865 resultados para Value-based pricing
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
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An iterated deferred correction algorithm based on Lobatto Runge-Kutta formulae is developed for the efficient numerical solution of nonlinear stiff two-point boundary value problems. An analysis of the stability properties of general deferred correction schemes which are based on implicit Runge-Kutta methods is given and results which are analogous to those obtained for initial value problems are derived. A revised definition of symmetry is presented and this ensures that each deferred correction produces an optimal increase in order. Finally, some numerical results are given to demonstrate the superior performance of Lobatto formulae compared with mono-implicit formulae on stiff two-point boundary value problems. (C) 1998 Elsevier B.V. Ltd. All rights reserved.
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There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.
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We propose an approach to the nonvanishing boundary value problem for integrable hierarchies based on the dressing method. Then we apply the method to the AKNS hierarchy. The solutions are found by introducing appropriate vertex operators that takes into account the boundary conditions.
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Este trabalho tem como objetivo apresentar como o método ABC - activity based costing foi implantado para realizar o custeio da logística interna da empresa química BASF SA., situada na cidade de Guaratinguetá - SP. Apresentam-se: a descrição do processo de mudança do método de custeio tradicional para o método ABC, as dificuldades encontradas e como foram ultrapassadas, bem como as vantagens constatadas pela empresa. O departamento de logística da empresa funciona como um prestador de serviços, atendendo a todos os processos produtivos das divisões (unidades de negócio) existentes na planta de Guaratinguetá, no que concerne à armazenagem e ao fornecimento de matérias-primas, além de atuar na retirada e na armazenagem de produto acabado. Como principais resultados, obteve-se uma distribuição de custos mais justa entre as divisões da planta, identificação de oportunidades de melhoria nos processos logísticos, identificação de processo e atividades que não agregavam valor aos produtos, entre outros. Finalmente, o processo de implantação e os resultados foram muito bem avaliados pelos gestores, o que foi decisivo para a adoção do método ABC como sistema gerencial de custos logísticos da empresa.
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An analysis of iterated deferred correction based on various classes of implicit Runge-Kutta formulae is given. Out of different possibilities considered, it is shown that those based purely on Lobatto formulae have the best stability. The enhanced stability of Lobatto schemes is very important for the efficient integration of excessively stiff boundary value problems and this is demonstrated by means of some numerical results.
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The present work presents results on natural sintering of tin dioxide ceramics, prepared by a chemical route or by conventional mixing and containing manganese (X-Mn = Mn/(Mn + Sn)(atomic) with 0 less than or equal to X(Mn)less than or equal to 0.15). This cation, which is practically insoluble in SnO2 network, stays at the grain surface. During thermal treatment (500 degrees C less than or equal to T-s less than or equal to 1400 degrees C), as long as the manganese surface concentration is lower than a critical value, equal to 5.10(-6) mol m(-2), no densification takes place. As soon as this value is reached, densification and grain growth occur simultaneously. The shrinkage kinetics is fast and high rho/rho(t) values can be obtained (for example. rho/rho(t)=0.95 for T-s=1300 degrees C and X-Mn=0.004). The dependence between manganese content, manganese distribution, grain size and sintering behaviour is also discussed. (C) 1998 Published by Elsevier B.V. Limited.
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A relativistic treatment of the deuteron and its observables based on a two-body Dirac (Breit) equation, with phenomenological interactions, associated to one-boson exchanges with cutoff masses, is presented. The 16-component wave function for the deuteron (J(pi) = 1+) solution contains four independent radial functions which obey a system of four coupled differential equations of first order. This radial system is numerically integrated, from infinity to the origin, by fixing the value of the deuteron binding energy and using appropriate boundary conditions at infinity. Specific examples of mixtures containing scalar, pseudoscalar and vector like terms are discussed in some detail and several observables of the deuteron are calculated. Our treatment differs from more conventional ones in that nonrelativistic reductions of the order c-2 are not used.
