Pricing derivatives with stochastic volatility

This Ph.D. thesis contains 4 essays in mathematical finance with a focus on pricing Asian option (Chapter 4), pricing futures and futures option (Chapter 5 and Chapter 6) and time dependent volatility in futures option (Chapter 7). In Chapter 4, the applicability of the Albrecher et al.(2005)'s comonotonicity approach was investigated in the context of various benchmark models for equities and com- modities. Instead of classical Levy models as in Albrecher et al.(2005), the focus is the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and the Schwartz (1997) two-factor model. It is shown that the method delivers rather tight upper bounds for the prices of Asian Options in these models and as a by-product delivers super-hedging strategies which can be easily implemented. In Chapter 5, two types of three-factor models were studied to give the value of com- modities futures contracts, which allow volatility to be stochastic. Both these two models have closed-form solutions for futures contracts price. However, it is shown that Model 2 is better than Model 1 theoretically and also performs very well empiri- cally. Moreover, Model 2 can easily be implemented in practice. In comparison to the Schwartz (1997) two-factor model, it is shown that Model 2 has its unique advantages; hence, it is also a good choice to price the value of commodity futures contracts. Fur- thermore, if these two models are used at the same time, a more accurate price for commodity futures contracts can be obtained in most situations. In Chapter 6, the applicability of the asymptotic approach developed in Fouque et al.(2000b) was investigated for pricing commodity futures options in a Schwartz (1997) multi-factor model, featuring both stochastic convenience yield and stochastic volatility. It is shown that the zero-order term in the expansion coincides with the Schwartz (1997) two-factor term, with averaged volatility, and an explicit expression for the first-order correction term is provided. With empirical data from the natural gas futures market, it is also demonstrated that a significantly better calibration can be achieved by using the correction term as compared to the standard Schwartz (1997) two-factor expression, at virtually no extra effort. In Chapter 7, a new pricing formula is derived for futures options in the Schwartz (1997) two-factor model with time dependent spot volatility. The pricing formula can also be used to find the result of the time dependent spot volatility with futures options prices in the market. Furthermore, the limitations of the method that is used to find the time dependent spot volatility will be explained, and it is also shown how to make sure of its accuracy.

Avaliação agronômica da aplicação do resíduo da indústria processadora de goiabas em pomar comercial de goiabeiras

Dada a escassez de informações na literatura e a importância do manejo adequado de resíduos orgânicos na agricultura, objetivou-se avaliar os efeitos da aplicação do resíduo da indústria processadora de goiabas em um Argissolo Vermelho-Amarelo, determinando-se as alterações provocadas na química do solo, no estado nutricional de goiabeiras e na produção de frutos. As doses de resíduo aplicadas no pomar foram estabelecidas em função dos teores de N no resíduo. O delineamento empregado foi o de blocos casualizados, com cinco tratamentos e quatro repetições, sendo as doses do resíduo (moído) de 0, 9, 18, 27 e 36 t ha-1 (peso do material seco). Foram feitas três aplicações do resíduo: em 2006, 2007 e 2008. O resíduo da indústria processadora de goiabas promoveu aumento nos teores de P no solo; as goiabeiras apresentaram aumento dos teores de N, Ca, Mg e Mn; a produção de frutos foi alterada positiva e significativamente no terceiro ano do experimento.

Desenvolvimento de uma célula a combustível de glicerol direto em meio alcalino

Dissertação (mestrado)—Universidade de Brasília, Instituto de Química, Programa de Pós-Graduação em Química, 2015.

Desenvolvimento de uma célula a combustível de glicerol direto em meio alcalino

Dissertação (mestrado)—Universidade de Brasília, Instituto de Química, Programa de Pós-Graduação em Química, 2015.

Direct catalytic macrolactonization and application of the phase separation strategy in complex molecule synthesis

