Estimating the term structure of volatility and fixed income derivative pricing

Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.

Options listing and the volatility of the underlying asset: a study on the derivative market function

Os mercados de derivativos são vistos com muita desconfiança por inúmeras pessoas. O trabalho analisa o efeito da introdução de opções sobre ações no mercado brasileiro buscando identificar uma outra justificativa para a existência destes mercados: a alteração no nível de risco dos ativos objetos destas opções. A evidência empírica encontrada neste mercado está de acordo com os resultados obtidos em outros mercados - a introdução de opções é benéfica para o investidor posto que reduz a volatilidade do ativo objeto. Existe também uma tênue indicação de que a volatilidade se torna mais estocástica com a introdução das opções.

Detection of bovine herpesvirus 5 (BoHV-5) in formalin-fixed, paraffin-embedded bovine brain by nested PCR in Colombian cattle

Fifteen cases of viral meningoencephalitis in Colombian cattle were tested by nested PCR analysis for the detection of bovine herpesvirus 5 (BoHV-5). All fatal cases had shown severe neurological signs and had occurred following natural outbreaks of the disease. The neurological infection was histologically characterized by mild to moderate inflammatory changes in the brain and cerebellum, including meningitis, mononuclear perivascular cuffing, gliosis, haemorrhage, and the presence of Gitter cells (macrophages) accompanying large areas of malacia. No intranuclear inclusion bodies were seen in any of the cases. Results from BoHV-5 molecular extraction analyses showed there were five positive cases thus confirming the presence of the virus in Colombia.

Toward the Optimization of an e-Tongue System Using Information Visualization: A Case Study with Perylene Tetracarboxylic Derivative Films in the Sensing Units

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

Stability of multistep second derivative methods for integro-differential equations

The stability of multistep second derivative methods for integro-differential equations is examined through a test equation which allows for the construction of the associated characteristic polynomial and its region of stability (roots in the unit circle) at a proper parameter space. (c) 2004 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

A duplicated nitrotienyl derivative with antimycobacterial activity: synthesis, X-ray crystallography, biological and mutagenic activity tests

A duplicated nitrotienyl derivative was obtained as a by-product from the synthesis of a proposed molecular hybrid of a nitrotienyl derivative and isoniazid with an expected dual antimycobacteria mechanism. The structure was shown to be the 5,5'-dinitro-2(2,3-diaza-4-(2'-tienyl)buta-1,3-dienyl)tiophene by X-ray crystallography. The minimal inhibitory concentration (MIC) determination of this compound proved to be promising against Mycobacterium pathogenic strains such as M. avium and M. kansasei, although it had a high level of mutagenicity, as observed in mutagenic activity tests. (c) 2006 Elsevier Masson SAS. All rights reserved.

Synthesis, ex Vivo and in Vitro Hydrolysis Study of an Indoline Derivative Designed as an Anti-Inflammatory with Reduced Gastric Ulceration Properties

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Development and Validation of an UV-Derivative Spectrophotometric Method for Determination of Glimepiride in Tablets

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

Comparative study of analytical methods by direct and first-derivative UV spectrophotometry for evaluation of losartan potassium in capsules

O losartano potássico é um agente anti-hipertensivo não peptídico, que exerce sua ação por bloqueio específico dos receptores da angiotensina II. Este trabalho propôs a validação e aplicação de métodos analíticos orientados ao controle de qualidade de losartano potássico 50 mg na forma farmacêutica cápsula, utilizando a espectrofotometria direta e derivada de primeira ordem na região do UV. Baseado nas características espectrofotométricas de losartano potássico, um sinal a 205 nm do espectro de ordem zero e um sinal a 234 nm do espectro de primeira derivada foram adequados para a quantificação. Os resultados foram usados para comparar essas duas técnicas instrumentais. O coeficiente de correlação entre as respostas e as concentrações de losartano potássico na faixa de 3,0-7,0 mg L-1 e 6,0-14,0 mg L-1 para espectrofotometria direta e derivada de primeira ordem em solução aquosa, respectivamente, foi de (r) of 0,9999 para ambos os casos. Os métodos foram aplicados para quantificação de losartano potássico em cápsulas obtidas de farmácias de manipulação locais e demonstraram ser eficientes, fáceis de aplicar e de baixo custo. Além disso, não necessitam de reagentes poluentes e requerem equipamentos economicamente viáveis.

Performance characteristics of high performance liquid chromatography, first order derivative UV spectrophotometry and bioassay for fluconazole determination in capsules

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

Electrochemical evidence of sulfinic acid derivative as an intermediate in the reduction of aromatic sulfonyl chloride in an aprotic medium

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

A mixture theory based method for three-dimensional modeling of reinforce concrete members with embedded crack finite elements

The paper presents a methodology to model three-dimensional reinforced concrete members by means of embedded discontinuity elements based on the Continuum Strong Discontinuous Approach (CSDA). Mixture theory concepts are used to model reinforced concrete as a 31) composite material constituted of concrete with long fibers (rebars) bundles oriented in different directions embedded in it. The effects of the rebars are modeled by phenomenological constitutive models devised to reproduce the axial non-linear behavior, as well as the bond-slip and dowel action. The paper presents the constitutive models assumed for the components and the compatibility conditions chosen to constitute the composite. Numerical analyses of existing experimental reinforced concrete members are presented, illustrating the applicability of the proposed methodology.

2D evaluation of crack openings using smeared and embedded crack models

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

Spinless bosons embedded in a vector Duffin-Kemmer-Petiau oscillator

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Observing the performance of distribution systems with embedded generators

In this paper, a multi-objective approach for observing the performance of distribution systems with embedded generators in the steady state, based on heuristic and power system analysis, is proposed. The proposed hybrid performance index describes the quality of the operating state in each considered distribution network configuration. In order to represent the system state, the loss allocation in the distribution systems, based on the Z-bus loss allocation method and compensation-based power flow algorithm, is determined. Also, an investigation of the impact of the integration of embedded generators on the overall performance of the distribution systems in the steady state, is performed. Results obtained from several case studies are presented and discussed. Copyright (C) 2004 John Wiley Sons, Ltd.