Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets, where they often fail to verify. We are going to conduct a series of tests in simulated underlying price series, where alternatively each assumption will be violated and every option delta hedging profit and loss analysed. Ultimately we will monitor how the aggressiveness of an option payoff causes its hedging to be more vulnerable to profit and loss variations, caused by the referred assumptions.

Habitat preferences, diet, feeding strategy and social organization of the black spider monkey [Ateles paniscus paniscus Linnaeus 1758] in Surinam

A Socioecological Field Study.This monograph reports on a 26 month socioecological study of black spider monkeys (Ateles paniscus paniscus)in the Raleigh-vallen — Voltzberg Nature Reserve, Surinam. It recognizes the fundamental importance of food to the behavior and the regulation of population density fox this primate. It clarifies the complex temporal and spatial effects of tropical rain forest food sources on the behavior of a group of spider monkeys, concentrating on food category, food plant identity and phenology, and quantity, density and dispersion of the most important food sources. In addition, the present study describes habitat choice, optimal feeding strategy and sexual behavior of the spider monkey, and discusses implications of diet for social behavior. This study is also fundamental to conservation. Specialized in eating mature fruits, the spider monkey is a very important dispersal agent for many trees and lianes, particularly canopy species. However, the spider monkey is probably the most vulnerable monkey species in Surinam and it is disappearing rapidly throughout the remainder of its range. Unfortunately, it is large and noisy and can be easily tracked and hunted. It is largely restricted to undisturbed high forest, and consequently habitat destruction has more effect on it than on most other species. Together with its slow reproductive rate (a female gives birth only once every four or five years), this means that the species is poorly adapted to recover from exploitation. In order to implement proper measures for conservation, data on forest type preferences, diet and social behavior of the species, or on closely related species, in undisturbed areas, such as the one described in this monograph, are essential tools for assessing the potential of proposed protected areas.

Perylene Diimide acceptors: Fabrication and characterization of electron-only, hole-only devices and solar cells

The thrust towards energy conservation and reduced environmental footprint has fueled intensive research for alternative low cost sources of renewable energy. Organic photovoltaic cells (OPVs), with their low fabrication costs, easy processing and flexibility, represent a possible viable alternative. Perylene diimides (PDIs) are promising electron-acceptor candidates for bulk heterojunction (BHJ) OPVs, as they combine higher absorption and stability with tunable material properties, such as solubility and position of the lowest unoccupied molecular orbital (LUMO) level. A prerequisite for trap free electron transport is for the LUMO to be located at a level deeper than 3.7 eV since electron trapping in organic semiconductors is universal and dominated by a trap level located at 3.6 eV. Although the mostly used fullerene acceptors in polymer:fullerene solar cells feature trap-free electron transport, low optical absorption of fullerene derivatives limits maximum attainable efficiency. In this thesis, we try to get a better understanding of the electronic properties of PDIs, with a focus on charge carrier transport characteristics and the effect of different processing conditions such as annealing temperature and top contact (cathode) material. We report on a commercially available PDI and three PDI derivatives as acceptor materials, and its blends with MEH-PPV (Poly[2-methoxy 5-(2-ethylhexyloxy)-1,4-phenylenevinylene]) and P3HT (Poly(3-hexylthiophene-2,5-diyl)) donor materials in single carrier devices (electron-only and hole-only) and in solar cells. Space-charge limited current measurements and modelling of temperature dependent J-V characteristics confirmed that the electron transport is essentially trap-free in such materials. Different blend ratios of P3HT:PDI-1 (1:1) and (1:3) show increase in the device performance with increasing PDI-1 ratio. Furthermore, thermal annealing of the devices have a significant effect in the solar cells that decreases open-circuit voltage (Voc) and fill factor FF, but increases short-circuit current (Jsc) and overall device performance. Morphological studies show that over-aggregation in traditional donor:PDI blend systems is still a big problem, which hinders charge carrier transport and performance in solar cells.