Les macrolactones sont des squelettes structuraux importants dans de nombreuses sphères de l’industrie chimique, en particulier dans les marchés pharmaceutiques et cosmétiques. Toutefois, la stratégie traditionnelle pour la préparation de macrolactones demeure incommode en requérant notamment l’ajout (super)stœchiométrique d’agents activateurs. Conséquemment, des quantités stœchiométriques de sous-produits sont générées; ils sont souvent toxiques, dommageables pour l’environnement et nécessitent des méthodes de purification fastidieuses afin de les éliminer. La présente thèse décrit le développement d’une macrolactonisation efficace catalysée au hafnium directement à partir de précurseurs portant un acide carboxylique et un alcool primaire, ne générant que de l’eau comme sous-produit et ne nécessitant pas de techniques d’addition lente et/ou azéotropique. Le protocole a également été adapté à la synthèse directe de macrodiolides à partir de mélanges équimolaires de diols et de diacides carboxyliques et à la synthèse de dimères tête-à-queue de seco acides. Des muscs macrocycliques ainsi que des macrolactones pertinentes à la chimie médicinale ont pu être synthétisés avec l’approche développée. Un protocole pour l’estérification directe catalysée au hafnium entre des acides carboxyliques et des alcools primaires a aussi été développé. Différentes méthodes pour la macrolactonisation catalytique directe entre des alcools secondaires et des acides carboxyliques ont été étudiées. En outre, la stratégie de séparation de phase en macrocyclisation en débit continu a été appliquée lors de la synthèse totale formelle de la macrolactone ivorenolide A. Les étapes-clés de la synthèse incluent une macrocyclisation par le couplage d’alcynes de Glaser-Hay et une réaction de métathèse d’alcènes Z-sélective.

Learning English is Fun! Incidental vocabulary acquisition of music and traditional class ninth graders via listening to pop songs

Finnish youth are constantly exposed to music and lyrics in English in their free time. It is likely that this has a positive effect on vocabulary learning. Learning vocabulary while simultaneously accompanied with melodies is likely to result in better learning outcomes. The present thesis covers a study on the vocabulary learning of traditional and music class ninth graders in a south-western upper comprehensive school in Finland, mainly concentrating on vocabulary learning as a by-product of listening to pop music and learning vocabulary through semantic priming. The theoretical background presents viable linguistic arguments and theories, which provide clarity for why it would be possible to learn English vocabulary via listening to pop songs. There is conflicting evidence on the benefits of music on vocabulary learning, and this thesis sets out to shed light on the situation. Additionally, incorporating pop music in English classes could assist in decreasing the gap between real world English and school English. The thesis is a mixed method research study consisting of both quantitative and qualitative research materials. The methodology comprises vocabulary tests both before and after pop music samples and a background questionnaire filled by students. According to the results, all students reported liking listening to music and they clearly listened to English pop music the most. A statistically significant difference was found when analysing the results of the differences in pre- and post-vocabulary tests. However, the traditional class appeared to listen to mainstream pop music more than the students in the music class, and thus it seems likely that the traditional class benefited more from vocabulary learning occurring via listening to pop songs. In conclusion, it can be established that it is possible to learn English vocabulary via listening to pop songs and that students wish their English lectures would involve more music-related vocabulary exercises in the future. Thus, when it comes to school learning, pop songs should be utilised in vocabulary learning, which could also in turn result in more diverse learning and the students could, more easily than before, relate to the themes and topics of the lectures. Furthermore, with the help of pop songs it would be possible to decrease the gap between school English and real-world English.

Sustentabilidade ambiental e humana da produção de alimentos: uma análise comparativa entre agricultura biológica e convencional

A produção e o consumo de alimentos produzidos em agricultura biológica (AB) apoiam-se na ideia da sua superior qualidade nutricional e em supostos efeitos benéficos na saúde humana, bem como no menor impacto ambiental da AB relativamente à agricultura convencional (AC). Mas serão mesmo as dietas baseadas nestes alimentos significativamente mais saudáveis para as pessoas e o ambiente e, portanto, mais sustentáveis que as dietas baseadas no modo convencional? O objetivo deste trabalho é apresentar uma síntese da informação publicada na última década referente a análises comparativas entre AB e AC, através de um conjunto de indicadores de qualidade ambiental e de saúde humana. Foram consultados diversos estudos, privilegiando aqueles que recorreram a um conjunto de indicadores de qualidade ambiental e de saúde humana. A nível ambiental, os estudos apontam para que, apesar das práticas biológicas terem, em geral, impactes menos negativos por unidade de área que as práticas convencionais, o mesmo não se verifica por unidade de produto. Os estudos sobre o impacto comparativo na biodiversidade mostram a tendência benéfica da AB, apesar de as diferenças se afigurarem pouco consistentes. A presença de resíduos de pesticidas e metais pesados em alimentos biológicos é significativamente menor que nos convencionais. A nível nutricional, os vegetais e frutas biológicos apresentam consistentemente conteúdos mais elevados em metabolitos secundários que os convencionais. Todavia, os estudos disponíveis sobre efeitos na saúde são pouco conclusivos quanto a diferenças consistentes entre modos de produção. Evidências científicas suportam a ideia geral de que a AB tende a constituir um modo de produção de alimentos ambiental e humanamente mais sustentável que a AC, embora as diferenças sejam consistentes apenas em alguns indicadores.

