Análise de métodos numéricos para precificação de opções

Analisa e compara, sob as óticas de acurácia e custo, os principais métodos numéricos (simulação de Monte carlo, métodos de diferenças finitas, e modelos baseados em lattice para precificação de opções financeiras, exóticas e reais. Aponta as situações onde cada método deve ser empregado, e apresenta os algoritmos necessários para implementação dos métodos numéricos na prática.

Volatility Triggered Range Forward (VTRF): an instrument for protection against volatility fluctuations in the BRL/USD pair

Este trabalho propõe um instrumento capaz de absorver choques no par BRL/USD, garantindo ao seu detentor a possibilidade de realizar a conversão entre essas moedas a uma taxa observada recentemente. O Volatility Triggered Range Forward assemelha-se a um instrumento forward comum, cujo preço de entrega não é conhecido inicialmente, mas definido no momento em que um nível de volatilidade pré-determinado for atingido na cotação das moedas ao longo da vida do instrumento. Seu cronograma de ajustes pode ser definido para um número qualquer de períodos. Seu apreçamento e controle de riscos é baseado em uma árvore trinomial ponderada entre dois possíveis regimes de volatilidade. Esses regimes são determinados após um estudo na série BRL/USD no período entre 2003 e 2009, basedo em um modelo Switching Autoregressive Conditional Heteroskedasticity (SWARCH).

Essays on Spatial Econometrics

Esta dissertação concentra-se nos processos estocásticos espaciais definidos em um reticulado, os chamados modelos do tipo Cliff & Ord. Minha contribuição nesta tese consiste em utilizar aproximações de Edgeworth e saddlepoint para investigar as propriedades em amostras finitas do teste para detectar a presença de dependência espacial em modelos SAR (autoregressivo espacial), e propor uma nova classe de modelos econométricos espaciais na qual os parâmetros que afetam a estrutura da média são distintos dos parâmetros presentes na estrutura da variância do processo. Isto permite uma interpretação mais clara dos parâmetros do modelo, além de generalizar uma proposta de taxonomia feita por Anselin (2003). Eu proponho um estimador para os parâmetros do modelo e derivo a distribuição assintótica do estimador. O modelo sugerido na dissertação fornece uma interpretação interessante ao modelo SARAR, bastante comum na literatura. A investigação das propriedades em amostras finitas dos testes expande com relação a literatura permitindo que a matriz de vizinhança do processo espacial seja uma função não-linear do parâmetro de dependência espacial. A utilização de aproximações ao invés de simulações (mais comum na literatura), permite uma maneira fácil de comparar as propriedades dos testes com diferentes matrizes de vizinhança e corrigir o tamanho ao comparar a potência dos testes. Eu obtenho teste invariante ótimo que é também localmente uniformemente mais potente (LUMPI). Construo o envelope de potência para o teste LUMPI e mostro que ele é virtualmente UMP, pois a potência do teste está muito próxima ao envelope (considerando as estruturas espaciais definidas na dissertação). Eu sugiro um procedimento prático para construir um teste que tem boa potência em uma gama de situações onde talvez o teste LUMPI não tenha boas propriedades. Eu concluo que a potência do teste aumenta com o tamanho da amostra e com o parâmetro de dependência espacial (o que está de acordo com a literatura). Entretanto, disputo a visão consensual que a potência do teste diminui a medida que a matriz de vizinhança fica mais densa. Isto reflete um erro de medida comum na literatura, pois a distância estatística entre a hipótese nula e a alternativa varia muito com a estrutura da matriz. Fazendo a correção, concluo que a potência do teste aumenta com a distância da alternativa à nula, como esperado.

