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.

Versão portuguesa do CANE (Camberwell Assessment of Need for the Elderly) : desenvolvimento e dados preliminares

RESUMO - A avaliação de necessidades de cuidados é crucial no planeamento, monitorização e avaliação de serviços de psiquiatria e saúde mental, bem como na investigação e na clínica. Este princípio é obviamente aplicável aos serviços responsáveis por populações de pessoas mais velhas. O instrumento CANE — Camberwell Assessment of Need for the Elderly possibilita uma avaliação consistente das necessidades de utentes idosos, nomeadamente em situações de patologia neuropsiquiátrica. Procede-se a uma avaliação cruzada, entrevistando a pessoa em questão, o seu cuidador informal e o técnico responsável. Esta avaliação multidimensional abrange domínios da esfera biológica, psicológica e social, sendo aplicável na comunidade ou em internamento (regime parcial ou completo). A utilidade do CANE tem sido evidenciada em contextos clínicos, de investigação e de avaliação de serviços. Existem múltiplas traduções a nível internacional, a maioria das quais validada. Na área da epidemiologia psiquiátrica nem sempre estão disponíveis os dados relativos à qualidade das adaptações de instrumentos, pelo que se apresenta o processo de desenvolvimento da versão portuguesa (de acordo com as regras para validação transcultural, no processo de tradução-retroversão). A aplicabilidade da versão portuguesa foi satisfatória neste estudo-piloto, representando a primeira fase de um trabalho multicêntrico nacional. Nesta fase inicial, foram considerados casos de idosos com patologia neuropsiquiátrica (maioritariamente demência — 71,4%), em dois centros (Lisboa e Porto) (n = 21). A média de idades foi 73,9 (± 6,3) anos, sendo 76,2% do sexo feminino. A maioria vivia em casa, apresentava co-morbilidade somática e estava em contacto com um cuidador informal (em geral, familiares do sexo feminino). Os avaliadores identificaram necessidades, nem sempre cobertas, nas seguintes dimensões: cuidados com a casa, alimentação, actividades diárias, memória, saúde física, sofrimento psicológico, companhia e dinheiro/economias. Nem sempre a perspectiva de doentes, cuidadores, técnicos e avaliadores foi inteiramente coincidente. Estes resultados preliminares da aplicação da versão portuguesa do CANE são consistentes quanto à sua validade ecológica, facial e de conteúdo, estando em curso contributos adicionais para a validação efectiva numa amostra de maior dimensão.

Experimental analysis of the cyclic response of traditional timber joints and their influence on the seismic capacity of timber frame structures

Timber connections represent the crucial part of a timber structure and a great variability exists in terms of types of connections and mechanisms. Taking as case study the widespread traditional timber frame structures, in particular the Portuguese Pombalino buildings, one of the most common timber connection is the half-lap joint. Connections play a major role in the overall behaviour of a structure, particularly when assessing their seismic response, since damage is concentrated at the connections. For this reason, an experimental campaign was designed and distinct types of tests were carried out on traditional half-lap joints to assess their in-plane response. In particular, pull-out and in-plane cyclic tests were carried out on real scale unreinforced connections. Subsequently, the connections were retrofitted, using strengthening techniques such as self-tapping screws, steel plates and GFRP sheets. The tests chosen were meant to capture the hysteretic behaviour and dissipative capacity of the connections and characterise their response and, therefore, their influence on the seismic response of timber frame walls, particularly concerning their uplifting and rotation capacity, that could lead to rocking in the walls. In this paper, the results of the experimental campaign are presented in terms of hysteretic curves, dissipated energy and equivalent viscous damping ratio. Moreover, recommendations are provided on the most appropriate retrofitting solutions.