Digestibilidade Aparente de Ingredientes pela Tilápia do Nilo (Oreochromis niloticus)

Avaliou-se a digestibilidade aparente do milho, amido de milho, milho extrusado, germe de milho, sorgo, farelo de trigo, farelo de arroz, glúten 21, glúten 60, farelo de soja, farelo de canola, farelo de algodão, farinha de peixe, farinha de carne, farinha de vísceras de aves, farinha de sangue e farinha de penas. Confeccionaram-se 18 rações, marcadas com 0,10% de óxido de crômio III, uma delas, basal purificada, e as demais, contendo os ingredientes. Os peixes, 100 juvenis com 100±10 g, foram alojados em cinco tanques-rede para facilitar o manejo de alimentação e a coleta de fezes e permaneceram, durante o dia, em cinco aquários (250 L) de alimentação, recebendo refeições à vontade das 8 às 17h30. Após, foram transferidos para cinco aquários (300 L) de coleta de fezes, onde permaneceram até a manhã do dia subseqüente. O coeficiente de digestibilidade aparente dos ingredientes foi calculado com base no teor de óxido crômio da ração e das fezes. Com base nos resultados, concluiu-se que, entre os ingredientes energéticos, o milho apresentou o melhor coeficiente de digestibilidade aparente, seguindo-se o milho extrusado, o farelo de trigo e o farelo de arroz; dos ingredientes protéicos - vegetal, o glúten 60 e o glúten 21, seguidos do farelo de canola, apresentou os melhores coeficientes e dos protéicos - animal, destacou-se a farinha de vísceras de aves, seguida da farinha de peixes, enquanto os piores coeficientes foram proporcionados pela farinha de penas e farinha de sangue.

Obtenção de álcool alílico (PROP-2-EN-1-OL) a partir da glicerina derivada do biodiesel de óleo de mamona

In this work, biodiesel was produced from castor oil that was a byproduct glycerin. The molar ratio between oil and alcohol, as well as the use of (KOH) catalyst to provide the chemical reaction is based on literature. The best results were obtained using 1 mol of castor oil (260g) to 3 moles of methyl alcohol (138g), using 1.0% KOH as catalyst at a temperature of 260 ° C and shaken at 120 rpm. The oil used was commercially available, the process involves the reaction of transesterification of a vegetable oil with methyl alcohol. The product of this reaction is an ester, biodiesel being the main product and the glycerin by-product which has undergone treatment for use as raw material for the production of allyl alcohol. The great advantage of the use of glycerin to obtain allyl alcohol is that its use eliminates the large amount of waste of the biodiesel and various forms of insult to the environment. The reactions for the formation of allyl alcohol was conducted from formic acid and glycerin in a ratio 1/1, at a temperature of 260oC in a heater blanket, being sprayed by a spiral condenser for a period of 2 hours and the product obtained contains mostly the allylic alcohol .. The monitoring of reactions was performed by UV-Visible Spectrophotometer: FTIR Fourier transform, the analysis showed that these changes occur spectrometer indicating the formation of the product allylic alcohol (prop-2-en-1-ol) in the presence of water, This alcohol was appointed Alcohol GL. The absorption bands confirms that the reaction was observed in (υ C = C) 1470 -1600 cm -1 and (υ CO), 3610-3670 attributed to C = C groups and OH respectively. The thermal analysis was carried out in a thermogravimetric analyzer SDT Q600, where the mass and temperature are displayed against time, that allows checking the approximate rate of heating. The innovative methodology developed in the laboratory (LABTAM, UFRN), was able to treat the glycerine produced by transesterification of castor oil and used as raw material for production of allyl alcohol, with a yield of 80%, of alcohol, the same is of great importance in the manufacture of polymers, pharmaceuticals, organic compounds, herbicides, pesticides and other chemicals

Composição química e qualidade microbiológica de silagens ácidas de vísceras de surubim (Pseudoplatystoma spp.) preparadas com diferentes proporções de ácidos fórmico e cítrico.

