Modelagem estocástica de opções de câmbio no Brasil: aplicação de transformada rápida de Fourier e expansão assintótica ao modelo de Heston

Pós-graduação em Física - IFT

Métodos geoelétricos empregados na caracterização e monitoramento de anomalias inerentes à infiltração controlada de vinhaça

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Thiete und Bisthiete in der Heterocyclensynthese

Die vorliegende Arbeit beschäftigt sich mit der Synthese arenoanellierter Naphthothiete und Benzobisthiete, sowie mit der Umsetzung der aus diesen Thieten thermisch generierbaren Valenzisomeren (Thiochinonmethide). Diese Thiochinonmethide sind hochreaktive Diensysteme, die mit zahlreichen Dienophilen (homo- und hetero-Doppel- und Dreifachbindungssysteme) nach Diels-Alder abreagieren, die dabei entstehenden S-Heterocyclen können im Sechsring noch weitere Heteroatome (N, P, O, S) enthalten. Daraus resultiert ein großes Potential der Arenothiete zur Synthese neuer Thioheterocyclen. Durch die erstmals gelungene Synthese der beiden Benzobisthiete 2H,3H-Benzo[1,2-b:4,3-b']bisthiet und 1H,4H-Benzo[2,1-b:3,4-b']bisthiet mit gewinkelter Anellierungsgeometrie hat das synthetische Spektrum der aus Arenothieten darstellbaren Thioheterocyclen nochmal eine deutliche Erweiterung erfahren.

Die Darstellung der Arenothiete erfolgt in einer mehrstufigen Synthese, in deren finalem Schritt sie mittels Blitz-Vakuum-Pyrolyse aus Arylhydroxymethylthiolen gebildet werden, dabei wird das Edukt mittels molekularer Strömung in den "Reaktor" eingebracht. Da die Arylhydroxymethylthiole in der Regel nur eine sehr geringe Flüchtigkeit haben, waren die Arenothiete meist nur in geringen Mengen darstellbar. Daher wurde in dieser Arbeit sowohl die Synthese neuer Arenothiete (gewinkelte Benzobisthiete) als auch eine Optimierung der bisherigen Synthesemethode angestrebt; diese erfolgt bevorzugt durch Variation der Pyrolyseedukte in Richtung zu potentiell höherflüchtigen Verbindungen.

Im Rahmen dieser Versuche war die Darstellung zweier Arenothiete ausgehend von cyclischen O,S-Acetalen als alternative Pyrolysevorstufen erfolgreich.

Ein besonderes Interesse speziell an Benzobisthieten begründet sich in ihrer generellen Fähigkeit zum Aufbau von bandartigen Strukturen durch Oligo- und Poly-Diels-Alder-Reaktionen. Durch die Synthese einiger Modellverbindungen konnte ihre prinzipielle Eignung zum Aufbau von Bandstrukturen auch für die beiden Benzobisthiete belegt werden.

Structure of the Southern Tyrrhenian subduction system: insights from seismological analysis of anisotropy and attenuation

The Southern Tyrrhenian subduction system shows a complex interaction among asthenospheric flow, subducting slab and overriding plate. To shed light on the deformations and mechanical properties of the slab and surrounding mantle, I investigated seismic anisotropy and attenuation properties through the subduction region. I used both teleseisms and slab earthquakes, analyzing shear-wave splitting on SKS and S phases, respectively. The fast polarization directions φ, and the delay time, δt, were retrieved using the method of Silver and Chan [1991. SKS and S φ reveal a complex anisotropy pattern across the subduction zone. SKS-rays sample primarily the sub-slab region showing rotation of fast directions following the curved shape of the slab and very strong anisotropy. S-rays sample mainly the slab, showing variable φ and a smaller δt. SKS and S splitting reveals a well developed toroidal flow at SW edge of the slab, while at its NE edge the pattern is not very clear. This suggests that the anisotropy is controlled by the slab rollback, responsible for about 100 km slab parallel φ in the sub-slab mantle. The slab is weakly anisotropic, suggesting the asthenosphere as main source of anisotropy. To investigate the physical properties of the slab and surrounding regions, I analyzed the seismic P and S wave attenuation. By inverting high-quality S-waves t* from slab earthquakes, 3D attenuation models down to 300 km were obtained. Attenuation results image the slab as low-attenuation body, but with heterogeneous QS and QP structure showing spot of high attenuation , between 100-200 km depth, which could be due dehydration associated to the slab metamorphism. A low QS anomaly is present in the mantle wedge beneath the Aeolian volcanic arc and could indicate mantle melting and slab dehydration.

