Modelo HJM com jumps: o caso brasileiro

Utilizando dados de mercado obtidos na BM&F Bovespa, este trabalho propõe uma possível variação do modelo Heath, Jarrow e Morton em sua forma discreta e multifatorial, com a introdução de jumps como forma de considerar o efeito das reuniões realizadas pelo Cômite de Políticas Monetárias (Copom). Através do uso da análise de componentes principais (PCA), é feita a calibração dos parâmetros do modelo, possibilitando a simulação da evolução da estrutura a termo de taxa de juros (ETTJ) da curva prefixada em reais via simulação de Monte Carlo (MCS). Com os cenários da curva simulada em vértices fixos (sintéticos), os resultados são comparados aos dados observados no mercado.

Impacto de eventos climáticos extremos sobre o preço de ações de indústrias de interesse nacional

A ocorrência de eventos climáticos extremos, tais como aumento da temperatura, furacões, enchentes e secas, tem sido cada vez mais frequente ao redor do mundo. A literatura de finanças tem documentado esforços dirigidos à avaliação de impactos econômicos oriundos das variações climáticas, com consequências significantes na economia mundial. Entretanto, especialmente no Brasil, um dos principais mercados emergentes, pouco tem sido pesquisado, sobretudo com vistas à avaliação dos impactos de eventos climáticos no nível das empresas. Sendo assim, esta tese analisa, de forma inédita, o impacto de eventos climáticos sobre o valor de empresas pertencentes a duas indústrias de elevado interesse nacional, sob a forma de dois ensaios. Em primeiro lugar analisa-se o impacto de chuvas extremas sobre o preço de ações do setor de alimentos brasileiro. Para tanto, é conduzida a pesquisa empregando dados diários do preço de ações de seis empresas dessa indústria. A partir da localização da principal região de atuação dessas empresas, são considerados os respectivos dados diários referentes às chuvas extremas. Com o emprego da metodologia híbrida ARMA-GARCH-GPD, constatou-se que, nas empresas avaliadas, as chuvas extremas impactaram significantemente em mais da metade dos 198 dias de chuvas extremas ocorridos entre 28/02/2005 e 30/12/2014, acarretando perdas médias diárias ao redor de 1,97% no dia posterior a chuva extrema. Em termos de valor de mercado, isso representa perda média total ao redor de US$682,15 mi em um único dia. Em segundo lugar avalia-se o impacto de variáveis climáticas e localização sobre o valor das empresas do setor de energia do Brasil, a partir de dados referentes às empresas do setor elétrico brasileiro, bem como precipitação pluviométrica, temperatura e localização geográfica das empresas. A partir da análise de dados em painel estático e painel espacial, os resultados sugerem que temperatura e precipitação pluviométrica têm efeito significante sobre o valor dessas empresas. O presente estudo pode vir a contribuir no processo de estruturação e criação de um mercado de derivativos climáticos no Brasil.

Apuração de haveres na sociedade limitada: uma análise crítica da jurisprudência

Esta dissertação tem por objetivo investigar a apuração de haveres nas sociedades limitadas a partir da análise da jurisprudência, notadamente para compreender o alcance da liberdade de contratar das partes, estabelecido, entre outras normas, no artigo 1.031 do Código Civil. Para tanto, analisaram-se os julgados do STJ, disponíveis no sítio eletrônico da corte e, da mesma forma, os do TJSP, dada a relevância econômica do estado e a existência de câmaras especializadas em direito empresarial, entre o período de 2010 a 2014. Tentou-se construir uma tipologia das questões que compõem o julgamento das cláusulas de apuração de haveres, como, por exemplo, distinção entre forma de apuração e forma de pagamento; e, igualmente, dos fundamentos usados pelos tribunais para afastar ou aplicar as cláusulas. Na segunda seção, fez-se uma análise crítica dos argumentos jurisprudenciais, sob a forma de defesa daqueles que, a nosso sentir, devem validar as cláusulas de apuração de haveres, quais sejam: boa-fé objetiva, função social e os constantes na literatura americana do capital lock in. Além disso, pontua-se sobre o emprego, a nosso sentir, inadequado do “enriquecimento sem causa”, como também da conveniência de se fazer uma aplicação ponderada dos princípios, especialmente quando contrariam uma regra jurídica positivada. Por fim, antes de concluir, comentou-se sobre a forma de apuração de haveres construída pela jurisprudência, a qual denomina-se, neste trabalho, dissolução total simulada.

