Modelli Stocastici per la valutazione di un Total Return Swap

L’obiettivo del presente lavoro di tesi è quello di derivare la valutazione di un Total Return Swap (TRS) utilizzando la modellistica stocastica che sta alla base dello studio del pricing di derivati finanziari. I contratti di tipo swap, la cui origine è collocata intorno agli anni ’70, prevedono lo scambio di flussi tra due parti, definiti sulla base del sottostante. In particolare, un Total Return Swap è un derivato finanziario che prevede lo scambio periodico di pagamenti definiti rispetto alla gamba di performance del sottostante e alla gamba di interesse. L’elaborato è composto da un’introduzione alle nozioni matematiche preliminari alla costruzione di un modello di mercato utile a derivare il pricing di un derivato (i.e. Teoria di non arbitraggio, esistenza di una misura martingala e le condizioni sotto le quali questa è unica). Nel secondo capitolo, vengono presentate le definizioni finanziarie necessarie alla descrizione di tali prodotti (e.g. Tassi d’interesse spot e Tassi forward). Nel corso della tesi viene presentata una rassegna della modellistica per l’evoluzione dei tassi descritti da dinamiche di volta in volta più complesse, e.g. Modello di Vasicek, modello di Dothan e approccio di Heath-Jarrow-Morton (HJM). In tale contesto, sono state derivate le formule di valutazione ad Accrual e a Net Present Value (NPV) per il TRS sfruttando la teoria di non arbitraggio, la cui principale differenza diviene dal considerare o meno l’attualizzazione tramite il fattore di sconto stocastico dei flussi di cassa previsti tra le due parti del contratto. Nell’ultimo capitolo, viene presentata un’analisi delle due modalità di pricing effettuata su due TRS rispettivamente su basket di azioni e basket di indici.

One Step Forward: Contrasting The Effects Of Toe Clipping And Pit Tagging On Frog Survival And Recapture Probability.

Amphibians have been declining worldwide and the comprehension of the threats that they face could be improved by using mark-recapture models to estimate vital rates of natural populations. Recently, the consequences of marking amphibians have been under discussion and the effects of toe clipping on survival are debatable, although it is still the most common technique for individually identifying amphibians. The passive integrated transponder (PIT tag) is an alternative technique, but comparisons among marking techniques in free-ranging populations are still lacking. We compared these two marking techniques using mark-recapture models to estimate apparent survival and recapture probability of a neotropical population of the blacksmith tree frog, Hypsiboas faber. We tested the effects of marking technique and number of toe pads removed while controlling for sex. Survival was similar among groups, although slightly decreased from individuals with one toe pad removed, to individuals with two and three toe pads removed, and finally to PIT-tagged individuals. No sex differences were detected. Recapture probability slightly increased with the number of toe pads removed and was the lowest for PIT-tagged individuals. Sex was an important predictor for recapture probability, with males being nearly five times more likely to be recaptured. Potential negative effects of both techniques may include reduced locomotion and high stress levels. We recommend the use of covariates in models to better understand the effects of marking techniques on frogs. Accounting for the effect of the technique on the results should be considered, because most techniques may reduce survival. Based on our results, but also on logistical and cost issues associated with PIT tagging, we suggest the use of toe clipping with anurans like the blacksmith tree frog.

Exploring Iris Colour Prediction And Ancestry Inference In Admixed Populations Of South America.

New DNA-based predictive tests for physical characteristics and inference of ancestry are highly informative tools that are being increasingly used in forensic genetic analysis. Two eye colour prediction models: a Bayesian classifier - Snipper and a multinomial logistic regression (MLR) system for the Irisplex assay, have been described for the analysis of unadmixed European populations. Since multiple SNPs in combination contribute in varying degrees to eye colour predictability in Europeans, it is likely that these predictive tests will perform in different ways amongst admixed populations that have European co-ancestry, compared to unadmixed Europeans. In this study we examined 99 individuals from two admixed South American populations comparing eye colour versus ancestry in order to reveal a direct correlation of light eye colour phenotypes with European co-ancestry in admixed individuals. Additionally, eye colour prediction following six prediction models, using varying numbers of SNPs and based on Snipper and MLR, were applied to the study populations. Furthermore, patterns of eye colour prediction have been inferred for a set of publicly available admixed and globally distributed populations from the HGDP-CEPH panel and 1000 Genomes databases with a special emphasis on admixed American populations similar to those of the study samples.