Aircraft-based in-situ aerosol mass spectrometry: Chemical characterization and source identification of submicron particulate matter in the free and upper troposphere and lower stratosphere

The composition of the atmosphere is frequently perturbed by the emission of gaseous and particulate matter from natural as well as anthropogenic sources. While the impact of trace gases on the radiative forcing of the climate is relatively well understood the role of aerosol is far more uncertain. Therefore, the study of the vertical distribution of particulate matter in the atmosphere and its chemical composition contribute valuable information to bridge this gap of knowledge. The chemical composition of aerosol reveals information on properties such as radiative behavior and hygroscopicity and therefore cloud condensation or ice nucleus potential. rnThis thesis focuses on aerosol pollution plumes observed in 2008 during the POLARCAT (Polar Study using Aircraft, Remote Sensing, Surface Measurements and Models, of Climate, Chemistry, Aerosols, and Transport) campaign over Greenland in June/July and CONCERT (Contrail and Cirrus Experiment) campaign over Central and Western Europe in October/November. Measurements were performed with an Aerodyne compact time-of-flight aerosol mass spectrometer (AMS) capable of online size-resolved chemical characterization of non-refractory submicron particles. In addition, the origins of pollution plumes were determined by means of modeling tools. The characterized pollution episodes originated from a large variety of sources and were encountered at distinct altitudes. They included pure natural emissions from two volcanic eruptions in 2008. By the time of detection over Western Europe between 10 and 12 km altitude the plume was about 3 months old and composed to 71 % of particulate sulfate and 21 % of carbonaceous compounds. Also, biomass burning (BB) plumes were observed over Greenland between 4 and 7 km altitude (free troposphere) originating from Canada and East Siberia. The long-range transport took roughly one and two weeks, respectively. The aerosol was composed of 78 % organic matter and 22 % particulate sulfate. Some Canadian and all Siberian BB plumes were mixed with anthropogenic emissions from fossil fuel combustion (FF) in North America and East Asia. It was found that the contribution of particulate sulfate increased with growing influences from anthropogenic activity and Asia reaching up to 37 % after more than two weeks of transport time. The most exclusively anthropogenic emission source probed in the upper troposphere was engine exhaust from commercial aircraft liners over Germany. However, in-situ characterization of this aerosol type during aircraft chasing was not possible. All long-range transport aerosol was found to have an O:C ratio close to or greater than 1 implying that low-volatility oxygenated organic aerosol was present in each case despite the variety of origins and the large range in age from 3 to 100 days. This leads to the conclusion that organic particulate matter reaches a final and uniform state of oxygenation after at least 3 days in the free troposphere. rnExcept for aircraft exhaust all emission sources mentioned above are surface-bound and thus rely on different types of vertical transport mechanisms, such as direct high altitude injection in the case of a volcanic eruption, or severe BB, or uplift by convection, to reach higher altitudes where particles can travel long distances before removal mainly caused by cloud scavenging. A lifetime for North American mixed BB and FF aerosol of 7 to 11 days was derived. This in consequence means that emission from surface point sources, e.g. volcanoes, or regions, e.g. East Asia, do not only have a relevant impact on the immediate surroundings but rather on a hemispheric scale including such climate sensitive zones as the tropopause or the Arctic.