Estudo da moagem de alta energia e sinterização de pós compósitos W-Cu

The Tungsten/copper composites are commonly used for electrical and thermal objectives like heat sinks and lectrical conductors, propitiating an excellent thermal and electrical conductivity. These properties are dependents of the composition, crystallite size and production process. The high energy milling of the powder of W-Cu produces an dispersion high and homogenization levels with crystallite size of W very small in the ductile Cu phase. This work discusses the effect of the HEM in preparation of the W-25Cu composite powders. Three techniques of powder preparation were utilized: milling the dry with powder of thick Cu, milling the dry with powder of fine Cu and milling the wet with powder of thick Cu. The form, size and composition of the particles of the powders milled were observed by scanning electron microscopy (SEM). The X-ray diffraction (XRD) was used to analyse the phases, lattice parameters, size and microstrain of the crystallite. The analyse of the crystalline structure of the W-25Cu powders milled made by Rietveld Method suggests the partial solid solubility of the constituent elements of the Cu in lattice of the W. This analyse shows too that the HEM produces the reduction high on the crystallite size and the increase in the lattice strain of both phases, this is more intense in the phase W

Síntese e caracterização de espinélios a base de Cu, Fe e Cr para pigmentos cerâmicos

Inorganic pigment comprises a host lattice, which is part of the chromophore component (usually a transition metal cation) and possible components modifiers, which stabilize, add or restate the properties pigments. Among the materials with spinel, ferrites, and the chromite stand out, because they have broad technological importance in the area of materials, applicability, pigments, catalytic hydrogenation, thin film, ceramic tiles, among others. The present work, pigments containing CuFe2O4, CuCr2O4,e CuFeCrO4, were synthesized by a method that makes use of gelatin as organic precursor using their application to ceramic pigments. The pigments were characterized by X-ray diffraction (XRD), Infrared spectroscopy, scanning electron microscopy (SEM) spectroscopy in the UV-visible and Colorimetry. The results confirmed the feasibility of the synthetic route used, with respect to powders synthesized, there is the formation of spinel phase from 500°C, with an increase in crystallinity and the formation of other phases. The pigments were shown to be crystalline and the desired phases were obtained. The copper chromite have hues ranging from green to black according to the calcination temperature, while the copper chromite doped with iron had brownish. The ferrites showed copper color and darker brown to black, which may indicate an interesting factor because of the importance of black pigment

Influência das espécies ativas na absorção de intersticiais durante a carbonitretação a plasma do TI

Physical-chemical properties of Ti are sensible to the presence of interstitial elements. In the case of thermochemical treatments plasma assisted, the influence of different active species is not still understood. In order to contribute for such knowledge, this work purposes a study of the role played by the active species atmosphere into the Ar N2 CH4 carbonitriding plasma. It was carried out a plasma diagnostic by OES (Optical Emission Spectroscopy) in the z Ar y N2 x CH4 plasma mixture, in which z, y and x indexes represent gas flow variable from 0 to 4 sccm (cm3/min). The diagnostic presents abrupt variations of emission intensities associated to the species in determined conditions. Therefore, they were selected in order to carry out the chemical treatment and then to investigate their influences. Commercial pure Ti disks were submitted to plasma carbonitriding process using pre-established conditions from the OES measurements while some parameters such as pressure and temperature were maintained constant. The concentration profiles of interstitial elements (C and N atoms) were determined by Resonant Nuclear Reaction Analysis (NRA) resulting in a depth profile plots. The reactions used were 15N(ρ,αγ)12C and 12C(α,α)12C. GIXRD (Grazing Incidence X-Ray Diffraction) analysis was used in order to identify the presence of phases on the surface. Micro-Raman spectroscopy was used in order to qualitatively study the carbon into the TiCxN1 structure. It has been verified which the density species effectively influences more the diffusion of particles into the Ti lattice and characteristics of the layer formed than the gas concentration. High intensity of N2 + (391,4 nm) and CH (387,1 nm) species promotes more diffusion of C and N. It was observed that Hα (656,3 nm) species acts like a catalyzer allowing a deeper diffusion of nitrogen and carbon into the titanium lattice.

