Modelagem matemática aplicada a precificação de opções

The mathematical models are critical to determine theoretical prices of options and analyze whether they are overrated or underrated. This information strongly influence in operations carried out by the investor. Therefore, it is necessary that the employee model present high degree of reliability and be consistent with the reality of investment to which it is intended. In this sense, this dissertation aims to apply the steps of mathematical modeling in the Pricing of options for decision making in the investment of a hydroelectric power plant. Was used a Monte Carlo simulation, with the Latin Hypercube Method, to determine the volatility of returns of the project. In order to validate the proposed model, compared to the results found by the Binomial Model, which is one of the models most used in this type of investment. The results reinforce the hypothesis that the mathematical modeling with the Binomial Model is critical to investment decision-making in hydroelectric power

Multicollinearity and financial constraint in investment decisions: a bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

From Potential to Implementation: an innovation framework to realize the benefits of soil carbon

This chapter addresses the mismatch between existing knowledge, techniques and management methods for improved soil carbon management and deficits in its implementation. The paper gives a short overview of the evolution of the concept of soil carbon, which illustrates the interactions between scientific, industrial, technical, societal and economic change. It then goes on to show that sufficient techniques are available for the large-scale implementation of soil organic carbon (SOC) sequestration. A subsequent analysis of the bottlenecks that prevent implementation identifies where issues need to be addressed in order to enable robust, integrated and sustainable SOC management strategies.

Price risk management in the copper market using commodity derivatives and options strategies

Metals price risk management is a key issue related to financial risk in metal markets because of uncertainty of commodity price fluctuation, exchange rate, interest rate changes and huge price risk either to metals’ producers or consumers. Thus, it has been taken into account by all participants in metal markets including metals’ producers, consumers, merchants, banks, investment funds, speculators, traders and so on. Managing price risk provides stable income for both metals’ producers and consumers, so it increases the chance that a firm will invest in attractive projects. The purpose of this research is to evaluate risk management strategies in the copper market. The main tools and strategies of price risk management are hedging and other derivatives such as futures contracts, swaps and options contracts. Hedging is a transaction designed to reduce or eliminate price risk. Derivatives are financial instruments, whose returns are derived from other financial instruments and they are commonly used for managing financial risks. Although derivatives have been around in some form for centuries, their growth has accelerated rapidly during the last 20 years. Nowadays, they are widely used by financial institutions, corporations, professional investors, and individuals. This project is focused on the over-the-counter (OTC) market and its products such as exotic options, particularly Asian options. The first part of the project is a description of basic derivatives and risk management strategies. In addition, this part discusses basic concepts of spot and futures (forward) markets, benefits and costs of risk management and risks and rewards of positions in the derivative markets. The second part considers valuations of commodity derivatives. In this part, the options pricing model DerivaGem is applied to Asian call and put options on London Metal Exchange (LME) copper because it is important to understand how Asian options are valued and to compare theoretical values of the options with their market observed values. Predicting future trends of copper prices is important and would be essential to manage market price risk successfully. Therefore, the third part is a discussion about econometric commodity models. Based on this literature review, the fourth part of the project reports the construction and testing of an econometric model designed to forecast the monthly average price of copper on the LME. More specifically, this part aims at showing how LME copper prices can be explained by means of a simultaneous equation structural model (two-stage least squares regression) connecting supply and demand variables. A simultaneous econometric model for the copper industry is built: {█(Q_t^D=e^((-5.0485))∙P_((t-1))^((-0.1868) )∙〖GDP〗_t^((1.7151) )∙e^((0.0158)∙〖IP〗_t ) @Q_t^S=e^((-3.0785))∙P_((t-1))^((0.5960))∙T_t^((0.1408))∙P_(OIL(t))^((-0.1559))∙〖USDI〗_t^((1.2432))∙〖LIBOR〗_((t-6))^((-0.0561))@Q_t^D=Q_t^S )┤ P_((t-1))^CU=e^((-2.5165))∙〖GDP〗_t^((2.1910))∙e^((0.0202)∙〖IP〗_t )∙T_t^((-0.1799))∙P_(OIL(t))^((0.1991))∙〖USDI〗_t^((-1.5881))∙〖LIBOR〗_((t-6))^((0.0717) Where, Q_t^D and Q_t^Sare world demand for and supply of copper at time t respectively. P(t-1) is the lagged price of copper, which is the focus of the analysis in this part. GDPt is world gross domestic product at time t, which represents aggregate economic activity. In addition, industrial production should be considered here, so the global industrial production growth that is noted as IPt is included in the model. Tt is the time variable, which is a useful proxy for technological change. A proxy variable for the cost of energy in producing copper is the price of oil at time t, which is noted as POIL(t ) . USDIt is the U.S. dollar index variable at time t, which is an important variable for explaining the copper supply and copper prices. At last, LIBOR(t-6) is the 6-month lagged 1-year London Inter bank offering rate of interest. Although, the model can be applicable for different base metals' industries, the omitted exogenous variables such as the price of substitute or a combined variable related to the price of substitutes have not been considered in this study. Based on this econometric model and using a Monte-Carlo simulation analysis, the probabilities that the monthly average copper prices in 2006 and 2007 will be greater than specific strike price of an option are defined. The final part evaluates risk management strategies including options strategies, metal swaps and simple options in relation to the simulation results. The basic options strategies such as bull spreads, bear spreads and butterfly spreads, which are created by using both call and put options in 2006 and 2007 are evaluated. Consequently, each risk management strategy in 2006 and 2007 is analyzed based on the day of data and the price prediction model. As a result, applications stemming from this project include valuing Asian options, developing a copper price prediction model, forecasting and planning, and decision making for price risk management in the copper market.

