Ensaios em Finanças

Esta tese é composta de três artigos sobre finanças. O primeiro tem o título "Nonparametric Option Pricing with Generalized Entropic Estimators " e estuda um método de apreçamento de derivativos em mercados incompletos. Este método está relacionado com membros da família de funções de Cressie-Read em que cada membro fornece uma medida neutra ao risco. Vários testes são feitos. Os resultados destes testes sugerem um modo de definir um intervalo robusto para preços de opções. Os outros dois artigos são sobre anúncios agendados em diferentes situações. O segundo se chama "Watching the News: Optimal Stopping Time and Scheduled Announcements" e estuda problemas de tempo de parada ótimo na presença de saltos numa data fixa em modelos de difusão com salto. Fornece resultados sobre a otimalidade do tempo de parada um pouco antes do anúncio. O artigo aplica os resultados ao tempo de exercício de Opções Americanas e ao tempo ótimo de venda de um ativo. Finalmente o terceiro artigo estuda um problema de carteira ótima na presença de custo fixo quando os preços podem saltar numa data fixa. Seu título é "Dynamic Portfolio Selection with Transactions Costs and Scheduled Announcement" e o resultado mais interessante é que o comportamento do investidor é consistente com estudos empíricos sobre volume de transações em momentos próximos de anúncios.

A Nova Política Econômica: Mudança, Expectativas e Prioridades. (Janeiro 2015)

A natureza (em geral) não dá saltos. O mesmo ocorre com a análise de curto prazo das perspectivas econômicas: em especial, estas dificilmente mudam significativamente de um mês para outro. Mas há exceções, como ocorre quando há mudanças de rumo da política econômica. É o que se constata atualmente, especialmente a partir das novas medidas governamentais anunciadas desde o imediato pós-eleições, que vêm mexendo bastante com as previsões dos economistas. O mesmo se observa a partir da percepção de que as dificuldades que o Brasil possivelmente enfrentará neste ano são maiores do que se imaginava há até não muito tempo atrás.

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.

Ciências do ambiente: conceitos básicos em ecologia e poluição

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Educação informal e movimentos populares: a importância do ensino da música no resgate da cidadania de crianças assistidas pela ONG Orquestra Cidadã como uma forma de inovação pedagógica

A presente pesquisa faz parte de nosso estudo realizado junto a Orquestra Cidadã Meninos do Coque e tem por objetivo principal refletir acerca de como o ensino da música com vistas ao resgate da cidadania de crianças e adolescentes assistidos pelo projeto da referida orquestra pode ser visto sob a égide da inovação pedagógica. Para isso, num primeiro momento, em seu arcabouço teórico, que compreendido pelos capítulos segundo e terceiro, inicialmente traçamos nossas considerações sobre a prática pedagógica e a educação não formal, visando à questão da inovação e da formação para cidadania; e, logo em seguida adentramos na questão do ensino de música e a construção da cidadania, tendo-se por foco o trabalho realizado pela Orquestra Cidadã Meninos do Coque. Já num segundo momento, tratamos das questões metodológicas (capítulo quarto), cuja base foi a etnopesquisa orientado por Macedo (2006), a qual teve como instrumentos a observação participante, o uso de entrevistas e de questionários semiestruturados, além da análise documental, cujos resultados são apresentados no capítulo quinto, o qual traz como título “Educação informal e movimentos populares: a importância do ensino da música no resgate da cidadania de crianças assistidas pela ONG Orquestra Cidadã como uma forma de inovação pedagógica” diante do qual pudemos perceber o caráter inovador do trabalho empreendido pela orquestra em estudo, que na busca de atingir os objetivos pretendidos expande sua metodologia para a realidade de seus alunos e com isso alcança saltos de desenvolvimento, trazendo para as crianças e jovens um novo olhar sobre si mesmos e sobre o seu futuro.

Barracas de Praia, praia de barracas: configuração, tipo e usos na praia do futuro, Fortaleza CE

The purpose of this dissertation is to analyse the importance of the huts of Praia do Futuro to their users and to the city of Fortaleza in Ceará through the comprehension of relations between morphological categories - in urban and edified contexts - of the establishments and their use patterns. This place is one of the main recreation and leisure areas of the city, formed by six kilometres of waterfront, corresponding to a differentiated area through the coast. This space has beach huts with varied profiles: while some more simple huts persist, great complexes are being developed, building even water parks on the beach area. This study analyses relations between:i) spatial configuration (in geometric and mainly topological terms) based on the Social Logic of Space; ii) edified typology (analysing capacity, landscap treatment and program of the huts); and iii) use and environmental perception of the beach by its frequenters. There are consistent relations between the type of hut and their localization in the urban grid, of which were identified groups with different patterns: segregated (north, central and south) and integrated (north: more integrated. and south: less integrated). Such relations also reflect, in varied patterns of use and environmental perception. In spite of their strong economy, the beach huts find themselves in a fragile legal situation because they occupy the beach area, so that this study may come to assist the decision-making for the future of the region. For a sustainable development of the area by those responsible and managers it is necessary to evaluate the cultural importance of the huts at Praia do Futuro, understanding their occupation and uses.

