Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) approach to estimate the option-implied Risk-neutral densities from the Brazilian Real/US Dollar exchange rate distribution. We then compare the RND with actual exchange rates, on a monthly basis, in order to estimate the relative risk-aversion of investors and also obtain a Real-world density for the exchange rate. We are the first to calculate relative risk-aversion and the option-implied Real World Density for an emerging market currency. Our empirical application uses a sample of Brazilian Real/US Dollar options traded at BM&F-Bovespa from 1999 to 2011. The RND is estimated using a Mixture of Two Log-Normals distribution and then the real-world density is obtained by means of the Liu et al. (2007) parametric risktransformations. The relative risk aversion is calculated for the full sample. Our estimated value of the relative risk aversion parameter is around 2.7, which is in line with other articles that have estimated this parameter for the Brazilian Economy, such as Araújo (2005) and Issler and Piqueira (2000). Our out-of-sample evaluation results showed that the RND has some ability to forecast the Brazilian Real exchange rate. Abe et all (2007) found also mixed results in the out-of-sample analysis of the RND forecast ability for exchange rate options. However, when we incorporate the risk aversion into RND in order to obtain a Real-world density, the out-of-sample performance improves substantially, with satisfactory results in both Kolmogorov and Berkowitz tests. Therefore, we would suggest not using the “pure” RND, but rather taking into account risk aversion in order to forecast the Brazilian Real exchange rate.

Comparison of two extraction methods for evaluation of volatile constituents patterns in commercial whiskeys: Elucidation of the main odour-active compounds

An analytical procedure based on manual dynamic headspace solid-phase microextraction (HS-SPME) method and the conventional extraction method by liquid–liquid extraction (LLE), were compared for their effectiveness in the extraction and quantification of volatile compounds from commercial whiskey samples. Seven extraction solvents covering a wide range of polarities and two SPME fibres coatings, has been evaluated. The highest amounts extracted, were achieved using dichloromethane (CH2Cl2) by LLE method (LLECH2Cl2)(LLECH2Cl2) and using a CAR/PDMS fibre (SPMECAR/PDMS) in HS-SPME. Each method was used to determine the responses of 25 analytes from whiskeys and calibration standards, in order to provide sensitivity comparisons between the two methods. Calibration curves were established in a synthetic whiskey and linear correlation coefficient (r ) were greater than 0.9929 for LLECH2Cl2LLECH2Cl2 and 0.9935 for SPMECAR/PDMS, for all target compounds. Recoveries greater than 80% were achieved. For most compounds, precision (expressed by relative standard deviation, R.S.D.) are very good, with R.S.D. values lower than 14.78% for HS-SPME method and than 19.42% for LLE method. The detection limits ranged from 0.13 to 19.03 μg L−1 for SPME procedure and from 0.50 to 12.48 μg L−1 for LLE. A tentative study to estimate the contribution of a specific compound to the aroma of a whiskey, on the basis of their odour activity values (OAV) was made. Ethyl octanoate followed by isoamyl acetate and isobutyl alcohol, were found the most potent odour-active compounds.

Analytical characterization of the aroma of Tinta Negra Mole red wine: Identification of the main odorants compounds

A method for the simultaneous determination of major and minor volatiles composition in different types (dry, medium dry, sweet and medium sweet) of a young Tinta Negra Mole (TNM) monovarietal red wine from 2003 harvest has been validated. Wine samples preparation includes a dichloromethane liquid–liquid extraction followed by concentration under a nitrogen atmosphere. The extracted fraction was analysed by gas chromatography–mass spectrometry and give quantitative information for more than 86 analytes whose concentration range from few μg l−1 to 259.1 mg l−1. The method enables high recovery of volatile compounds in wine good linearity with (r2) values higher than 0.980 and good sensitivity. The limits of detection range from 0.003 to 0.534 mg l−1 and limits of quantification from 0.009 to 1.170 mg l−1. The method allows satisfactory determination of more than 80 compounds in the TNM red wines. These wines are characterized by a high content of higher alcohols, ethyl esters, fatty acids and lactones. The levels of sulphur compounds in Tinta Negra Mole medium sweet wines are very low, but they have the highest concentration of carbonyl compounds. Quantitative analysis of the main odorants followed by the determination of aroma index allow us elucidate the aroma of these varieties. On the basis of their odour description and odour threshold, the most powerful odorants of Tinta Negra Mole wines were tentatively established.