Recommendations for the Management of Hepatitis C Virus Infection Among People Who Inject Drugs

In the developed world, the majority of new and existing hepatitis C virus (HCV) infections occur among people who inject drugs (PWID). The burden of HCV-related liver disease in this group is increasing, but treatment uptake among PWID remains low. Among PWID, there are a number of barriers to care that should be considered and systematically addressed, but these barriers should not exclude PWID from HCV treatment. Furthermore, it has been clearly demonstrated that HCV treatment is safe and effective across a broad range of multidisciplinary healthcare settings. Given the burden of HCV-related disease among PWID, strategies to enhance HCV assessment and treatment in this group are urgently needed. These recommendations demonstrate that treatment among PWID is feasible and provides a framework for HCV assessment, management, and treatment. Further research is needed to evaluate strategies to enhance assessment, adherence, and SVR among PWID, particularly as new treatments for HCV infection become available.

Dynamics of a Tularemia Outbreak in a Closely Monitored Free-Roaming Population of Wild House Mice.

Infectious disease outbreaks can be devastating because of their sudden occurrence, as well as the complexity of monitoring and controlling them. Outbreaks in wildlife are even more challenging to observe and describe, especially when small animals or secretive species are involved. Modeling such infectious disease events is relevant to investigating their dynamics and is critical for decision makers to accomplish outbreak management. Tularemia, caused by the bacterium Francisella tularensis, is a potentially lethal zoonosis. Of the few animal outbreaks that have been reported in the literature, only those affecting zoo animals have been closely monitored. Here, we report the first estimation of the basic reproduction number R0 of an outbreak in wildlife caused by F. tularensis using quantitative modeling based on a susceptible-infected-recovered framework. We applied that model to data collected during an extensive investigation of an outbreak of tularemia caused by F. tularensis subsp. holarctica (also designated as type B) in a closely monitored, free-roaming house mouse (Mus musculus domesticus) population in Switzerland. Based on our model and assumptions, the best estimated basic reproduction number R0 of the current outbreak is 1.33. Our results suggest that tularemia can cause severe outbreaks in small rodents. We also concluded that the outbreak self-exhausted in approximately three months without administrating antibiotics.

The SOLUTIONS project: challenges and responses for present and future emerging pollutants in land and water resources management.

SOLUTIONS (2013 to 2018) is a European Union Seventh Framework Programme Project (EU-FP7). The project aims to deliver a conceptual framework to support the evidence-based development of environmental policies with regard to water quality. SOLUTIONS will develop the tools for the identification, prioritisation and assessment of those water contaminants that may pose a risk to ecosystems and human health. To this end, a new generation of chemical and effect-based monitoring tools is developed and integrated with a full set of exposure, effect and risk assessment models. SOLUTIONS attempts to address legacy, present and future contamination by integrating monitoring and modelling based approaches with scenarios on future developments in society, economy and technology and thus in contamination. The project follows a solutions-oriented approach by addressing major problems of water and chemicals management and by assessing abatement options. SOLUTIONS takes advantage of the access to the infrastructure necessary to investigate the large basins of the Danube and Rhine as well as relevant Mediterranean basins as case studies, and puts major efforts on stakeholder dialogue and support. Particularly, the EU Water Framework Directive (WFD) Common Implementation Strategy (CIS) working groups, International River Commissions, and water works associations are directly supported with consistent guidance for the early detection, identification, prioritisation, and abatement of chemicals in the water cycle. SOLUTIONS will give a specific emphasis on concepts and tools for the impact and risk assessment of complex mixtures of emerging pollutants, their metabolites and transformation products. Analytical and effect-based screening tools will be applied together with ecological assessment tools for the identification of toxicants and their impacts. The SOLUTIONS approach is expected to provide transparent and evidence-based candidates or River Basin Specific Pollutants in the case study basins and to assist future review of priority pollutants under the WFD as well as potential abatement options.