Observations on dynamics of foraging hole construction of two leaf-feeding, soil-inhabiting Syntermes species (insecta: Isoptera) in an Amazonian Rainforest, Brazil

The intensity of construction of foraging access holes by two leaf-litter feeding, soil- inhabiting termite species, Syntermes molestus and Syntermes spinosus, in a Central Amazonian rain forest, was observed on consecutive nights for two weeks. Between 11 and 48 nest entrances per m2 were counted. Interaction between the two species was intense; some entrance holes were overtaken by the larger species during the observations; however, both species coexist in the area. A calculated minimum of 35 entrances/m2 is built every year by both species, emphasizing the importance of soil-burrowing termites for soil structure, aeration and water regime.

Wood density of trees in black water floodplains of Rio Jaú National Park, Amazonia, Brazil

The Jaú National Park is the largest protected forested area in the world. The Vitória Amazônica Foundation is working towards understanding its ecosystem, to which this paper contributes. Wood density was analysed in 27 common tree species growing in the blackwater flood-plains of the Rio Jaú, an affluent of the Rio Negro (Amazonia, Brazil). Wood was sampled with an increment borer. Mean wood density of the analysed species ranged from 0.35 to 0.87 g cm-3. The mean of all sampled species was 0.67 g cm-3 (st. dev. 0.13). Lowest density was found for Hevea spruceana with 0.32 g cm-3 and highest for Crudia amazonica with 0.9 g cm-3.

The ceramic artifacts in archaeological black earth (terra preta) from lower Amazon region, Brazil: mineralogy

Several archaeological black earth (ABE) sites occur in the Amazon region. They contain fragments of ceramic artifacts, which are very important for the archaeological purpose. In order to improve the archaeological study in the region we carried out a detailed mineralogical and chemical study of the fragments of ceramic artifacts found in the two ABE sites of Cachoeira-Porteira, in the Lower Amazon Region. Their ceramics comprise the following tempers: cauixi, cariapé, sand, sand +feldspars, crushed ceramic and so on and are composed of quartz, clay equivalent material (mainly burned kaolinite), feldspars, hematite, goethite, maghemite, phosphates, anatase, and minerals of Mn and Ba. Cauixi and cariapé, siliceous organic compounds, were found too. The mineralogical composition and the morphology of their grains indicate a saprolite (clayey material rich on quartz) derived from fine-grained felsic igneous rocks or sedimentary rocks as source material for ceramic artifacts, where silica-rich components such cauixi, cariapé and/or sand (feldspar and rock fragments) were intentionally added to them. The high content of (Al,Fe)-phosphates, amorphous to low crystalline, must be product of the contact between the clayey matrix of pottery wall and the hot aqueous solution formed during the daily cooking of animal foods (main source of phosphor). The phosphate crystallization took place during the discharge of the potteries put together with waste of organic material from animal and vegetal origin, and leaving to the formation of the ABE-soil profile.

The ceramic artifacts in archaeological black earth (terra preta) from Lower Amazon Region, Brazil: chemistry and geochemical evolution

This paper carried out a chemical investigation of archaeological ceramic artifacts found in archaeological sites with Black Earth (ABE) in the Lower Amazon Region at Cachoeira-Porteira, State of Pará, Brazil. The ceramic artifacts, mostly of daily use, belong to Konduri culture (from 900 to 400 years BP). They are constituted of SiO2, Al2O3, Fe2O3, Na2O and P2O5; SiO2 and Al2O3 together add up to 80 % and indicate influence of acid rocks, transformed into clay minerals basically kaolinite. The relative high contents of P2O5 (2.37 % in average) come out as (Al,Fe)-phosphate, an uncommon fact in primitive red ceramics, but found in some roman and egyptian archaeological sites. The contents of the trace elements are similar or below the Earth's crust average. This chemical composition (except P2O5) detaches saprolite material derived acid igneous rocks or sedimentary ones as the main raw material of the ceramics. The contents of K, Na and Ca represent the feldspars and rock fragments possibly introduced into saprolitic groundmass, indicated by mineralogical studies. The presence of cauixi and cariapé as well as quartz sand was confirmed by optical microscope, SEM analyses and by the high silica contents of ceramic fragments. Phosphorus was possibly incorporated into groundmass during cooking of foods, and ABE soil profile formation developed on yellow Latosols. The raw materials and its tempers (cauixi, or cariapé, feldspar, crushed rocks, old ceramic artifacts and quartz fragments) are found close to the sites and therefore and certainly came from them.

