The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Fungal contamination of poultries litter: a public health problem

Exposure to certain fungi can cause human illness. Fungi cause adverse human health effects through three specific mechanisms: generation of a harmful immune response (e.g., allergy or hypersensitivity pneumonitis); direct infection by the fungal organism; by toxic-irritant effects from mold byproducts, such as mycotoxins. In Portugal there is an increasingly industry of large facilities that produce whole chickens for domestic consumption and only few investigations have reported on fungal contamination of the poultry litter. The material used for poultry litter is varied but normally can be constitute by: pine shavings; sawdust of eucalyptus; other types of wood; peanut; coffee; sugar cane; straw; hay; grass; paper processed. Litter is one of the most contributive factors to fungal contamination in poultries. Spreading litter is one of the tasks that normally involve higher exposure of the poultry workers to dust, fungi and their metabolites, such as VOC’s and mycotoxins. After being used and removed from poultries, litter is ploughed into agricultural soils, being this practice potentially dangerous for the soil environment, as well for both humans and animals. The goal of this study was to characterize litter’s fungal contamination and also to report the incidence of keratinophilic and toxigenic fungi.

Positive Solutions of the Dirichlet Problem for the One-dimensional Minkowski-Curvature Equation

We discuss existence and multiplicity of positive solutions of the Dirichlet problem for the quasilinear ordinary differential equation-(u' / root 1 - u'(2))' = f(t, u). Depending on the behaviour of f = f(t, s) near s = 0, we prove the existence of either one, or two, or three, or infinitely many positive solutions. In general, the positivity of f is not required. All results are obtained by reduction to an equivalent non-singular problem to which variational or topological methods apply in a classical fashion.

Fungal contamination of poultry litter: a public health problem

Although numerous studies have been conducted on microbial contaminants associated with various stages related to poultry and meat products processing, only a few reported on fungal contamination of poultry litter. The goals of this study were to (1) characterize litter fungal contamination and (2) report the incidence of keratinophilic and toxigenic fungi presence. Seven fresh and 14 aged litter samples were collected from 7 poultry farms. In addition, 27 air samples of 25 litters were also collected through impaction method, and after laboratory processing and incubation of collected samples, quantitative colony-forming units (CFU/m3) and qualitative results were obtained. Twelve different fungal species were detected in fresh litter and Penicillium was the most frequent genus found (59.9%), followed by Alternaria (17.8%), Cladosporium (7.1%), and Aspergillus (5.7%). With respect to aged litter, 19 different fungal species were detected, with Penicillium sp. the most frequently isolated (42.3%), followed by Scopulariopsis sp. (38.3%), Trichosporon sp. (8.8%), and Aspergillus sp. (5.5%). A significant positive correlation was found between litter fungal contamination (CFU/g) and air fungal contamination (CFU/m3). Litter fungal quantification and species identification have important implications in the evaluation of potential adverse health risks to exposed workers and animals. Spreading of poultry litter in agricultural fields is a potential public health concern, since keratinophilic (Scopulariopsis and Fusarium genus) as well as toxigenic fungi (Aspergillus, Fusarium, and Penicillium genus) were isolated.

A generalized notion of compliance

It is a known fact in structural optimization that for structures subject to prescribed non-zero displacements the work done by the loads is not agood measure of compliance, neither is the stored elastic energy. We briefly discuss a possible alternative measure of compliance, valid for general boundary conditions. We also present the adjoint states (necessary for the computation of the structural derivative) for the three functionals under consideration. (C) 2011 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.

A user-centered interface for scheduling problem definition

In this paper we present a user-centered interface for a scheduling system. The purpose of this interface is to provide graphical and interactive ways of defining a scheduling problem. To create such user interface an evaluation-centered user interaction development method was adopted: the star life cycle. The created prototype comprises the Task Module and the Scheduling Problem Module. The first one allows users to define a sequence of operations, i.e., a task. The second one enables a scheduling problem definition, which consists in a set of tasks. Both modules are equipped with a set of real time validations to assure the correct definition of the necessary data input for the scheduling module of the system. The usability evaluation allowed us to measure the ease of interaction and observe the different forms of interaction provided by each participant, namely the reactions to the real time validation mechanism.

Geometric picture of generalized-CP and Higgs-family transformations in the two-Higgs-doublet model

In the two-Higgs-doublet model (THDM), generalized-CP transformations (phi(i) -> X-ij phi(*)(j) where X is unitary) and unitary Higgs-family transformations (phi(i) -> U-ij phi(j)) have recently been examined in a series of papers. In terms of gauge-invariant bilinear functions of the Higgs fields phi(i), the Higgs-family transformations and the generalized-CP transformations possess a simple geometric description. Namely, these transformations correspond in the space of scalar-field bilinears to proper and improper rotations, respectively. In this formalism, recent results relating generalized CP transformations with Higgs-family transformations have a clear geometric interpretation. We will review what is known regarding THDM symmetries, as well as derive new results concerning those symmetries, namely how they can be interpreted geometrically as applications of several CP transformations.