Expectations, and Credibility in a Model of Monetary Policy

Recent monetary history has been characterized by monetary authorities which have been, alternatively hard and soft on inflation. In a vintage capital framework, investment decisions are not easily reversed. Therefore, expectations of policy as well as current policy are important to the investment decision. Here, a vintage capital model is used to assess the value of central bank credibility for a policy change. Policy in this model is assumed to be private information of the central banker. Agents learn about that policy which to study the ensuing transitional dynamics following a change in monetary policy regime.

Territory and Infrastructure : Strategic Identification and Project Pondering

El Territorio hoy es visto como una totalidad organizada que no puede ser pensada separando cada uno de los elementos que la componen; cada uno de ellos es definido por su relación con los otros elementos. Así, un pensamiento que integra diferentes disciplinas y saberes comienza a manejar una realidad que lejos está de definir certezas inamovibles, y comienza a vislumbrar horizontes estratégicos. La adaptación a la no linealidad de las relaciones que se dan sobre el territorio, y la diferencia de velocidades en las que actúan los distintos actores, nos exige hacer de la flexibilidad una característica esencial de la metodología de planificación estratégica. La multi-causalidad de los fenómenos que estructuran el territorio nos obliga a construir criterios cualitativos, entendiendo que nos es imposible la medición de estas cadenas causales y su reconstrucción completa en el tiempo; sin dejar por ello de edificar un marco profundo de acción y transformación que responda a una realidad cierta y veraz. Los fenómenos producidos sobre el territorio nunca actúan de manera aislada, lo que implica una responsabilidad a la hora de comprender las sinergias y la restricción que afectan los resultados de los procesos desatados. La presente ponencia corresponde a la Segunda Fase del proceso de identificación estratégica de los proyectos Plan Estratégico Territorial (PET) que se inició en el año 2005; dicho Plan es llevada a cabo por la Subsecretaría de Planificación Territorial del Ministerio de Planificación Federal y fue abordado sobre la base de tres pretensiones: institucionalizar el ejercicio del pensamiento estratégico, fortalecer la metodología de trabajo transdisciplinaria y multisectorial, y diseñar un sistema de ponderación de proyectos estratégicos de infraestructura, tanto a nivel provincial como nacional, con una fuerte base cualitativa. Este proceso dio como resultado una cartera ponderada de proyectos de infraestructura conjuntamente con una metodología que permitió consolidar los equipos provinciales de planificación, tanto en su relación con los decisores políticos como con los actores de los múltiples sectores del gobierno, y en estos resultados consolidar y reforzar una cultura del pensamiento estratégico sobre el territorio

Territory and Infrastructure : Strategic Identification and Project Pondering

El Territorio hoy es visto como una totalidad organizada que no puede ser pensada separando cada uno de los elementos que la componen; cada uno de ellos es definido por su relación con los otros elementos. Así, un pensamiento que integra diferentes disciplinas y saberes comienza a manejar una realidad que lejos está de definir certezas inamovibles, y comienza a vislumbrar horizontes estratégicos. La adaptación a la no linealidad de las relaciones que se dan sobre el territorio, y la diferencia de velocidades en las que actúan los distintos actores, nos exige hacer de la flexibilidad una característica esencial de la metodología de planificación estratégica. La multi-causalidad de los fenómenos que estructuran el territorio nos obliga a construir criterios cualitativos, entendiendo que nos es imposible la medición de estas cadenas causales y su reconstrucción completa en el tiempo; sin dejar por ello de edificar un marco profundo de acción y transformación que responda a una realidad cierta y veraz. Los fenómenos producidos sobre el territorio nunca actúan de manera aislada, lo que implica una responsabilidad a la hora de comprender las sinergias y la restricción que afectan los resultados de los procesos desatados. La presente ponencia corresponde a la Segunda Fase del proceso de identificación estratégica de los proyectos Plan Estratégico Territorial (PET) que se inició en el año 2005; dicho Plan es llevada a cabo por la Subsecretaría de Planificación Territorial del Ministerio de Planificación Federal y fue abordado sobre la base de tres pretensiones: institucionalizar el ejercicio del pensamiento estratégico, fortalecer la metodología de trabajo transdisciplinaria y multisectorial, y diseñar un sistema de ponderación de proyectos estratégicos de infraestructura, tanto a nivel provincial como nacional, con una fuerte base cualitativa. Este proceso dio como resultado una cartera ponderada de proyectos de infraestructura conjuntamente con una metodología que permitió consolidar los equipos provinciales de planificación, tanto en su relación con los decisores políticos como con los actores de los múltiples sectores del gobierno, y en estos resultados consolidar y reforzar una cultura del pensamiento estratégico sobre el territorio

