Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

DRhoGEF2 regulates cellular tension and cell pulsations in the Amnioserosa during Drosophila dorsal closure

Coordination of apical constriction in epithelial sheets is a fundamental process during embryogenesis. Here, we show that DRhoGEF2 is a key regulator of apical pulsation and constriction of amnioserosal cells during Drosophila dorsal closure. Amnioserosal cells mutant for DRhoGEF2 exhibit a consistent decrease in amnioserosa pulsations whereas overexpression of DRhoGEF2 in this tissue leads to an increase in the contraction time of pulsations. We probed the physical properties of the amnioserosa to show that the average tension in DRhoGEF2 mutant cells is lower than wild-type and that overexpression of DRhoGEF2 results in a tissue that is more solid-like than wild-type. We also observe that in the DRhoGEF2 overexpressing cells there is a dramatic increase of apical actomyosin coalescence that can contribute to the generation of more contractile forces, leading to amnioserosal cells with smaller apical surface than wild-type. Conversely, in DRhoGEF2 mutants, the apical actomyosin coalescence is impaired. These results identify DRhoGEF2 as an upstream regulator of the actomyosin contractile machinery that drives amnioserosa cells pulsations and apical constriction.

Multilingualism and interpreting: training for the EU

AGM and Conference in Mechelen 27 – 30 April 2010

Concepção e implementação do time-driven activity based costing numa PME industrial: evidência de um estudo empírico

Dissertação para obtenção do Grau de Mestre em Contabilidade e Finanças Orientador: Mestre Paulino Manuel Leite da Silva

IOPT Petri Net State Space Generation Algorithm with Maximal-Step Execution Semantics

This paper presents an algorithm to efficiently generate the state-space of systems specified using the IOPT Petri-net modeling formalism. IOPT nets are a non-autonomous Petri-net class, based on Place-Transition nets with an extended set of features designed to allow the rapid prototyping and synthesis of system controllers through an existing hardware-software co-design framework. To obtain coherent and deterministic operation, IOPT nets use a maximal-step execution semantics where, in a single execution step, all enabled transitions will fire simultaneously. This fact increases the resulting state-space complexity and can cause an arc "explosion" effect. Real-world applications, with several million states, will reach a higher order of magnitude number of arcs, leading to the need for high performance state-space generator algorithms. The proposed algorithm applies a compilation approach to read a PNML file containing one IOPT model and automatically generate an optimized C program to calculate the corresponding state-space.

Mantle source heterogeneity, magma generation and magmatic evolution at Terceira Island (Azoresarchipelago): Constraints from elemental and isotopic (Sr, Nd, Hf, and Pb) data

This work addresses the present-day (<100 ka) mantle heterogeneity in the Azores region through the study of two active volcanic systems from Terceira Island. Our study shows that mantle heterogeneities are detectable even when "coeval" volcanic systems (Santa Barbara and Fissural) erupted less than 10 km away. These volcanic systems, respectively, reflect the influence of the Terceira and D. Joao de Castro Bank end-members defined by Beier et at (2008) for the Terceira Rift Santa Barbara magmas are interpreted to be the result of mixing between a HIMU-type component, carried to the upper mantle by the Azores plume, and the regional depleted MORB magmas/source. Fissural lavas are characterized by higher Ba/Nb and Nb/U ratios and less radiogenic Pb-206/Pb-204, Nd-143/Nd-144 and Hf-176/Hf-177, requiring the small contribution of delaminated sub-continental lithospheric mantle residing in the upper mantle. Published noble gas data on lavas from both volcanic systems also indicate the presence of a relatively undegassed component, which is interpreted as inherited from a lower mantle reservoir sampled by the ascending Azores plume. As inferred from trace and major elements, melting began in the garnet stability field, while magma extraction occurred within the spinel zone. The intra-volcanic system's chemical heterogeneity is mainly explained by variable proportions of the above-mentioned local end-members and by crystal fractionation processes. (C) 2011 Elsevier By. All rights reserved.

Energy and reserve provision dispatch considering distributed generation and demand response

In competitive electricity markets with deep concerns at the efficiency level, demand response programs gain considerable significance. In the same way, distributed generation has gained increasing importance in the operation and planning of power systems. Grid operators and utilities are taking new initiatives, recognizing the value of demand response and of distributed generation for grid reliability and for the enhancement of organized spot market´s efficiency. Grid operators and utilities become able to act in both energy and reserve components of electricity markets. This paper proposes a methodology for a joint dispatch of demand response and distributed generation to provide energy and reserve by a virtual power player that operates a distribution network. The proposed method has been computationally implemented and its application is illustrated in this paper using a 32 bus distribution network with 32 medium voltage consumers.

Maximum penetration of microgeneration photovoltaic panels in distribution network

In smart grids context, the distributed generation units based in renewable resources, play an important rule. The photovoltaic solar units are a technology in evolution and their prices decrease significantly in recent years due to the high penetration of this technology in the low voltage and medium voltage networks supported by governmental policies and incentives. This paper proposes a methodology to determine the maximum penetration of photovoltaic units in a distribution network. The paper presents a case study, with four different scenarios, that considers a 32-bus medium voltage distribution network and the inclusion storage units.

Solid State Marx Modulator with Blumlein Stack for Bipolar Pulse Generation

Sub-nanosecond bipolar high voltage pulses are a very important tool for food processing, medical treatment, waste water and exhaust gas processing. A Hybrid Modulator for sub-microsecond bipolar pulse generation, comprising an unipolar solid-state Marx generator connected to a load through a stack Blumlein system that produces bipolar pulses and further multiplies the pulse voltage amplitude, is presented. Experimental results from an assembled prototype show the generation of 1000 V amplitude bipolar pulses with 100 ns of pulse width and 1 kHz repetition rate.