Addressing the facilities layout design problem through constraint logic programming

One of the most difficult problems that face researchers experimenting with complex systems in real world applications is the Facility Layout Design Problem. It relies with the design and location of production lines, machinery and equipment, inventory storage and shipping facilities. In this work it is intended to address this problem through the use of Constraint Logic Programming (CLP) technology. The use of Genetic Algorithms (GA) as optimisation technique in CLP environment is also an issue addressed. The approach aims the implementation of genetic algorithm operators following the CLP paradigm.

An optimal scheduling problem in distribution networks considering V2G

This paper addresses the problem of energy resource scheduling. An aggregator will manage all distributed resources connected to its distribution network, including distributed generation based on renewable energy resources, demand response, storage systems, and electrical gridable vehicles. The use of gridable vehicles will have a significant impact on power systems management, especially in distribution networks. Therefore, the inclusion of vehicles in the optimal scheduling problem will be very important in future network management. The proposed particle swarm optimization approach is compared with a reference methodology based on mixed integer non-linear programming, implemented in GAMS, to evaluate the effectiveness of the proposed methodology. The paper includes a case study that consider a 32 bus distribution network with 66 distributed generators, 32 loads and 50 electric vehicles.

Ant colony search algorithm for the optimal power flow problem

To maintain a power system within operation limits, a level ahead planning it is necessary to apply competitive techniques to solve the optimal power flow (OPF). OPF is a non-linear and a large combinatorial problem. The Ant Colony Search (ACS) optimization algorithm is inspired by the organized natural movement of real ants and has been successfully applied to different large combinatorial optimization problems. This paper presents an implementation of Ant Colony optimization to solve the OPF in an economic dispatch context. The proposed methodology has been developed to be used for maintenance and repairing planning with 48 to 24 hours antecipation. The main advantage of this method is its low execution time that allows the use of OPF when a large set of scenarios has to be analyzed. The paper includes a case study using the IEEE 30 bus network. The results are compared with other well-known methodologies presented in the literature.

Problem-Based Learning e suas implicações: breve revisão teórica

A ESTSP-IPP implementou em 2008-2009 um novo modelo pedagógico, o PBL, em três licenciaturas. Este modelo tem sido considerado capaz de promover a aquisição de conhecimentos mas também o desenvolvimento de competências transversais valorizadas no mercado de trabalho; orienta-se em torno de problemas significativos da realidade profissional, trabalhados segundo a metodologia dos sete passos, destacando-se a aprendizagem através de pesquisa individual e trabalho de grupo; e visa ainda desenvolver processos cognitivos e metacognitivos como levantar hipóteses, comparar, analisar, interpretar e avaliar. Neste artigo, caracterizamos brevemente o modelo e respectivas implicações, justificando o interesse em investigar as repercussões da sua implementação.

Optimal methodology for distribution systems reconfiguration based on OPF and solved by decomposition technique

This paper presents a new and efficient methodology for distribution network reconfiguration integrated with optimal power flow (OPF) based on a Benders decomposition approach. The objective minimizes power losses, balancing load among feeders and subject to constraints: capacity limit of branches, minimum and maximum power limits of substations or distributed generators, minimum deviation of bus voltages and radial optimal operation of networks. The Generalized Benders decomposition algorithm is applied to solve the problem. The formulation can be embedded under two stages; the first one is the Master problem and is formulated as a mixed integer non-linear programming problem. This stage determines the radial topology of the distribution network. The second stage is the Slave problem and is formulated as a non-linear programming problem. This stage is used to determine the feasibility of the Master problem solution by means of an OPF and provides information to formulate the linear Benders cuts that connect both problems. The model is programmed in GAMS. The effectiveness of the proposal is demonstrated through two examples extracted from the literature.

Ant colony system based approach to single machine scheduling problems: weighted tardiness scheduling problem

The paper introduces an approach to solve the problem of generating a sequence of jobs that minimizes the total weighted tardiness for a set of jobs to be processed in a single machine. An Ant Colony System based algorithm is validated with benchmark problems available in the OR library. The obtained results were compared with the best available results and were found to be nearer to the optimal. The obtained computational results allowed concluding on their efficiency and effectiveness.

Solving MPCC problem with the hyperbolic penalty function

The main goal of this work is to solve mathematical program with complementarity constraints (MPCC) using nonlinear programming techniques (NLP). An hyperbolic penalty function is used to solve MPCC problems by including the complementarity constraints in the penalty term. This penalty function [1] is twice continuously differentiable and combines features of both exterior and interior penalty methods. A set of AMPL problems from MacMPEC [2] are tested and a comparative study is performed.

Solving a signalized traffic intersection problem with an hyperbolic penalty function

Mathematical Program with Complementarity Constraints (MPCC) finds many applications in fields such as engineering design, economic equilibrium and mathematical programming theory itself. A queueing system model resulting from a single signalized intersection regulated by pre-timed control in traffic network is considered. The model is formulated as an MPCC problem. A MATLAB implementation based on an hyperbolic penalty function is used to solve this practical problem, computing the total average waiting time of the vehicles in all queues and the green split allocation. The problem was codified in AMPL.