Eutrofização e capacidade de carga de fósforo de seis reservatórios a bacia do Rio Seridó, região semi-árida do Estado do RN

The eutrofization is a natural process of accumulation of nutrients in aquatic´s body that it has been accelerated for the human´s actives, mainly the related with the activities of camp, industrial and the inadequate disposition of the domestic sewage. The enrichment of the aquatic´s body with nutrients, mainly the nitrogen and the phosphorus, and the consequent proliferation of algae and Cyanobacteria can commit the quality of the water for the public provisioning, for the fish farming and for other ends. The problem becomes more critical when there is a shortage of water naturally as in the semi-arid area of the Brazilian northeast. Before that problem this work had as objective evaluates the trophic state of six reservoirs of the basin of River Seridó of Rio Grande of Norte and also estimate the capacity of load of match of the reservoir and risk probabilities based on the established limits by the resolution Conama 357/05. The results demonstrate that the six reservoirs are eutrofization, with concentration of total phosphorus and cloro a in the water upster to 50 e 12 μg l-1. The results show that space homogeneity exists in the state trophic of the reservoirs, but a significant variation interanual in function of the increase of the concentrations of nutrients and decrease of the transparency of the water with the reduction of the body of water accumulated in the reservoirs.The results of the simulation risk estocastic show that the reservoirs could receive annually from 72 to 216 Kg of P, assuming a risk of 10% of increasing in more than 30 μg l-1 the annual medium concentrations of total match in the water of these reservoirs. This load could be high in until 360 kg of P a year in case the managers assume a risk of 10% of increasing in more than 50 μg l-1 the annual medium concentrations of total phosphorus in the waters of these reservoirs

Determinação da toxicidade aguda e caracterização de risco ambiental do herbicida Roundup (glifosato) sobre três espécies de peixes

Considering their commercial importance, as these are the species of freshwater fish more commercialized in Brazil, their occurence in different kinds of aquatic environments (lakes, rivers and dams) and for being tolerant to a wide range of variation of various physical parameters and chemical water, the fish species Oreochromis niloticus, Cyprinus carpio and Colossoma macropomum were chosen for this study, furthermore, to test the toxicity we used the herbicide Roundup. The fingerlings of tilapia (Oreochromis niloticus), commun carp (Cyprinus carpio) and tambaqui (Colossoma macropomum) were submitted to the herbicide roundup in the following concentrations: 0.0 (control); 18,06; 19,10; 20,14; 21,18 and 22,22 mg.L-1, 0.0 (control); 13,89; 14,86; 15,83; 16,81 and 17,78 mg.L-1, and 0.0 (control); 18,06; 19,10; 20,14; 21,18 and 22,22 mg.L-1, respectively, three for 96 hours. The LC50 - 96h for O. niloticus, C. carpio and C. macropomum was 21,63, 15,33 and 20,06 mg.L-1 of the herbicide roundup, respectively. The results show that this herbicide is classified as slightly toxic to the three species. The values of dissolved oxygen, pH and temperature recorded in the aquarium control and aquarium experimental of the three fish species have remained without significant variations during the tests, which reduces the possibility of death caused by sudden variations of these parameters during the 96 hours the experiment. The values of LC50 between different species of fish were observed, noting that the species O.niloticus, C. carpio and C. macropomum showed no expressive differences. The values of environmental risk of Roundup were calculated to obtain more stringent parameters in assessing the dangerousness of those on nontargets. The risk of environmental contamination by Roundup for the Nile tilapia, common carp, and tambaqui are low for the lowest application rate (1 L.ha-1) and depths (1.5 and 2.0 m). The dilution of 100%, the highest recommended dose (5 L.ha-1) and depths (1.5 and 2.0 m) the risk is moderate for the three species. The values of the Risk Ratio (QR) were greater than 0,1, indicating that the values of the CAE and LC50 are above acceptable levels and there is a need, this study, a refinement in ecotoxicological tests

Efeitos de manipulações ascendentes e descendentes sobre a comunidade fitoplanctônica em um reservatório eutrófico no semi-árido brasileiro