Disponibilidades hídricas da Ilha da Madeira

Os recursos hídricos subterrâneos constituem a principal fonte de abastecimento na Madeira, ilha com cerca de 240500 habitantes. A captação faz-se através de galerias, túneis, furos e do aproveitamento de nascentes. O volume anual de recursos subterrâneos consumido no abastecimento público, indústria, rega e produção de energia é de 185 000 000 m3. A recarga ocorre predominantemente nas zonas altas e planas da ilha. A parcela de recarga proveniente da chuva não é suficiente para manter as condições observadas no aquífero de base, sendo a recarga complementada por água proveniente dos nevoeiros retida pela vegetação. O modelo que melhor traduz a variação da precipitação com a altitude é uma regressão quadrática. O escoamento ocorrido na rede hidrográfica é consequência directa da precipitação mas também das reservas subterrâneas e do escoamento hipodérmico. O modelo hidrogeológico proposto para a ilha prevê a existência de aquíferos suspensos em altitude, relacionados com níveis impermeáveis; um aquífero de base com características distintas em função dos complexos vulcânicos; e aquíferos compartimentados por filões subverticais que atravessam intensamente o edifício vulcânico.

Estruturas de correção torrencial nas ribeiras do Funchal, açudes: inventariação e análise comparativa

A presente dissertação tem como propósito a elaboração de um inventário relativo às estruturas de correção torrencial construídas no concelho do Funchal. Na sequência da aluvião do dia 20 de fevereiro de 2010, resultante de um período prolongado de chuva na ilha da Madeira, aliada ao facto desta ter um relevo muito pronunciado e extremamente acidentado, originaram-se os movimentos de vertente que, na sua grande maioria, são responsáveis pela ocorrência de cheias rápidas. Pois as bacias hidrográficas da ilha são de pequena dimensão e consequentemente as suas ribeiras, dão origem a tempos de concentração muito reduzidos. Desta forma, as ribeiras que são alimentadas pelo escoamento líquido e sólido, tornam-se num agente erosivo e potenciam um rasto de destruição. Esta aluvião teve consequências devastadoras em toda a vertente sul da ilha da Madeira, no entanto, este trabalho, focou-se apenas no concelho do Funchal, no qual existem três ribeiras onde foram implantadas as estruturas de correção torrencial, designadas por açudes, que constituem o âmago deste estudo, através da inventariação destas estruturas e posterior elaboração de uma ficha de inventário relativa a cada uma delas. Inicialmente, procedeu-se à identificação de todos os açudes, à verificação e análise das condições dos locais intervencionados, além de um levantamento fotográfico para execução posterior de um enquadramento geográfico dos mesmos. Foram abordadas algumas considerações de caráter hidrológico, hidráulico e transporte de caudal sólido, que são a base dimensional e a razão da execução dos referidos açudes. Numa fase posterior, foi elaborada uma base de dados com a informação disponível dos vários açudes identificados, munida de valor ímpar para futuros desenvolvimentos nesta área no curso de engenharia civil na Universidade da Madeira. Por fim, são expostas algumas considerações relativamente aos diferentes modelos de estruturas de correção torrencial encontrados na pouca bibliografia especializada e implantados no terreno.

Teoria de carteiras e a alocação de parques eólicos offshore

The consumption of energy on the planet is currently based on fossil fuels. They are responsible for adverse effects on the environment. Renewables propose solutions for this scenario, but must face issues related to the capacity of the power supply. Wind energy offshore emerging as a promising alternative. The speed and stability are greater winds over oceans, but the variability of these may cause inconvenience to the generation of electric power fluctuations. To reduce this, a combination of wind farms geographically distributed was proposed. The greater the distance between them, the lower the correlation between the wind velocity, increasing the likelihood that together achieve more stable power system with less fluctuations in power generation. The efficient use of production capacity of the wind park however, depends on their distribution in marine environments. The objective of this research was to analyze the optimal allocation of wind farms offshore on the east coast of the U.S. by Modern Portfolio Theory. The Modern Portfolio Theory was used so that the process of building portfolios of wind energy offshore contemplate the particularity of intermittency of wind, through calculations of return and risk of the production of wind farms. The research was conducted with 25.934 observations of energy produced by wind farms 11 hypothetical offshore, from the installation of 01 simulated ocean turbine with a capacity of 5 MW. The data show hourly time resolution and covers the period between January 1, 1998 until December 31, 2002. Through the Matlab R software, six were calculated minimum variance portfolios, each for a period of time distinct. Given the inequality of the variability of wind over time, set up four strategies rebalancing to evaluate the performance of the related portfolios, which enabled us to identify the most beneficial to the stability of the wind energy production offshore. The results showed that the production of wind energy for 1998, 1999, 2000 and 2001 should be considered by the portfolio weights calculated for the same periods, respectively. Energy data for 2002 should use the weights derived from the portfolio calculated in the previous time period. Finally, the production of wind energy in the period 1998-2002 should also be weighted by 1/11. It follows therefore that the portfolios found failed to show reduced levels of variability when compared to the individual production of wind farms hypothetical offshore