Porosity contributions of radiolarians in ODP Site 110-671 and Hole 110-672A sediments

This study quantitatively addresses the significance of porosity within radiolarian tests in the décollement zone at the toe of the northern Barbados accretionary prism. Quantification was accomplished using scanning electron microscope images of core samples taken from Ocean Drilling Program (ODP) Sites 671 and 672, representing the décollement and proto-décollement, respectively. The décollement is localized to a radiolarian claystone, and its depth correlates with a low-density anomaly that has been attributed to high porosity at all relevant ODP drilling sites in the area (Moore, Klaus, et al., 1998, doi:10.2973/odp.proc.ir.171A.1998; Shipley, Ogawa, Blum, et al., 1995, doi:10.2973/odp.proc.ir.153.1995; Mascle, Moore, et al., 1988, doi:10.2973/odp.proc.ir.110.1988). Porosity in the décollement zone is presumably lost between Sites 672 and 671 because of shear enhanced consolidation (Moore et al., 1998, doi:10.1130/0091-7613(1998)026<0811:CPDIAE>2.3.CO;2).

Stable isotope record of foraminifera from the subarctic Pacific

Benthic (Uvigerina spp., Cibicidoides spp., Gyroidinoides spp.) and planktonic (N. pachyderma sinistral, G. bulloides) stable isotope records from three core sites in the central Gulf of Alaska are used to infer mixed-layer and deepwater properties of the late glacial Subarctic Pacific. Glacial-interglacial amplitudes of the planktonic delta18O records are 1.1-1.3 per mil, less than half the amplitude observed at core sites at similar latitudes in the North Atlantic; these data imply that a strong, negative deltaw anomaly existed in the glacial Subarctic mixed layer during the summer, which points to a much stronger low-salinity anomaly than exists today. If true, the upper water column in the North Pacific would have been statically more stable than today, thus suppressing convection even more efficiently. This scenario is further supported by vertical (i.e., planktic versus benthic) delta18O and delta13C gradients of >1 per mil, which suggest that a thermohaline link between Pacific deep waters and the Subarctic Pacific mixed layer did not exist during the late glacial. Epibenthic delta13C in the Subarctic Pacific is more negative than at tropical-subtropical Pacific sites but similar to that recorded at Southern Ocean sites, suggesting ventilation of the deep central Pacific from mid-latitude sources, e.g., from the Sea of Japan and Sea of Okhotsk. Still, convection to intermediate depths could have occurred in the Subarctic during the winter months when heat loss to the atmosphere, sea ice formation, and wind-driven upwelling of saline deep waters would have been most intense. This would be beyond the grasp of our planktonic records which only document mixed-layer temperature-salinity fields extant during the warmer seasons. Also we do not have benthic isotope records from true intermediate water depths of the Subarctic Pacific.

Characterization of urban aerosol in Cork city (Ireland) using aerosol mass spectrometry

