Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, as�� como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

[Ressenya del llibre] Fischer, Susann: The Catalan Clitic System: A Diachronic Perspective on its Syntax and Phonology, Berlín, Mouton de Gruyter, 2002

Comentari al llibre de Susann Fischer, 'The Catalan Clitic System: A Diachronic Perspective on its Syntax and Phonology', que segons les autores de la ressenya constitueix una bona introducció a un tema de gran interès per als estudis històrics: la posició dels pronoms àtons en català i en altres llengües romàniques

[Ressenya del llibre] Susann Fischer: The Catalan Clitic System. A Diachronic Perspective on its Syntax and Phonology (Mouton de Gruyter, Berlín,2002)

Comentari al llibre de Susann Fischer, 'The Catalan Clitic System: A Diachronic Perspective on its Syntax and Phonology', que segons les autores de la ressenya constitueix una bona introducció a un tema de gran interès per als estudis històrics: la posició dels pronoms àtons en català i en altres llengües romàniques

Group 11 (Cu, Ag, Au) promotion of 15%Co/Al(2)O(3) Fischer-Tropsch synthesis catalysts

Co/Al(2)O(3) Fischer-Tropsch synthesis catalysts promoted with different quantities of Group 11 metals (Cu, Ag, Au) were characterized and tested. The presence of relatively small quantities of such metals enhanced Co reducibility and, in the cases of Ag and Au, improved the surface Co metal active site densities. EXAFS experiments with the most loaded catalyst samples show that only Co-Co and Me-Me (Me = Cu, Ag and Au) coordination could be observed. This suggests that the greater fraction of the metals form different phases. However, the reduction promoting effect of the Group 11 metal is severely hampered once the catalyst receives a mild passivation treatment following primary reduction. An explanation in terms of promoter segregation during primary reduction is proposed. At lower promoter levels (0.83%Ag and 1.51%Au) and higher Ag levels (2.76%), significant gains in Co active site densities were achieved resulting in improved CO conversion levels relative to the unpromoted catalyst. Moreover, slight decreases in light product (e.g., CH(4)) selectivity and slight increases in C(5)+ selectivity were achieved. At high Au loading (5.05%), however, too much Au was loaded which, although significantly increasing the fraction of Co reduced, blocked Co surface sites and resulted in decreased Co conversion rates. While Cu facilitated Co reduction, the increased fraction of reduced Co did not translate to improved active site densities. It appears that a fraction of Cu tended to cover the rim of Co clusters, resulting in decreases in CO conversion rates and detrimental increases in light product selectivity. (C) 2009 Elsevier B.V. All rights reserved.

Haematology of captive grey-brocket deer Mazama gouazoubira (Fischer, 1814) (Cervidae: Odocoileinae).

Reference intervals for haematologic and total plasma proteins profiles were determined for 11 physically restrained adult grey-brocket deer. Erythrocytic alterations, as discrete to moderate poikilocytosis, were observed in all animals. Red and white blood cells counts were determined by manual methodology. Obtained erythron and leukon values were slightly higher than previous reports. Statistical difference was not demonstrated between stags and hinds. No previous studies reported blood values for captive grey-brocket deer obtained by manual methods. Also, the authors suggest that future studies on deer haematology should be focused on technique evaluation and improvement, considering the unusual erythrocytic morphology.

Helminthological screening of free-ranging grey brocket deer Mazama gouazoubira Fischer, 1817 (Cervidae: Odocoileini) from Brazilian Pantanal wetlands, with considerations on Pygarginema verrucosa (Molin, 1860) Kadenatzii, 1948 (Spirocercidae: Ascaropsinae)

Fundação de Amparo à Pesquisa do Estado de S��o Paulo (FAPESP)

Implementação de um modelo computacional para estudo do processo Fischer-Tropsch em reator de leito de lama

This work aims at the implementation and adaptation of a computational model for the study of the Fischer-Tropsch reaction in a slurry bed reactor from synthesis gas (CO+H2) for the selective production of hydrocarbons (CnHm), with emphasis on evaluation of the influence of operating conditions on the distribution of products formed during the reaction.The present model takes into account effects of rigorous phase equilibrium in a reactive flash drum, a detailed kinetic model able of predicting the formation of each chemical species of the reaction system, as well as control loops of the process variables for pressure and level of slurry phase. As a result, a system of Differential Algebraic Equations was solved using the computational code DASSL (Petzold, 1982). The consistent initialization for the problem was based on phase equilibrium formed by the existing components in the reactor. In addition, the index of the system was reduced to 1 by the introduction of control laws that govern the output of the reactor products. The results were compared qualitatively with experimental data collected in the Fischer-Tropsch Synthesis plant installed at Laboratório de Processamento de Gás - CTGÁS-ER-Natal/RN