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The population structure of 147 marsh deer (Blastocerus dichotomus) from three areas in the Parana River basin, Brazil, was studied by observing protein polymorphism at 17 loci. Six loci were polymorphic and 11 monomorphic. The proportion of polymorphic loci (P) was 35.29% and the average heterozygosity (H) was 6.31%. Wright's F-ST indicated that only 4.9% of the total variation in allelic frequencies was due to genetic differences between the three groups. The high value of F-IS (0.246) indicated inbreeding in the marsh deer. Genetic distance values (D = 0.014-0.051) showed little divergence between the three areas. We suggest that probable mechanisms accounting for the genetic structure are female phylopatry and polygyny and also that inbreeding has resulted from decreasing areas of wetland leading to isolation, overhunting, and diseases transmitted by cattle.
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ZnO has the characteristic of presenting an intermediate value for the effective 3 eV barrier at room temperature. ZnO ceramics are applied in high-voltage systems or circuits. Attempts were made to reduce the number of effective barriers in the system by adding large particles of ZnO to the varistor composition. This procedure reduced the breakdown field of the varistors by values up to 90% lower than those initially obtained, and produced nonlinear coefficients as low as 20. (C) 2003 Elsevier B.V. B.V. All rights reserved.
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The spectral principle of Connes and Chamseddine is used as a starting point to define a discrete model for Euclidean quantum gravity. Instead of summing over ordinary geometries, we consider the sum over generalized geometries where topology, metric, and dimension can fluctuate. The model describes the geometry of spaces with a countable number n of points, and is related to the Gaussian unitary ensemble of Hermitian matrices. We show that this simple model has two phases. The expectation value
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Nonculture based methods for the detection of infections caused by fungal pathogens are becoming more important tools in the management of infected patients. Detection of fungal antigens and DNA appear to be the most promising in this respect for both opportunistic and endemic mycoses. In this article we present an overview of the most recent developments in nonculture based methods and examine their value in clinical practice.
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
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The luminescence spectra and extended x-ray-absorption fine-structure (EXAFS) measurements of a series of Eu3+-based organic/inorganic xerogels were reported and related to the local coordination of the lanthanide cations. The hybrid matrix of these organically modified silicates, classed as U(2000) ureasils, is a siliceous network to which short organic chains containing oxyethylene units are covalently grafted by means of urea bridges. The luminescent centers were incorporated as europium triflate, Eu(CF3SO3)3, and europium bromide, EuBr3, with concentrations 200≥n≥20 and n=80, 40, and 30, respectively - where n is the number of ether oxygens in the polymer chains per Eu3+ cation. EXAFS measurements were carried out in some of the U(2000)nEu(CF3SO3)3 xerogels (n=200, 80, 60, and 40). The obtained coordination numbers N ranging from 12.8, n=200, to 9.7, n=40, whereas the average Eu3+ first neighbors distance R is 2.48-2.49 Å. The emission spectra of these multiwavelength phosphors superpose a broad green-blue band to a series of yellow-red narrow 5D0→7F0-4 Eu3+ lines and to the eye the hybrids appeared to be white, even at room temperature. The ability to tune the emission of the xerogels to colors across the chromaticity diagram is achieved by changing the excitation wavelength and the amount of salt incorporated in the hybrid host. The local environment of Eu3+ is described as a continuous distribution of closely similar low-symmetry network sites. The cations are coordinated by the carbonyl groups of the urea moieties, water molecules, and, for U(2000)nEu(CF3SO3)3, by the SO3 end groups of the triflate anions. No spectral evidences have been found for the coordination by the ether oxygens of the polyether chains. A mean radius for the first coordination shell of Eu3+ is calculated on the basis of the emission energy assignments. The results obtained for U(2000)nEu(CF3SO3)3, 2.4 Å for 90 ≥n≥40 and 2.6 and 2.5 Å for n=30 and 20, respectively, are in good agreement with the values calculated from EXAFS measurements. The energy of the intraconfigurational charge-transfer transitions, the redshift of the 5D0→7F0 line, with respect to the value calculated for gaseous Eu3+, and the hypersensitive ratio between the 5D0→7F2 and 5D0→7F1 transitions, point out a rather low covalency nature of the Eu3+ first coordination shell in these xerogels, comparing to the case of analogous polymer electrolytes modified by europium bromide. ©1999 The American Physical Society.