Top-down (grazing) and bottom-up (nutrient, light) controls are important in freshwater ecosystems regulation. Relative importance of these factors could change in space and time, but in tropical lakes bottom-up regulation has to been appointed as more influent. Present study aimed to test the hypothesis that phytoplankton growths rate in Armando Ribeiro reservoir, a huge eutrophic reservoir in semi-arid region of Rio Grande do Norte state, is more limited by nutrient available then zooplankton grazing pressure. Bioassay was conduced monthly from September (2008) to August (2009) manipulating two levels of nutrients (with/without addition) and two level of grazers (with/without removal). Experimental design was factorial 2X2 with four treatments (X5), (i) control with water and zooplankton from natural spot ( C ), (ii) with nutrient addition ( +NP ), (iii) with zooplankton remove ( -Z ) and (iv) with zooplankton remove and nutrient addition ( -Z+NP ). For bioassay confection transparent plastic bottles (500ml) was incubate for 4 or 5 days in two different depths, Secchi`s depth (high luminosity) and 3 times Secchi`s depth (low luminosity). Water samples were collected from each bottle in begins and after incubates period for chlorophyll a concentration analysis and zoopalnktonic organisms density. Phytoplankton growths rates were calculated. Bifactorial ANOVA was performance to test if had a significant effect (p<0,005) of nutrient addition and grazers remove as well a significant interaction between factors on phytoplankton growths rates. Effect magnitude was calculated the relative importance of each process. Results show that phytoplankton growth was in generally stimulated by nutrient addition, as while zooplankton remove rarely stimulated phytoplankton growth. Some significant interactions happening between nutrient additions and grazers remove on phytoplankton growth. In conclusion this study suggests that in studied reservoir phytoplankton growth is more controlled by ascendent factors than descendent

Comunidade fitoplanctônica e qualidade da água da lagoa do jiqui, parnamirim, rn

It is important to evaluate the quality of water for proper management of these resources, since the increase of environmental degradation and the multiple use of water resources are decreasing the quality of water consumed by living beings. The objective of this study was to characterize the phytoplankton community and its variations during periods of dray and rain in Jiqui Lake located in Parnamirim, RN. It was also aimed to analyze the physical and chemical factors of this environment, in order to contribute to the knowledge of water quality used for human consumption. The collection of water samples were carried out in September 2008 to August 2009. The collection of the phytoplankton community was carried out in four sampling sites (surface, bottom, margin of the lake without macrophytes and site dominated by macrophytes). Phytoplankton was collected using plankton net of 20m. The analysis of nutrients and identification of phytoplankton were performed in the laboratory. The results indicate that concentration of chlorophyll a was high in the bottom with mean value of 1.07 μgL-1 (SD ± 1.61). During the study period there was a dominance of the following species: Euglena gracilis, Trachelomonas sp, Cyclotellas sp, Gomphonema apuncto, Navicula cuspidata var. cuspidata, Navicula sp, Rhopalodia gibba. There was homogeneity between limnological values in the four study sites, with significant difference between the periods of drought and rain. The Jiqui Lake is considered oligotrophic due to its low concentrations of chlorophyll a, high transparency and low levels of nutrients. The values of BOD and chlorophyll a concentration remained below the permitted standards existing for freshwaters in Brazil, thus the water from Lake Jiqui is of good quality, suitable for human consumption.

Avaliação da ecotoxicidade de percolados em áreas de disposição de resíduos na região metropolitana de Natal/RN

Leachates are effluent produced by decomposition of solid waste, they have complex composition and can be highly toxic. Therefore such percolated liquid should be collected and treated properly to avoid environmental contamination of soil and of water bodies. The objective of this study was to evaluate the toxicity through ecotoxicological tests with Ceriodaphnia dubia (Cladocera - Crustacea) of percolated liquids generated in two different systems of municipal solid waste (MSW) disposal in the city of Natal/ RN: A Sanitary Landfill in the Metropolitan Region of Natal/ RN, and in a dump off area. Furthermore, it was evaluated the possible contamination of the underground water of the dump off area. Two monthly samples were taken at four points between the months of May/2009 and January/2010. The Point "A" corresponds to the end of the pond leachate treatment in ASRMN; The Point "B" corresponds to a containment pond at the dump. The Point "C" is an area near one of the cells of the dump off area where the leachate outcrops; The Point "D" stands for an underground water well at the area. The last point, called "E" was sampled only once and corresponds to the slurry produced by temporary accumulation of solid waste in the open area of the dump. The ecotoxicological tests, acute and chronic, followed the ABNT 13373/2005 rules, with some modifications. The samples were characterized by measuring the pH number, the dissolved oxygen (DO), the salinity, BOD5, COD, Cd, Cu, Pb, Cr, Fe, Mg, Ni, and Zn. At Point A, the average number of EC50-48h ranged between 1.0% and 2.77% (v/v), showing a high toxicity of the leachate to C.dubia in all months. To this point, positive correlations were found between the EC50- 48 with precipitation. Negative correlations were found between the EC50- 48h with salinity. At point B there was no response of the acute exposure of organisms to the test samples. At point C the EC50-48h ranged from 17.68% to 35.36% in just two months of the five ones analyzed, not correlated meaning. Point D, the EC50-48h level ranged between 12.31% and 71.27%, showed a negative correlation with, only, precipitation. Although it was observed toxicity of underground water in the Landfill Area, there was no evidence of water contamination by leachate, however, due to the toxic character of this water, additional tests should be conducted to confirm the quality of water that is used for human supply. At point E there was no acute toxicity. These results support the dangers of inappropriate disposal of MSW to water bodies due to the high toxicity of the leachate produced highlighting the necessity of places of safe confinement and a treatment system more effective to it