Efeito da moagem de alta energia na microestrutura e nas propriedades magnéticas do compósito wc-10%p.Co

This work a studied the high energy milling effect in microstructure and magnetic properties of the WC-10wt.%Co composite. The composite powders were prepared by mechanical mixed and milled at 2 hours, 100 hours, 200 hours and 300 hours in planetary milling. After this process the composite were compacted in stainless steel die with cylindrical county of 10 mm of diameter, at pressure 200 Mpa and sintered in a resistive furnace in argon atmosphere at 1400 oC for 5 min. The sintered composite were cutted, inlaid, sandpapered, and polished. The microestrutural parameters of the composite was analyzed by X-ray diffraction, scanning electronic microscopy, optical microscopy, hardness, magnetic propriety and Rietveld method analyze. The results shows, with milling time increase the particle size decrease, it possibility minor temperature of sintering. The increase of milling time caused allotropic transformation in cobalt phase and cold welding between particles. The cold welding caused the formation of the particle composite. The X-ray diffraction pattern of composite powders shows the WC peaks intensity decrease with the milling time increase. The X-ray diffraction pattern of the composite sintered samples shows the other phases. The magnetic measurements detected a significant increase in the coercitive field and a decrease in the saturation magnetization with milling time increase. The increase coercitive field it was also verified with decrease grain size with milling time increase. For the composite powders the increase coercitive field it was verified with particle size reduction and saturation magnetization variation is relate with the variation of free cobalt. The Rietveld method analyze shows at milling time increase the mean crystalline size of WC, and Co-cfc phases in composite sintered sample are higher than in composite powders. The mean crystallite size of Co-hc phase in composite powders is higher than in composite sintered sample. The mean lattice strains of WC, Co-hc and Co-cfc phases in composite powders are higher than in composite sintered samples. The cells parameters of the composite powder decrease at milling time increase this effect came from the particle size reduction at milling time increase. In sintered composite the cells parameters is constant with milling time increase

Influência dos parâmetros de processo na deposição de nitreto de titânio por plasma em gaiola catódica

Titanium nitride films were grown on glass using the Cathodic Cage Plasma Deposition technique in order to verify the influence of process parameters in optical and structural properties of the films. The plasma atmosphere used was a mixture of Ar, N2 and H2, setting the Ar and N2 gas flows at 4 and 3 sccm, respectively and H2 gas flow varied from 0, 1 to 2 sccm. The deposition process was monitored by Optical Emission Spectroscopy (OES) to investigate the influence of the active species in plasma. It was observed that increasing the H2 gas flow into the plasma the luminescent intensities associated to the species changed. In this case, the luminescence of N2 (391,4nm) species was not proportional to the increasing of the H2 gas into the reactor. Other parameters investigated were diameter and number of holes in the cage. The analysis by Grazing Incidence X-Ray Diffraction (GIXRD) confirmed that the obtained films are composed by TiN and they may have variations in the nitrogen amount into the crystal and in the crystallite size. The optical microscopy images provided information about the homogeneity of the films. The atomic force microscopy (AFM) results revealed some microstructural characteristics and surface roughness. The thickness was measured by ellipsometry. The optical properties such as transmittance and reflectance (they were measured by spectrophotometry) are very sensitive to changes in the crystal lattice of the material, chemical composition and film thicknesses. Therefore, such properties are appropriate tools for verification of this process control. In general, films obtained at 0 sccm of H2 gas flow present a higher transmittance. It can be attributed to the smaller crystalline size due to a higher amount of nitrogen in the TiN lattice. The films obtained at 1 and 2 sccm of H2 gas flow have a golden appearance and XRD pattern showed peaks characteristics of TiN with higher intensity and smaller FWHM (Full Width at Half Maximum) parameter. It suggests that the hydrogen presence in the plasma makes the films more stoichiometric and becomes it more crystalline. It was observed that with higher number of holes in the lid of the cage, close to the region between the lid and the sample and the smaller diameter of the hole, the deposited film is thicker, which is justified by the most probability of plasma species reach effectively the sample and it promotes the growth of the film

Diagnóstico das espécies ativas do plasma usado em tratamentos termoquímicos do titânio