2015

Effect of gamma-irradiation on total organic carbon and trihalomethane formation potential

This research was conducted to study the use of radiation in water treatment as an alternative to chlorination which has caused health concerns due to the formation of harmful disinfection by-products. Groundwater solutions from the Biscayne aquifer were radiated with Cobalt-60 gamma radiation and studied for changes in dissolved organic carbon (DOC), UV absorbance at 254 nm (UV254), fluorescence and trihalomethane formation potential (THMFP). Molecular fractionations were conducted by ultrafiltration. Effect of the combination of radiation/peroxide was studied for DOC and UV254. Radiation showed significant removal in DOC and THMFP. Similar results were seen in the fluorescence and UV absorbance experiments. Radiation/peroxide did not improve the DOC removal. Radiation of the groundwater samples broke the larger molecular weight fractions in to smaller fractions.

Performance of concrete incorporating amorphous silica residue and biomass fly ash

L'industrie du ciment est l'une des principales sources d'émission de dioxyde de carbone. L'industrie mondiale du ciment contribue à environ 7% des émissions de gaz à effet de serre dans l'atmosphère. Afin d'aborder les effets environnementaux associés à la fabrication de ciment exploitant en permanence les ressources naturelles, il est nécessaire de développer des liants alternatifs pour fabriquer du béton durable. Ainsi, de nombreux sous-produits industriels ont été utilisés pour remplacer partiellement le ciment dans le béton afin de générer plus d'économie et de durabilité. La performance d'un additif de ciment est dans la cinétique d'hydratation et de la synergie entre les additions et de ciment Portland. Dans ce projet, deux sous-produits industriels sont étudiés comme des matériaux cimentaires alternatifs: le résidu de silice amorphe (RSA) et les cendres des boues de désencrage. Le RSA est un sous-produit de la production de magnésium provenant de l'Alliance Magnésium des villes d'Asbestos et Thedford Mines, et les cendres des boues de désencrage est un sous-produit de la combustion des boues de désencrage, l'écorce et les résidus de bois dans le système à lit fluidisé de l'usine de Brompton située près de Sherbrooke, Québec, Canada. Récemment, les cendres des boues de désencrage ont été utilisées comme des matériaux cimentaires alternatifs. L'utilisation de ces cendres comme matériau cimentaire dans la fabrication du béton conduit à réduire la qualité des bétons. Ces problèmes sont causés par des produits d'hydratation perturbateurs des cendres volantes de la biomasse quand ces cendres sont partiellement mélangées avec du ciment dans la fabrication du béton. Le processus de pré-mouillage de la cendre de boue de désencrage avant la fabrication du béton réduit les produits d'hydratation perturbateurs et par conséquent les propriétés mécaniques du béton sont améliorées. Les approches pour étudier la cendre de boue de désencrage dans ce projet sont : 1) caractérisation de cette cendre volante régulière et pré-humidifiée, 2) l'étude de la performance du mortier et du béton incorporant cette cendre volante régulière et pré-humidifiée. Le RSA est un nouveau sous-produit industriel. La haute teneur en silice amorphe en RSA est un excellent potentiel en tant que matériau cimentaire dans le béton. Dans ce projet, l'évaluation des RSA comme matériaux cimentaires alternatifs compose trois étapes. Tout d'abord, la caractérisation par la détermination des propriétés minéralogiques, physiques et chimiques des RSA, ensuite, l'optimisation du taux de remplacement du ciment par le RSA dans le mortier, et enfin l'évaluation du RSA en remplacement partiel du ciment dans différents types de béton dans le système binaire et ternaire. Cette étude a révélé que le béton de haute performance (BHP) incorporant le RSA a montré des propriétés mécaniques et la durabilité, similaire du contrôle. Le RSA a amélioré les propriétés des mécaniques et la durabilité du béton ordinaire (BO). Le béton autoplaçant (BAP) incorporant le RSA est stable, homogène et a montré de bonnes propriétés mécaniques et la durabilité. Le RSA avait une bonne synergie en combinaison de liant ternaire avec d'autres matériaux cimentaires supplémentaires. Cette étude a montré que le RSA peut être utilisé comme nouveaux matériaux cimentaires dans le béton.

