Modelagem matemática aplicada a precificação de opções

The mathematical models are critical to determine theoretical prices of options and analyze whether they are overrated or underrated. This information strongly influence in operations carried out by the investor. Therefore, it is necessary that the employee model present high degree of reliability and be consistent with the reality of investment to which it is intended. In this sense, this dissertation aims to apply the steps of mathematical modeling in the Pricing of options for decision making in the investment of a hydroelectric power plant. Was used a Monte Carlo simulation, with the Latin Hypercube Method, to determine the volatility of returns of the project. In order to validate the proposed model, compared to the results found by the Binomial Model, which is one of the models most used in this type of investment. The results reinforce the hypothesis that the mathematical modeling with the Binomial Model is critical to investment decision-making in hydroelectric power

Planejamento de reativos em sistemas elétricos de potência multi-área através de modelos estocásticos

Pós-graduação em Engenharia Elétrica - FEIS

Extensão do modelo hipercubo para análise de sistemas de atendimento médico emergencial com prioridade na fila

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Weak quasi-randomness for uniform hypergraphs

We study quasi-random properties of k-uniform hypergraphs. Our central notion is uniform edge distribution with respect to large vertex sets. We will find several equivalent characterisations of this property and our work can be viewed as an extension of the well known Chung-Graham-Wilson theorem for quasi-random graphs. Moreover, let K(k) be the complete graph on k vertices and M(k) the line graph of the graph of the k-dimensional hypercube. We will show that the pair of graphs (K(k),M(k)) has the property that if the number of copies of both K(k) and M(k) in another graph G are as expected in the random graph of density d, then G is quasi-random (in the sense of the Chung-Graham-Wilson theorem) with density close to d. (C) 2011 Wiley Periodicals, Inc. Random Struct. Alg., 40, 1-38, 2012

Fossil vs. non-fossil sources of fine carbonaceous aerosols in four Chinese cities during the extreme winter haze episode of 2013

During winter 2013, extremely high concentrations (i.e., 4–20 times higher than the World Health Organization guideline) of PM2.5 (particulate matter with an aerodynamic diameter < 2.5 μm) mass concentrations (24 h samples) were found in four major cities in China including Xi'an, Beijing, Shanghai and Guangzhou. Statistical analysis of a combined data set from elemental carbon (EC), organic carbon (OC), 14C and biomass-burning marker measurements using Latin hypercube sampling allowed a quantitative source apportionment of carbonaceous aerosols. Based on 14C measurements of EC fractions (six samples each city), we found that fossil emissions from coal combustion and vehicle exhaust dominated EC with a mean contribution of 75 ± 8% across all sites. The remaining 25 ± 8% was exclusively attributed to biomass combustion, consistent with the measurements of biomass-burning markers such as anhydrosugars (levoglucosan and mannosan) and water-soluble potassium (K+). With a combination of the levoglucosan-to-mannosan and levoglucosan-to-K+ ratios, the major source of biomass burning in winter in China is suggested to be combustion of crop residues. The contribution of fossil sources to OC was highest in Beijing (58 ± 5%) and decreased from Shanghai (49 ± 2%) to Xi'an (38 ± 3%) and Guangzhou (35 ± 7%). Generally, a larger fraction of fossil OC was from secondary origins than primary sources for all sites. Non-fossil sources accounted on average for 55 ± 10 and 48 ± 9% of OC and total carbon (TC), respectively, which suggests that non-fossil emissions were very important contributors of urban carbonaceous aerosols in China. The primary biomass-burning emissions accounted for 40 ± 8, 48 ± 18, 53 ± 4 and 65 ± 26% of non-fossil OC for Xi'an, Beijing, Shanghai and Guangzhou, respectively. Other non-fossil sources excluding primary biomass burning were mainly attributed to formation of secondary organic carbon (SOC) from non-fossil precursors such as biomass-burning emissions. For each site, we also compared samples from moderately to heavily polluted days according to particulate matter mass. Despite a significant increase of the absolute mass concentrations of primary emissions from both fossil and non-fossil sources during the heavily polluted events, their relative contribution to TC was even decreased, whereas the portion of SOC was consistently increased at all sites. This observation indicates that SOC was an important fraction in the increment of carbonaceous aerosols during the haze episode in China.

