Avaliação de métodos numéricos para precificação de derivativos: aplicação ao mercado brasileiro

Os objetivos deste trabalho foram (i) rever métodos numéricos para precificação de derivativos; e (ii) comparar os métodos assumindo que os preços de mercado refletem àqueles obtidos pela fórmula de Black Scholes para precificação de opções do tipo européia. Aplicamos estes métodos para precificar opções de compra da ações Telebrás. Os critérios de acurácia e de custo computacional foram utilizados para comparar os seguintes modelos binomial, Monte Carlo, e diferenças finitas. Os resultados indicam que o modelo binomial possui boa acurácia e custo baixo, seguido pelo Monte Carlo e diferenças finitas. Entretanto, o método Monte Carlo poderia ser usado quando o derivativo depende de mais de dois ativos-objetos. É recomendável usar o método de diferenças finitas quando se obtém uma equação diferencial parcial cuja solução é o valor do derivativo.

Um modelo analítico e computacional para consideração de efeitos de envelhecimento em estruturas de material compósito

Os materiais compósitos reforçados por fibras apresentam vantagens quando comparados aos materiais de construção mais tradicionais como concreto e aço. Por outro lado, devido ao fato destes materiais serem relativamente recentes no mercado, questões a respeito de sua durabilidade são ainda objeto de discussão e faz-se necessária intensa pesquisa sobre o envelhecimento dos compósitos. Como conseqüência, recentemente têm surgido inúmeros trabalhos à respeito da degradação dos compósitos considerando efeitos como temperatura, oxidação, radiação UV, condições de carregamento, etc. A maioria destas pesquisas, no entanto, são realizadas a nível de material e não são diretamente aplicáveis à situações de projeto. Desta forma, existe grande demanda por novos estudos e dados compatíveis com aplicações estruturais. Neste trabalho apresenta-se um modelo analítico-numérico adequado para, interpretação e aplicação destes dados experimentais em análise e projeto de estrutural. A formulação proposta inclui relações constitutivas elásticas anisotrópicas com envelhecimento, relações constitutivas viscoelásticas anisotrópicas com envelhecimento em termos de variáveis de estado, análise de falhas com critério de degradação ajustado à idade do material e considera-se grandes deslocamentos e pequenas deformações. As diferenças essenciais entre os processos de envelhecimento em endurecimento e amolecimento são descritos juntamente com as relações constitutivas para cada caso. Estas equações são deduzidas na forma adequada para análise numérica via método dos elementos finitos usando uma solução incremental-iterativa com consideração de efeitos pos-críticos. Vários exemplos são apresentados, incluindo análises elásticas, viscoelásticas e de falha com envelhecimento.

Ferramentas para análise dinâmica e estrutural de um reboque de linha leve

Neste trabalho é desenvolvida uma metodologia de projeto para identificar as regiões críticas da estrutura de um reboque de linha leve sendo tracionado em pavimentos do tipo rodovia de baixa qualidade e estrada secundária de muito baixa qualidade. Para tanto, são levantados alguns dados experimentais da estrutura, necessários para a aproximação e simulação dinâmica de um modelo simplificado. A excitação da base é realizada por atuadores que simulam as oscilações verticais de um perfil de estrada, a qual é definida de acordo com os estudos realizados por Dodds e Robson (1973). Isto permite a determinação de um histórico de carregamentos das regiões da estrutura do chassi sob a ação das molas da suspensão. Em seguida, é gerado um modelo estrutural simplificado do reboque em elementos finitos, chamado de global, no qual são determinadas as regiões sob ação das maiores tensões. Tendo identificada a região mais crítica da estrutura, é criado um modelo local desta parte, onde se pode observar a distribuição de tensões com mais detalhe, permitindo a identificação dos pontos de concentração de tensões. Desta forma, com a aplicação do método de análise global-local é possível a obtenção de resultados detalhados quanto aos esforços da estrutura com um menor custo computacional.