Natureza morta...edifício com vida: uma arquitetura sustentável para o Serviço de Verificação de Óbitos

Sustainability in buildings, while reducing the impact on the environment, contributes to the promotion of social welfare, to increase the health and productivity of occupants. The search for a way of build that meets the aspirations and development of humanity without, however, represent degradation of the environment, has become the great challenge of contemporary architecture. It is considered that the incorporation of principles that provide a sustainable building with careful choices of design solutions contribute to a better economic and thermal performance of the building, as well as functional and psychological comfort to its users. Based on this general understanding, this paper presents an architecture project aimed to health care whose the solutions adopted follow carefully the relevant legislation and sets his sights on the theme of sustainability. The methodology began with studies on the themes of verification service of deaths, sustainability and those application in construction developed through research in academic studies and analysis of architectural projects, using them like reference for the solutions adopted. Within the project analysis was performed a visit to the verification service of deaths in the city of Palmas in Tocantins, subsidizing information that, plus the relevant legislation, led to functional programming and pre-dimensional of the building to be designed. The result of this programming environments were individual records with information from environmental restrictions, space required for the development of activities, desirable flow and sustainability strategies, that can be considered as the first product of relevance of the professional master's degree. Finally we have outlined the basic design architecture of a Verification Service of Death SVO/RN (in portuguese), whose process of projecting defined as a guiding line of work four points: the use of bioclimatic architecture as the main feature projectual, the use of resources would provide minimal harm to the environment, the use of modulation and structure to the building as a form of rationalization and finally the search for solutions that ensure environmental and psychological comfort to users. Importantly to highlight that, besides owning a rare theme in literature that refers to architectural projects, the whole project was drawn up with foundations in projective criteria that contribute to environmental sustainability, with emphasis on thermal performance, energy efficiency and reuse of rainwater

Comunidade fitoplanctônica e qualidade da água da lagoa do jiqui, parnamirim, rn

It is important to evaluate the quality of water for proper management of these resources, since the increase of environmental degradation and the multiple use of water resources are decreasing the quality of water consumed by living beings. The objective of this study was to characterize the phytoplankton community and its variations during periods of dray and rain in Jiqui Lake located in Parnamirim, RN. It was also aimed to analyze the physical and chemical factors of this environment, in order to contribute to the knowledge of water quality used for human consumption. The collection of water samples were carried out in September 2008 to August 2009. The collection of the phytoplankton community was carried out in four sampling sites (surface, bottom, margin of the lake without macrophytes and site dominated by macrophytes). Phytoplankton was collected using plankton net of 20m. The analysis of nutrients and identification of phytoplankton were performed in the laboratory. The results indicate that concentration of chlorophyll a was high in the bottom with mean value of 1.07 μgL-1 (SD ± 1.61). During the study period there was a dominance of the following species: Euglena gracilis, Trachelomonas sp, Cyclotellas sp, Gomphonema apuncto, Navicula cuspidata var. cuspidata, Navicula sp, Rhopalodia gibba. There was homogeneity between limnological values in the four study sites, with significant difference between the periods of drought and rain. The Jiqui Lake is considered oligotrophic due to its low concentrations of chlorophyll a, high transparency and low levels of nutrients. The values of BOD and chlorophyll a concentration remained below the permitted standards existing for freshwaters in Brazil, thus the water from Lake Jiqui is of good quality, suitable for human consumption.

Abundância e distribuição sazonal de espécies autóctones de camarões peneídeos no canal de abastecimento do sistema primar de aquicultura orgânica (Laguna de Guaraíras, Tibau do Sul, Rio Grande do Norte, Brasil)

