Essays on energy derivatives pricing and financial risk management

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.

Co-localization of GnRH ligands and their receptors in the European sea bass, Dicentrarchus labrax

The migration of the hypophysiotropic GnRH (GnRH-I) neurons during early development is a crucial step in establishing a normally functioning reproductive system in all vertebrates. These neurons derive from progenitor cells in the olfactory placode and subsequently migrate to their final position in the ventral forebrain, where they mediate hypophysiotropic control over Lh. We use zebrafish as a model to investigate the path and the factors that mediate the migration of the GnRH-I neurons during early development. A transgenic line of zebrafish, in which GnRH- I neurons specifically express a reporter gene (GFP) has been developed in our lab. This was achieved by integrating a GnRH-I promoter/GFP reporter transgene into the zebrafish genome. The resulting transgenic line allows us to track the route of the GnRH-I neuronal migration in real time and in vivo. We have used this line to conduct time lapse imaging to ascertain the exact migrational path and the final position in the ventral forebrain of the GnRH-I neurons.

How do analysts deal with bad news? Going-concern opinions and analyst behaviour

Tese dout., University of Edinburg, 2008

Students' engagement in schools: differentiation and promotion

Comunicação apresentada no XI Congresso da AEPEC (Associação da Educação Pluridimensional e da Escola Cultural) - Da exclusão à excelência - caminhos organizacionais para a qualidade da educação. Évora: Universidade de Évora, 16, 17 e 18 de Setembro de 2010.

Where and how to find data on safety: what do systematic reviews of complementary therapies tell us?

Background: Successfully identifying relevant data for systematic reviews with a focus on safety may require retrieving information from a wider range of sources than for ‘effectiveness’ systematic reviews. Searching for safety data continues to prove a major challenge. Objectives: To examine search methods used in systematic reviews of safety and to investigate indexing. Methods: Systematic reviews focusing on safety of complementary therapies and related interventions were retrieved from comprehensive searches of major databases. Data was extracted on search strategies, sources used and indexing in major databases. Safety related search terms were compared against index terms available on major databases. Data extraction by one researcher using a pre-prepared template was checked for accuracy by a second researcher. Results: Screening of 2563 records resulted in 88 systematic reviews being identified. Information sources used varied with the type of intervention being addressed. Comparison of search terms with available index terms revealed additional potentially relevant terms that could be used in constructing search strategies. Seventy-nine reviews were indexed on PubMed, 84 on EMBASE, 21 on CINAHL, 15 on AMED, 6 on PsycINFO, 2 on BNI and HMIC. The mean number of generic safety-related indexing terms on PubMed records was 2.6. For EMBASE the mean number was 4.8 with at least 61 unique terms being employed. Most frequently used indexing terms and subheadings were adverse effects, side effects, drug interactions and herb-drug interactions. Use of terms specifically referring to safety varied across databases. Conclusions: Investigation of search methods revealed the range of information sources used, a list of which may prove a valuable resource for those planning to conduct systematic reviews of safety. The findings also indicated that there is potential to improve safety-related search strategies. Finally, an insight is provided into indexing of and most effective terms for finding safety studies on major databases.

Accessing Planktothrix species diversity and associated toxins using quantitative real-time PCR in natural waters

Tese de Doutoramento em Biologia apresentada à Faculdade de Ciências da Universidade do Porto, 2015.

Planning and implementing a new assessment strategy using an e-learning platform

One of the most difficult issues of e-Learning is the students’ assessment. Being this an outstanding task regarding theoretical topics, it becomes even more challenging when the topics under evaluation are practical. ISCAP’s Information Systems Department is composed of about twenty teachers who have been for several years using an e-learning environment (at the moment Moodle 2.3) combined with traditional assessment. They are now planning and implementing a new e-learning assessment strategy. This effort was undertaken in order to evaluate a practical topic (the use of spreadsheets to solve management problems) common to shared courses of several undergraduate degree programs. The same team group is already experienced in the assessment of theoretical information systems topics using the b-learning platform. Therefore, this project works as an extension to previous experiences being the team aware of the additional difficulties due to the practical nature of the topics. This paper describes this project and presents two cycles of the action research methodology, used to conduct the research. The first cycle goal was to produce a database of questions. When it was implemented in order to be used with a pilot group of students, several problems were identified. Subsequently, the second cycle consisted in solving the identified problems preparing the database and all the players to a broader scope implementation. For each cycle, all the phases, its drawbacks and achievements are described. This paper suits all those who are or are planning to be in the process of shifting their assessment strategy from a traditional to one supported by an e-learning platform.