Actinella species (Bacillariophyta) from an Amazon black water floodplain lake (Amazonas - Brazil)

The genus Actinella Lewis was studied using planktonic samples from a black water floodplain lake in Central Amazon region. For species identification the taxa were morphological and morphometricaly analyzed on base in light microscope (LM) and scanning electronic microscope (SEM). Five species were registered: Actinella brasiliensis Grunow, A. guianensis Grunow, A. gracile Kociolek, A. mirabilis (Eulenstein ex Grunow) Grunow and A. robusta Hustedt. A. gracile is reported for the first time for Amazon State and black water systems and it is firstly documented with SEM. In addition, a review of geographic distribution of Actinella species in Brazilian Amazon region is given.

On the temperature dependence of the absorption cross section for black holes in string theory

We study the low frequency absorption cross section of spherically symmetric nonextremal d-dimensional black holes. In the presence of α′ corrections, this quantity must have an explicit dependence on the Hawking temperature of the form 1/TH. This property of the low frequency absorption cross section is shared by the D1-D5 system from type IIB superstring theory already at the classical level, without α′ corrections. We apply our formula to the simplest example, the classical d-dimensional Reissner-Nordstr¨om solution, checking that the obtained formula for the cross section has a smooth extremal limit. We also apply it for a d-dimensional Tangherlini-like solution with α′3 corrections.

Efeito da dissipação térmica nas juntas de soldagem de componentes through hole

Dissertação de mestrado integrado em Engenharia de Materiais

Relative information entropy in cosmology: The problem of information entanglement

The necessary information to distinguish a local inhomogeneous mass density field from its spatial average on a compact domain of the universe can be measured by relative information entropy. The Kullback-Leibler (KL) formula arises very naturally in this context, however, it provides a very complicated way to compute the mutual information between spatially separated but causally connected regions of the universe in a realistic, inhomogeneous model. To circumvent this issue, by considering a parametric extension of the KL measure, we develop a simple model to describe the mutual information which is entangled via the gravitational field equations. We show that the Tsallis relative entropy can be a good approximation in the case of small inhomogeneities, and for measuring the independent relative information inside the domain, we propose the R\'enyi relative entropy formula.

Polish immigrants in Ireland's black economy: a phenomenological investigation

The purpose of this thesis is to answer the research question ‗why do some Polish migrants engage in shadow employment in the Republic of Ireland?‘ The individual and group interviews, which were conducted in August 2011 with thirteen Polish migrants, living and working in Ireland, generated the answer to the research question. Interviewees‘ responses were analysed from the point of view of the literature that examines the various factors within the topics of migration and the black economy. The thesis begins with theoretical background information regarding the enlargement of the European Union and the economic situation of Poland and Ireland. Then migration theories are explained and Polish and Irish migration history is presented. Next, the issue of the black economy and shadow employment is developed with a focus on its presence in Poland and Ireland. The following section is dedicated to the research methodology that was adopted to ensure effective collection of the information. The issues of the qualitative and quantitative research, phenomenological approach to the research and interviews as data collection are raised in that section. The last part of the thesis is based on an analysis of the respondents‘ statements. It explores interviewees‘ experience of life and work in Ireland. The main part of that section develops the reasons why do Polish workers engage in shadow employment in the Republic of Ireland. Simultaneously, it provides the answers to the research question of this thesis.

A biological survey of the waters of Woods Hole and vicinity / By Francis B. Sumner, Raymond C. Osburn, and Leon J. Cole.

Pt.2