Hedging de opções com ativos : base cujos preços seguem processos de difusão com salto

Na presente dissertação foi implementado um modelo para execução de hedging de mínima variância de opções de compra européias em mercados incompletos, considerando um espaço de tempo discreto e contínuo de estados. O desempenho foi medido de forma comparativa tomando como base a popular estratégia delta-hedging em um grande número de simulações, a partir de cenários definidos com o objetivo de submeter o modelo a diversas situações. A trajetória do preço do ativo objeto foi representada por um processo de difusão com saltos, composto por duas parcelas: (i) um processo de Wiener, cuja principal característica é ser uma função contínua e diferenciável em todos os pontos, e (ii) por um processo de Poisson, responsável por inserir descontinuidades na trajetória.

Futebol e o Desenvolvimento Socioeconômico

Com a proximidade da Copa 2014, esta edição do Cadernos FGV Projetos aborda a cadeia produtiva do futebol e seus reflexos no crescimento do PIB brasileiro. Se bem aproveitada, a Copa, seus novos estádios (arenas) e a maior profissionalização da gestão dos clubes poderão levar o futebol brasileiro fora do campo à mesma posição dele dentro das quatro linhas. A publicação conta com entrevistas do ministro do Esporte Aldo Rebelo, do coordenador técnico da seleção brasileira, Carlos Alberto Parreira, do presidente da Fifa Joseph Blatter, entre outros profissionais de renome da área. A versão em inglês foi lançada no evento II World Economy and Brazil, inaugurando um novo projeto gráfico, em formato mais leve e compacto, o que representa um melhor aproveitamento de papel (paperless). Para chegar a este novo formato, foi realizada uma pesquisa com Think Tanks utilizando como referência editorial modelos internacionais, como o da London Business School.

Estrutura e dinâmica do fitoplânctone bacterioplâncton em cultivos de camarão no Rio Grande do Norte-Brasil: impacto sobre o ambiente natural

This work aimed to study the structure and dynamic of Phytoplankton and Bacterioplankton in a complete cycle of shrimp cultivation (Litopenaeus vannamei) and determine the environmental factors responsible for the structural changes of these communities. The study was realized in a saltwater shrimp farm (Macaíba, RN), between September/2005 and February/2006, and in a freshwater shrimp farm (Ceará Mirim, RN), between May/2007 and September 2007. The samplings were collected weekly in saltwater farm and every fifteen days in freshwater farm. Total phosphorus, chlorophyll a and environmental parameters (pH, dissolved oxygen, salinity, temperature, depth and water transparency) were measured. Qualitative and quantitative analysis of the phytoplankton and bacterioplankton were carried out. The Shannon-Wiener ecologic indexes of diversity and the Pielou equitability indexes were calculated to the phytoplankton. Bacterial density was determined by epifluorescence microscopy. The data were statistically analyzed by Pearson correlation and t-Test. Chlorophycea were predominat in salt water and in the captation/drainage point (24 to 99%). Diatoms had higher wealth. The species Choricystis minor had the highest occurrence (100%) and dominance (90-100%), thus showing its adaptation to the high temperatures, salinity and low water transparency conditions. Filamentous Cyanobacteria like Oscillatoria sp., Pseudoanabaena sp. and Phormidium sp. had constant levels. The negative correlation between chlorophycea and water transparency, and the positive correlation between chlorophyll a and salinity, showed that the phytoplankton was well adapted to the low transparency and to the high salinity. The bacterioplankton was negatively correlated with the total phosphorus and salinity. In freshwater, Cyanobacteria were predominant (>80%), presenting some producers of toxins species like Microcystis sp., Aphanizomenon sp., Cylindrospermopsis raciborskii e Anabaena circinalis. Cyanobacterial density and total phosphorus and chlorophyll a concentrations exceeded the maximum value allowed by legislation. The means of total phosphorus varied from 264 to 627 Wg.L-1 and the means of chlorophyll a oscillated between 22 and 182 Wg.L-1. The phytoplankton species were selected by low availability of the light, high pH, temperature and high availability of total phosphorus. The bacterioplankton showed high densities (5,13 x 107 to 8,50 x107 Bac.mL-1). The studied environments (ponds and rivers) presented a high level of trophic state based on the high concentrations of chlorophyll a and total phosphorus and cyanobacteria dominance. The composition of species in the ponds and rivers was similar, as well as high concentrations of total phosphorus and chlorophyll a, highlighting the pollution caused by the discharges of the farms in natural environment

Diversidade e distribuição espacial de artrópodes associados ao solo em agroecossistemas

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Faunistic analysis of Carabidae and Staphylinidae (Coleoptera) in five agroecosystems in northeastern São Paulo state, Brazil