Territory and Infrastructure : Strategic Identification and Project Pondering

El Territorio hoy es visto como una totalidad organizada que no puede ser pensada separando cada uno de los elementos que la componen; cada uno de ellos es definido por su relación con los otros elementos. Así, un pensamiento que integra diferentes disciplinas y saberes comienza a manejar una realidad que lejos está de definir certezas inamovibles, y comienza a vislumbrar horizontes estratégicos. La adaptación a la no linealidad de las relaciones que se dan sobre el territorio, y la diferencia de velocidades en las que actúan los distintos actores, nos exige hacer de la flexibilidad una característica esencial de la metodología de planificación estratégica. La multi-causalidad de los fenómenos que estructuran el territorio nos obliga a construir criterios cualitativos, entendiendo que nos es imposible la medición de estas cadenas causales y su reconstrucción completa en el tiempo; sin dejar por ello de edificar un marco profundo de acción y transformación que responda a una realidad cierta y veraz. Los fenómenos producidos sobre el territorio nunca actúan de manera aislada, lo que implica una responsabilidad a la hora de comprender las sinergias y la restricción que afectan los resultados de los procesos desatados. La presente ponencia corresponde a la Segunda Fase del proceso de identificación estratégica de los proyectos Plan Estratégico Territorial (PET) que se inició en el año 2005; dicho Plan es llevada a cabo por la Subsecretaría de Planificación Territorial del Ministerio de Planificación Federal y fue abordado sobre la base de tres pretensiones: institucionalizar el ejercicio del pensamiento estratégico, fortalecer la metodología de trabajo transdisciplinaria y multisectorial, y diseñar un sistema de ponderación de proyectos estratégicos de infraestructura, tanto a nivel provincial como nacional, con una fuerte base cualitativa. Este proceso dio como resultado una cartera ponderada de proyectos de infraestructura conjuntamente con una metodología que permitió consolidar los equipos provinciales de planificación, tanto en su relación con los decisores políticos como con los actores de los múltiples sectores del gobierno, y en estos resultados consolidar y reforzar una cultura del pensamiento estratégico sobre el territorio

Biogenic silica and silicic acid benthic fluxes of a North-eastern Atlantic Abyssal Locality

Within the framework of the EU-funded BENGAL programme, the effects of seasonality on biogenic silica early diagenesis have been studied at the Porcupine Abyssal Plain (PAP), an abyssal locality located in the northeast Atlantic Ocean. Nine cruises were carried out between August 1996 and August 1998. Silicic acid (DSi) increased downward from 46.2 to 213 µM (mean of 27 profiles). Biogenic silica (BSi) decreased from ca. 2% near the sediment-water interface to <1% at depth. Benthic silicic acid fluxes as measured from benthic chambers were close to those estimated from non-linear DSi porewater gradients. Some 90% of the dissolution occurred within the top 5.5 cm of the sediment column, rather than at the sediment-water interface and the annual DSi efflux was close to 0.057 mol Si/m**2/yr. Biogenic silica accumulation was close to 0.008 mol Si/m**2/yr and the annual opal delivery reconstructed from sedimentary fluxes, assuming steady state, was 0.065 mol Si/m**2/yr. This is in good agreement with the mean annual opal flux determined from sediment trap samples, averaged over the last decade (0.062 mol Si/m**2/yr). Thus ca. 12% of the opal flux delivered to the seafloor get preserved in the sediments. A simple comparison between the sedimentation rate and the dissolution rate in the uppermost 5.5 cm of the sediment column suggests that there should be no accumulation of opal in PAP sediments. However, by combining the BENGAL high sampling frequency with our experimental results on BSi dissolution, we conclude that non-steady state processes associated with the seasonal deposition of fresh biogenic particles may well play a fundamental role in the preservation of BSi in these sediments. This comes about though the way seasonal variability affects the quality of the biogenic matter reaching the seafloor. Hence it influences the intrinsic dissolution properties of the opal at the seafloor and also the part played by non-local mixing events by ensuring the rapid transport of BSi particles deep into the sediment to where saturation is reached.