The consequences of phenotypic plasticity on postglacial fishes

Phenotypic differences within a species significantly contribute to the variation we see among plants and animals. Plasticity as a concept helps us to understand some of this variation. Phenotypic plasticity plays a significant role in multiple ecological and evolutionary processes. Because plasticity can be driven by the environment it is more likely to produce beneficial alternative phenotypes than rare and often deleterious genetic mutations. Furthermore, differences in phenotypes that arise in response to the environment can affect multiple individuals from the same population (or entire populations) simultaneously and are therefore of greater evolutionary significance. This allows similar, beneficial alternative phenotypes to increase quickly within a single generation and allow new environments to produce and select for new phenotypes instantly. The direction of the present thesis is to increase our understanding of how phenotypic plasticity, coupled with contrasting environmental conditions, can produce alternative phenotypes within a population. Plasticity provides a source of variation for natural selection to act upon, and may lead to genetic isolation as a by-product. For example, there are multiple cases of polymorphic populations of fish, where groups belonging to multiple isolated gene pools, have arisen in sympatry. Here it is shown that although plasticity is important in sympatric speciation events, plasticity alone is not responsible for the frequency in which sympatric polymorphic populations occur. The most frequently observed differences among sympatric polymorphic populations are morphological differences associated with parts of the anatomy used in the detection, handling and capture of prey. Moreover, it is shown here that there are physiological effects associated with foraging on alternative prey that may significantly contribute towards ecological speciation. It is also shown in this study that anthropogenic abiotic factors can disrupt developmental processes during early ontogeny, significantly influencing morphology, and therefore having ecological consequences. Phenotypic structuring in postglacial fish is most frequently based around a divergence towards either pelagic or littoral benthic foraging specialisms. Divergences that deviate from this pattern are of greater scientific interest as they increase our understanding of how evolutionary processes and selection pressures work. Here we describe a rare divergence not based around the typical pelagic/littoral benthic foraging specialisms. Finally, in this study, the effectiveness of local level conservation policy shows that species of fish which are highly variable in their life history strategies are harder to effectively manage and often poorly represented at a local level.

Photocatalytic production of chemicals and hydrogen from biomass

In this work, with the aim to tackle several approaches towards sustainable chemistry, two reactions were studied: aerobic photo-oxidation of biomass derived 5-hydroxymethyl-2-furfural (HMF), and anaerobic photo-reforming of glycerol known as a by-product in biodiesel industry, towards production of chemicals and hydrogen. Solar-assisted reactions were performed by means of heterogeneous photocatalysis, in mild conditions such as atmospheric pressure, room temperature and water as a benign solvent. Titanium dioxide (lab-synthesized and commercial) was used as a photo-active catalyst, which surface was modified by introducing different metal (e.g. Au, Au-Cu, Pt) and metal oxide (e.g. NiO) nanoparticles. The prepared materials were characterized by XRD, DRS, BET, TEM, SEM, RAMAN and other techniques. The influence of the support, the size and type of the deposited metal and metal oxide nanoparticles on the photo-catalytic transformation of HMF and glycerol was evaluated. In the case of HMF, the influence of the base addition and the oxygen content on the reaction selectivity was also studied. The effect of the crystalline phase composition and morphology of TiO2 in the glycerol photo-reforming reaction was assessed as well. The surface of the synthesized TiO2 nano-powders was investigated by means of Surface Organometallic Chemistry (SOMC) approach. In particular, the surface was characterized by chemical titration and DRIFT techniques. Furthermore, the SOMC concept allowed preparing of well-dispersed Pt nanoparticles on the TiO2 surface. The photo-catalytic activity of this sample in the glycerol photo-reforming process was tested and compared to that of other Pt-containing catalysts prepared by conventional technics. In view of avoiding the agglomeration and sedimentation of suspended titania powders in water media, thick films of synthesized and commercial TiO2 were deposited on a conductive substrate using screen-printing technique. The prepared electrodes were characterized by profilometry, SEM, XRD, optical, electrochemical and photo-electrochemical methods.

Deidrogenazione ossidativa del n-butano catalizzata da ossidi metallici difettivi

The oxidative dehydrogenation (ODH) of n-butane is a promising way to synthetize butenes and 1,3-butadiene, currently produced by steam cracking or direct dehydrogenation of n-butane. The addition of oxygen as a reagent leads to the formation of water, a very stable by-product, which makes the process exothermic.In this work, the ODH of n- butane was investigate to selectively obtain butenes and 1,3-butadiene. Four catalysts based on metal oxides (V2O5, La2O3, CeO2 and TiO2) were mixed with Mg metallic powder and reduced at 650 °C for 5 h in 5% H2/Ar atmosphere, with the purpose of creating oxygen vacancies in the crystal lattice of the oxides. Subsequently, the effect of the Mg concentration, and thus the oxygen vacancies concentration, was studied. The titanium oxide-based catalysts were the most active, in terms of butane conversion and selectivity to butenes and 1,3 butadiene. Overall, this study shows that the formation of oxygen vacancies on metal oxides can be influenced by the addition of metallic Mg during the synthesis. In the case of TiO2, this leads to an increase on the activity compared to the untreated sample.