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

Uso e conservação da fauna por populações humanas no Rio Grande do Norte, Nordeste do Brasil

Muitos países subdesenvolvidos são caracterizados por uma significativa diversidade sociocultural e por uma acentuada pobreza em grande parte da população, que fazem uso da caça de animais como uma fonte alternativa de alimento e para outros fins. O estudo objetivou investigar se a distância das populações humanas da zona rural em relação à zona urbana e fatores socioeconômicos podem ser preditores de um maior conhecimento sobre as espécies da fauna utilizadas. Além disso, o estudo objetivou também testar uma ferramenta capaz de gerar uma lista da fauna prioritária para a conservação local a partir do conhecimento local. Os dados foram coletados por meio de 30 entrevistas utilizando formulários semi-estruturados em quatro comunidades rurais no município de Pedro Avelino, RN. Foram calculados o fator de consenso dos informantes (ICF), a importância relativa (IR) e o nível de fidelidade (FL). Adicionalmente, foi calculado o índice de Shannon-Wiener para as categorias de uso: estimação, alimentar, medicinal e para a multiplicidade de uso por informante. Os entrevistados reconhecem 83 espécies pertencentes a 45 famílias de animais. As espécies citadas pertencem a seis grandes grupos taxonômicos: aves, mamíferos, répteis, anfíbios, peixes e insetos. O conhecimento sobre a utilização de animais para as categorias de uso definidas neste trabalho não mostrou relação significativa com os fatores socioeconômicos e nem com a distância das comunidades da zona rural para a zona urbana de Pedro Avelino. Os resultados sugerem, portanto, que a pobreza nivela o conhecimento sobre o uso da fauna independente da distância que as comunidades encontram-se da zona urbana. As listas geradas permitirão direcionar estudos ecológicos mais aprofundados visando à conservação das espécies do bioma Caatinga. Desta forma, é importante considerar as interações existentes entre as pessoas e os animais para melhor entender a dinâmica de utilização e fornecer, assim, subsídios para a conservação das espécies.

Bifurcation Analysis of a Van der Pol-Duffing Circuit with Parallel Resistor

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Pressupostos ontológicos para se pensar a nova tecnologia: técnica, informação e ser e tempo

La recherche presentée, realisée sur le domaine de la méthaphysique, s´agit de rassembler des pressupositions pour une fondamentation ontologique de la technologie de l´Information, basé sur la philophie de Martin Heidegger; foncièrement, sur l´analytique existentiel du Dasein dans l´ouvrage Être et Temps. À partir de la pensée sur ce qui est aujourd´hui , il s´agit d´investiguer sur quels fondaments la Nouvelle Tecnologie se fut érigée de façon a que nous sommes engajés au projet de numérisation des étants que en même temps que destine l´homme a l´oubli de l´Être, l´offre la possibilité de transformation. Le rapport entre la question de l´Être et la question de la technique est analysé comme des chemins croisés et dans ce carrefour il devient possible penser ce qui est technique, ce qui est information pour Heidegger et de quel façon les modes existentiels du Dasein sont prêtes pour caractériser l ´homme au sein de la tecnologie de l´information. Par cette appropriation, il reste penser comment c´est possible l´ouverture d´une perspective de reconduction de l´homme à la vérité de l´Être. Finalement, la structuration des fondements rends possible la réflexion discursive général: avec qui nous nous ocuppons, comme nous sommes, dans quelle direction nous nous acheminons, les thèmes générales, respectivement, des trois chapitres. Les points d´investigation du premier chapitre son: a) La caractérisation précise du Dasein, appuyé sur des considerations de Benedito Nunes, Hans-Georg Gadamer, Jacques Derrida et Rüdiger Safränski; b) Le concept de technique et son essence chez Heidegger; c) la distinction entre technique et technologie, appuyé sur le pensée de J. Ellul, Michel Séris, Otto Pöggeler, Michel Haar, Dominique Janicaud; c) Le concept de cibernetique chez Heidegger et chez Norbert Wiener; d) La caractérisation preliminaire d´information, l´analyse étimologique e philosophique, l´avis de Heidegger te les théories de Rafael Capurro; f) L´Analyse du phénomène de la numérisation des étants, des considérations de Virilio, et l´analyse d´un concept de virtuel avec Henri Bergson et Gilles Deleuze. Dans le deuxième chapitre, l´analyse des existentiels du Dasein vers le sommaire des fondements de base pour la caractérisation de la technologie de l´information comme un problème philosophique. Finalement, aprés avoir presenté les concepts introdutoires que délimitent le questionement, suivi par les indications et pressupositions ontologiques trouvés sur Être et Temps, le troisième chapitre disserte sur le péril, ce qui sauve et la sérénité, les trois mots-clés de la pensée heideggerienne sur la technique que permettent l´approche conclusif de la question