Using customer lifetime value to improve the prediction of bank deposit subscription in telemarketing campaigns

Customer lifetime value (LTV) enables using client characteristics, such as recency, frequency and monetary (RFM) value, to describe the value of a client through time in terms of profitability. We present the concept of LTV applied to telemarketing for improving the return-on-investment, using a recent (from 2008 to 2013) and real case study of bank campaigns to sell long- term deposits. The goal was to benefit from past contacts history to extract additional knowledge. A total of twelve LTV input variables were tested, un- der a forward selection method and using a realistic rolling windows scheme, highlighting the validity of five new LTV features. The results achieved by our LTV data-driven approach using neural networks allowed an improvement up to 4 pp in the Lift cumulative curve for targeting the deposit subscribers when compared with a baseline model (with no history data). Explanatory knowledge was also extracted from the proposed model, revealing two highly relevant LTV features, the last result of the previous campaign to sell the same product and the frequency of past client successes. The obtained results are particularly valuable for contact center companies, which can improve pre- dictive performance without even having to ask for more information to the companies they serve.

Controlo da qualidade de betões

Dissertação de mestrado em Construção e Reabilitação Sustentáveis

Towards automated test and validation of SIP solutions

IP networks are currently the major communication infrastructure used by an increasing number of applications and heterogeneous services, including voice services. In this context, the Session Initiation Protocol (SIP) is a signaling protocol widely used for controlling multimedia communication sessions such as voice or video calls over IP networks, thus performing vital functions in an extensive set of public and enter- prise solutions. However, the SIP protocol dissemination also entails some challenges, such as the complexity associated with the testing/validation processes of IMS/SIP networks. As a consequence, manual IMS/SIP testing solutions are inherently costly and time consuming tasks, being crucial to develop automated approaches in this specific area. In this perspective, this article presents an experimental approach for automated testing/validation of SIP scenarios in IMS networks. For that purpose, an automation framework is proposed allowing to replicate the configuration of SIP equipment from the pro- duction network and submit such equipment to a battery of tests in the testing network. The proposed solution allows to drastically reduce the test and validation times when compared with traditional manual approaches, also allowing to enhance testing reliability and coverage. The automation framework comprises of some freely available tools which are conveniently integrated with other specific modules implemented within the context of this work. In order to illustrate the advantages of the proposed automated framework, a real case study taken from a PT Inovação customer is presented comparing the time required to perform a manual SIP testing approach with the one time required when using the proposed auto- mated framework. The presented results clearly corroborate the advantages of using the presented framework.

Characterization of dry-stack interlocking compressed earth blocks

Earth has been a traditional building material to construct houses in Africa. One of the most common techniques is the use of sun dried or kiln fired adobe bricks with mud mortar. Fired bricks are the main cause for deforestation in countries like Malawi. Although this technique is low-cost, the bricks vary largely in shape, strength and durability. This leads to weak houses which suffer considerable damage during floods and seismic events. One solution is the use of dry-stack masonry with stabilized interlocking compressed earth blocks (ICEB). This technology has the potential of substituting the current bricks by a more sustainable kind of block. This study was made in the context of the HiLoTec project, which focuses on houses in rural areas of developing countries. For this study, Malawi was chosen for a case study. This paper presents the experimental results of tests made with dry-stack ICEBs. Soil samples from Malawi were taken and studied. Since the experimental campaign could not be carried out in Malawi, a homogenization process of Portuguese soil was made to produce ICEBs at the University of Minho, Portugal. Then, the compression and tensile strength of the materials was determined via small cylinder samples. Subsequently, the compression and flexural strength of units were determined. Finally, tests to determine the compressive strength of both prisms and masonry wallets and to determine the initial shear strength of the dry interfaces were carried out. This work provides valuable data for low-cost eco-efficient housing

“PhenoWorld”: a new multidimensional strategy for studying behaviour in rodents

Tese de Doutoramento em Ciências da Saúde

Monitoring for a decidable fragment of MTL-∫

Temporal logics targeting real-time systems are traditionally undecidable. Based on a restricted fragment of MTL-R, we propose a new approach for the runtime verification of hard real-time systems. The novelty of our technique is that it is based on incremental evaluation, allowing us to e↵ectively treat duration properties (which play a crucial role in real-time systems). We describe the two levels of operation of our approach: offline simplification by quantifier removal techniques; and online evaluation of a three-valued interpretation for formulas of our fragment. Our experiments show the applicability of this mechanism as well as the validity of the provided complexity results.

