The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

RC-IAL cell line: sensitivity of rubella virus grow

OBJECTIVE: The rapid growth of the rubella virus in RC-IAL² with development of cytopathic effect, in response to rubella virus infection, is described. For purposes of comparison, the rubella virus RA-27/3 strain was titered simultaneously in the RC-IAL, Vero, SIRC and RK13 cell lines. METHODS: Rubella virus RA-27/3 strain are inoculated in the RC-IAL cell line (rabbit Kidney, Institute Adolfo Lutz). Plates containing 1.5x10(5) cells/ml of RC-IAL line were inoculated with 0.1ml s RA-27/3 strain virus containing 1x 10(4)TCID50/0.1ml. A 25% cytopathic effect was observed after 48 hours and 100% after 96 hours. The results obtained were compared to those observed with the SIRC, Vero and RK13 cell lines. Rubella virus was detected by immunohistochemistry. RESULTS: With the results, it was possible to conclude that the RC-IAL cell line is a very good substrate for culturing rubella virus. The cells inoculated with rubella virus were examined by phase contrast microscopy and showed the characteristic rounded, bipolar and multipolar cells. The CPE in RC-IAL was observed in the first 48 hours and the curve of the increased infectivity was practically the same as observed in other cell lines. CONCLUSIONS: These findings are important since this is one the few cell lines described in the literature with a cytopathic effect. So it can be used for antigen preparation and serological testing for the diagnosis of specific rubella antibodies.

Monitorização da insuficiência cardíaca por parâmetros fisiológicos em portadores de cardioversor-desfibrilhador implantável e/ou sistema de ressincronização cardíaca: HF-PREDICT

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular. Área de especialização: Intervenção Cardiovascular.

Comparação entre diferentes escores de risco de mortalidade em unidade de tratamento intensivo neonatal

OBJETIVO: Avaliar peso de nascimento e os escores como preditores de mortalidade neonatal em unidade de terapia intensiva neonatal, comparando os seus resultados. MÉTODOS: Foram avaliados 494 recém-nascidos admitidos em uma unidade de terapia intensiva neonatal (UTIN) de um hospital geral de Porto Alegre, RS, logo após o nascimento, entre março de 1997 e junho de 1998. Foram avaliados o peso de nascimento e os escores considerando a variável óbito durante a internação na UTI. Os critérios de exclusão foram: alta ou óbito da UTIN com menos de 24 horas de internação, recém-nascidos cuja internação não ocorreu logo após o nascimento, protocolo de estudo incompleto e malformações congênitas incompatíveis com a vida. Para avaliação do CRIB (Clinical Risk Index for Babies) foram considerados somente os pacientes com peso de nascimento inferior a 1.500 g. Foram calculadas as curvas ROC (Receiver Operating Characteristics Curve) para SNAP (Score for Neonatal Acute), SNAP-PE (Score for Neonatal Acute Physiology Perinatal Extension), SNAP II, SNAP-PE II, CRIB e peso de nascimento. RESULTADOS: Dos 494 pacientes, 44 faleceram (8,9% de mortalidade). Dos 102 recém-nascidos com peso de até 1.500 g, 32 (31,3%) faleceram. As áreas abaixo da curva ROC variaram de 0,81 a 0,94. Todos os escores avaliados mostraram áreas abaixo da curva ROC sem diferenças estatisticamente significativas. Os escores de risco de mortalidade estudados apresentaram um melhor desempenho que o peso de nascimento, especialmente em recém-nascidos com peso de nascimento igual ou menor que 1.500 g. CONCLUSÕES: Todos os escores de mortalidade neonatal apresentaram melhor desempenho e foram superiores ao peso de nascimento como medidores de risco de óbito hospitalar para recém-nascidos internados em UTIN.