Análise de estruturas de superfície delgadas axissimétricas via método dos elementos finitos com utilização de elemento retilíneo

The present work deals with the linear analysis of bi-dimensional axisymmetric structures, through development and implementation of a Finite Element Method code. The structures are initially studied alone and afterwards compatibilized into coupled structures, that is, assemblages, including tanks and pressure vessels. Examples are analysed and, in order to prove accuracy, the results were compared with those furnished by the analytical solutions

Desenvolvimento de antenas de microfita e antenas DRA Broadband

The search for ever smaller device and without loss of performance has been increasingly investigated by researchers involving applied electromagnetics. Antennas using ceramics materials with a high dielectric constant, whether acting as a substract element of patch radiating or as the radiant element are in evidence in current research, that due to the numerous advantages offered, such as: low profile, ability to reduce the its dimensions when compared to other devices, high efficiency of ratiation, suitability the microwave range and/or millimeter wave, low temperature coefficient and low cost. The reason for this high efficiency is that the dielectric losses of ceramics are very low when compared to commercially materials sold used in printed circuit boards, such as fiberglass and phenolite. These characteristics make ceramic devices suitable for operation in the microwave band. Combining the design of patch antennas and/or dielectric resonator antenna (DRA) to certain materials and the method of synthesis of these powders in the manufacture of devices, it s possible choose a material with a dielectric constant appropriate for the design of an antenna with the desired size. The main aim of this work is the design of patch antennas and DRA antennas on synthesis of ceramic powders (synthesis by combustion and polymeric precursors - Pe- chini method) nanostructured with applications in the microwave band. The conventional method of mix oxides was also used to obtain nanometric powders for the preparation of tablets and dielectric resonators. The devices manufactured and studied on high dielectric constant materials make them good candidates to have their small size compared to other devices operating at the same frequency band. The structures analyzed are excited by three different techniques: i) microstrip line, ii) aperture coupling and iii) inductive coupling. The efficiency of these techniques have been investigated experimentally and compared with simulations by Ansoft HFSS, used in the accurate analysis of the electromagnetic behavior of antennas over the finite element method (FEM). In this thesis a literature study on the theory of microstrip antennas and DRA antenna is performed. The same study is performed about the materials and methods of synthesis of ceramic powders, which are used in the manufacture of tablets and dielectric cylinders that make up the devices investigated. The dielectric media which were used to support the analysis of the DRA and/or patch antennas are analyzed using accurate simulations using the finite difference time domain (FDTD) based on the relative electrical permittivity (er) and loss tangent of these means (tand). This work also presents a study on artificial neural networks, showing the network architecture used and their characteristics, as well as the training algorithms that were used in training and modeling some parameters associated with the devices investigated

Desenvolvimento de um ressoador retangular de fenda com múltiplas camadas de substrato e com utilização de material PBG para sistema de comunicação sem fio

In the globalized world modern telecommunications have assumed key role within the company, causing a large increase in demand for the wireless technology of communication, which has been happening in recent years have greatly increased the number of applications using this technology. Due to this demand, new materials are developed to enable new control mechanisms and propagation of electromagnetic waves. The research to develop new technologies for wireless communication presents a multidisciplinary study that covers from the new geometries for passive antennas, active up to the development of materials for devices that improve the performance at the frequency range of operation. Recently, planar antennas have attracted interest due to their characteristics and advantages when compared with other types of antennas. In the area of mobile communications the need for antennas of this type has become increasingly used, due to intensive development, which needs to operate in multifrequency antennas and broadband. The microstrip antennas have narrow bandwidth due to the dielectric losses generated by irradiation. Another limitation is the degradation of the radiation pattern due to the generation of surface waves in the substrate. Some techniques have been developed to minimize this limitation of bandwidth, such as the study of type materials PBG - Photonic Band Gap, to form the dielectric material. This work has as main objective the development project of a slot resonator with multiple layers and use the type PBG substrate, which carried out the optimization from the numerical analysis and then designed the device initially proposed for the band electromagnetic spectrum between 3-9 GHz, which basically includes the band S to X. Was used as the dielectric material RT/Duroid 5870 and RT/Duroid 6010.LM where both are laminated ceramic-filled PTFE dielectric constants 2.33 and 10.2, respectively. Through an experimental investigation was conducted an analysis of the simulated versus measured by observing the behavior of the radiation characteristics from the height variation of the dielectric multilayer substrates. We also used the LTT method resonators structures rectangular slot with multiple layers of material photonic PBG in order to obtain the resonance frequency and the entire theory involving the electromagnetic parameters of the structure under consideration. xviii The analysis developed in this work was performed using the method LTT - Transverse Transmission Line, in the field of Fourier transform that uses a component propagating in the y direction (transverse to the real direction of propagation z), thus treating the general equations of the fields electric and magnetic and function. The PBG theory is applied to obtain the relative permittivity of the polarizations for the sep photonic composite substrates material. The results are obtained with the commercial software Ansoft HFSS, used for accurate analysis of the electromagnetic behavior of the planar device under study through the Finite Element Method (FEM). Numerical computational results are presented in graphical form in two and three dimensions, playing in the parameters of return loss, frequency of radiation and radiation diagram, radiation efficiency and surface current for the device under study, and have as substrates, photonic materials and had been simulated in an appropriate computational tool. With respect to the planar device design study are presented in the simulated and measured results that show good agreement with measurements made. These results are mainly in the identification of resonance modes and determining the characteristics of the designed device, such as resonant frequency, return loss and radiation pattern