S��ntese de Fischer-Tropsch sobre perovskitas LayCu0,4Fe0,6O3

The current natural gas production of 52 Mm3d-1 and the large projects for its expansion has been setting new boundaries for the Brazilian industry of oil and gas. So far, one of the biggest challenges regards to the logistics for gas transportation from offshore fields. Therefore, the transformation of natural gas into gasoline, diesel and/or olefins via Fischer-Tropsch synthesis would be an alternative to this matter. In this work, the production of hydrocarbons by Fischer-Tropsch synthesis in a slurry reactor was investigated and a perovskite-type catalyst (LayCu0,4Fe0,6O3 ± d) was used with y varying from 0 to 1 on a molar basis. In addition, Nb2O5 support was also applied in order to observe the selectivity of the produced hydrocarbons by the Fischer-Tropsch process. It is shown that the hydrogen conversion was influenced by the support as well as the different phases of the samples. The kinetic results for the CO2 production suffered great influence with the introduction of the Nb2O5 support throughout the series of samples studied. The catalysts allowed obtaining welldefined cuts of hydrocarbons in the range of C1-C6 and C17-C28, and these results were clearly influenced by the support and the lanthanum content. The higher olefin/paraffin ratio obtained was 1.8 when using a non-supported perovskite with y equal to 0.8. This would indicate the suitability of using this material for the production of olefins

The reformulation of nonlinear complementarity problems using the Fischer-Burmeister function

A bounded-level-set result for a reformulation of the box-constrained variational inequality problem proposed recently by Facchinei, Fischer and Kanzow is proved. An application of this result to the (unbounded) nonlinear complementarity problem is suggested. © 1999 Elsevier Science Ltd. All rights reserved.

Efeito da ingestão crônica de álcool na progressão de periodontite induzida em ratos da linhagem Fischer-344

Objective: Understand the effect of chronic alcohol on the progression of periodontitis induced in Fischer-344 rats. Methods: For the study, 22 Fischer-344 rats, two months old were used, divided into groups: alcohol (n=8), ligature (n=7) and control (n=7). On the first day, the animals in the alcohol group were exposed to ingestion of a water solution containing 20% alcohol (size/size), up to day 90. After thirty days from the beginning of the experiment, the animals in the alcohol group and the ligature group were submitted to the placement of a silk thread around the right maxillary second molar. Nothing was performed on the left side, serving as control. All the groups were submitted to euthanasia 60 days after ligature placement. To assess the destruction of periodontitis, a radiographic exam was used to measure the destruction of bone height. Results: The results of the study showed that on the side in which periodontitis was induced, the group that ingested alcohol suffered an increase in destruction, with statistical differences when compared with the ligature and control groups and increased bone destruction in the ligature group when compared to control. Conclusion: Within the limitations of the study, it was concluded that chronic alcohol consumption by Fischer-344 rats led to greater progression of induced periodontitis.

Primeiro relato de atividade patogênica de Hirsutella thompsonii (Fischer) sobre o ácaro-da-erinose-da-lichia Aceria litchii (Keifer)

The litchi erineum mite, Aceria litchii (Keifer) is found in all producing regions attacking leaves and flowers of litchi plants. The mite attack young leaves and causes the erinea on leaf surface, which later become brown galls with velvety appearance. Severe attacks can cause leaf drop and destruction of branches end directly production affecting. In 2009 year it was registered a heavy infestation of the pest on litchi plants (Litchi chinensis Sonn.) in the municipality of Casa Branca, S��o Paulo, Brazil (2127'O; 4702'S; 679 m altitude). In June, many galls caused by mite infestation showed a mycelium of white coloration and many eriophyid dead. The fungus was identified as Hirsutella thompsonii (Fischer). The results suggest that galls may facilitate the fungus development and its permanence on the plants. Thus, the possibility of mite biological control with H. thompsonii should be investigated.

Avaliação da infecção de ratos Fischer com dua amostras geneticamente distintas de Toxoplasma gondii: cinética de anticorpos, reisolamento em camundongos e reação em cadeia pela polimerase

Fundação de Amparo à Pesquisa do Estado de S��o Paulo (FAPESP)

An in vitro comparison of subjective image quality of panoramic views acquired via 2D or 3D imaging

Objectives: The objective of this study is to compare subjective image quality and diagnostic validity of cone-beam CT (CBCT) panoramic reformatting with digital panoramic radiographs. Materials and methods: Four dry human skulls and two formalin-fixed human heads were scanned using nine different CBCTs, one multi-slice CT (MSCT) and one standard digital panoramic device. Panoramic views were generated from CBCTs in four slice thicknesses. Seven observers scored image quality and visibility of 14 anatomical structures. Four observers repeated the observation after 4 weeks. Results: Digital panoramic radiographs showed significantly better visualization of anatomical structures except for the condyle. Statistical analysis of image quality showed that the 3D imaging modalities (CBCTs and MSCT) were 7.3 times more likely to receive poor scores than the 2D modality. Yet, image quality from NewTom VGi® and 3D Accuitomo 170® was almost equivalent to that of digital panoramic radiographs with respective odds ratio estimates of 1.2 and 1.6 at 95% Wald confidence limits. A substantial overall agreement amongst observers was found. Intra-observer agreement was moderate to substantial. Conclusions: While 2D-panoramic images are significantly better for subjective diagnosis, 2/3 of the 3D-reformatted panoramic images are moderate or good for diagnostic purposes. Clinical relevance: Panoramic reformattings from particular CBCTs are comparable to digital panoramic images concerning the overall image quality and visualization of anatomical structures. This clinically implies that a 3D-derived panoramic view can be generated for diagnosis with a recommended 20-mm slice thickness, if CBCT data is a priori available for other purposes.