Severe Maternal Morbidity And Near Miss Due To Postpartum Hemorrhage In A National Multicenter Surveillance Study.

To assess the occurrence of severe maternal complications owing to postpartum hemorrhage (PPH) and its associated factors. A secondary analysis of data from a multicenter cross-sectional prospective surveillance study included 9555 cases of severe maternal morbidity at 27 centers in Brazil between July 2009 and June 2010. Complications of PPH, conditions of severity management, and sociodemographic and obstetric characteristics were assessed. Factors independently associated with severe maternal outcome (SMO) were identified using multiple regression analysis. Overall, 1192 (12.5%) of the 9555 women experienced complications owing to PPH (981 had potentially life-threatening conditions, 181 maternal near miss, and 30 had died). The SMO ratio was 2.6 per 1000 live births among women with PPH and 8.5 per 1000 live births among women with other complications. Women with PPH had a higher risk of blood transfusion and return to the operating theater than did those with complications from other causes. Maternal age, length of pregnancy, previous uterine scar, and cesarean delivery were the main factors associated with an increased risk of SMO secondary to PPH. PPH frequently leads to severe maternal morbidity. A surveillance system can identify the main causes of morbidity and could help to improve care, especially among women identified as being at high risk of PPH.

Análise do investimento em climatização para bovinos de leite em sistema de alojamento free-stall

The difficulty in adapting European dairy cows breeds in Brazil affect considerably the milk production sector. Brazilian climatic conditions are not totally favorable and the development of new tecnologies is needed for the animals express their genetic potential, as well as their best feed conversion. An economical analysis of the applied investment in the free-stall climatization equipment in dairy housing, for estimating studies related to profit, possibility of return investment as well as time for this return is necessary. The objective of this research was to evaluate the influence of climatization investment in the milk production process and analyze the economical aspect of this investment. There were used 470 high productive dairy cows with genetic and morphologic homogeneous characteristics, and analyzed in two similar periods. Investment calculations were done using Excell®. The results were satisfactory and the invested capital was proved to return to the producer in a short term, 57 days.

Qualidade da classificação do tomate de mesa em unidades de beneficiamento

Quality evaluation of classification was done in two fresh market tomatoes packing house, using electronically and mechanical equipments in two harvest periods, summer and winter seasons. The main goal of this work was to evaluate size and color grading conformity with the standards proposed by the Brazilian Program for Horticulture Modernization and size grading obtainded with the one established by the packer. The cultivar studied was Carmen. The results showed that there was no grade conformity with the fresh tomato quality standards proposed by the Brazilian Program for Horticulture Modernization. The grade conformity obtained when compared with the one programmed by the packer, was only for large sizes, in both equipments. The electronically equipment has presented better performance, over the mechanical, considering grading quality and fruits post-harvest quality. However, the electronically equipment must be constantly monitored to achieve efficiency and investment return. On the other side, for mechanical equipment it will be necessary to review the actual system of size grading, in order to follow the fresh tomato quality standards.

A lingüística indígena no Brasil

This article presents a panorama of the area of the linguistics of the indigenous languages in Brazil within the discipline of Brazilian linguiistics as a whole. Special attention is given to those aspects related to its specific development. It is argued that in contrast to what is commonly supposed, the arrival of the Summer Institute of Linguistics (1959) not only was not the beginning of this area of study in the country, but it even contributed to the delay in its establishment. It was only after the return of Brazilian scholars educated abroad who were interested in the study of the national indigenous languages that a specialized branch of linguistics directed to the study of these languages began to take form. The present situation of the area and perspectives for future development are both explored.

