Uma resenha sobre modelos de apreçamento de derivativos

Apresento aqui uma abordagem que unifica a literatura sobre os vários modelos de apreçamento de derivativos que consiste em obter por argumentos intuitivos de não arbitragem uma Equação Diferencial Parcial(EDP) e através do método de Feynman-Kac uma solução que é representada por uma esperança condicional de um processo markoviano do preço do derivativo descontado pela taxa livre de risco. Por este resultado, temos que a esperança deve ser tomada com relação a processos que crescem à taxa livre de risco e por este motivo dizemos que a esperança é tomada em um mundo neutro ao risco(ou medida neutra ao risco). Apresento ainda como realizar uma mudança de medida pertinente que conecta o mundo real ao mundo neutro ao risco e que o elemento chave para essa mudança de medida é o preço de mercado dos fatores de risco. No caso de mercado completo o preço de mercado do fator de risco é único e no caso de mercados incompletos existe uma variedade de preços aceitáveis para os fatores de risco pelo argumento de não arbitragem. Neste último caso, os preços de mercado são geralmente escolhidos de forma a calibrar o modelo com os dados de mercado.

Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to calculate the half-life of the pairs. Again, this improves their performance. Last, we use the leverage suggested by Kelly Formula, once again improving the results.

A Numerical method for the semilinear stochastic transport equation

Trabalho apresentado no XXXV CNMAC, Natal-RN, 2014.

Computer simulation of the stochastic transport equation

Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires

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.

Otimização do processo de flotação de emulsão óleo/água através do planejamento fatorial completo

In recent decades, the generation of solid and liquid waste has increased substantially due to increased industrial activity that is directly linked to economic growth. For that is the most efficient process, it is inevitable generation of such wastes. In the oil industry, a major waste generated in oil exploration is produced water, which due to its complex composition and the large amount generated, has become a challenge, given the restrictions imposed by environmental laws regarding their disposal, making if necessary create alternatives for reuse or treatment in order to reduce the content of contaminants and reduce the harmful effects to the environment. This water can be present in free form or emulsified with the oil, when in the form of an emulsion of oil-water type, it is necessary to use chemicals to promote the separation and flotation is the treatment method which has proved to be more efficient, for it can remove much of the emulsified oil when compared to other methods. In this context, the object of this work was to study the individual effects and interactions of some physicochemical parameters of operations, based on previous work to a flotation cell used in the separation of synthetic emulsion oil / water in order to optimize the efficiency of the separation process through of the 24 full factorial design with center point. The response variables to evaluate the separation efficiency was the percentage of color and turbidity removal. The independent variables were: concentration of de-emulsifying, oil content in water, salinity and pH, these being fixed, minimum and maximum limits. The analysis of variance for the equation of the empirical model, was statistically significant and useful for predictive purposes the separation efficiency of the floater with R2 > 90%. The results showed that the oil content in water and the interaction between the oil content in water and salinity, showed the highest values of the estimated effects among all the factors investigated, having great and positive influence on the separation efficiency. By analyzing the response surface was determined maximum removal efficiency above 90% for both measured for turbidity as a measure of color when in a saline medium (30 g/L), the high oil concentrations (306 ppm) using low concentrations of de-emulsifying (1,1 ppm) and at pH close to neutral

Time-periodic perturbation of a Lienard equation with an unbounded homoclinic loop

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Experimental study of the conventional equation to determine a plate's moment of inertia

In this work, we describe an experimental setup in which an electric current is used to determine the angular velocity attained by a plate rotating around a shaft in response to a torque applied for a given period. Based on this information, we show how the moment of inertia of a plate can be determined using a procedure that differs considerably from the ones most commonly used, which generally involve time measurements. Some experimental results are also presented which allow one to determine parameters such as the exponents and constant of the conventional equation of a plate's moment of inertia.

On the Generalized Mittag-Leffler Function and its Application in a Fractional Telegraph Equation

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

On anomalous diffusion and the fractional generalized Langevin equation for a harmonic oscillator

The fractional generalized Langevin equation (FGLE) is proposed to discuss the anomalous diffusive behavior of a harmonic oscillator driven by a two-parameter Mittag-Leffler noise. The solution of this FGLE is discussed by means of the Laplace transform methodology and the kernels are presented in terms of the three-parameter Mittag-Leffler functions. Recent results associated with a generalized Langevin equation are recovered.

About the Use of the HdHr Algorithm Group in Integrating the Movement Equation with Nonlinear Terms

This work summarizes the HdHr group of Hermitian integration algorithms for dynamic structural analysis applications. It proposes a procedure for their use when nonlinear terms are present in the equilibrium equation. The simple pendulum problem is solved as a first example and the numerical results are discussed. Directions to be pursued in future research are also mentioned. Copyright (C) 2009 H.M. Bottura and A. C. Rigitano.

Some exact solutions of the Dirac equation

Exact analytic solutions are found to the Dirac equation for a combination of Lorentz scalar and vector Coulombic potentials with additional non-Coulombic parts. An appropriate linear combination of Lorentz scalar and vector non-Coulombic potentials, with the scalar part dominating, can be chosen to give exact analytic Dirac wave functions.

Exact closed-form solutions of the Dirac equation for a class of effective Morse potentials

Exact bounded solutions for a fermion subject to exponential scalar potential in 1 + 1 dimensions are found in closed form. We discuss the existence of zero modes which are related to the ultrarelativistic limit of the Dirac equation and are responsible for the induction of a fractional fermion number on the vacuum.

Dirac equation exact solutions for generalized asymmetrical Hartmann potentials

In this work we solve the Dirac equation by constructing the exact bound state solutions for a mixing of vector and scalar generalized Hartmann potentials. This is done provided the vector potential is equal to or minus the scalar potential. The cases of some quasi-exactly solvable and Morse-like potentials are briefly commented. (c) 2006 Elsevier B.V. All rights reserved.