Varietal flavour compounds of four grape varieties producing Madeira wines

Boal, Malvasia, Sercial and Verdelho are the main white grape varieties used in Madeira wine production. To estimate the free fraction of varietal aroma compounds of these varieties, 39 samples of musts were analysed to determine their content of monoterpenols and C13 norisoprenoids (terpenoids), using dynamic headspace solid-phase microextraction coupled with gas chromatography–mass spectrometry. The r-values for linearity studies of the analytical method used, varied between 0.977 (nerolidol) and 0.999 (linalool). The repeatability for each compound varied between 2.5% (citronellol) and 11.8% (β-ionone). The mean values from three vintages (1998, 1999 and 2000) confirmed that these musts have differentiated contents of terpenoids. In opposition to Verdelho musts, Malvasia showed the highest free terpenoids content. In order to establish relations between the compounds and the varieties under investigation, principal component analysis and linear discriminant analysis were applied to the data, revealing a good separation and classification power between the four groups as a function of varietal origin.

Effectiveness of different solid-phase microextraction fibres for differentiation of selected Madeira island fruits based on their volatile metabolite profile: identification of novel compounds

A headspace solid-phase microextraction (HS-SPME) procedure based on five commercialised fibres (85 μm polyacrylate – PA, 100 μm polydimethylsiloxane – PDMS, 65 μm polydimethylsiloxane/divinylbenzene – PDMS/DVB, 70 μm carbowax/divinylbenzene – CW/DVB and 85 μm carboxen/polydimethylsiloxane – CAR/PDMS) is presented for the characterization of the volatile metabolite profile of four selected Madeira island fruit species, lemon (Citrus limon), kiwi (Actinidia deliciosa), papaya (Carica papaya L.) and Chickasaw plum (Prunus angustifolia). The isolation of metabolites was followed by thermal desorption gas chromatography–quadrupole mass spectrometry (GC–qMS) methodology. The performance of the target fibres was evaluated and compared. The SPME fibre coated with CW/DVB afforded the highest extraction efficiency in kiwi and papaya pulps, while in lemon and plum the same was achieved with PMDS/DVB fibre. This procedure allowed for the identification of 80 compounds, 41 in kiwi, 24 in plums, 23 in papaya and 20 in lemon. Considering the best extraction conditions, the most abundant volatiles identified in kiwi were the intense aldehydes and ethyl esters such as (E)-2-hexenal and ethyl butyrate, while in Chicasaw plum predominate 2-hexenal, 2-methyl-4-pentenal, hexanal, (Z)-3-hexenol and cyclohexylene oxide. The major compounds identified in the papaya pulp were benzyl isothiocyanate, linalool oxide, furfural, hydroxypropanone, linalool and acetic acid. Finally, lemon was shown to be the most divergent of the four fruits, being its aroma profile composed almost exclusively by terpens, namely limonene, γ-terpinene, o-cymene and α-terpinolene. Thirty two volatiles were identified for the first time in the fruit or close related species analysed and 14 volatiles are reported as novel volatile metabolites in fruits. This includes 5 new compounds in kiwi (2-cyclohexene-1,4-dione, furyl hydroxymethyl ketone, 4-hydroxydihydro-2(3H)-furanone, 5-acetoxymethyl-2-furaldehyde and ethanedioic acid), 4 in plum (4-hydroxydihydro-2(3H)-furanone, 5-methyl-2-pyrazinylmethanol, cyclohexylene oxide and 1-methylcyclohexene), 4 in papaya (octaethyleneglycol, 1,2-cyclopentanedione, 3-methyl-1,2-cyclopentanedione and 2-furyl methyl ketone) and 2 in lemon (geranyl farnesate and safranal). It is noteworthy that among the 15 volatile metabolites identified in papaya, 3-methyl-1,2-cyclopentanedione was previously described as a novel PPARγ (peroxisome proliferator-activated receptor γ) agonist, having a potential to minimize inflammation.

