A systematic component of the jump-risk premium in an AJD model

We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite set of new state variables that affect the paths of the primitive, under both the actual and the risk-neutral measure, by being related to the primitive's jump process. Those new variables are assumed to be commom to all the primitives. We present simulations to ensure that the model generates the volatility smile and compute the "discounted conditional characteristic function'' transform that permits the pricing of a wide range of derivatives.

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the nite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We introduce two weights which are invariant to orthogonal transformations of the instruments; e.g., changing the order in which the instruments appear. While tests using the MM1 weight can be severely biased, optimal tests based on the MM2 weight are naturally two-sided when errors are homoskedastic. We propose two boundary conditions that yield two-sided tests whether errors are homoskedastic or not. The locally unbiased (LU) condition is related to the power around the null hypothesis and is a weaker requirement than unbiasedness. The strongly unbiased (SU) condition is more restrictive than LU, but the associated WAP tests are easier to implement. Several tests are SU in nite samples or asymptotically, including tests robust to weak IV (such as the Anderson-Rubin, score, conditional quasi-likelihood ratio, and I. Andrews' (2015) PI-CLC tests) and two-sided tests which are optimal when the sample size is large and instruments are strong. We refer to the WAP-SU tests based on our weights as MM1-SU and MM2-SU tests. Dropping the restrictive assumptions of normality and known variance, the theory is shown to remain valid at the cost of asymptotic approximations. The MM2-SU test is optimal under the strong IV asymptotics, and outperforms other existing tests under the weak IV asymptotics.

Estímulos fiscais em um modelo estrutural para o Brasil

A atual crise econômica internacional mostrou que o combate a hiatos do produto utilizando apenas a política monetária pode não ser suficiente. Neste contexto, questões sobre a eficácia de estímulos fiscais temporários como política anticíclica foram levantadas, e adicionalmente quais estímulos fiscais seriam mais benéficos às economias. Este trabalho desenvolveu um modelo estrutural DSGE com características e calibrações para a economia brasileira. O objetivo era realizar um exercício com choques fiscais expansionistas, de modo a analisar seus multiplicadores fiscais. Os resultados sugerem que o impacto de gastos correntes do governo obteve melhor multiplicador fiscal, tanto no curto quanto no longo prazo, porém teve efeitos acumulativos decrescentes. Por outro lado, o choque de diminuição da alíquota dos impostos sobre consumo obteve baixos multiplicadores fiscais a curto prazo, porém com efeitos crescentes a longo prazo, alcançando multiplicadores de longo prazo similares aos dos gastos do governo.

Profit-share bidding auctions: a theoretical approach

Neste trabalho, estudamos o regime de partilha de produção brasileiro, instituí do pela Lei No 12.351, para exploração de petróleo através de uma abordagem te orica. Desenvolvemos um modelo de partilha de produção a fim de capturar algumas características do modelo de partilha brasileiro como, por exemplo, a participação obrigatória da Petrobras, assimetria de informação e a presença de participantes estratégicos. Através de solução numérica, fazemos uma análise das estratégias dos participantes e dos ganhos esperados. Além disso, desenvolvemos um modelo de custos heterogêneos para estudar as regras de conteúdo local.

Flexible information acquisition and optimal Tobin tax in tractable dynamic global games

My dissertation focuses on dynamic aspects of coordination processes such as reversibility of early actions, option to delay decisions, and learning of the environment from the observation of other people’s actions. This study proposes the use of tractable dynamic global games where players privately and passively learn about their actions’ true payoffs and are able to adjust early investment decisions to the arrival of new information to investigate the consequences of the presence of liquidity shocks to the performance of a Tobin tax as a policy intended to foster coordination success (chapter 1), and the adequacy of the use of a Tobin tax in order to reduce an economy’s vulnerability to sudden stops (chapter 2). Then, it analyzes players’ incentive to acquire costly information in a sequential decision setting (chapter 3). In chapter 1, a continuum of foreign agents decide whether to enter or not in an investment project. A fraction λ of them are hit by liquidity restrictions in a second period and are forced to withdraw early investment or precluded from investing in the interim period, depending on the actions they chose in the first period. Players not affected by the liquidity shock are able to revise early decisions. Coordination success is increasing in the aggregate investment and decreasing in the aggregate volume of capital exit. Without liquidity shocks, aggregate investment is (in a pivotal contingency) invariant to frictions like a tax on short term capitals. In this case, a Tobin tax always increases success incidence. In the presence of liquidity shocks, this invariance result no longer holds in equilibrium. A Tobin tax becomes harmful to aggregate investment, which may reduces success incidence if the economy does not benefit enough from avoiding capital reversals. It is shown that the Tobin tax that maximizes the ex-ante probability of successfully coordinated investment is decreasing in the liquidity shock. Chapter 2 studies the effects of a Tobin tax in the same setting of the global game model proposed in chapter 1, with the exception that the liquidity shock is considered stochastic, i.e, there is also aggregate uncertainty about the extension of the liquidity restrictions. It identifies conditions under which, in the unique equilibrium of the model with low probability of liquidity shocks but large dry-ups, a Tobin tax is welfare improving, helping agents to coordinate on the good outcome. The model provides a rationale for a Tobin tax on economies that are prone to sudden stops. The optimal Tobin tax tends to be larger when capital reversals are more harmful and when the fraction of agents hit by liquidity shocks is smaller. Chapter 3 focuses on information acquisition in a sequential decision game with payoff complementar- ity and information externality. When information is cheap relatively to players’ incentive to coordinate actions, only the first player chooses to process information; the second player learns about the true payoff distribution from the observation of the first player’s decision and follows her action. Miscoordination requires that both players privately precess information, which tends to happen when it is expensive and the prior knowledge about the distribution of the payoffs has a large variance.