Evaluation of Police Patrol Patterns

This paper describes an ArcView extension that allows police planners to design patrol districts and to evaluate them by displaying various performance measures. It uses a spatially distributed queuing system (the Larson Hypercube) to calculate expected travel times, workloads, preventive patrol frequencies, and other variables; and it allows planners to see the unavoidable tradeoffs among their objectives. Using this tool, planners can experiment with various patrol patterns to find those that best meet their Department.s goals. For example, those patrol patterns which are best in terms of average response time don.t do as well as others in terms of workload balance, or those that are best in terms of achieving a uniform response time across different parts of the city don't do as well as others in terms of minimizing inter-district dispatches. There is, of course, no perfect solution for this problem: the facts of the situation force us to balance competing goals. Described here is a way of explicitly weighting the alternative objectives.

Economic analysis of drought risks: an application to irrigated agriculture in Spain

Abstract This paper describes a two-part methodology for managing the risk posed by water supply variability to irrigated agriculture. First, an econometric model is used to explain the variation in the production value of irrigated agriculture. The explanatory variables include an index of irrigation water availability (surface storage levels), a price index representative of the crops grown in each geographical unit, and a time variable. The model corrects for autocorrelation and it is applied to 16 representative Spanish provinces in terms of irrigated agriculture. In the second part, the fitted models are used for the economic evaluation of drought risk. In flow variability in the hydrological system servicing each province is used to perform ex-ante evaluations of economic output for the upcoming irrigation season. The model?s error and the probability distribution functions (PDFs) of the reservoirs? storage variations are used to generate Monte Carlo (Latin Hypercube) simulations of agricultural output 7 and 3 months prior to the irrigation season. The results of these simulations illustrate the different risk profiles of each management unit, which depend on farm productivity and on the probability distribution function of water in flow to reservoirs. The potential for ex-ante drought impact assessments is demonstrated. By complementing hydrological models, this method can assist water managers and decisionmakers in managing reservoirs.

Protocolo multiplataforma no centralizado para comunicaciones multimedia seguras

En este trabajo se propone y desarrolla una topología en k-hipercubos que resuelve los principales inconvenientes asociados a la topología en hipercubo convencional. Los resultados obtenidos son muy prometedores, con aplicaciones tanto en el campo de la voz sobre IP, como en muchos otros campos que precisen de un intercambio de información muchos a muchos. Sobre la topología propuesta se define el protocolo Darkcube, que es una propuesta de protocolo totalmente distribuido basado en el concepto de darknet, posibilitando la realización de conversaciones muchos a muchos incluyendo audio, vídeo, texto y datos de geoposicionamiento, entre otros. También se propone un método de codificación de coordenadas de geoposicionamiento que resulta especialmente eficiente en el aprovechamiento del ancho de banda sobrante en las comunicaciones muchos a muchos que proporciona Darkcube. Durante el desarrollo de este trabajo, se ha implementado el simulador DarkcubeEmu; herramienta que posibilita la obtención de resultados relevantes en términos de la calidad de la comunicación. Finalmente, utilizando como base el protocolo Darkcube, se propone un protocolo de seguridad que traslada un esquema de infraestructura de clave pública a un protocolo totalmente distribuido, como es Darkcube; garantizando, de esta forma, la confidencialidad en las comunicaciones y la legitimidad de la identidad asociada a cada uno de sus miembros.

A Kinetic Vlasov Model for Plasma Simulation Using Discontinuous Galerkin Method on Many-Core Architectures

Thesis (Ph.D.)--University of Washington, 2016-03

On the forced matching numbers of bipartite graphs

Let G be a graph that admits a perfect matching. A forcing set for a perfect matching M of G is a subset S of M, such that S is contained in no other perfect matching of G. This notion has arisen in the study of finding resonance structures of a given molecule in chemistry. Similar concepts have been studied for block designs and graph colorings under the name defining set, and for Latin squares under the name critical set. There is some study of forcing sets of hexagonal systems in the context of chemistry, but only a few other classes of graphs have been considered. For the hypercubes Q(n), it turns out to be a very interesting notion which includes many challenging problems. In this paper we study the computational complexity of finding the forcing number of graphs, and we give some results on the possible values of forcing number for different matchings of the hypercube Q(n). Also we show an application to critical sets in back circulant Latin rectangles. (C) 2003 Elsevier B.V. All rights reserved.