Avaliação da toxicidade de florações naturais e de cultura de cianobactérias: efeitos sobre Ceriodaphnia silvestri (Crustacea, Cladocera)

The incidence of toxic cyanobacterial blooms is one of the important consequences of eutrophication in aquatic ecosystems. It is a very common phenomenon in reservoirs and shrimp ponds in the State of Rio Grande do Norte (RN), Brazil. Cyanobacterias produce toxins which can affect aquatic organisms and men trough the food chain. Aiming to contribute to the studies of cyanobacterias in RN, we propose: a) to evaluate the toxicity of isolated cyanobacterias in important fresh-water environments; and b) to verify the effects of both natural and cultured blooms occurred in reservoirs for human supply and in the cladoceran Ceriodaphnia silvestrii. This study was carried out using samples of natural blooms occurred between March and October of 2004 in Gargalheiras Dam (08º L e 39º W), in July of 2004 in Armando Ribeiro Gonçalves Dam (06o S e 37o W) and in commercial shrimp ponds (Litopenaeus vannamei) located in fresh-water environments. The samples were collected with plankton net (20µm.) for identification, isolation and obtaining of phytoplanktonic biomass for liophilization and later toxicity bioassays. The toxicity of cultured samples and natural blooms was investigated through bioassays in Swiss mice. Quantification of cyanobacteria in samples was conducted following the Ütermol method, with 300mL samples fixed with lugol. The toxicity test with Ceriodaphnia silvestrii followed ABNT, 2001 recommendations, and were accomplished with natural hepatotoxic bloom s samples and cultured samples of both non-toxic and neurotoxic C. raciborskii. In this test, five newborns, aged between 6 and 24 hours, were exposed to different concentrations (0 a 800 mg.L-1) of crude cyanobacterial extracts during 24 and 48 hours. Three replicates were used per treatment. The pH, temperature and dissolved oxygen at the beginning and after 24 and 48hours from the test were measured. We estimated the CL50 through the Trimmed Spearman-Karber method. The blooms were constituted by Microcystis panniformis, M. aeruginosa, Anabaena circinalis, Cylindrospermopsis raciborskii and Planktothrix agardhii, producers of mycrocistin-LR confirmed with HPLC analysis. Samples of hepatotoxic blooms registered toxinogenic potential for C. silvestrii, with CL50-24h value of 47.48 mg.L-1 and CL5048h of 38.15 mg.L-1 for GARG samples in march/2005; CL50-24h of 113,13 mg.L-1 and CL5048h of 88,24 mg.L-1 for ARG July/2004; CL50-24h of 300.39 mg.L-1 and CL50-48h of 149.89 mg.L-1 for GARG October/2005. For cultured samples, values of CL50-24h and CL50-48h for C. raciborskii toxic strains were 228.05 and 120.28 mg.L-1, respectively. There was no mortality of C. silvestrii during the tests with non-toxic C. raciborskii strain. The toxicity test with C. silvestrii presented good sensitivity degree to cyanotoxins. The toxicity of natural hepatotoxic blooms samples (microcystins) and cultured neurotoxic saxitoxins producer samples analyzed in this study give us strong indications of that toxin s influence on the zooplanktonic community structure in tropical aquatic environments. Eleven cyanobacteria strains were isolated, representing 6 species: Anabaenopsis sp., Cylindrospermopsis raciborskii, Chroococcus sp., Microcystis panniformis, Geitlerinema unigranulatum e Planktothrix agardhii. None presented toxicity in Swiss mice. The strains were catalogued and deposited in the Laboratório de Ecologia e Toxicologia de Organismos Aquáticos (LETMA), in UFRN, and will be utilized in ecotoxicológical and ecophysiological studies, aiming to clarify the causes and control of cyanobacterial blooms in aquatic environments in RN. This state s reservoirs must receive broader attention from the authorities, considering the constant blooms occurring in waters used for human consumption

