Opções reais em projetos de investimentos: o caso de uma planta de liquefação de gás natural com flexibilidade de troca de mercado e de troca de produto

O objetivo deste trabalho é revisar os principais aspectos teóricos para a aplicação de Opções Reais em avaliação de projetos de investimento e analisar, sob esta metodologia, um caso real de projeto para investir na construção de uma Planta de Liquefação de gás natural. O estudo do caso real considerou a Opção de Troca de Mercado, ao avaliar a possibilidade de colocação de cargas spot de GNL em diferentes mercados internacionais e a Opção de Troca de Produto, devido à flexibilidade gerencial de não liquefazer o gás natural, deixando de comercializar GNL no mercado internacional e passando a vender gás natural seco no mercado doméstico. Para a valoração das Opções Reais foi verificado, através da série histórica dos preços de gás natural, que o Movimento Geométrico Browniano não é rejeitado e foram utilizadas simulações de Monte Carlo do processo estocástico neutro ao risco dos preços. O valor da Opção de Troca de Mercado fez o projeto estudado mais que dobrar de valor, sendo reduzido com o aumento da correlação dos preços. Por outro lado, o valor da Opção de Troca de Produto é menos relevante, mas também pode atingir valores significativos com o incremento de sua volatilidade. Ao combinar as duas opções simultaneamente, foi verificado que as mesmas não são diretamente aditivas e que o efeito do incremento da correlação dos preços, ao contrário do que ocorre na Opção de Troca de Mercado, é inverso na Opção de Troca de Produto, ou seja, o derivativo aumenta de valor com uma maior correlação, apesar do valor total das opções integradas diminuir.

Um método de linearização local com passo adaptativo para solução numérica de equações diferenciais estocásticas com ruído aditivo

Neste trabalho apresentamos um novo método numérico com passo adaptativo baseado na abordagem de linearização local, para a integração de equações diferenciais estocásticas com ruído aditivo. Propomos, também, um esquema computacional que permite a implementação eficiente deste método, adaptando adequadamente o algorítimo de Padé com a estratégia “scaling-squaring” para o cálculo das exponenciais de matrizes envolvidas. Antes de introduzirmos a construção deste método, apresentaremos de forma breve o que são equações diferenciais estocásticas, a matemática que as fundamenta, a sua relevância para a modelagem dos mais diversos fenômenos, e a importância da utilização de métodos numéricos para avaliar tais equações. Também é feito um breve estudo sobre estabilidade numérica. Com isto, pretendemos introduzir as bases necessárias para a construção do novo método/esquema. Ao final, vários experimentos numéricos são realizados para mostrar, de forma prática, a eficácia do método proposto, e compará-lo com outros métodos usualmente utilizados.

Modos projetuais de simulação: uso de ferramentas de simulação térmica no processo projetual de arquitetura

This thesis aims to describe and demonstrate the developed concept to facilitate the use of thermal simulation tools during the building design process. Despite the impact of architectural elements on the performance of buildings, some influential decisions are frequently based solely on qualitative information. Even though such design support is adequate for most decisions, the designer will eventually have doubts concerning the performance of some design decisions. These situations will require some kind of additional knowledge to be properly approached. The concept of designerly ways of simulating focuses on the formulation and solution of design dilemmas, which are doubts about the design that cannot be fully understood nor solved without using quantitative information. The concept intends to combine the power of analysis from computer simulation tools with the capacity of synthesis from architects. Three types of simulation tools are considered: solar analysis, thermal/energy simulation and CFD. Design dilemmas are formulated and framed according to the architect s reflection process about performance aspects. Throughout the thesis, the problem is investigated in three fields: professional, technical and theoretical fields. This approach on distinct parts of the problem aimed to i) characterize different professional categories with regards to their design practice and use of tools, ii) investigate preceding researchers on the use of simulation tools and iii) draw analogies between the proposed concept, and some concepts developed or described in previous works about design theory. The proposed concept was tested in eight design dilemmas extracted from three case studies in the Netherlands. The three investigated processes are houses designed by Dutch architectural firms. Relevant information and criteria from each case study were obtained through interviews and conversations with the involved architects. The practical application, despite its success in the research context, allowed the identification of some applicability limitations of the concept, concerning the architects need to have technical knowledge and the actual evolution stage of simulation tools

Estudo do processo de combustão in-situ usando poços horizontais como produtores de óleo (Toe-to-Hell Air Injection)