Análise de antenas utilizando substrato cerâmico, zpt, produzido por síntese auto propagante para aplicações em sistemas de micro-ondas

Ceramic substrates have been investigated by researchers around the world and has achieved a high interest in the scientific community, because they had high dielectric constants and excellent performance in the structures employed. Such ceramics result in miniaturized structures with dimensions well reduced and high radiation efficiency. In this work, we have used a new ceramic material called lead zinc titanate in the form of Zn0,8Pb0,2TiO3, capable of being used as a dielectric substrate in the construction of various structures of antennas. The method used in constructing the ceramic combustion synthesis was Self- Sustained High Temperature (SHS - "Self-Propagating High-Temperature Synthesis") which is defined as a process that uses highly exothermic reactions to produce various materials. Once initiated the reaction area in the reaction mixture, the heat generated is sufficient to become self-sustaining combustion in the form of a wave that propagates converting the reaction mixture into the product of interest. Were analyzed aspects of the formation of the composite Zn0,8Pb0,2TiO3 by SHS powders and characterized. The analysis consisted of determining the parameters of the reaction for the formation of the composite, as the ignition temperature and reaction mechanisms. The production of composite Zn0,8Pb0,2TiO3 by SHS performed in the laboratory, was the result of a total control of combustion temperature and after obtaining the powder began the development of ceramics. The product was obtained in the form of regular, alternating layers of porous ceramics and was obtained by uniaxial pressing. 10 The product was characterized by analysis of dilatometry, X-ray diffraction analysis and scanning electron microscopy. One of the contributions typically defined in this work is the development of a new dielectric material, nevertheless presented previously in the literature. Therefore, the structures of the antennas presented in this work consisted of new dielectric ceramics based Zn0,8Pb0,2TiO3 usually used as dielectric substrate. The materials produced were characterized in the microwave range. These are dielectrics with high relative permittivity and low loss tangent. The Ansoft HFSS, commercial program employee, using the finite element method, and was used for analysis of antennas studied in this work

Método dinâmico aplicado para antenas cilíndricas

Nowadays there has been a major breakthrough in the aerospace area, with regard to rocket launches to research, experiments, telemetry system, remote sensing, radar system (tracking and monitoring), satellite communications system and insertion of satellites in orbit. This work aims at the application of a circular cylindrical microstrip antenna, ring type, and other cylindrical rectangular in structure of a rocket or missile to obtain telemetry data, operating in the range of 2 to 4 GHz, in S-band. Throughout this was developed just the theoretical analysis of the Transverse transmission line method which is a method of rigorous analysis in spectral domain, for use in rockets and missiles. This analyzes the spread in the direction "ρ" , transverse to dielectric interfaces "z" and "φ", for cylindrical coordinates, thus taking the general equations of electromagnetic fields in function of e [1]. It is worth mentioning that in order to obtain results, simulations and analysis of the structure under study was used HFSS program (High Frequency Structural Simulator) that uses the finite element method. With the theory developed computational resources were used to obtain the numerical calculations, using Fortran Power Station, Scilab and Wolfram Mathematica ®. The prototype was built using, as a substrate, the ULTRALAM ® 3850, of Rogers Corporation, and an aluminum plate as a cylindrical structure used to support. The agreement between the measured and simulated results validate the established processes. Conclusions and suggestions are presented for continuing this work