Challenges for the comprehensive management of cloud services in a PaaS framework

The 4CaaSt project aims at developing a PaaS framework that enables flexible definition, marketing, deployment and management of Cloud-based services and applications. The major innovations proposed by 4CaaSt are the blueprint and its lifecycle management, a one stop shop for Cloud services and a PaaS level resource management featuring elasticity. 4CaaSt also provides a portfolio of ready to use Cloud native services and Cloud-aware immigrant technologies.

Implementación de algoritmos para la manipulación de curvas concoides en diseño geométrico

Este proyecto se enmarca dentro de la Computación Simbólica y de los fundamentos matemáticos del Diseño Geométrico Asistido por ordenador (CAGD). Se abordara uno de los problemas principales en el ámbito del CAGD y que es la manipulación de las Curvas Concoide. La importancia del avance en la manipulación de las curvas concoide radica en el papel fundamental que desempeñan en múltiples aplicaciones en la actualidad dentro de campos de diversa índole tales como la medicina, la óptica, el electromagnetismo, la construcción, etc. El objetivo principal de este proyecto es el diseño e implementación de algoritmos para el estudio, cálculo y manipulación de curvas concoides, utilizando técnicas propias del Calculo Simbólico. Esta implementación se ha programado utilizando el sistema de computación simbólica Maple. El proyecto consiste en dos partes bien diferenciadas, una parte teórica y otra más practica. La primera incluye la descripción geométrica y definición formal de curvas concoide, así como las ideas y propiedades básicas. De forma más precisa, se presenta un estudio matemático sobre el análisis de racionalidad de estas curvas, explicando los algoritmos que serán implementados en las segunda parte, y que constituye el objetivo principal de este proyecto. Para cerrar esta parte, se presenta una pequeña introducción al sistema y a la programación en Maple. Por otro lado, la segunda parte de este proyecto es totalmente original, y en ella el autor desarrolla las implementaciones en Maple de los algoritmos presentados en la parte anterior, así como la creación de un paquete Maple que las recoge. Por último, se crean las paginas de ayudas en el sistema Maple para la correcta utilización del paquete matemático anteriormente mencionado. Una vez terminada la parte de implementación, se aplican los algoritmos implementados a una colección de curvas clásicas conocidas, recogiendo los datos y resultados obtenidos en un atlas de curvas. Finalmente, se presenta una recopilación de las aplicaciones más destacadas en las que las concoides desempeñan un papel importante así como una breve reseña sobre las concoides de superficies, objeto de varios estudios en la actualidad y a los que se considera que el presente proyecto les puede resultar de gran utilidad. Abstract This project is set up in the framework of Symbolic Computation as well as in the implementation of algebraic-geometric problems that arise from Computer Aided Geometric Design (C.A.G.D.) applications. We address problems related to conchoid curves. The importance of these curves is the fundamental role that they play in current applications as medicine, optics, electromagnetism, construction, etc. The main goal of this project is to design and implement some algorithms to solve problems in studying, calculating and generating conchoid curves with symbolic computation techniques. For this purpose, we program our implementations in the symbolic system “Maple". The project consists of two differentiated parts, one more theoretical part and another part more practical. The first one includes the description of conchoid curves as well as the basic ideas about the concept and its basic properties. More precisely, we introduce in this part the mathematical analysis of the rationality of the conchoids, and we present the algorithms that will be implemented. Furthermore, the reader will be brie y introduced in Maple programming. On the other hand, the second part of this project is totally original. In this more practical part, the author presents the implemented algorithms and a Maple package that includes them, as well as their help pages. These implemented procedures will be check and illustrated with some classical and well known curves, collecting the main properties of the conchoid curves obtained in a brief atlas. Finally, a compilation of the most important applications where conchoids play a fundamental role, and a brief introduction to the conchoids of surfaces, subject of several studies today and where this project could be very useful, are presented.