Detectando não-linearidades nos retornos dos fundos multimercados

Estudos recentes apontam que diversas estratégias implementadas em hedge funds geram retornos com características não lineares. Seguindo as sugestões encontradas no paper de Agarwal e Naik (2004), este trabalho mostra que uma série de hedge funds dentro da indústria de fundos de investimentos no Brasil apresenta retornos que se assemelham ao de uma estratégia em opções de compra e venda no índice de mercado Bovespa. Partindo de um modelo de fatores, introduzimos um índice referenciado no retorno sobre opções de modo que tal fator possa explicar melhor que os tradicionais fatores de risco a característica não linear dos retornos dos fundos de investimento.

Duality with time-changed Lévy processes

In this paper we study the pricing problem of derivatives written in terms of a two dimensional time{changed L¶evy processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American type. This relation is called put{call duality. It includes as a particular case, the relation known as put{call symmetry. Necessary and su±cient conditions for put{call symmetry to hold are shown, in terms of the triplet of local charac- teristic of the Time{changed L¶evy process. In this way we extend the results obtained in Fajardo and Mordecki (2004) to the case of time{changed Lévy processes.

La tasa de cambio nominal en Colombia

Este documento tiene como objetivo brindar al estudiante una breve introducción a los diferentes regímenes de cambio que han existido en Colombia; para ello se presenta una breve descripción de los diferentes mecanismos que se han empleado en Colombia para regular el mercado de moneda extranjera desde la segunda mitad del siglo XX; de igual forma se presenta una aproximación intuitiva para entender el funcionamiento de los diferentes regímenes. Está dirigido principalmente a estudiantes de pregrado de economía, pero por la sencillez del lenguaje, puede ser de utilidad para cualquier estudiante o profesional interesado en la política económica.

On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Credit Default Swaps (CDS) y Collateral Debt Obligation (CDO) derivados financieros responsables de la crisis sub-prime de 2008 en Estados Unidos y una guía para el desarrollo del mercado de derivados exóticos en Colombia

La crisis financiera hipotecaria de 2008 en la que se declaró en quiebra el banco de inversión Lehman Brothers, se desarrolló en un ambiente que contemplaba apalancamientos financieros excesivos y el uso de derivados financieros de crédito innovadores. Razón por la cual, a partir del estudio de caso de quiebra de este banco de inversión y el análisis de las causas y consecuencias del ambiente desregulatorio que surgió en Estados Unidos desde la década de los 30 hasta el 2000, se orienta la investigación a indagar sobre lo que sucede en términos regulatorios y empresariales en el mercado de valores colombiano y así lograr definir objetivos que permitan el crecimiento del mercado de derivados exóticos en Colombia bajo un marco de responsabilidad financiera y ética empresarial.

Examining the Relationship Between Secondary Traumatic Stress and Sickness Absenteeism within 9-1-1 Emergency Call Centers

Thesis (Master's)--University of Washington, 2016-06

Method for cadmium and lead longitudinal profiles determination in hair by solid sampling graphite furnace atomic absorption spectrometry

This paper describes methods for the direct determination of Cd and Pb in hair segments (c.a. 5 mm similar to 80 mu g) by solid sampling graphite furnace atomic absorption spectrometry, becoming possible longitudinal profiles in a single strand of hair. To distinguish endogenous and exogenous content. strands of hair were washed by using two different procedures: IAEA protocol (acetone + water + acetone) and the combination of IAEA protocol with HCl washing (acetone + water + acetone + 0.1 mol l(-1) HCl). The concentration of Cd and Pb increased from the root Until the tip of hair washed according to IAEA protocol. However, when the strand of hair was washed using the combination of IAEA protocol and 0.1 mol l(-1) HCl, Cd concentrations decreased in all segments, and Pb concentrations decreased drastically near to the root (5 to 12 mm) and was systematically higher ill the end. The proposed method showed to be useful to assess the temporal variation to Cd and Pb exposure and call be Used for toxicological and environmental investigations. The limits of detection were 2.8 ng g(-1) for Cd and 40 ng g(-1) for Pb. The characteristic masses based oil integrated absorbance were 2.4 pg for Cd and 22 pg for Pb.

Health in Brazil 4 Chronic non-communicable diseases in Brazil: burden and current challenges

Non-communicable diseases (NCDs) have become a major health priority in Brazil-72% of all deaths were attributable to NCDs in 2007. They are also the main source of disease burden, with neuropsychiatric disorders being the single largest contributor. Morbidity and mortality due to NCDs are greatest in the poor population. Although the crude NCD mortality increased 5% between 1996 and 2007, age-standardised mortality declined by 20%. Declines were primarily for cardiovascular and chronic respiratory diseases, in association with the successful implementation of health policies that lead to decreases in smoking and the expansion of access to primary health care. Of note, however, the prevalence of diabetes and hypertension is rising in parallel with that of excess weight; these increases are associated with unfavourable changes of diet and physical activity. Brazil has implemented major policies for the prevention of NCDs, and its age-adjusted NCD mortality is falling by 1.8% per year. However, the unfavourable trends for most major risk factors pose an enormous challenge and call for additional and timely action and policies, especially those of a legislative and regulatory nature and those providing cost-effective chronic care for individuals affected by NCDs.