Impacto da estratégia saúde da família com equipe de saúde bucal sobre indicadores de saúde bucal: análise em municípios do nordeste com mais de 100 mil habitantes

This study examined in municipalities of Northeast of Brazil with more than one hundred thousand people who incorporation of Oral Health Teams (OHT) into the Family Health Strategy (FHE) the possible impact on oral health indicators. Sought to answer whether implementation OHT brought the best indicators of health problems and coverage, compared to areas without coverage by the FHE through a community trial in parallel, quasi-randomized. In each of the municipalities surveyed were 20 census tracts, 10 were located in areas covered by oral health teams in the ESF and 10 industries in areas not covered. The final sample consisted of 59.221 individuals. We compared oral health indicators related to health problems, access to services and coverage of oral health actions. The analysis strategy was based on the calculation of prevalence ratios and confidence intervals, adjusted for confounding factors through Poisson regression with robust variance. It also has measured the association between an indicator of social inequality for comparison between areas. The best results are associated with indicators of access and coverage of oral health actions at the expense of the indicators of health problems, suggesting a possible maintenance of a traditional model of practice yet. The results also suggest a possible effect of a specific policy in the area of primary care on inequality in access. From the discussions presented throughout this work, we can see that the impact analysis of public policy, obtained by comparing areas with and without the intervention, not only captures the effect on the target population, but other dimensions of organization service and therefore should be understood as one of the analytical possibilities related to the management

Uma metodologia para modelagem e avaliação da dependabilidade de redes industriais sem fio

Ensuring the dependability requirements is essential for the industrial applications since faults may cause failures whose consequences result in economic losses, environmental damage or hurting people. Therefore, faced from the relevance of topic, this thesis proposes a methodology for the dependability evaluation of industrial wireless networks (WirelessHART, ISA100.11a, WIA-PA) on early design phase. However, the proposal can be easily adapted to maintenance and expansion stages of network. The proposal uses graph theory and fault tree formalism to create automatically an analytical model from a given wireless industrial network topology, where the dependability can be evaluated. The evaluation metrics supported are the reliability, availability, MTTF (mean time to failure), importance measures of devices, redundancy aspects and common cause failures. It must be emphasized that the proposal is independent of any tool to evaluate quantitatively the target metrics. However, due to validation issues it was used a tool widely accepted on academy for this purpose (SHARPE). In addition, an algorithm to generate the minimal cut sets, originally applied on graph theory, was adapted to fault tree formalism to guarantee the scalability of methodology in wireless industrial network environments (< 100 devices). Finally, the proposed methodology was validate from typical scenarios found in industrial environments, as star, line, cluster and mesh topologies. It was also evaluated scenarios with common cause failures and best practices to guide the design of an industrial wireless network. For guarantee scalability requirements, it was analyzed the performance of methodology in different scenarios where the results shown the applicability of proposal for networks typically found in industrial environments