Usefulness of corneal esthesiometry for screening diabetic retinopathy

OBJECTIVE: To assess the usefulness of corneal esthesiometry for screening diabetic retinopathy. METHODS: A cross-sectional study was carried out comprising 575 patients attending a diabetic retinopathy-screening program in the city of São Paulo. Corneal esthesiometry was assessed with the Cochet-Bonnet esthesiometer. The presence of diabetic retinopathy was detected with indirect fundoscopy. The validity of corneal esthesiometry in identifying diabetic retinopathy was evaluated by the Receiver Operating Characteristic (ROC) curve. RESULTS: Sensitivity and specificity analyses of the corneal esthesiometry for detecting the stages of diabetic retinopathy using different cut-offs showed values less than 80%. The best indices (72.2% sensitivity and 57.4% specificity) were obtained for the identification of patients with proliferative diabetic retinopathy. CONCLUSIONS: In the study series, corneal esthesiometry was not a good indicator of diabetic retinopathy.

Neonatal mortality in intensive care units of Central Brazil

OBJECTIVE: To identify potential prognostic factors for neonatal mortality among newborns referred to intensive care units. METHODS: A live-birth cohort study was carried out in Goiânia, Central Brazil, from November 1999 to October 2000. Linked birth and infant death certificates were used to ascertain the cohort of live born infants. An additional active surveillance system of neonatal-based mortality was implemented. Exposure variables were collected from birth and death certificates. The outcome was survivors (n=713) and deaths (n=162) in all intensive care units in the study period. Cox's proportional hazards model was applied and a Receiver Operating Characteristic curve was used to compare the performance of statistically significant variables in the multivariable model. Adjusted mortality rates by birth weight and 5-min Apgar score were calculated for each intensive care unit. RESULTS: Low birth weight and 5-min Apgar score remained independently associated to death. Birth weight equal to 2,500g had 0.71 accuracy (95% CI: 0.65-0.77) for predicting neonatal death (sensitivity =72.2%). A wide variation in the mortality rates was found among intensive care units (9.5-48.1%) and two of them remained with significant high mortality rates even after adjusting for birth weight and 5-min Apgar score. CONCLUSIONS: This study corroborates birth weight as a sensitive screening variable in surveillance programs for neonatal death and also to target intensive care units with high mortality rates for implementing preventive actions and interventions during the delivery period.

Arrow Plot: a new graphical tool for selecting up and down regulated genes and genes differentially expressed on samples subgroups

Background: A common task in analyzing microarray data is to determine which genes are differentially expressed across two (or more) kind of tissue samples or samples submitted under experimental conditions. Several statistical methods have been proposed to accomplish this goal, generally based on measures of distance between classes. It is well known that biological samples are heterogeneous because of factors such as molecular subtypes or genetic background that are often unknown to the experimenter. For instance, in experiments which involve molecular classification of tumors it is important to identify significant subtypes of cancer. Bimodal or multimodal distributions often reflect the presence of subsamples mixtures. Consequently, there can be genes differentially expressed on sample subgroups which are missed if usual statistical approaches are used. In this paper we propose a new graphical tool which not only identifies genes with up and down regulations, but also genes with differential expression in different subclasses, that are usually missed if current statistical methods are used. This tool is based on two measures of distance between samples, namely the overlapping coefficient (OVL) between two densities and the area under the receiver operating characteristic (ROC) curve. The methodology proposed here was implemented in the open-source R software. Results: This method was applied to a publicly available dataset, as well as to a simulated dataset. We compared our results with the ones obtained using some of the standard methods for detecting differentially expressed genes, namely Welch t-statistic, fold change (FC), rank products (RP), average difference (AD), weighted average difference (WAD), moderated t-statistic (modT), intensity-based moderated t-statistic (ibmT), significance analysis of microarrays (samT) and area under the ROC curve (AUC). On both datasets all differentially expressed genes with bimodal or multimodal distributions were not selected by all standard selection procedures. We also compared our results with (i) area between ROC curve and rising area (ABCR) and (ii) the test for not proper ROC curves (TNRC). We found our methodology more comprehensive, because it detects both bimodal and multimodal distributions and different variances can be considered on both samples. Another advantage of our method is that we can analyze graphically the behavior of different kinds of differentially expressed genes. Conclusion: Our results indicate that the arrow plot represents a new flexible and useful tool for the analysis of gene expression profiles from microarrays.

Remoção de metais usando casca de amendoim

Mestrado em Engenharia Química

Modelling the distribution of cetaceans using opportunistic presence-only data in S. Miguel Island (Azores)

25th Annual Conference of the European Cetacean Society, Cadiz, Spain 21-23 March 2011.