FPGA-based weblab infrastructures guidelines and a prototype implementation example

Recent trends show an increasing number of weblabs, implemented at universities and schools, supporting practical training in technical courses and providing the ability to remotely conduct experiments. However, their implementation is typically based on individual architectures, unable of being reconfigured with different instruments/modules usually required by every experiment. In this paper, we discuss practical guidelines for implementing reconfigurable weblabs that support both local and remote control interfaces. The underlying infrastructure is based on reconfigurable, low-cost, FPGA-based boards supporting several peripherals that are used for the local interface. The remote interface is powered by a module capable of communicating with an Ethernet based network and that can either correspond to an internal core of the FPGA or an external device. These two approaches are discussed in the paper, followed by a practical implementation example.

Electoral opportunism and fiscal policy before and after the EMU

A Masters Thesis, presented as part of the requirements for the award of a Research Masters Degree in Economics from NOVA – School of Business and Economics

Perspectives and approaches for the internet of things

Dissertação para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores

Enhancement of an implemented rating model and impact on existing risk management processes: A hands-on approach from financial supplier risk management within the automotive industry

The purpose of this paper is to conduct a methodical drawback analysis of a financial supplier risk management approach which is currently implemented in the automotive industry. Based on identified methodical flaws, the risk assessment model is further developed by introducing a malus system which incorporates hidden risks into the model and by revising the derivation of the most central risk measure in the current model. Both methodical changes lead to significant enhancements in terms of risk assessment accuracy, supplier identification and workload efficiency.

Ethical leadership and unethical pro-organizational behavior: A moderated mediation model of affective commitment and authenticity at work

Recently, unethical conduct in the workplace has been a focus of literature and media. Unethical pro-organizational behavior (UPB) refers to unethical conduct that employees engage in to benefit the organization. Given the complexity of UPB, there is an increasing need to understand how and under what conditions this attitude originates within organizations. Based on a sample of 167 employees and seven organizations, results support the moderated mediation model. An ethical leader increases employees’ organizational affective commitment which increases the likelihood to engage in UPB. However, the indirect relationship diminishes when employees feel authentic at work.

Leadership in Angola and Mozambique: How Portuguese leaders overcome the human resources challenge and contribute to organizational success

This Work Project presents human resources as one of the major challenges that Portuguese leaders meet in Angola and Mozambique. The main goal is to understand the role of leaders in translating this challenge into benefits for their own business and the African society. To conduct this study 13 leaders who work in Portugal and Africa were interviewed. Then, a framework was constructed based on the two ways these leaders recognize the importance of their employees for sustainable growth – financial incentives or/and personal development. The main conclusion here is that individually, incentives and personal development are not effective methods. Because of this, an employee empowerment process is proposed that encloses both, along with the leaders’ personal qualities needed to implement that “ideal” process.

In Search of the Origins of Modernism: Venice and the Crisis of Classical Architecture in the mid-eighteenth century

This paper attempts to prove that in the years 1735 to 1755 Venice was the birthplace and cradle of Modern architectural theory, generating a major crisis in classical architecture traditionally based on the Vitruvian assumption that it imitates early wooden structures in stone or in marble. According to its rationalist critics such as the Venetian Observant Franciscan friar and architectural theorist Carlo Lodoli (1690-1761) and his nineteenth-century followers, classical architecture is singularly deceptive and not true to the nature of materials, in other words, dishonest and fallacious. This questioning did not emanate from practising architects, but from Lodoli himself– a philosopher and educator of the Venetian patriciate – who had not been trained as an architect. The roots of this crisis lay in a new approach to architecture stemming from the new rationalist philosophy of the Enlightenment age with its emphasis on reason and universal criticism.

Training medical students to conduct motivational interviewing: a randomized controlled trial.

OBJECTIVE: To examine the effectiveness of motivational interviewing (MI) training among medical students. METHODS: All students (n=131) (year 5) at Lausanne Medical School, Switzerland were randomized into an experimental or a control group. After a training in basic communication skills (control condition), an 8-h MI training was completed by 84.8% students in the exprimental group. One week later, students in both groups were invited to meet with two standardized patients. MI skills were coded by blinded research assistants using the Motivational Interviewing Treatment Integrity 3.0. RESULTS: Superior MI performance was shown for trained versus control students, as demonstrated by higher scores for "Empathy" [p<0.001] and "MI Spirit" [p<0.001]. Scores were similar between groups for "Direction", indicating that students in both groups invited the patient to talk about behavior change. Behavior counts assessment demonstrated better performance in MI in trained versus untrained students regarding occurences of MI-adherent behavior [p<0.001], MI non-adherent behavior [p<0.001], Closed questions [p<0.001], Open questions [p=0.001], simple reflections [p=0.03], and Complex reflections [p<0.001]. Occurrences were similar between groups regarding "Giving information". CONCLUSION: An 8-h training workshop was associated with improved MI performance. PRACTICE IMPLICATIONS: These findings lend support for the implementation of MI training in medical schools.