Ambient wintertime background urban aerosol in Cork city, Ireland, was characterized using aerosol mass spectrometry. During the three-week measurement study in 2009, 93% of the ca. 1 350 000 single particles characterized by an Aerosol Time-of-Flight Mass Spectrometer (TSI ATOFMS) were classified into five organic-rich particle types, internally mixed to different proportions with elemental carbon (EC), sulphate and nitrate, while the remaining 7% was predominantly inorganic in nature. Non-refractory PM1 aerosol was characterized using a High Resolution Time-of-Flight Aerosol Mass Spectrometer (Aerodyne HR-ToF-AMS) and was also found to comprise organic aerosol as the most abundant species (62 %), followed by nitrate (15 %), sulphate (9 %) and ammonium (9 %), and chloride (5 %). Positive matrix factorization (PMF) was applied to the HR-ToF-AMS organic matrix, and a five-factor solution was found to describe the variance in the data well. Specifically, "hydrocarbon-like" organic aerosol (HOA) comprised 20% of the mass, "low-volatility" oxygenated organic aerosol (LV-OOA) comprised 18 %, "biomass burning" organic aerosol (BBOA) comprised 23 %, non-wood solid-fuel combustion "peat and coal" organic aerosol (PCOA) comprised 21 %, and finally a species type characterized by primary m/z peaks at 41 and 55, similar to previously reported "cooking" organic aerosol (COA), but possessing different diurnal variations to what would be expected for cooking activities, contributed 18 %. Correlations between the different particle types obtained by the two aerosol mass spectrometers are also discussed. Despite wood, coal and peat being minor fuel types used for domestic space heating in urban areas, their relatively low combustion efficiencies result in a significant contribution to PM1 aerosol mass (44% and 28% of the total organic aerosol mass and non-refractory total PM1, respectively).Ambient wintertime background urban aerosol in Cork city, Ireland, was characterized using aerosol mass spectrometry. During the three-week measurement study in 2009, 93% of the ca. 1 350 000 single particles characterized by an Aerosol Time-of-Flight Mass Spectrometer (TSI ATOFMS) were classified into five organic-rich particle types, internally mixed to different proportions with elemental carbon (EC), sulphate and nitrate, while the remaining 7% was predominantly inorganic in nature. Non-refractory PM1 aerosol was characterized using a High Resolution Time-of-Flight Aerosol Mass Spectrometer (Aerodyne HR-ToF-AMS) and was also found to comprise organic aerosol as the most abundant species (62 %), followed by nitrate (15 %), sulphate (9 %) and ammonium (9 %), and chloride (5 %). Positive matrix factorization (PMF) was applied to the HR-ToF-AMS organic matrix, and a five-factor solution was found to describe the variance in the data well. Specifically, "hydrocarbon-like" organic aerosol (HOA) comprised 20% of the mass, "low-volatility" oxygenated organic aerosol (LV-OOA) comprised 18 %, "biomass burning" organic aerosol (BBOA) comprised 23 %, non-wood solid-fuel combustion "peat and coal" organic aerosol (PCOA) comprised 21 %, and finally a species type characterized by primary m/z peaks at 41 and 55, similar to previously reported "cooking" organic aerosol (COA), but possessing different diurnal variations to what would be expected for cooking activities, contributed 18 %. Correlations between the different particle types obtained by the two aerosol mass spectrometers are also discussed. Despite wood, coal and peat being minor fuel types used for domestic space heating in urban areas, their relatively low combustion efficiencies result in a significant contribution to PM1 aerosol mass (44% and 28% of the total organic aerosol mass and non-refractory total PM1, respectively).

Modeling the Effect of Vapor Wall Deposition on the Formation of Secondary Organic Aerosol in Chamber Studies

Laboratory chamber experiments are used to investigate formation of secondary organic aerosol (SOA) from biogenic and anthropogenic precursors under a variety of environmental conditions. Simulations of these experiments test our understanding of the prevailing chemistry of SOA formation as well as the dynamic processes occurring in the chamber itself. One dynamic process occurring in the chamber that was only recently recognized is the deposition of vapor species to the Teflon walls of the chamber. Low-volatility products formed from the oxidation of volatile organic compounds (VOCs) deposit on the walls rather than forming SOA, decreasing the amount of SOA formed (quantified as the SOA yield: mass of SOA formed per mass of VOC reacted). In this work, several modeling studies are presented that address the effect of vapor wall deposition on SOA formation in chambers.

A coupled vapor-particle dynamics model is used to examine the competition among the rates of gas-phase oxidation to low volatility products, wall deposition of these products, and mass transfer to the particle phase. The relative time scales of these rates control the amount of SOA formed by affecting the influence of vapor wall deposition. Simulations show that an effect on SOA yield of changing the vapor-particle mass transfer rate is only observed when SOA formation is kinetically limited. For systems with kinetically limited SOA formation, increasing the rate of vapor-particle mass transfer by increasing the concentration of seed particles is an effective way to minimize the effect of vapor wall deposition.