Guaraíras lagoon, located in Tibau do Sul in the eastern littoral of Rio Grande do Norte (Brazil), presents a permanent connection to the sea, which guarantees the occurrence of a rich biodiversity, which includes the autochthonous shrimp species Litopenaeus schmitti, Farfantepenaeus subtilis and Farfantepenaeus brasiliensis. In spite of being subject to a strong human intervention in the last decade, mainly related to the installation of shrimp (Litopenaeus vannamei) farms, the lagoon is still scarcely studied. The present study aims at characterizing the populations of the three autochthonous penaeid shrimp species inhabiting Guaraíras, taking into consideration their abundance and seasonal distribution in the inflow channel of Primar System of Organic Aquaculture (Tibau do Sul, Rio Grande do Norte, Brazil). Twelve monthly samples were carried out from May 2005 to April 2006 with the aid of a circular cast net in the inflow channel, which is daily supplied with water from Guaraíras. Sampling months were grouped in trimesters according to the total pluviosity, thus comprising four trimesters. Water salinity was monitored twice a week and temperature values registered on a daily basis at noon, during the study period. The daily pluviosity data from the municipality of Tibau do Sul were supplied by Empresa de Pesquisa Agropecuária do Rio Grande do Norte (EMPARN). Collected shrimp were identified, weighted, measured and sexed. L. schmitti specimens (0.2 g to 17.8 g) were distributed in 1.3 g weight classes intervals. From the eighth sampling month (December 2005) onwards, males were classified into three categories, in accordance with the development of their petasm: (a) rudimentary petasm, (b) partially formed petasm, and (c) completely formed petasm. Among the ecological variables, rainfall showed the greatest dispersion (s.d.=187.74Rainfall and abundance of L. schmitti were negatively correlated (r = -0.85) whereas its abundance and water salinity were positively correlated (r = 0.63). Among 1,144 collected individuals, 1,127 were L. schmitti, 13 were F. subtilis and 4 were F. brasiliensis, which corresponded to 98.51%, 1.14% and 0.35% of the total of collected individuals. L. schmitti occurred in 100 % of all samples. Differently, the presence of F. subtilis and F. brasiliensis was restricted to 33% and 17% of the collected samples, respectively. The present study confirmed the occurrence of L. schmitti, F. brasiliensis and F. subtilis in Guaraíras. However, this lagoon seems to be primarily inhabited by juvenile Litopenaeus schmitti. The population of L. schmitti analysed showed a seasonal pattern of distribution. In general, in the months of high salinity and absence of rain, the number of individuals was higher than in the wet months. Further studies on the reproductive biology and ecology of L. schmitti, F. brasiliensis and F. subtilis may elucidate questions referring to the abundance, period, and phase of occurrence of these shrimp genera in Guaraíras. Finally, the risks associated to the establishment of L. vannamei in the lagoon provide a novel outlet for studies in this biotope

Estádios larvais e ocorrência saxonal de imaturos de Psaroniocompsa incrustata (Lutz,1910)(Diptera:Smimuliidae) no Rio Pium, município de Nísia Floesta, RN

The larval instars, seasonal occurrence and environmental factors influence on Psaroniocompsa incrustata (Lutz, 1910) (Diptera: Simuliidae) immature were studied according to its physical and chemical aspects of breeding water. Four collects were made at vegetal substrate from margin, middle and floating on the Pium river, city of Nísia Floresta, state of Rio Grande do Norte, Brazil at dry and wet season. Some of larval characters were used to determinate the larval instars number like lateral length of cephalic capsulae, antennae and the distance among cephalic apodema, as well as pH, water temperature, width, depth, stream velocity, discharge and pluviometric precipitation were used for physical factors. Seven larval instars were determined for this P. incrustata community being the lateral length of cephalic capsulae as the best structure with this meaning propose. The seasonality immature abundance of this species were found in dry season and a positive correlation with pH, stream velocity and precipitation

Avaliação do petróleo por termogravimetria para simulação de curva PEV, fator de caracterização e resíduo de carbono

Petroleum evaluation is analyze it using different methodologies, following international standards to know their chemical and physicochemical properties, contaminant levels, composition and especially their ability to generate derivatives. Many of these analyzes consuming a lot of time, large amount of samples , supplies and need an organized transportation logistics, schedule and professionals involved. Looking for alternatives that optimize the evaluation and enable the use of new technologies, seven samples of different centrifuged Brazilian oils previously characterized by Petrobras were analyzed by thermogravimetry in 25-900° C range using heating rates of 05, 10 and 20ºC per minute. With experimental data obtained, characterizations correlations were performed and provided: generation of true boiling point curves (TBP) simulated; comparing fractions generated with appropriate cut standard in temperature ranges; an approach to obtain Watson characterization factor; and compare micro carbon residue formed. The results showed a good chance of reproducing simulated TBP curve from thermogravimetry taking into account the composition, density and other oil properties. Proposed correlations for experimental characterization factor and carbon residue followed Petrobras characterizations, showing that thermogravimetry can be used as a tool on oil evaluation, because your quick analysis, accuracy, and requires a minimum number of samples and consumables