Projections Onto Convex Sets through Particle Swarm Optimization and its application for remote sensing image restoration

Image restoration attempts to enhance images corrupted by noise and blurring effects. Iterative approaches can better control the restoration algorithm in order to find a compromise of restoring high details in smoothed regions without increasing the noise. Techniques based on Projections Onto Convex Sets (POCS) have been extensively used in the context of image restoration by projecting the solution onto hyperspaces until some convergence criteria be reached. It is expected that an enhanced image can be obtained at the final of an unknown number of projections. The number of convex sets and its combinations allow designing several image restoration algorithms based on POCS. Here, we address two convex sets: Row-Action Projections (RAP) and Limited Amplitude (LA). Although RAP and LA have already been used in image restoration domain, the former has a relaxation parameter (A) that strongly depends on the characteristics of the image that will be restored, i.e., wrong values of A can lead to poorly restoration results. In this paper, we proposed a hybrid Particle Swarm Optimization (PS0)-POCS image restoration algorithm, in which the A value is obtained by PSO to be further used to restore images by POCS approach. Results showed that the proposed PSO-based restoration algorithm outperformed the widely used Wiener and Richardson-Lucy image restoration algorithms. (C) 2010 Elsevier B.V. All rights reserved.

Comparação de desempenho da deconvolução preditiva multicanal e da filtragem f-k na atenuação de múltiplas do fundo do mar

The seismic reflection is used on a large scale in oil exploration. In case of marine acquisition the presence of high impedance contrast at the interfaces water/air generates multiple reflections events. Such multiple events can mask primary events; thus from the interpretational viewpoint it is necessary to mitigate the multiples. In this manuscript we compare two methods of multiple attenuation: the predictive multichannel deconvolution (DPM) and the F-K filtering (FKF). DPM is based in the periodicity of the multiples while FKF is based in multiples and primaries splitting in F-K domain. DPM and FKF were applied in common-offset and CDP gathers, respectively. DPM is quite sensible to the correct identification of the period and size of the filter while FKF is quite sensible to an adequate choice of the velocity in order to split multiples and primaries events in the F-K domain. DPM is a method that is designed to act over a specific event. So, when the parameters are well selected, DPM is very efficient in removing the specified multiple. Then DPM can be optimized by applying it several times, each time with a different parameterization. A deficiency of DPM occurs when a multiple is superposed to a primary event: in this situation, DPM can attenuate also the primary event. On the other hand, FKF presents almost the same performance to all multiples that are localized in the same sector of the F-K domain. The two methods can be combined in order to take advantage of their associated potentials. In this situation, DPM is firstly applied, with a focus in the sea bed multiples. Then FKF is applied in order to attenuate the remaining multiples

Traveling waves in the Lethargic Crab Disease

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

Modelling the lethargic crab disease.

The lethargic crab disease (LCD) is an emergent infirmity that has decimated native populations of the mangrove land crab (Ucides cordatus, Decapoda: Ocypodidae) along the Brazilian coast. Several potential etiological agents have been linked with LCD, but only in 2005 was it proved that it is caused by an ascomycete fungus. This is the first attempt to develop a mathematical model to describe the epidemiological dynamics of LCD. The model presents four possible scenarios, namely, the trivial equilibrium, the disease-free equilibrium, endemic equilibrium, and limit cycles arising from a Hopf bifurcation. The threshold values depend on the basic reproductive number of crabs and fungi, and on the infection rate. These scenarios depend on both the biological assumptions and the temporal evolution of the disease. Numerical simulations corroborate the analytical results and illustrate the different temporal dynamics of the crab and fungus populations.

Poço quadrado quântico finito e método de fatorização

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

Alternant and BCH codes over certain rings

Alternant codes over arbitrary finite commutative local rings with identity are constructed in terms of parity-check matrices. The derivation is based on the factorization of x s - 1 over the unit group of an appropriate extension of the finite ring. An efficient decoding procedure which makes use of the modified Berlekamp-Massey algorithm to correct errors and erasures is presented. Furthermore, we address the construction of BCH codes over Zm under Lee metric.

Discussion on the limit cycles of the Lev Ginzburg equation by M. Bellamy and R.E. Mickens, Journal of Sound and Vibration 308 (2007) 337-342

The authors M. Bellamy and R.E. Mickens in the article "Hopf bifurcation analysis of the Lev Ginzburg equation" published in Journal of Sound and Vibration 308 (2007) 337-342, claimed that this differential equation in the plane can exhibit a limit cycle. Here we prove that the Lev Ginzburg differential equation has no limit cycles. (C) 2012 Elsevier Ltd. All rights reserved.