An integrated approach for distributed energy resource short term scheduling in smart grids considering realistic power system simulation

The large increase of distributed energy resources, including distributed generation, storage systems and demand response, especially in distribution networks, makes the management of the available resources a more complex and crucial process. With wind based generation gaining relevance, in terms of the generation mix, the fact that wind forecasting accuracy rapidly drops with the increase of the forecast anticipation time requires to undertake short-term and very short-term re-scheduling so the final implemented solution enables the lowest possible operation costs. This paper proposes a methodology for energy resource scheduling in smart grids, considering day ahead, hour ahead and five minutes ahead scheduling. The short-term scheduling, undertaken five minutes ahead, takes advantage of the high accuracy of the very-short term wind forecasting providing the user with more efficient scheduling solutions. The proposed method uses a Genetic Algorithm based approach for optimization that is able to cope with the hard execution time constraint of short-term scheduling. Realistic power system simulation, based on PSCAD , is used to validate the obtained solutions. The paper includes a case study with a 33 bus distribution network with high penetration of distributed energy resources implemented in PSCAD .

Distributed generation producers' reserve management

Sustainable development concerns are being addressed with increasing attention, in general, and in the scope of power industry, in particular. The use of distributed generation (DG), mainly based on renewable sources, has been seen as an interesting approach to this problem. However, the increasing of DG in power systems raises some complex technical and economic issues. This paper presents ViProd, a simulation tool that allows modeling and simulating DG operation and participation in electricity markets. This paper mainly focuses on the operation of Virtual Power Producers (VPP) which are producers’ aggregations, being these producers mainly of DG type. The paper presents several reserve management strategies implemented in the scope of ViProd and the results of a case study, based on real data.

Adaptable control for electrical generation at irregural wind speeds

The main aims of this work are the development and the validation of one generic algorithm to provide the optimal control of small power wind generators. That means up to 40 kW and blades with fixed pitch angle. This algorithm allows the development of controllers to fetch the wind generators at the desired operational point in variable operating conditions. The problems posed by the variable wind intensity are solved using the proposed algorithm. This is done with no explicit measure of the wind velocity, and so no special equipment or anemometer is required to compute or measure the wind velocity.

Demand response in electrical energy supply: an optimal real time pricing approach

In competitive electricity markets with deep concerns for the efficiency level, demand response programs gain considerable significance. As demand response levels have decreased after the introduction of competition in the power industry, new approaches are required to take full advantage of demand response opportunities. This paper presents DemSi, a demand response simulator that allows studying demand response actions and schemes in distribution networks. It undertakes the technical validation of the solution using realistic network simulation based on PSCAD. The use of DemSi by a retailer in a situation of energy shortage, is presented. Load reduction is obtained using a consumer based price elasticity approach supported by real time pricing. Non-linear programming is used to maximize the retailer’s profit, determining the optimal solution for each envisaged load reduction. The solution determines the price variations considering two different approaches, price variations determined for each individual consumer or for each consumer type, allowing to prove that the approach used does not significantly influence the retailer’s profit. The paper presents a case study in a 33 bus distribution network with 5 distinct consumer types. The obtained results and conclusions show the adequacy of the used methodology and its importance for supporting retailers’ decision making.

Computational intelligence applications for future power systems

Power system planning, control and operation require an adequate use of existing resources as to increase system efficiency. The use of optimal solutions in power systems allows huge savings stressing the need of adequate optimization and control methods. These must be able to solve the envisaged optimization problems in time scales compatible with operational requirements. Power systems are complex, uncertain and changing environments that make the use of traditional optimization methodologies impracticable in most real situations. Computational intelligence methods present good characteristics to address this kind of problems and have already proved to be efficient for very diverse power system optimization problems. Evolutionary computation, fuzzy systems, swarm intelligence, artificial immune systems, neural networks, and hybrid approaches are presently seen as the most adequate methodologies to address several planning, control and operation problems in power systems. Future power systems, with intensive use of distributed generation and electricity market liberalization increase power systems complexity and bring huge challenges to the forefront of the power industry. Decentralized intelligence and decision making requires more effective optimization and control techniques techniques so that the involved players can make the most adequate use of existing resources in the new context. The application of computational intelligence methods to deal with several problems of future power systems is presented in this chapter. Four different applications are presented to illustrate the promises of computational intelligence, and illustrate their potentials.

Renewable-based generation integration in electricity markets with virtual power producers

The development of renewable energy sources and Distributed Generation (DG) of electricity is of main importance in the way towards a sustainable development. However, the management, in large scale, of these technologies is complicated because of the intermittency of primary resources (wind, sunshine, etc.) and small scale of some plants. The aggregation of DG plants gives place to a new concept: the Virtual Power Producer (VPP). VPPs can reinforce the importance of these generation technologies making them valuable in electricity markets. VPPs can ensure a secure, environmentally friendly generation and optimal management of heat, electricity and cold as well as optimal operation and maintenance of electrical equipment, including the sale of electricity in the energy market. For attaining these goals, there are important issues to deal with, such as reserve management strategies, strategies for bids formulation, the producers’ remuneration, and the producers’ characterization for coalition formation. This chapter presents the most important concepts related with renewable-based generation integration in electricity markets, using VPP paradigm. The presented case studies make use of two main computer applications:ViProd and MASCEM. ViProd simulates VPP operation, including the management of plants in operation. MASCEM is a multi-agent based electricity market simulator that supports the inclusion of VPPs in the players set.