The method "toe-to-heel air injection" (THAITM) is a process of enhanced oil recovery, which is the integration of in-situ combustion with technological advances in drilling horizontal wells. This method uses horizontal wells as producers of oil, keeping vertical injection wells to inject air. This process has not yet been applied in Brazil, making it necessary, evaluation of these new technologies applied to local realities, therefore, this study aimed to perform a parametric study of the combustion process with in-situ oil production in horizontal wells, using a semi synthetic reservoir, with characteristics of the Brazilian Northeast basin. The simulations were performed in a commercial software "STARS" (Steam, Thermal, and Advanced Processes Reservoir Simulator), from CMG (Computer Modelling Group). The following operating parameters were analyzed: air rate, configuration of producer wells and oxygen concentration. A sensitivity study on cumulative oil (Np) was performed with the technique of experimental design, with a mixed model of two and three levels (32x22), a total of 36 runs. Also, it was done a technical economic estimative for each model of fluid. The results showed that injection rate was the most influence parameter on oil recovery, for both studied models, well arrangement depends on fluid model, and oxygen concentration favors recovery oil. The process can be profitable depends on air rate

Classificação Automática de Modulação Digital com uso de Correntropia para Ambientes de Rádio Cognitivo

Modern wireless systems employ adaptive techniques to provide high throughput while observing desired coverage, Quality of Service (QoS) and capacity. An alternative to further enhance data rate is to apply cognitive radio concepts, where a system is able to exploit unused spectrum on existing licensed bands by sensing the spectrum and opportunistically access unused portions. Techniques like Automatic Modulation Classification (AMC) could help or be vital for such scenarios. Usually, AMC implementations rely on some form of signal pre-processing, which may introduce a high computational cost or make assumptions about the received signal which may not hold (e.g. Gaussianity of noise). This work proposes a new method to perform AMC which uses a similarity measure from the Information Theoretic Learning (ITL) framework, known as correntropy coefficient. It is capable of extracting similarity measurements over a pair of random processes using higher order statistics, yielding in better similarity estimations than by using e.g. correlation coefficient. Experiments carried out by means of computer simulation show that the technique proposed in this paper presents a high rate success in classification of digital modulation, even in the presence of additive white gaussian noise (AWGN)

Numerical simulation of magnetic field enhanced plasma immersion ion implantation

The behavior of plasma and sheath characteristics under the action of an applied magnetic field is important in many applications including plasma probes and material processing. Plasma immersion ion implantation (PIII) has been developed as a fast and efficient surface modification technique of complex shaped three-dimensional objects. The PIII process relies on the acceleration of ions across a high-voltage plasma sheath that develops around the target. Recent studies have shown that the sheath dynamics is significantly affected by an external magnetic field. In this work we describe a two-dimensional computer simulation of magnetic field enhanced plasma immersion implantation system. Negative bias voltage is applied to a cylindrical target located on the axis of a grounded cylindrical vacuum chamber filled with uniform nitrogen plasma. An axial magnetic field is created by a solenoid installed inside the cylindrical target. The computer code employs the Monte Carlo method for collision of electrons and neutrals in the plasma and a particle-in-cell (PIC) algorithm for simulating the movement of charged particles in the electromagnetic field. Secondary electron emission from the target subjected to ion bombardment is also included. It is found that a high-density plasma region is formed around the cylindrical target due to the intense background gas ionization by the magnetized electrons drifting in the crossed ExB fields. An increase of implantation current density in front of high density plasma region is observed. (C) 2007 Elsevier B.V. All rights reserved.

The Impact on Geographic Location Accuracy due to Different Satellite Orbit Ephemerides

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Stochastic quantization of real-time thermal field theory

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Numerical simulation of magnetic-field-enhanced plasma immersion ion implantation in cylindrical geometry

Recent studies have demonstrated that the sheath dynamics in plasma immersion ion implantation (PIII) is significantly affected by an external magnetic field. In this paper, a two-dimensional computer simulation of a magnetic-field-enhanced PHI system is described. Negative bias voltage is applied to a cylindrical target located on the axis of a grounded vacuum chamber filled with uniform molecular nitrogen plasma. A static magnetic field is created by a small coil installed inside the target holder. The vacuum chamber is filled with background nitrogen gas to form a plasma in which collisions of electrons and neutrals are simulated by the Monte Carlo algorithm. It is found that a high-density plasma is formed around the target due to the intense background gas ionization by the magnetized electrons drifting in the crossed E x B fields. The effect of the magnetic field intensity, the target bias, and the gas pressure on the sheath dynamics and implantation current of the PHI system is investigated.