Simulação da transferência de calor em amostras aquecidas por plasma

The processing of materials through plasma has been growing enough in the last times in several technological applications, more specifically in surfaces treatment. That growth is due, mainly, to the great applicability of plasmas as energy source, where it assumes behavior thermal, chemical and/or physical. On the other hand, the multiplicity of simultaneous physical effects (thermal, chemical and physical interactions) present in plasmas increases the complexity for understanding their interaction with solids. In that sense, as an initial step for the development of that subject, the present work treats of the computational simulation of the heating and cooling processes of steel and copper samples immersed in a plasma atmosphere, by considering two experimental geometric configurations: hollow and plane cathode. In order to reach such goal, three computational models were developed in Fortran 90 language: an one-dimensional transient model (1D, t), a two-dimensional transient model (2D, t) and a two-dimensional transient model (2D, t) which take into account the presence of a sample holder in the experimental assembly. The models were developed based on the finite volume method and, for the two-dimensional configurations, the effect of hollow cathode on the sample was considered as a lateral external heat source. The main results obtained with the three computational models, as temperature distribution and thermal gradients in the samples and in the holder, were compared with those developed by the Laboratory of Plasma, LabPlasma/UFRN, and with experiments available in the literature. The behavior showed indicates the validity of the developed codes and illustrate the need of the use of such computational tool in that process type, due to the great easiness of obtaining thermal information of interest

Simulação computacional do escoamento em bombas de cavidades progressivas

The use of Progressing Cavity Pumps (PCPs) in artificial lift applications in low deep wells is becoming more common in the oil industry, mainly, due to its ability to pump heavy oils, produce oil with large concentrations of sand, besides present high efficiency when compared to other artificial lift methods. Although this system has been widely used as an oil lift method, few investigations about its hydrodynamic behavior are presented, either experimental or numeric. Therefore, in order to increase the knowledge about the BCP operational behavior, this work presents a novel computational model for the 3-D transient flow in progressing cavity pumps, which includes the relative motion between rotor and stator, using an element based finite volume method. The model developed is able to accurately predict the volumetric efficiency and viscous looses as well as to provide detailed information of pressure and velocity fields inside the pump. In order to predict PCP performance for low viscosity fluids, advanced turbulence models were used to treat, accurately, the turbulent effects on the flow, which allowed for obtaining results consistent with experimental values encountered in literature. In addition to the 3D computational model, a simplified model was developed, based on mass balance within cavities and on simplification on the momentum equations for fully developed flow along the seal region between cavities. This simplified model, based on previous approaches encountered in literature, has the ability to predict flow rate for a given differential pressure, presenting exactness and low CPU requirements, becoming an engineering tool for quick calculations and providing adequate results, almost real-time time. The results presented in this work consider a rigid stator PCP and the models developed were validated against experimental results from open literature. The results for the 3-D model showed to be sensitive to the mesh size, such that a numerical mesh refinement study is also presented. Regarding to the simplified model, some improvements were introduced in the calculation of the friction factor, allowing the application fo the model for low viscosity fluids, which was unsuccessful in models using similar approaches, presented in previous works

Otimização topológica de estruturas termoelásticas tridimensionais

This work presents an optimization technique based on structural topology optimization methods, TOM, designed to solve problems of thermoelasticity 3D. The presented approach is based on the adjoint method of sensitivity analysis unified design and is intended to loosely coupled thermomechanical problems. The technique makes use of analytical expressions of sensitivities, enabling a reduction in the computational cost through the use of a coupled field adjoint equation, defined in terms the of temperature and displacement fields. The TOM used is based on the material aproach. Thus, to make the domain is composed of a continuous distribution of material, enabling the use of classical models in nonlinear programming optimization problem, the microstructure is considered as a porous medium and its constitutive equation is a function only of the homogenized relative density of the material. In this approach, the actual properties of materials with intermediate densities are penalized based on an artificial microstructure model based on the SIMP (Solid Isotropic Material with Penalty). To circumvent problems chessboard and reduce dependence on layout in relation to the final optimal initial mesh, caused by problems of numerical instability, restrictions on components of the gradient of relative densities were applied. The optimization problem is solved by applying the augmented Lagrangian method, the solution being obtained by applying the finite element method of Galerkin, the process of approximation using the finite element Tetra4. This element has the ability to interpolate both the relative density and the displacement components and temperature. As for the definition of the problem, the heat load is assumed in steady state, i.e., the effects of conduction and convection of heat does not vary with time. The mechanical load is assumed static and distributed

