Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Entry and externality : hydroelectric generators in Brazil

This work analyzes the entry problem in the hydroelectric generation industry. The operation of a generator upstream regularizes the river flow for generators located downstream on the same river, increasing the production capacity of the latter. This positive externality increases the attractiveness of the locations downstream whenever a generator decides to enter upstream. Therefore, the entry decision of a generator in a given location may affect all entry decisions in potential locations for plants downstream. I first model the problem of generators located in cascade on the same river to show the positive effect of the externality. Next, I develop a method to estimate an entry model specific to the hydro generation industry which takes into account the externality of the entry decisions. Finally, I use a data set on investment decisions of Brazilian hydro-generators to estimate the model. The results show a positive incentive to locate downstream from existing plants and from locations where entry is likely to occur. An interesting by-product of the analysis is that the year effects’ estimates show an increase one year before the energy crisis of 2001, providing evidence that the market anticipated the crisis. It contradicts the governmental version that the crisis was due to an unexpected drought.

The risk-incentive trade-off in competitive search

Usando a abordagem de competitive search, modelo um mercado de trabalho com trabalhadores heterogêneos no qual há um problema de risco moral na relação entre firmas e trabalhadores. Nesse contexto, consigo prever como contratos reagem a mudanças nos parâmetros do mercado (em particular, o risco de produção), assim como a variação da probabilidade dos trabalhadores serem contratados. Minha contribuição principal é ver que, no nível individual, existe uma relação negativa entre risco e incentivos, mas efeitos de equilíbrio geral implicam que essa relação pode ser positiva no nível agregado. Esse resultado ajuda a esclarecer resultados empíricos contraditórios sobre a relação entre risco e incentivos.

Análise da modelagem experimental da perda de injetividade

Injectivity decline, which can be caused by particle retention, generally occurs during water injection or reinjection in oil fields. Several mechanisms, including straining, are responsible for particle retention and pore blocking causing formation damage and injectivity decline. Predicting formation damage and injectivity decline is essential in waterflooding projects. The Classic Model (CM), which incorporates filtration coefficients and formation damage functions, has been widely used to predict injectivity decline. However, various authors have reported significant discrepancies between Classical Model and experimental results, motivating the development of deep bed filtration models considering multiple particle retention mechanisms (Santos & Barros, 2010; SBM). In this dissertation, inverse problem solution was studied and a software for experimental data treatment was developed. Finally, experimental data were fitted using both the CM and SBM. The results showed that, depending on the formation damage function, the predictions for injectivity decline using CM and SBM models can be significantly different

Responsiveness of the interrenal tissue of Jundia (Rhamdia quelen) to an in vivo ACTH test following acute exposure to sublethal concentrations of agrichemicals

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Object-Space Road Extraction in Rural Areas Using Stereoscopic Aerial Images

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Trends in rheumatic fever: clinical aspects and perspectives in prophylactic treatments

Introduction: Rheumatic fever (RF), a systemic illness that may occur following Group A beta-hemolytic streptococcal (GABHS) pharyngitis in children, is a major problem in countries with limited resources. Because of its long track record and low cost, an injection of benzathine penicillin G (BPG) suspension every 3 or 4 weeks has been used as secondary prophylaxis. Despite its excellent in vitro efficacy, the inability of BPG to eradicate GABHS has been frequently reported.Areas covered: This work reviews the possible causes of failure, as well as the inconvenience of the current prophylactic treatment of acute RF and suggests a new pharmacotherapeutic system that could replace the current one.Expert opinion: RF is a major problem concerning only countries with limited resources and could be considered as a neglected disease. The dose regimen using BPG suspension results in failures, which could be avoided by the use of nanocarrier-based systems. To meet this ultimate goal, the research should be transposed from the laboratory scale to an industrial and clinical application level. This research should be conducted to produce a pharmaceutical dosage form that will be commercially available, consumed by and affordable for patients. However, health, environmental and socioeconomic hazards should be considered.