Análise aerodinâmica de perfis de asa para aeronaves experimentais tipo jn-1

The great importance in selecting the profile of an aircraft wing concerns the fact that its relevance in the performance thereof; influencing this displacement costs (fuel consumption, flight level, for example), the conditions of flight safety (response in critical condition) of the plane. The aim of this study was to examine the aerodynamic parameters that affect some types of wing profile, based on wind tunnel testing, to determine the aerodynamic efficiency of each one of them. We compared three types of planforms, chosen from considerations about the characteristics of the aircraft model. One of them has a common setup, and very common in laboratory classes to be a sort of standard aerodynamic, it is a symmetrical profile. The second profile shows a conFiguration of the concave-convex type, the third is also a concave-convex profile, but with different implementation of the second, and finally, the fourth airfoil profile has a plano-convex. Thus, three different categories are covered in profile, showing the main points of relevance to their employment. To perform the experiment used a wind tunnel-type open circuit, where we analyzed the pressure distribution across the surface of each profile. Possession of the drag polar of each wing profile can be, from the theoretical basis of this work, the aerodynamic characteristics relate to the expected performance of the experimental aircraft, thus creating a selection model with guaranteed performance aerodynamics. It is believed that the philosophy used in this dissertation research validates the results, resulting in an experimental alternative for reliable implementation of aerodynamic testing in models of planforms

Excitations and finite-size properties of an integrable supersymmetric electronic model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Structural aspects of the fermion-boson mapping in two-dimensional gauge and anomalous gauge theories with massive fermions

Using a synthesis of the functional integral and operator approaches we discuss the fermion-buson mapping and the role played by the Bose field algebra in the Hilbert space of two-dimensional gauge and anomalous gauge field theories with massive fermions. In QED, with quartic self-interaction among massive fermions, the use of an auxiliary vector field introduces a redundant Bose field algebra that should not be considered as an element of the intrinsic algebraic structure defining the model. In anomalous chiral QED, with massive fermions the effect of the chiral anomaly leads to the appearance in the mass operator of a spurious Bose field combination. This phase factor carries no fermion selection rule and the expected absence of Theta-vacuum in the anomalous model is displayed from the operator solution. Even in the anomalous model with massive Fermi fields, the introduction of the Wess-Zumino field replicates the theory, changing neither its algebraic content nor its physical content. (C) 2002 Elsevier B.V. (USA).

Self-energies for interacting fields with a compactified spatial dimension

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

Security constrained optimal active power flow via network model and interior point method

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

Training on synthetic ethylene-vinyl acetate bench model allows novice medical students to acquire suture skills

PURPOSE: To assess the acquisition of suture skills by training on ethylene-vinyl acetate bench model in novice medical students.METHODS: Sixteen medical students without previous surgery experience (novices) were randomly divided into two groups. During one hour group A trained sutures on ethylene-vinyl acetate (EVA) bench model with feedback of instructors, while group B (control) received a faculty-directed training based on books and instructional videos. All students underwent a both pre-and post-tests to perform two-and three-dimensional sutures on ox tongue. All recorded performances were evaluated by two blinded evaluators, using the Global Rating Scale.RESULTS: Although both groups have had a better performance (p<0.05) in the post-test when compared with the pre-test, the analysis of post-test showed that group A (EVA) had a better performance (p<0.05) when compared with group B (control).CONCLUSION: The ethylene vinyl acetate bench model allowed the novice students to acquire suture skills faster when compared to the traditional model of teaching.

pH-cycling Model to Verify the Efficacy of Fluoride-releasing Materials in Enamel Demineralization

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Influence of Implant Inclination Associated With Mandibular Class I Removable Partial Denture

The aim of this study was to use two-dimensional finite element method to evaluate the displacement and stress distribution transmitted by a distal extension removable partial denture (DERPD) associated with an implant placed at different inclinations (0, 5, 15, and 30 degrees) in the second molar region of the edentulous mandible ridge. Six hemimandibular models were created: model A, only with the presence of the natural tooth 33; model B, similar to model A, with the presence of a conventional DERPD replacing the missing teeth; model C, similar to the previous model, with a straight implant (0 degrees) in the distal region of the ridge, under the denture base; model D, similar to model C, with the implant angled at 5 degrees in the mesial direction; model E, similar to model C, with the implant angled at 15 degrees in the mesial direction; and model F, similar to ME, with the implant angled at 30 degrees in the mesial direction. The models were created with the use of the AutoCAD 2000 program (Autodesk, Inc, San Rafael, CA) and processed for finite element analysis by the ANSYS 8.0 program (Swanson Analysis Systems, Houston, PA). The force applied was vertical of 50 N on each cusp tip. The results showed that the introduction of the RPD overloaded the supporting structures of the RPD and that the introduction of the implant helped to relieve the stresses of the mucosa alveolar, cortical bone, and trabecular bone. The best stress distribution occurred in model D with the implant angled at 5 degrees. The use of an implant as a support decreased the displacement of alveolar mucosa for all inclinations simulated. The stress distribution transmitted by the DERPD to the supporting structures was improved by the use of straight or slightly inclined implants. According to the displacement analysis and von Mises stress, it could be expected that straight or slightly inclined implants do not represent biomechanical risks to use.