Phenolic profile of Sercial and Tinta Negra Vitis vinifera L. grape skins by HPLC–DAD–ESI-MSn: novel phenolic compounds in Vitis vinifera L. grape

This study represents the first phytochemical research of phenolic components of Sercial and Tinta Negra Vitis vinifera L. The phenolic profiles of Sercial and Tinta Negra V. vinifera L. grape skins (white and red varieties, respectively) were established using high performance liquid chromatography–diode array detection–electrospray ionisation tandem mass spectrometry (HPLC–DAD–ESI-MSn), at different ripening stages (véraison and maturity). A total of 40 phenolic compounds were identified, which included 3 hydroxybenzoic acids, 8 hydroxycinnamic acids, 4 flavanols, 5 flavanones, 8 flavonols, 4 stilbenes, and 8 anthocyanins. For the white variety, in both ripening stages, hydroxycinnamic acids and flavonols were the main phenolic classes, representing about 80% of the phenolic composition. For red variety, at véraison, hydroxycinnamic acids and flavonols were also the predominant classes (71%), but at maturity, anthocyanins represented 84% of the phenolic composition. As far as we know, 10 compounds were reported for the first time in V. vinifera L. grapes, namely protocatechuic acid-glucoside, p-hydroxybenzoyl glucoside, caftaric acid vanilloyl pentoside, p-coumaric acid-erythroside, naringenin hexose derivate, eriodictyol-glucoside, taxifolin-pentoside, quercetin-glucuronide-glucoside, malylated kaempferol-glucoside, and resveratrol dimer. These novel V. vinifera L. grape components were identified based on their MSn fragmentation profile. This data represents valuable information that may be useful to oenological management and to valorise these varieties as sources of bioactive compounds.

Optimisation of stir bar sorptive extraction and liquid desorption combined with large volume injection-gas chromatography–quadrupole mass spectrometry for the determination of volatile compounds in wines

Stir bar sorptive extraction and liquid desorption followed by large volume injection coupled to gas chromatography–quadrupole mass spectrometry (SBSE–LD/LVI-GC–qMS) had been applied for the determination of volatiles in wines. The methodology was optimised in terms of extraction time and influence of ethanol in the matrix; LD conditions, and instrumental settings. The optimisation was carried out by using 10 standards representative of the main chemical families of wine, i.e. guaiazulene, E,E-farnesol, β-ionone, geranylacetone, ethyl decanoate, β-citronellol, 2-phenylethanol, linalool, hexyl acetate and hexanol. The methodology shows good linearity over the concentration range tested, with correlation coefficients higher than 0.9821, a good reproducibility was attained (8.9–17.8%), and low detection limits were achieved for nine volatile compounds (0.05–9.09 μg L−1), with the exception of 2-phenylethanol due to low recovery by SBSE. The analytical ability of the SBSE–LD/LVI-GC–qMS methodology was tested in real matrices, such as sparkling and table wines using analytical curves prepared by using the 10 standards where each one was applied to quantify the structurally related compounds. This methodology allowed, in a single run, the quantification of 67 wine volatiles at levels lower than their respective olfactory thresholds. The proposed methodology demonstrated to be easy to work-up, reliable, sensitive and with low sample requirement to monitor the volatile fraction of wine.