EXPANSION OF VISCERAL LEISHMANIASIS IN THE STATE OF RIO DE JANEIRO, BRAZIL: REPORT OF THE FIRST AUTOCHTHONOUS CASE IN THE MUNICIPALITY OF VOLTA REDONDA AND THE DIFFICULTY OF DIAGNOSIS

Visceral Leishmaniasis has been showing remarkable epidemiological changes in recent decades, with marked expansion and an emergence of cases in urban areas of the North, Southeast and Midwest regions of Brazil. The Kala-azar cases reported here, despite being very characteristic, presented a great difficulty of diagnosis, because the disease is not endemic in Volta Redonda. The child underwent two hospitalizations in different hospitals, but got the correct diagnosis only after 11 months of symptom onset. In this report we discuss the main differential diagnoses and call attention to the suspected symptoms of visceral leishmaniasis in patients with prolonged fever, hepatosplenomegaly and pancytopenia, even in areas not traditionally endemic for the disease.

Global Warming And Extreme Events: Rethinking The Timing And Intensity Of Environmental Policy

The possibility of low-probability extreme events has reignited the debate over the optimal intensity and timing of climate policy. In this paper we therefore contribute to the literature by assessing the implications of low-probability extreme events on environmental policy in a continuous-time real options model with “tail risk”. In a nutshell, our results indicate the importance of tail risk and call for foresighted pre-emptive climate policies.

Global Warming and Fat Tailed-uncertainty: Rethinking the Timing and Intensity of Climate Policy

The possibility of low-probability extreme natural events has reignited the debate over the optimal intensity and timing of climate policy. In this paper, we contribute to the literature by assessing the implications of low-probability extreme events on environmental policy in a continuous-time real options model with “tail risk”. In a nutshell, our results indicate the importance of tail risk and call for foresighted pre-emptive climate policies.

Retrospective research: What are the ethical and legal requirements?

Retrospective research is conducted on already available data and/or biologic material. Whether such research requires that patients specifically consent to the use of "their" data continues to stir controversy. From a legal and ethical point of view, it depends on several factors. The main criteria to be considered are whether the data or the sample is anonymous, whether the researcher is the one who collected it and whether the patient was told of the possible research use. In Switzerland, several laws delineate the procedure to be followed. The definition of "anonymous" is open to some interpretation. In addition, it is debatable whether consent waivers that are legally admissible for data extend to research involving human biological samples. In a few years, a new Swiss federal law on human research could clarify the regulatory landscape. Meanwhile, hospital-internal guidelines may impose stricter conditions than required by federal or cantonal law. Conversely, Swiss and European ethical texts may suggest greater flexibility and call for a looser interpretation of existing laws. The present article provides an overview of the issues for physicians, scientists, ethics committee members and policy makers involved in retrospective research in Switzerland. It aims at provoking more open discussions of the regulatory problems and possible future legal and ethical solutions.

SESAM - a new framework integrating macroecological and species distribution models for predicting spatio-temporal patterns of species assemblages

Two different approaches currently prevail for predicting spatial patterns of species assemblages. The first approach (macroecological modelling, MEM) focuses directly on realised properties of species assemblages, whereas the second approach (stacked species distribution modelling, S-SDM) starts with constituent species to approximate assemblage properties. Here, we propose to unify the two approaches in a single 'spatially-explicit species assemblage modelling' (SESAM) framework. This framework uses relevant species source pool designations, macroecological factors, and ecological assembly rules to constrain predictions of the richness and composition of species assemblages obtained by stacking predictions of individual species distributions. We believe that such a framework could prove useful in many theoretical and applied disciplines of ecology and evolution, both for improving our basic understanding of species assembly across spatio-temporal scales and for anticipating expected consequences of local, regional or global environmental changes. In this paper, we propose such a framework and call for further developments and testing across a broad range of community types in a variety of environments.

Vocalization of the shrew Suncus etruscus and Crocidura during normothermia and torpor

The vocalization of the shrews Suncus etruscus and Crocidura russula during normothermia and torpor is investigated. While frequency and call duration are independent of body temperature, the tremolo structure shows a spreading correlated with falling body temperature. The particular calls emitted during torpor are defence calls, modified by merely physiological factors. Their main function might be of intraspecific nature

Impact of brain aging and neurodegeneration on cognition: evidence from MRI.

PURPOSE OF REVIEW: We present an overview of recent concepts in mechanisms underlying cognitive decline associated with brain aging and neurodegeneration from the perspective of MRI. RECENT FINDINGS: Recent findings challenge the established link between neuroimaging biomarkers of neurodegeneration and age-related or disease-related cognitive decline. Amyloid burden, white matter hyperintensities and local patterns of brain atrophy seem to have differential impact on cognition, particularly on episodic and working memory - the most vulnerable domains in 'normal aging' and Alzheimer's disease. Studies suggesting that imaging biomarkers of neurodegeneration are independent of amyloid-β give rise to new hypothesis regarding the pathological cascade in Alzheimer's disease. Findings in patients with autosomal-dominant Alzheimer's disease confirm the notion of differential temporal trajectory of amyloid deposition and brain atrophy to add another layer of complexity on the basic mechanisms of cognitive aging and neurodegeneration. Finally, the concept of cognitive reserve in 'supernormal aging' is questioned by evidence for the preservation of neurochemical, structural and functional brain integrity in old age rather than recruitment of 'reserves' for maintaining cognitive abilities. SUMMARY: Recent advances in clinical neuroscience, brain imaging and genetics challenge pathophysiological hypothesis of neurodegeneration and cognitive aging dominating the field in the last decade and call for reconsidering the choice of therapeutic window for early intervention.