Iron oxide/gold core/shell nanomagnetic probes and CdS biolabels for amplified electrochemical immunosensing of Salmonella typhimurium

There is an imminent need for rapid methods to detect and determine pathogenic bacteria in food products as alternatives to the laborious and time-consuming culture procedures. In this work, an electrochemical immunoassay using iron/gold core/shell nanoparticles (Fe@Au) conjugated with anti-Salmonella antibodies was developed. The chemical synthesis and functionalization of magnetic and gold-coated magnetic nanoparticles is reported. Fe@Au nanoparticles were functionalized with different self-assembled monolayers and characterized using ultraviolet-visible spectrometry, transmission electron microscopy, and voltammetric techniques. The determination of Salmonella typhimurium, on screen-printed carbon electrodes, was performed by square-wave anodic stripping voltammetry through the use of CdS nanocrystals. The calibration curve was established between 1×101 and 1×106 cells/mL and the limit of detection was 13 cells/mL. The developed method showed that it is possible to determine the bacteria in milk at low concentrations and is suitable for the rapid (less than 1 h) and sensitive detection of S. typhimurium in real samples. Therefore, the developed methodology could contribute to the improvement of the quality control of food samples.

Ultrasensitive detection of ovarian cancer marker using immunoliposomes and gold nanoelectrodes

Mucin-16 (MUC16) is the established ovarian cancer marker used to follow the disease during or after treatment for epithelial ovarian cancer. The emerging science of cancer markers also demands for the new sensitive detection methods. In this work, we have developed an electrochemical immunosensor for antigen MUC16 using gold nanoelectrode ensemble (GNEE) and ferrocene carboxylic acid encapsulated liposomes tethered with monoclonal anti-Mucin-16 antibodies ( MUC16). GNEEs were fabricated by electroless deposition of the gold within the pores of polycarbonate track-etched membranes. Afterwards, MUC16 were immobilized on preformed self-assembled monolayer of cysteamine on the GNEE via cross-linking with EDC-Sulfo-NHS. A sandwich immunoassay was performed on MUC16 functionalized GNEE with MUC16 and immunoliposomes. The differential pulse voltammetry was employed to quantify the faradic redox response of ferrocene carboxylic acid released from immunoliposomes. The dose–response curve for MUC16 concentration was found between the range of 0.001–300 U mL−1. The lowest detection limit was found to be 5 × 10−4 U mL−1 (S/N = 3). We evaluated the performance of this developed immunosensor with commercial ELISA assay by comparing results obtained from spiked serum samples and real blood serum samples from volunteers.

Dosimetric effect by shallow air cavities in high energy electron beams

This study evaluates the dosimetric impact caused by an air cavity located at 2 mm depth from the top surface in a PMMA phantom irradiated by electron beams produced by a Siemens Primus linear accelerator. A systematic evaluation of the effect related to the cavity area and thickness as well as to the electron beam energy was performed by using Monte Carlo simulations (EGSnrc code), Pencil Beam algorithm and Gafchromic EBT2 films. A home-PMMA phantom with the same geometry as the simulated one was specifically constructed for the measurements. Our results indicate that the presence of the cavity causes an increase (up to 70%) of the dose maximum value as well as a shift forward of the position of the depthedose curve, compared to the homogeneous one. Pronounced dose discontinuities in the regions close to the lateral cavity edges are observed. The shape and magnitude of these discontinuities change with the dimension of the cavity. It is also found that the cavity effect is more pronounced (6%) for the 12 MeV electron beam and the presence of cavities with large thickness and small area introduces more significant variations (up to 70%) on the depthedose curves. Overall, the Gafchromic EBT2 film measurements were found in agreement within 3% with Monte Carlo calculations and predict well the fine details of the dosimetric change near the cavity interface. The Pencil Beam calculations underestimate the dose up to 40% compared to Monte Carlo simulations; in particular for the largest cavity thickness (2.8 cm).