Validation of the Portuguese Version of EHP-30 (The Endometriosis Health Profile-30)

Introduction: Endometriosis Health Profile Questionnaire-30 is currently the most used questionnaire for quality of life measurement in women with endometriosis. The aim of this study is to evaluate the psychometric properties and to validate the Portuguese Endometriosis Health Profile Questionnaire-30 version. MATERIAL AND METHODS A sequential sample of 152 patients with endometriosis, followed in a Portugal reference center, were asked to complete a questionnaire on social and demographic features, the Portuguese version of the Endometriosis Health Profile Questionnaire-30 and of the Short Form Health Survey 36 Item â version 2. Appropriate statistical analysis was performed using descriptive statistics, factor analysis, internal consistency, item-total correlation and convergent validity. RESULTS Factorial analysis confirmed the validity of the five-dimension structure of the Endometriosis Health Profile Questionnaire-30 core questionnaire, which explained 83.2% of the total variance. All item-total correlations presented acceptable results and high internal consistency, with Cronbach's alpha ranging between 0.876 and 0.981 for the core questionnaire and between 0.863 and 0.951 for the modular questionnaire. Significant negative associations between similar scales of Endometriosis Health Profile Questionnaire-30 and Short Form Health Survey 36 Item â version 2 were demonstrated. Data completeness achieved was high for all dimensions. The emotional well-being scale in the core questionnaire and the infertility scale in the modular section had the highest median scores, and therefore the most negative impact on the quality of life of participating women. DISCUSSION The test-retest reliability and responsiveness of the questionnaire should be evaluated in future studies. CONCLUSION The present study demonstrates that the Portuguese version of the Endometriosis Health Profile Questionnaire-30 is a valid, reliable and acceptable tool for evaluating the health-related quality of life of Portuguese women with endometriosis.

Validation of the Disordered Eating Attitude Scale for adolescents

ABSTRACT Objective To perform the psychometric evaluation of the Disordered Eating Attitude Scale (DEAS) for adolescents. Methods Sample consisted of 1,119 Brazilian adolescents (12-18 years old; 59.6% female) studying at technical schools in São Paulo state-Brazil, who answered an online survey with the DEAS, the Eating Attitude Test (EAT-26), and the Restraint Scale (RS). The internal consistency of the DEAS was assessed using Cronbach’s alpha. The convergent validity of DEAS was evaluated by means of Pearson’s coefficient correlation with EAT-26 and RS. The test-retest reliability was evaluated using a sub-sample of 61 adolescents. Known-groups validity was determined by comparing female student mean scores with scores of 33 female adolescents with eating disorders. Results The reliability of the DEAS was 0.79. EAT-26 and RS scores were positively correlated with DEAS scores (EAT: 0.78 for females and 0.59 for males, p < 0.001; RS: 0.63 for females and 0.48 for males, p < 0.001). The DEAS total and subscale scores differentiated students and patients with eating disorders (p < 0.001). The intra-class correlation coefficient for test-retest reliability was 0.87. Conclusion Results indicate that the DEAS adolescent version showed good internal consistency, convergent validity, known-groups validity, and test-retest reliability, suggesting its potential in identifying disordered eating attitudes among adolescents. It could also be helpful in identifying adolescents at risk from eating disorders, assisting in prevention programs.

Study of validation of the Portuguese version of the inventory «Experiences in Close Relationships»

The Experiences in Close Relationships Inventory permits to evaluate attachment in close relationships during adulthood based on two dimensions able to be present in this kind of relationships: the avoidance of proximity and the anxiety related with to abandonment. It is a self-report 7- points likert scale composed by 36 items. The Portuguese version was administered to a sample of 551 university students (60% female), the majority with ages between 19 and 24 years old (88%) in a dating relationship (86%). The principal components analysis with oblimin rotation was performed. The total scale has good internal consistency (α=.86), as also has the 2 sub-scales: anxiety (α=.86) and avoidance (α=.88). The two dimensions evaluated are significantly correlated with socio-demographics, relational characteristics (jealousy, relationship distress, and compromise), wishes (enmeshment versus differentiation) and fears (abandonment versus control) related to attitudes in significant relationships, which testify the construct validity of the instrument. The results obtained are coherent with the original version and other ECR‘s adaptations. Practitioners and researchers in the context of clinical psychology and related areas have now at their disposal the Portuguese version of the ECR inventory, which has shown its very high usefulness in the study of close relationships, and specifically attachment in adulthood.