Autoscopia: um procedimento de pesquisa e de formação

This article considers a procedure for data collection called autoscopy. Autoscopy entails the video recording of a practice with the purpose of allowing analysis and self-evaluation by one of the protagonists of that practice. The objective of the video recording is that of apprehending the actions of the agent (or agents), the scenario, and the plot that make up a situation. The recorded material is subjected to sessions of analysis after the action that aim at the understanding of the reflective process of the agent (or agents) through their verbalizations during the analysis of video recorded scenes. The present text introduces a theoretical basis for the procedure of autoscopy, deals with advantages and limitations of its use, as well as with aspects that deserve attention and, finally, describes the authors' experiences in two studies in which the procedure was employed. Starting from these two experiences, differences and similarities are pointed out between the studies, especially regarding the participants, object, and the time distribution of the video recordings. The authors draw considerations about the formative-reflective potential of the procedure, both for research situations and for the learning and training of various professionals, considering it to be an excellent educational instrument. It is, however, vital to keep in mind the need to recognize and return to the teacher, as an autoscopic participant, his condition as subject of his own profession, thereby promoting, besides the self-evaluation, also the autonomy of his thinking and doing.

Imigrantes bolivianos em São Paulo : a Praça Kantuta e o futebol

Universidade Estadual de Campinas . Faculdade de Educação Física

Analise da descontinuidade do patrocinio esportivo em clubes de futebol no Brasil

Universidade Estadual de Campinas . Faculdade de Educação Física

Caminhada de pessoas com deficiencia visual em areas naturais : um estudo com auxilio do GPS (Sistema de Posicionamento Global)

Universidade Estadual de Campinas . Faculdade de Educação Física

Adaptações cardio-respiratorias em atletas : estudo em diferentes fases do treinamento fisico

Universidade Estadual de Campinas. Faculdade de Educação Física

Meninos de rua ou de um beco sem saida?

Universidade Estadual de Campinas. Faculdade de Educação Física

Surface and subterranean ichthyofauna in the Serra do Ramalho karst area, northeastern Brazil, with updated lists of Brazilian troglobitic and troglophilic fishes

After an ichthyofaunistic survey in several epigean (surface) water bodies of the Serra do Ramalho, southern Bahia, conducted in May 2007, 44 species were recorded; in addition, three non-troglomorphic (normally eyed and pigmented) and two troglomorphic species were recorded only in caves, totaling 49 species of fishes for the area, which represents a little more than one fourth of the total registered in the literature for the entire Rio São Francisco basin. In these caves, which have been studied since 2005, eight non-troglomorphic species were sampled and their presence in both epigean and subterranean habitats, associated to the lack of morphological differences, indicate that they may be either troglophiles (species encompassing individuals able to live and complete their life cycle either in the surface or in the subterranean environment), trogloxenes (individuals regularly found in subterranean habitats, but which must return periodically to the surface in order to complete their life cycle) or even accidental in caves. In addition, two troglomorphic species (with reduced eyes and melanic pigmentation when compared to close epigean relatives), belonging respectively to the genera Rhamdia and Trichomycterus, were recorded exclusively in caves, thus classified as troglobites. Interestingly, no epigean representative of the genus Trichomycterus was collected. The new data are integrated into updated lists of Brazilian troglobitic and troglophilic fishes, based on published data and new records recently confirmed.

Culex quinquefasciatus vitellogenesis: morphological and biochemical aspects

The vitellogenic process in Culex quinquefasciatus, which is triggered by a blood meal, involves the synthesis, distribution and storage of the nutrients necessary for embryo development. The fat body of an adult female Cx. quinquefasciatus revealed two cell types: large trophocytes and small, eosinophilic, "oenocyte-like" cells, which show no morphological changes throughout the gonotrophic cycle. Trophocytes, which only begin to synthesise vitellogenin (Vg) 12 h post-blood meal (PBM), undergo a series of morphological changes following engorgement. These changes include the expansion of the rough endoplasmic reticulum (RER) and Golgi complex, which are later destroyed by autophagosomes. At 84 h PBM, trophocytes return to their pre-engorgement morphology. The ovarian follicles of non-blood-fed Cx. quinquefasciatus contain a cluster of eight undifferentiated cells surrounded by follicular epithelium. After engorgement, the oocyte membrane facing the perioocytic space increases its absorptive surface by microvilli development; large amounts of Vg and lipids are stored between 24 and 48 h PBM. Along with yolk storage in the oocyte, follicular cells exhibit the development of RER cisternae and electron-dense granules begin to fill the perioocytic space, possibly giving rise to endochorion. Later in the gonotrophic cycle, electron-dense vesicles, which are possible exochorion precursors, fuse at the apical membrane of follicular cells. This fusion is followed by follicular cell degeneration.