This coupled vapor-particle dynamics model is then applied to α-pinene ozonolysis SOA experiments. Experiments show that the SOA yield is affected when changing the oxidation rate but not when changing the rate of gas-particle mass transfer by changing the concentration of seed particles. Model simulations show that the absence of an effect of changing the seed particle concentration is consistent with SOA formation being governed by quasi-equilibrium growth, in which gas-particle equilibrium is established much faster than the rate of change of the gas-phase concentration. The observed effect of oxidation rate on SOA yield arises due to the presence of vapor wall deposition: gas-phase oxidation products are produced more quickly and condense preferentially onto seed particles before being lost to the walls. Therefore, for α-pinene ozonolysis, increasing the oxidation rate is the most effective way to mitigate the influence of vapor wall deposition.

Finally, the detailed model GECKO-A (Generator for Explicit Chemistry and Kinetics of Organics in the Atmosphere) is used to simulate α-pinene photooxidation SOA experiments. Unexpectedly, α-pinene OH oxidation experiments show no effect when changing either the oxidation rate or the vapor-particle mass transfer rate, whereas GECKO-A predicts that changing the oxidation rate should drastically affect the SOA yield. Sensitivity studies show that the assumed magnitude of the vapor wall deposition rate can greatly affect conclusions drawn from comparisons between simulations and experiments. If vapor wall loss in the Caltech chamber is of order 10^-5 s^-1, GECKO-A greatly overpredicts SOA during high UV experiments, likely due to an overprediction of second-generation products. However, if instead vapor wall loss in the Caltech chamber is of order 10^-3 s^-1, GECKO-A greatly underpredicts SOA during low UV experiments, possibly due to missing autoxidation pathways in the α-pinene mechanism.

Low-frequency volatility of real estate securities in relation to macroeconomic risk

Real estate securities have a number of distinct characteristics that differentiate them from stocks generally. Key amongst them is that under-pinning the firms are both real as well as investment assets. The connections between the underlying macro-economy and listed real estate firms is therefore clearly demonstrated and of heightened importance. To consider the linkages with the underlying macro-economic fundamentals we extract the ‘low-frequency’ volatility component from aggregate volatility shocks in 11 international markets over the 1990-2014 period. This is achieved using Engle and Rangel’s (2008) Spline-Generalized Autoregressive Conditional Heteroskedasticity (Spline-GARCH) model. The estimated low-frequency volatility is then examined together with low-frequency macro data in a fixed-effect pooled regression framework. The analysis reveals that the low-frequency volatility of real estate securities has strong and positive association with most of the macroeconomic risk proxies examined. These include interest rates, inflation, GDP and foreign exchange rates.

Low frequency of Y anomaly detected in Australian Brahman cow-herds

Indicine cattle have lower reproductive performance in comparison to taurine. A chromosomal anomaly characterized by the presence Y markers in females was reported and associated with infertility in cattle. The aim of this study was to investigate the occurrence of the anomaly in Brahman cows. Brahman cows (n = 929) were genotyped for a Y chromosome specific region using real time-PCR. Only six out of 929 cows had the anomaly (0.6%). The anomaly frequency was much lower in Brahman cows than in the crossbred population, in which it was first detected. It also seems that the anomaly doesn't affect pregnancy in the population. Due to the low frequency, association analyses couldn't be executed. Further, SNP signal of the pseudoautosomal boundary region of the Y chromosome was investigated using HD SNP chip. Pooled DNA of non-pregnant and pregnant cows were compared and no difference in SNP allele frequency was observed. Results suggest that the anomaly had a very low frequency in this Australian Brahman population and had no effect on reproduction. Further studies comparing pregnant cows and cows that failed to conceive should be executed after better assembly and annotation of the Y chromosome in cattle.

Time evolution of the South Atlantic Magnetic Anomaly

The South Atlantic Magnetic Anomaly (SAMA) is one of the most outstanding anomalies of the geomagnetic field. The SAMA secular variation was obtained and compared to the evolution of other anomalies using spherical harmonic field models for the 1590-2005 period. An analysis of data from four South American observatories shows how this large scale anomaly affected their measurements. Since SAMA is a low total field anomaly, the field was separated into its nondipolar, quadrupolar and octupolar parts. The time evolution of the non-dipole/total, quadrupolar/total and octupolar/total field ratios yielded increasingly high values for the South Atlantic since 1750. The SAMA evolution is compared to the evolution of other large scale surface geomagnetic features like the North and the South Pole and the Siberia High, and this comparison shows the intensity equilibrium between these anomalies in both hemispheres. The analysis of non-dipole fields in historical period suggests that SAMA is governed by (i) quadrupolar field for drift, and (ii) quadrupolar and octupolar fields for intensity and area of influence. Furthermore, our study reinforces the possibility that SAMA may be related to reverse fluxes in the outer core under the South Atlantic region.