Relevance to Home Blood Pressure Monitoring Protocol of Blood Pressure Measurements Taken Before First- Morning Micturition and in the Afternoon

Background: The importance of measuring blood pressure before morning micturition and in the afternoon, while working, is yet to be established in relation to the accuracy of home blood pressure monitoring (HBPM). Objective: To compare two HBPM protocols, considering 24-hour ambulatory blood pressure monitoring (wakefulness ABPM) as gold-standard and measurements taken before morning micturition (BM) and in the afternoon (AM), for the best diagnosis of systemic arterial hypertension (SAH), and their association with prognostic markers. Methods: After undergoing 24-hour wakefulness ABPM, 158 participants (84 women) were randomized for 3- or 5-day HBPM. Two variations of the 3-day protocol were considered: with measurements taken before morning micturition and in the afternoon (BM+AM); and with post-morning-micturition and evening measurements (PM+EM). All patients underwent echocardiography (for left ventricular hypertrophy - LVH) and urinary albumin measurement (for microalbuminuria - MAU). Result: Kappa statistic for the diagnosis of SAH between wakefulness-ABPM and standard 3-day HBPM, 3-day HBPM (BM+AM) and (PM+EM), and 5-day HBPM were 0.660, 0.638, 0.348 and 0.387, respectively. The values of sensitivity of (BM+AM) versus (PM+EM) were 82.6% × 71%, respectively, and of specificity, 84.8% × 74%, respectively. The positive and negative predictive values were 69.1% × 40% and 92.2% × 91.2%, respectively. The comparisons of intraclass correlations for the diagnosis of LVH and MAU between (BM+AM) and (PM+EM) were 0.782 × 0.474 and 0.511 × 0.276, respectively. Conclusions: The 3 day-HBPM protocol including measurements taken before morning micturition and during work in the afternoon showed the best agreement with SAH diagnosis and the best association with prognostic markers.

Applicability of the Appropriate use Criteria for Myocardial Perfusion Scintigraphy

Background: Appropriateness Criteria for nuclear imaging exams were created by American College of Cardiology (ACC) e American Society of Nuclear Cardiology (ASNC) to allow the rational use of tests. Little is known whether these criteria have been followed in clinical practice. Objective: To evaluate whether the medical applications of myocardial perfusion scintigraphy (MPS) in a private nuclear medicine service of a tertiary cardiology hospital were suitable to the criteria of indications proposed by the American medical societies in 2005 and 2009 and compare the level of indication of both. Methods: We included records of 383 patients that underwent MPS, November 2008 up to February 2009. Demographic characteristics, patient's origin, coronary risk factors, time of medical graduation and appropriateness criteria of medical applications were studied. The criteria were evaluated by two independent physicians and, in doubtful cases, defined by a medical expert in MPS. Results: Mean age was 65 ± 12 years. Of the 367 records reviewed, 236 (64.3%) studies were performed in men and 75 (20.4%) were internee. To ACC 2005, 255 (69.5%) were considered appropriate indication and 13 (3.5%) inappropriate. With ACC 2009, 249 (67.8%) were considered appropriate indications and 13 (5.2%) inappropriate. Conclusions: We observed a high rate of adequacy of medical indications for MPS. Compared to the 2005 version, 2009 did not change the results.

Influence of Jitter on Reliable Multicast Data Transmission Rate in Terms of CDN Networks

This paper devotes to evaluation of performance bottlenecks and algorithm deficiencies in the area of contemporary reliable multicast networking. Hereby, the impact of packet delay jitter on the end-to-end performance of multicast IP data transport is investigated. A series of tests with two most significant open-source implementations of reliable multicast is performed and analyzed. These are: UDP-based File Transfer Protocol (UFTP) and NACK-oriented Reliable multicast (NORM). Tests were targeted to simulate scenario of content distribution in WAN – sized Content Delivery Networks (CDN). Then, results were grouped and averaged, by round trip time and packet losses. This enabled us to see jitter influence independently on round trip time(RTT) and packet loss rates. Revealed jitter influence for different network conditions. Confirmed, that appearance of even small jitter causes significant data rate reduction.