfahrens- und Systemtechnik, Diss., 2012

Feststoffdynamik und Partikelverweilzeiten am Beispiel der Top-Spray Wirbelschichtsprühgranulation

Magdeburg, Univ., Fak. für Verfahrens- und Systemtechnik, Diss., 2013