Modelagem dinâmica do escoamento de um sistema de elevação por plunger lift

A critical problem in mature gas wells is the liquid loading. As the reservoir pressure decreases, gas superficial velocities decreases and the drag exerted on the liquid phase may become insufficient to bring all the liquid to the surface. Liquid starts to drain downward, flooding the well and increasing the backpressure which decreases the gas superficial velocity and so on. A popular method to remedy this problem is the Plunger Lift. This method consists of dropping the "plunger"to the bottom of the tubing well with the main production valve closed. When the plunger reaches the well bottom the production valve is opened and the plunger carry the liquid to the surface. However, models presented in literature for predicting the behavior in plunger lift are simplistic, in many cases static (not considering the transient effects). Therefore work presents the development and validation of a numerical algorithm to solve one-dimensional compressible in gas wells using the Finite Volume Method and PRIME techniques for treating coupling of pressure and velocity fields. The code will be then used to develop a dynamic model for the plunger lift which includes the transient compressible flow within the well

Modelagem e simulação de um separador bifásico com inversão de fases induzida

The present work has the main goal to study the modeling and simulation of a biphasic separator with induced phase inversion, the MDIF, with the utilization of the finite differences method for the resolution of the partial differencial equations which describe the transport of contaminant s mass fraction inside the equipment s settling chamber. With this aim, was developed the deterministic differential model AMADDA, wich was admensionalizated and then semidiscretizated with the method of lines. The integration of the resultant system of ordinary differential equations was realized by means of a modified algorithm of the Adam-Bashfort- Moulton method, and the sthocastic optimization routine of Basin-Hopping was used in the model s parameter estimation procedure . With the aim to establish a comparative referential for the results obtained with the model AMADDA, were used experimental data presented in previous works of the MDIF s research group. The experimental data and those obtained with the model was assessed regarding its normality by means of the Shapiro-Wilk s test, and validated against the experimental results with the Student s t test and the Kruskal-Wallis s test, depending on the result. The results showed satisfactory performance of the model AMADDA in the evaluation of the MDIF s separation efficiency, being possible to determinate that at 1% significance level the calculated results are equivalent to those determinated experimentally in the reference works

Simulação numérica do fluxo hídrico subterrâneo na bacia hidrográfica do Rio Pitimbu RN

Urban centers in Pitimbu Watershed use significant groundwater sources for public supply. Therefore, studies in Dunas Barreiras aquifer are relevant to expand knowledge about it and help manage water resources in the region. An essential tool for this management is the numerical modeling of groundwater flow. In this work, we developed a groundwater flow model for Pitimbu Watershed, using the Visual Modflow, version 2.7.1., which uses finite difference method for solving the govern equation of the dynamics of groundwater flow. We carried out the numerical simulation of steady-state model for the entire region of the basin. The model was built in the geographical, geomorphological and hydrogeological study of the area, which defined the boundary conditions and the parameters required for the numerical calculation. Owing to unavailability of current data based on monitoring of the aquifer it was not possible to calibrate the model. However, the simulation results showed that the overall water balance approached zero, therefore satisfying the equation for the three-dimensional behavior of the head water in steady state. Variations in aquifer recharge data were made to verify the impact of this contribution on the water balance of the system, especially in the scenario in which recharge due to drains and sinks was removed. According to the results generated by Visual Modflow occurred significantly hydraulic head lowering, ranging from 16,4 to 82 feet of drawdown. With the results obtained, it can be said that modeling is performed as a valid tool for the management of water resources in Pitimbu River Basin, and to support new studies

Numerical simulation of drop impact and jet buckling problems using the eXtended Pom-Pom model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)