Biologia reprodutiva da |Tainha, Mugil curema valencientes, 1836 (osteichthyes: mugilidade) nas águas costeiras do Rio Grande do Norte

The marine fish white mullet, Mugil curema Valenciennes, 1836 (Osteichthyes: Mugilidae) exhibits a wide geographical distribution, being common in the Brazilian coast and is an important component of the artisanal fisheries. The objective of this study was to investigate the reproductive biology of M. curema in the coastal waters of Rio Grande do Norte. Fish samples were captured on a monthly basis during August, 2008 to July, 2009. The fish specimens were numbered, weighed, measured, dissected and their gonads were removed, weighed, their sex and gonadal development were identified. The length-weight relationship was determined for males and females. The sex ratio, the size at first gonadal maturation and gonadosomatic index (GSI) were calculated and ovarian development was investigated using macroscopic and histological techniques. The fecundity, spawning type and the reproductive period of the species were determined. A total of 366 specimens (186 males and 180 females) were captured. The sex ratio was 1:1 and the females were heavier than males. The estimated values of the angular coefficient for both sexes suggest that the species has isometric growth. The size at which 50% of the population began the process of maturation was 25.9 cm of total length for grouped sex. The macroscopic characteristics of the ovaries showed four stages of development: immature, maturing, mature and spent. However, the microscopic characteristics of the ovaries showed five stages of development: immature, early maturing, late maturing, mature and spent. The development of oocytes indicated five phases: Chromatin-nucleolus (phase I), initial perinucleolar (phase II), final perinuclear (phase II), formation of vitelline vesicle or yolk (phase III), vitellogenic (phase IV) and complete vitellogenesis (phase V). The species has a prolonged spawning period, with two peaks coinciding with the rainy season.

Variação temporal da riqueza de táxons, abundância e biomassa de artrópodes em ambiente de restinga do Rio Grande do Norte, Brasil

Arthropods are abundant organisms possess great wealth and diversity representing about 82% of all known animal species. Contribute as a source of biomass and their abundance is an indicator of ecological change. The aim of this study was to evaluate the biomass and abundance found in the salt marsh environment throughout the year and relate them to the climatic factors (temperature, precipitation and relative humidity) that can influence the abundance and biomass of arthropods. The study was conducted at the Centro de Lançamento de Foguetes Barreira do Inferno, city of Parnamirim, Rio Grande do Norte, in the period February 2011 to January 2012, using pitfall traps, stationary window and beating tray. Among the 26 orders found, the most abundant were: Hymenoptera, Orthoptera, Araneae. Taxa Hymenoptera, Blattodea and Orthoptera showed higher biomass volume. Climatic factors did not influence the fall of Arthropods in the traps, however, the lowest abundance during the rainy season the action of raindrops, reduced the activity of these arthropods on vegetation, reducing its capture in traps (pitfall traps and stationary window ) and method of collection(entomological umbrella)

Utilization of macrophyte biofilter in effluent from aquaculture: I. Floating plant

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

Effects of rainfall on water quality in six sequentially disposed fishponds with continuous water flow

O estudo foi efetuado durante o período de chuva (dezembro-fevereiro) em seis viveiros de produção semi-intensiva de peixes, a fim de avaliar o efeito da chuva na qualidade da água de viveiros que apresentam fluxo contínuo de água, a qual é passada de um viveiro para outro sem tratamento prévio. Foram amostrados oito pontos de coleta nas saídas dos viveiros. O viveiro P1 (próximo à nascente) apresentou as menores concentrações físicas e químicas da água e as maiores no viveiro P4 (considerado um ponto crítico recebendo material alóctone proveniente de outros viveiros e do escoamento do setor de criação de rãs). A disposição seqüencial dos viveiros estudados promoveu aumento nas concentrações dos nutrientes, clorofila-a e condutividade. As chuvas características desta época do ano aumentaram o fluxo de água nos viveiros e conseqüentemente, carreando material particulado e dissolvido de um viveiro para outro e, promovendo um aumento das variáveis limnológicas em direção do P3 ao P6. Os resultados sugerem que a chuva no período de estudo afetou positivamente a qualidade da água dos viveiros estudados, porém, como os sistemas analisados estão dispostos em distribuição seqüencial e escoamento constante da água de viveiros e tanques paralelos sem tratamento prévio, cuidados devem ser averiguados para que o aumento do fluxo de água provocado pelas chuvas não tenha efeito adverso nos viveiros estudados.