STOCHASTIC QUANTIZATION OF FERMIONIC THEORIES - RENORMALIZATION OF THE MASSIVE THIRRING MODEL

Using the Langevin approach for stochastic processes, we study the renormalizability of the massive Thirring model. At finite fictitious time, we prove the absence of induced quadrilinear counterterms by verifying the cancellation of the divergencies of graphs with four external lines. This implies that the vanishing of the renormalization group beta function already occurs at finite times.

Dynamic modeling and simulation of a flexible robotic manipulator

This work focuses on the dynamic modeling of a flexible robotic manipulator with two flexible links and two revolute joints, which rotates in the horizontal plane. The dynamic equations are derived using the Newton-Euler formulation and the finite element method, based on elementary beam theory. Computer simulation results are presented to illustrate this study. The dynamic model becomes necessary for use in future design and control applications.

Numerical simulation of viscous three-dimensional flow over aerospace vehicles using Euler/boundary-layer zonal approach

This paper presents a viscous three-dimensional simulations coupling Euler and boundary layer codes for calculating flows over arbitrary surfaces. The governing equations are written in a general non orthogonal coordinate system. The Levy-Lees transformation generalized to three-dimensional flows is utilized. The inviscid properties are obtained from the Euler equations using the Beam and Warming implicit approximate factorization scheme. The resulting equations are discretized and approximated by a two-point fmitedifference numerical scheme. The code developed is validated and applied to the simulation of the flowfield over aerospace vehicle configurations. The results present good correlation with the available data.

Absorption and fluorescence of Er3+-doped LiYF4: Measurements and simulation

Er3+:LiYF4 single crystal has been studied by absorption and fluorescence spectroscopy in the IR-visible-UV (0-44000 cm-1) region from 4.2 K to room temperature. Polarized spectra were recorded in order to assign numerous Stark levels of electronic transitions mentioned but not attributed before in the related literature and to discuss the irreducible representations (irreps) of the 4I15/2 sublevels. A parametric hamiltonian, including free ion (Eν, α, β, γ, Tλ, ζ, Mk and Pi) and crystal field parameters (B2 0, B4 0, B4 4, B6 0 and B6 4) in an approximate D2d symmetry for the rare earth site in this scheelite type structure, was used to simulate 109 energy positions of the Er ion with a r.m.s. standard deviation of 14.6 cm-1. A comparison with previously published results for Nd3+ in the same matrix is done. © 1998 Elsevier Science S.A.

Quantum tunneling fragmentation model

A nonthermal quantum mechanical statistical fragmentation model based on tunneling of particles through potential barriers is studied in compact two- and three-dimensional systems. It is shown that this fragmentation dynamics gives origin to several static and dynamic scaling relations. The critical exponents are found and compared with those obtained in classical statistical models of fragmentation of general interest, in particular with thermal fragmentation involving classical processes over potential barriers. Besides its general theoretical interest, the fragmentation dynamics discussed here is complementary to classical fragmentation dynamics of interest in chemical kinetics and can be useful in the study of a number of other dynamic processes such as nuclear fragmentation. ©2000 The American Physical Society.

Simulation of active control using fuzzy logic applied to a pulse combustor

This work analyzes an active fuzzy logic control system in a Rijke type pulse combustor. During the system development, a study of the existing types of control for pulse combustion was carried out and a simulation model was implemented to be used with the package Matlab and Simulink. Blocks which were not available in the simulator library were developed. A fuzzy controller was developed and its membership functions and inference rules were established. The obtained simulation showed that fuzzy logic is viable in the control of combustion instabilities. The obtained results indicated that the control system responded to pulses in an efficient and desirable way. It was verified that the system needed approximately 0.2 s to increase the tube internal pressure from 30 to 90 mbar, with an assumed total delay of 2 ms. The effects of delay variation were studied. Convergence was always obtained and general performance was not affected by the delay. The controller sends a pressure signal in phase with the Rijke tube internal pressure signal, through the speakers, when an increase the oscillations pressure amplitude is desired. On the other hand, when a decrease of the tube internal pressure amplitude is desired, the controller sends a signal 180° out of phase.