Observational evidences on the modulation of the South American Low Level Jet east of the Andes according the ENSO variability

The differences on the phase and wavelength of the quasi-stationary waves over the South America generated by El Nino (EN) and La Nina (LN) events seem to affect the daily evolution of the South American Low Level Jet east of the Andes (SALLJ). For the austral summer period of 1977 2004 the SALLJ episodes detected according to Bonner criterion 1 show normal to above-normal frequency in EN years, and in LN years the episodes show normal to below-normal frequency. During EN and LN years the SALLJ episodes were associated with positive rainfall anomalies over the La Plata Basin, but more intense during LN years. During EN years the increase in the SALLJ cases were associated to intensification of the Subtropical Jet (SJ) around 30 degrees S and positive Sea Level Pressure (SLP) anomalies over the western equatorial Atlantic and tropical South America, particularly over central Brazil. This favored the intensification of the northeasterly trade winds over the northern continent and it channeled by the Andes mountain to the La Plata Basin region where negative SLP are found. The SALLJ cases identified during the LN events were weaker and less frequent when compared to those for EN years. In this case the SJ was weaker than in EN years and the negative SLP anomalies over the tropical continent contributed to the inversion of the northeasterly trade winds. Also a southerly flow anomaly was generated by the geostrophic balance due to the anomalous blocking over southeast Pacific and the intense cyclonic transient over the southern tip of South America. As result the warm tropical air brought by the SALLJ encounters the cold extratropical air from the southerly winds over the La Plata basin. This configuration can increase the conditional instability over the La Plata basin and may explain the more intense positive rainfall anomalies in SALLJ cases during LN years than in EN years.

Diffusion anomaly and dynamic transitions in the Bell-Lavis water model

In this paper we investigate the dynamic properties of the minimal Bell-Lavis (BL) water model and their relation to the thermodynamic anomalies. The BL model is defined on a triangular lattice in which water molecules are represented by particles with three symmetric bonding arms interacting through van der Waals and hydrogen bonds. We have studied the model diffusivity in different regions of the phase diagram through Monte Carlo simulations. Our results show that the model displays a region of anomalous diffusion which lies inside the region of anomalous density, englobed by the line of temperatures of maximum density. Further, we have found that the diffusivity undergoes a dynamic transition which may be classified as fragile-to-strong transition at the critical line only at low pressures. At higher densities, no dynamic transition is seen on crossing the critical line. Thus evidence from this study is that relation of dynamic transitions to criticality may be discarded. (C) 2010 American Institute of Physics. [doi:10.1063/1.3479001]

Interpretation of gravity data to delineate structural features connected to low-temperature geothermal resources at Northeastern Portugal

A great number of low-temperature geothermal fields occur in Northern-Portugal related to fractured rocks. The most important superficial manifestations of these hydrothermal systems appear in pull-apart tectonic basins and are strongly conditioned by the orientation of the main fault systems in the region. This work presents the interpretation of gravity gradient maps and 3D inversion model produced from a regional gravity survey. The horizontal gradients reveal a complex fault system. The obtained 3D model of density contrast puts into evidence the main fault zone in the region and the depth distribution of the granitic bodies. Their relationship with the hydrothermal systems supports the conceptual models elaborated from hydrochemical and isotopic water analyses. This work emphasizes the importance of the role of the gravity method and analysis to better understand the connection between hydrothermal systems and the fractured rock pattern and surrounding geology. (c) 2013 Elsevier B.V. All rights reserved.