Enrichment of bioactive compounds in microalgae for aquaculture

Microalgae are promising microorganisms for the production of food and fine chemicals. Several species of microalgae are used in aquaculture with the purpose of transfer bioactive compounds up to the aquatic food chain. The main objective of this project was to develop a stress–inducement strategy in order to enhance the biochemical productivity of Nannochloropsis gaditana, Rhodomonas marina and Isochrysis sp. for aquaculture purposes having in account their growth and organizational differences. In this regard, two experiments were design: the first one consisted on the alteration of overall nutrient availabilities in growth medium; and the second one comprised changes in nitrogen and sulfur concentrations maintaining the concentrations of the other nutrients present in a commercial growth medium (Nutribloom plus), which is frequently used in aquaculture. Microalgae dried biomass was characterized biochemically and elemental analysis was also performed for all samples. In first experimental design: linear trends between nutrient availability in growth media and microalgae protein content were obtained; optimum productivities of eicosapentaenoic (EPA) and docosahexaenoic acids (DHA) were attained for both R. marina and N. gaditana in growth media enriched with 1000 L L-1 of nutrient solution whereas for Isochrysis sp. the double of Nutribloom plus was needed; the decrease of glucans and total monosaccharides with nutrient availability for R. marina and Isochrysis sp. showed the occurrence of a possible depletion of carbohydrates towards lipids and proteins biosynthesis. Second experimental desing: N. gaditana exhibited the highest variation in their biochemical composition against the applied perturbation; variations observed for microalgae in their biochemical composition were reflected in their elemental stoichiometry; in N. gaditana the highest nitrogen concentrations lead to overall maximum productivities of the biochemical parameters. The results of the present work show two stress-inducement strategies for microalgae that may constitute a base for further investigations on their biochemical enhancement.

Neutral Higgs bosons in the SU(3)(L)circle times U(1)(N) model

The SU(3)(L)circle times U(1)(N) electroweak model predicts new Higgs bosons beyond the one of the standard model. In this work we investigate the signature and production of neutral SU(3)(L)circle times U(1)(N) Higgs bosons in the e(-)e(+) Next Linear Collider and in the CERN Linear Collider . We compute the branching ratios of two of the SU(3)(L)circle times U(1)(N) neutral Higgs bosons and study the possibility to detect them and the Z' extra neutral boson of the model.

Distribution of neutral prilocaine in a phospholipid bilayer: Insights from molecular dynamics simulations

In this work, we report a 20-ns constant pressure molecular dynamics simulation of prilocaine (PLC), in amine-amide local anesthetic, in a hydrated liquid crystal bilayer of 1-palmitoyl-2-oleoyl-sn-glycero-3-phosphatidylcholine. The partition of PLC induces the lateral expansion of the bilayer and a concomitant contraction in its thickness. PLC molecules are preferentially found in the hydrophobic acyl chains region, with a maximum probability at similar to 12 angstrom from the center of the bilayer (between the C(4) and C(5) methylene groups). A decrease in the acyl chain segmental order parameter, vertical bar S-CD vertical bar, compared to neat bilayers, is found, in good agreement with experimental H-2-NMR studies. The decrease in vertical bar S-CD vertical bar induced by PLC is attributed to a larger accessible volume per lipid in the acyl chain region. (C) 2008 Wiley Periodicals, Inc.

Anti-leishmanial effects of purified compounds from aerial parts of Baccharis uncinella C. DC. (Asteraceae)

Species of Baccharis exhibit antibiotic, antiseptic, wound-healing, and anti-protozoal properties, and have been used in the traditional medicine of South America for the treatment of several diseases. In the present work, the fractionation of EtOH extract from aerial parts of Baccharis uncinella indicated that the isolated compounds caffeic acid and pectolinaringenin showed inhibitory activity against Leishmania (L.) amazonensis and Leishmania (V.) braziliensis promastigotes, respectively. Moreover, amastigote forms of both species were highly sensible to the fraction composed by oleanolic + ursolic acids and pectolinaringenin. Caffeic acid also inhibited amastigote forms of L. (L.) amazonensis, but this effect was weak in L. (V.) braziliensis amastigotes. The treatment of infected macrophages with these compounds did not alter the levels of nitrates, indicating a direct effect of the compounds on amastigote stages. The results presented herein suggest that the active components from B. uncinella can be important to the design of new drugs against American tegumentar leishmaniases.