Encalhes de Cetáceos ocorridos no período de 1984 a 2005 no litoral do Rio Grande do Norte, Brasil

Strandings of live or dead aquatic mammals constitute an important instrument to provide information regarding the occurrence, biology and ecology of these species. The aim of this study was to register the stranded species of cetaceans, the frequency and the spatial-temporal distribution of theses strandings during the period of 1984 to 2005, in the coast of Rio Grande do Norte. Data was acquired through the monitoring of strandings in the north, north-west and south coast of RN, and through information obtained from institutions and newspaper archives of the State. A total of 122 strandings of cetaceans were registered along the coast of Rio Grande do Norte. Of the 14 species of cetaceans registered, four species had higher frequencies: Sotalia guianensis (n= 65), Steno bredanensis (n = 6), Globicephala macrorhynchus (n = 6) and Physeter macrocephalus (n = 7). Out of 118 strandings, 93 occurred in the south coast (78.8 %), 23 in the north coast (19.5%) and 2 (1.7%) in the north-west coast of the State. The highest frequency of strandings occurred during the months of August to March and the maximum number of strandings occurred from 2000 onwards, as a consequence of the intense monitoring of the Pequenos Cetáceos Project in Rio Grande do Norte

Polissacarídeos sulfatados de interesse farmacológico no camarão litopenaeus schimitti

Sulfated Polysaccharides with unique chemical structures and important biological activities has been found in a diversity of sea invertebrates. For that, to exist a huger interest on the biotechnology field in the research theses sulfated compounds isolated from sea organisms. Despite the privileged brazilian position for these compounds attainment, there are still a few scientific informations about the isolated substances and their biological activities. A head the displayed, the present work has for objectives, to evaluate the pharmacological properties of the glycosaminoglycans isolated from the sea shrimp Litopenaeus schimitti on homeostasis, blood coagulation, leukocytes migration and platelet/leukocyte adhesion. For this, yhe glycosaminoglycans were extracted from crustacean tissues by proteolysis, fractionation with acetone and later submitted to pharmacological assays. The crustacean tissues showed compounds heparin-like, with anticoagulant activity of 45 IU/mg and 90 IU/mg, respectively. These molecules showed low residual hemorrhagic effects in the tested concentration (100 µg/mL), when compared to unfractionated commercial heparin (UFH). Another dermatan sulfate-like compound, predominately constituted for disulfated disaccharides, was isolated from crustacean abdomen. This compound showed an efficient effect on leukocytes migration inhibition, in the concentration of 15 µg/mL, reducing the cellular infiltration in 65% when compared to the controlled animals. In this same concentration, the DS reduced in 60% the protein concentration of the peritoneal exudates. In the concentration, this compound of 0.5 mg/mL, it was capable to reduce in 40% platelet/leukocytes adhesion. Our data demonstrate that these sulfated polysaccharides isolated from the shrimp L. schimitti will can be used as bioactive compounds, appearing as active principles for pharmacological development, anticoagulants and inflammatory response regulators

Avaliação do potencial anti-inflamatório de composto tipo heparina (cCTH) extraído do caranguejo Goniopsis cruentata em modelo experimental de peritonite

Heparin, a sulfated polysaccharide, was the first compound used as an anticoagulant and antithrombotic agent. Due to their structural characteristics, also has great potential anti-inflammatory, though such use is limited in inflammation because of their marked effects on coagulation. The occurrence of heparin-like compounds that exhibit anticoagulant activity decreased in aquatic invertebrates, such as crab Goniopsis cruentata, sparked interest for the study of such compounds as anti-inflammatory drugs. Therefore, the objective of this study was to evaluate the potential modulator of heparin-like compound extracted from Goniopsis cruentata in inflammatory events, coagulation, and to evaluate some aspects of its structure. The heparin-type compound had a high degree of N-sulphation in its structure, being able to reduce leukocyte migration into the peritoneal cavity at lower doses compared to heparin and diclofenac sodium (anti-inflammatory commercial). Furthermore, it was also able to inhibit the production of nitric oxide and tumor necrosis factor alpha by activated macrophages, inhibited the activation of the enzyme neutrophil elastase in low concentrations and showed a lower anticoagulant effect in high doses as compared to porcine mucosal heparin. Because of these observations, the compound extracted from crab Goniopsis cruentata can be used as a structural model for future anti-inflammatory agents