A new indexing method for high dimensional dataset

Indexing high dimensional datasets has attracted extensive attention from many researchers in the last decade. Since R-tree type of index structures are known as suffering curse of dimensionality problems, Pyramid-tree type of index structures, which are based on the B-tree, have been proposed to break the curse of dimensionality. However, for high dimensional data, the number of pyramids is often insufficient to discriminate data points when the number of dimensions is high. Its effectiveness degrades dramatically with the increase of dimensionality. In this paper, we focus on one particular issue of curse of dimensionality; that is, the surface of a hypercube in a high dimensional space approaches 100% of the total hypercube volume when the number of dimensions approaches infinite. We propose a new indexing method based on the surface of dimensionality. We prove that the Pyramid tree technology is a special case of our method. The results of our experiments demonstrate clear priority of our novel method.

On a New Approach to Williamson's Generalization of Pólya's Enumeration Theorem

Pólya’s fundamental enumeration theorem and some results from Williamson’s generalized setup of it are proved in terms of Schur- Macdonald’s theory (S-MT) of “invariant matrices”. Given a permutation group W ≤ Sd and a one-dimensional character χ of W , the polynomial functor Fχ corresponding via S-MT to the induced monomial representation Uχ = ind|Sdv/W (χ) of Sd , is studied. It turns out that the characteristic ch(Fχ ) is the weighted inventory of some set J(χ) of W -orbits in the integer-valued hypercube [0, ∞)d . The elements of J(χ) can be distinguished among all W -orbits by a maximum property. The identity ch(Fχ ) = ch(Uχ ) of both characteristics is a consequence of S-MT, and is equivalent to a result of Williamson. Pólya’s theorem can be obtained from the above identity by the specialization χ = 1W , where 1W is the unit character of W.

Uncertain natural frequency analysis of composite plates including effect of noise – A polynomial neural network approach

Acknowledgement SN and SS gratefully acknowledge the financial support from Lloyd’s Register Foundation Centre during this work.

Effect of Geometric Uncertainties on the Aerodynamic Characteristic of Offshore Wind Turbine Blades

Offshore wind turbines operate in a complex unsteady flow environment which causes unsteady aerodynamic loads. The unsteady flow environment is characterized by a high degree of uncertainty. In addition, geometry variations and material imperfections also cause uncertainties in the design process. Probabilistic design methods consider these uncertainties in order to reach acceptable reliability and safety levels for offshore wind turbines. Variations of the rotor blade geometry influence the aerodynamic loads which also affect the reliability of other wind turbine components. Therefore, the present paper is dealing with geometric uncertainties of the rotor blades. These can arise from manufacturing tolerances and operational wear of the blades. First, the effect of geometry variations of wind turbine airfoils on the lift and drag coefficients are investigated using a Latin hypercube sampling. Then, the resulting effects on the performance and the blade loads of an offshore wind turbine are analyzed. The variations of the airfoil geometry lead to a significant scatter of the lift and drag coefficients which also affects the damage-equivalent flapwise bending moments. In contrast to that, the effects on the power and the annual energy production are almost negligible with regard to the assumptions made.

Spectral graph theory with applications to quantum adiabatic optimization

In this dissertation I draw a connection between quantum adiabatic optimization, spectral graph theory, heat-diffusion, and sub-stochastic processes through the operators that govern these processes and their associated spectra. In particular, we study Hamiltonians which have recently become known as ``stoquastic'' or, equivalently, the generators of sub-stochastic processes. The operators corresponding to these Hamiltonians are of interest in all of the settings mentioned above. I predominantly explore the connection between the spectral gap of an operator, or the difference between the two lowest energies of that operator, and certain equilibrium behavior. In the context of adiabatic optimization, this corresponds to the likelihood of solving the optimization problem of interest. I will provide an instance of an optimization problem that is easy to solve classically, but leaves open the possibility to being difficult adiabatically. Aside from this concrete example, the work in this dissertation is predominantly mathematical and we focus on bounding the spectral gap. Our primary tool for doing this is spectral graph theory, which provides the most natural approach to this task by simply considering Dirichlet eigenvalues of subgraphs of host graphs. I will derive tight bounds for the gap of one-dimensional, hypercube, and general convex subgraphs. The techniques used will also adapt methods recently used by Andrews and Clutterbuck to prove the long-standing ``Fundamental Gap Conjecture''.