Cellulose pyrolysis and quantum chemistry

Cellulose is the major constituent of most plants of interest as renewable sources of energy and is the most extensively studied form of biomass or biomass constituent. Predicting the mass loss and product yields when cellulose is subjected to increased temperature represents a fundamental problem in the thermal release of biomass energy. Unfortunately, at this time, there is no internally consistent model of cellulose pyrolysis that can organize the varied experimental data now available or provide a guide for additional experiments. Here, we present a model of direct cellulose pyrolysis using a multistage decay scheme that we first presented in the IJQC in 1984. This decay scheme can, with the help of an inverse method of assigning reaction rates, provide a reasonable account of the direct fast pyrolysis yield measurements. The model is suggestive of dissociation states of d-glucose (C6H10O5,), the fundamental cellulose monomer. The model raises the question as to whether quantum chemistry could now provide the dissociation energies for the principal breakup modes of glucose into C-1, C-2, C-3, C-4, and C-5 compounds. These calculations would help in achieving a more fundamental description of volatile generation from cellulose pyrolysis and could serve as a guide for treating hemicellulose and lignin, the other major biomass constituents. Such advances could lead to the development of a predictive science of biomass pyrolysis that would facilitate the design of liquifiers and gasifiers based upon renewable feedstocks. (C) 1998 John Wiley & Sons, Inc.

Artificial satellites orbits in 2:1 resonance: GPS constellation

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Artificial neural networks and clustering techniques applied in the reconfiguration of distribution systems

One objective of the feeder reconfiguration problem in distribution systems is to minimize the power losses for a specific load. For this problem, mathematical modeling is a nonlinear mixed integer problem that is generally hard to solve. This paper proposes an algorithm based on artificial neural network theory. In this context, clustering techniques to determine the best training set for a single neural network with generalization ability are also presented. The proposed methodology was employed for solving two electrical systems and presented good results. Moreover, the methodology can be employed for large-scale systems in real-time environment.

Efficient heuristic algorithm used for optimal capacitor placement in distribution systems

An efficient heuristic algorithm is presented in this work in order to solve the optimal capacitor placement problem in radial distribution systems. The proposal uses the solution from the mathematical model after relaxing the integrality of the discrete variables as a strategy to identify the most attractive bus to add capacitors to each step of the heuristic algorithm. The relaxed mathematical model is a nonlinear programming problem and is solved using a specialized interior point method, The algorithm still incorporates an additional strategy of local search that enables the finding of a group of quality solutions after small alterations in the optimization strategy. Proposed solution methodology has been implemented and tested in known electric systems getting a satisfactory outcome compared with metaheuristic methods.The tests carried out in electric systems known in specialized literature reveal the satisfactory outcome of the proposed algorithm compared with metaheuristic methods. (C) 2009 Elsevier Ltd. All rights reserved.

Structural FRF acquisition via electric impedance measurement applied to damage location

Continuing development of new materials makes systems lighter and stronger permitting more complex systems to provide more functionality and flexibility that demands a more effective evaluation of their structural health. Smart material technology has become an area of increasing interest in this field. The combination of smart materials and artificial neural networks can be used as an excellent tool for pattern recognition, turning their application adequate for monitoring and fault classification of equipment and structures. In order to identify the fault, the neural network must be trained using a set of solutions to its corresponding forward Variational problem. After the training process, the net can successfully solve the inverse variational problem in the context of monitoring and fault detection because of their pattern recognition and interpolation capabilities. The use of structural frequency response function is a fundamental portion of structural dynamic analysis, and it can be extracted from measured electric impedance through the electromechanical interaction of a piezoceramic and a structure. In this paper we use the FRF obtained by a mathematical model (FEM) in order to generate the training data for the neural networks, and the identification of damage can be done by measuring electric impedance, since suitable data normalization correlates FRF and electrical impedance.

Piranha attacks in dammed streams used for human recreation in the State of São Paulo, Brazil

Ataques por piranhas vêm se tornando um problema comum em trechos represados de rios e córregos no estado de São Paulo, Sudeste do Brasil. em dois surtos ocorridos em dois municípios vizinhos no noroeste do estado, 74 banhistas foram mordidos. Uma mordida por pessoa foi registrada, em curto período do ano. As mordidas estão relacionadas a cuidado parental e/ou defesa do território de desova, o que reforça estudos anteriores e desmistifica os ataques por este peixe lendário, da maneira como são popularmente percebidos. A colocação de redes de malha fina e a remoção de vegetação aquática cessaram os ataques.