Estudo de uma tomada de água em modelo reduzido

Dissertação para obtenção do grau de Mestre em Engenharia Civil na Área de Especialização em hidráulica

Comorbidity adjustment index for the international classification of diseases, 10

OBJECTIVE: To develop a Charlson-like comorbidity index based on clinical conditions and weights of the original Charlson comorbidity index. METHODS: Clinical conditions and weights were adapted from the International Classification of Diseases, 10th revision and applied to a single hospital admission diagnosis. The study included 3,733 patients over 18 years of age who were admitted to a public general hospital in the city of Rio de Janeiro, southeast Brazil, between Jan 2001 and Jan 2003. The index distribution was analyzed by gender, type of admission, blood transfusion, intensive care unit admission, age and length of hospital stay. Two logistic regression models were developed to predict in-hospital mortality including: a) the aforementioned variables and the risk-adjustment index (full model); and b) the risk-adjustment index and patient's age (reduced model). RESULTS: Of all patients analyzed, 22.3% had risk scores >1, and their mortality rate was 4.5% (66.0% of them had scores >1). Except for gender and type of admission, all variables were retained in the logistic regression. The models including the developed risk index had an area under the receiver operating characteristic curve of 0.86 (full model), and 0.76 (reduced model). Each unit increase in the risk score was associated with nearly 50% increase in the odds of in-hospital death. CONCLUSIONS: The risk index developed was able to effectively discriminate the odds of in-hospital death which can be useful when limited information is available from hospital databases.

Monitorização de pesticidas em águas de Esposende

De forma a proteger o ambiente e a saúde humana, é imperativo evitar, prevenir ou reduzir as concentrações prejudiciais de poluentes nocivos na água subterrânea. A necessidade da obtenção de níveis de protecção da água subterrânea, encontra-se estabelecida em normas de qualidade e devem ser desenvolvidas metodologias que permitam a avaliação do estado químico da água subterrânea. Este trabalho experimental centrou-se no desenvolvimento de uma metodologia analítica de detecção e quantificação por cromatografia gasosa com detector de captura de electrões dos pesticidas atrazina e respectivos metabolitos (desetilatrazina e deisopropilatrazina), simazina, terbutilazina e o metabolito desetiterbutilazina, folpete, dimetoato, diazinão, malatião, cloropirifos e o azinfos-metilo em águas de poços. O estudo progressivo baseou-se na colheita de água a 20 poços agrícolas na zona de Esposende, área considerada pelo Ministério da Agricultura do Desenvolvimento Rural e Pescas como sendo uma zona vulnerável. O método utilizado para a validação da técnica cromatográfica baseou-se na norma ISO 8466-1:1990. Os parâmetros de validação considerados foram: especificidade/selectividade, capacidade de identificação, limites de detecção e quantificação, relação sinal/ruído, linearidade e curva de calibração, precisão (repetibilidade, precisão intermédia e reprodutibilidade), eficiência de extracção e arrastamento. O método demonstrou ser capaz de identificar e quantificar os analitos, sem interferência de outros compostos. Obteve-se um valor para os parâmetros da precisão inferior a 10%, enquanto os mais baixos limites de detecção e de quantificação foram, respectivamente, 0,014 e 0,047 μg L-1. Na preparação de amostras optou-se pelo método de extracção em fase sólida, tendo sido testadas cinco diferentes tipos de colunas extractivas; Lichrolut® EN/RP-18; Strata SDB-L e C18-E; Chromabond HR-P e HR-X, sendo que as colunas Lichrolut® EN/RP- 18 apresentaram melhores resultados para a globalidade dos pesticidas. Da análise efectuada aos 20 poços agrícolas verificou-se que apenas 3 não apresentavam qualquer vestígio dos pesticidas monitorizados, sendo que as restantes apresentavam valores entre 0,05 e 53,2 μg L-1, valores superiores aos impostos pela legislação em vigor (Decreto-Lei n.º 208/2008 de 28 de Outubro para água subterrânea e Decreto-Lei nº306/2007 referente a água para consumo). Verificou-se que os proprietários dos poços agrícolas, dos quais se procedeu à amostragem de água para análise não têm a consciência da falta de qualidade dessa água, nem dos malefícios que possam advir do seu consumo.