Comparative toxicity of antifouling compounds on the development of sea urchin

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Caracterização ecofisiológica de sementes de espécies lenhosas da Caatinga

Dormancy is an inherent property of the seeds that define the environmental conditions in which they are able to germinate and their presence is an adaptive trait common in species inhabiting semiarid regions. Moreover, the ability of seedling establishment in these environments has been related to the size, strength and chemical characteristics of the seeds. This study investigated patterns of dormancy and germination speed in tree species of the Caatinga, exploring how the seed size influence the processes of germination, seedling size and biomass allocation. In addition, we aim to investigate the chemical characteristics of the reserves, to verify a possible relationship between nutritional content and the process of seed germination. Therefore, seeds were collected from ten species of woody Caatinga for tests of breaking dormancy, germination and biochemical characterization. Overall, the results show that the scarification treatments mechanical and chemical, and thermal shock influenced the percentage and speed of germination in 50 % of the species, suggesting that they have some level of physical dormancy in the seeds. Biochemical characterization showed the existence of large amounts of carbohydrates in the seeds of all species, low proportion of protein and low amounts of neutral lipids. Using linear regression, we demonstrated the existence of a significant relationship between seed size and the ratio of root/shoot where the largest seeds invested a greater amount of resources for shoot growth. The relationship between germination speed and non-reducing sugar content was also significant, so these compounds is related to the maintenance of physiological seed quality. These results confirm some relationships discussed in the literature for cultivated species, but can be applied to the species native to the Caatinga

Selection of surfactant compounds to enhance the dispersion of Beauveria bassiana

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Consumo e dinâmica ruminal da fibra em detergente neutro em bovinos em pastejo no período das águas recebendo suplementação com nitrogênio não-proteico e/ou proteína verdadeira

Objetivou-se avaliar o efeito de diferentes relações entre proteína verdadeira e nitrogênio não-proteico sobre o consumo e a dinâmica de trânsito e degradação ruminal da fibra em detergente neutro (FDN) da forragem em bovinos em pastejo durante o período das águas. Foram utilizados cinco novilhos mestiços Holandês × Zebu, castrados, com peso corporal inicial de 335±35 kg fistulados no rúmen e no abomaso. Os tratamentos foram: controle (somente pasto); e suplementos com ureia; com 2/3 de compostos nitrogenados oriundos da ureia e 1/3 de compostos nitrogenados oriundos da albumina; com 1/3 de compostos nitrogenados oriundos da ureia e 2/3 de compostos nitrogenados oriundos da albumina; e com albumina. Foram fornecidos 200 g/dia de proteína bruta (PB) a partir dos suplementos. O experimento foi conduzido segundo delineamento em quadrado latino 5 × 5, com cinco períodos experimentais de 15 dias. Não foram observados efeitos da suplementação sobre o consumo voluntário, com exceção do consumo de PB, que aumentou com a suplementação. A substituição da ureia por albumina nos suplementos teve efeito linear sobre o consumo de PB. Os consumos dos demais componentes da dieta não foram afetados pela composição dos suplementos. Nenhum efeito foi observado sobre a taxa de passagem ruminal de compostos fibrosos. O fornecimento de suplementos ampliou, em média, a estimativa da taxa comum de latência e degradação da FDN. Contudo, não houve efeito da alteração na composição dos suplementos sobre este parâmetro. A suplementação de bovinos com fontes de compostos nitrogenados degradáveis no rúmen proteicos ou não-proteicos durante o período das águas não afeta o consumo voluntário de pasto.