Plasma diagnostics by Optical Emission Spectroscopy were performed for electrical discharge in three gas mixture respecting the combinations z N2 y Ar x H2, z N2 y Ar x O2 e z N2 y Ar x CH4, in which the indexes z and y systematically vary from 1 to 4 and x varies from 0 to 4, every one has dimension SCCM, resulting in 80 combinations. From the all obtained spectrums, the species CH (387,1 nm), N2+ (391,4 nm), Hβ (486,1 nm), Hα (656,3 nm), Ar (750,4 nm), O (777,4 nm) e O (842,6 nm) were analyzed because of their abundance and importance on the kinetic of reaction from the plasma to surface, besides their high dependences on the gases flows. Particularly interesting z, y and x combinations were chosen in order to study the influence of active species on the surface modification during the thermochemical treatment. From the mixtures N2 Ar O2 e N2 Ar CH4 were chosen three peculiar proportions which presented luminous intensity profile with unexpected maximum or minimum values, denominated as plasma anomaly. Those plasma concentrations were utilized as atmosphere of titanium treatment maintaining constant the control parameters pressure and temperature. It has been verified a relation among luminous intensity associated to N2+ and roughness, nanohardness and O atoms diffusion into the crystalline lattice of treated titanium and it has been seen which those properties becomes more intense precisely in the higher points found in the optical profile associated to the N2+ specie. Those parameters were verified for the mixture which involved O2 gas. For the mixture which involves CH4 gas, the relation was determinate by roughness, number of nitrogen and carbon atoms diffused into the titanium structure which presented direct proportionality with the luminous intensity referent to the N2+ and CH. It has been yet studied the formation of TiCN phases on the surface which presented to be essentially directly proportional to the increasing of the CH specie and inversely proportional to the increasing of the specie N2+

Estudo da síntese e propriedade magnética de ferritas de manganês/cobalto dopadas com níquel

For the chemical method of synthesis of co-precipitation were produced ferrite powders manganese-cobalt equal stoichiometric formula Mn (1-x) Co (x) Fe2O4, for 0 < x < 1, first reagent element using as the hydroxide ammonium and second time using sodium hydroxide. The obtained powders were calcined at 400 ° C, 650 ° C, 900 ° C and 1150 ° C in a conventional oven type furnace with an air atmosphere for a period of 240 minutes. Other samples were calcined at a temperature of 900 ° C in a controlled atmosphere of argon, to evaluate the possible influence of the atmosphere on the final results the structure and morphology. The samples were also calcined in a microwave oven at 400 ° C and 650 ° C for a period of 45 minutes possible to evaluate the performance of this type of heat treatment furnace. It was successfully tested the ability of this group include isomorphic ferrite with the inclusion of nickel cations in order to evaluate the occurrence of disorder in the crystalline structures and their changes in magnetic characteristics.To identify the structural, morphological, chemical composition and proportions, as well as their magnetic characteristics were performed characterization tests of X-ray diffraction (XRD), scanning electron microscopy (SEM), transmission electron microscopy (TEM), energy dispersive spectroscopy (EDX), thermogravimetric (TG), vibrating sample magnetometry (MAV) and Mössbauer spectroscopy. These tests revealed the occurrence of distortion in the crystal lattice, changes in magnetic response, occurrence of nanosized particles and superparamagnetism

Estudo das propriedades críticas do processo epidêmico por par com difusão de pares

The pair contact process - PCP is a nonequilibrium stochastic model which, like the basic contact process - CP, exhibits a phase transition to an absorbing state. While the absorbing state CP corresponds to a unique configuration (empty lattice), the PCP process infinitely many. Numerical and theoretical studies, nevertheless, indicate that the PCP belongs to the same universality class as the CP (direct percolation class), but with anomalies in the critical spreading dynamics. An infinite number of absorbing configurations arise in the PCP because all process (creation and annihilation) require a nearest-neighbor pair of particles. The diffusive pair contact process - PCPD) was proposed by Grassberger in 1982. But the interest in the problem follows its rediscovery by the Langevin description. On the basis of numerical results and renormalization group arguments, Carlon, Henkel and Schollwöck (2001), suggested that certain critical exponents in the PCPD had values similar to those of the party-conserving - PC class. On the other hand, Hinrichsen (2001), reported simulation results inconsistent with the PC class, and proposed that the PCPD belongs to a new universality class. The controversy regarding the universality of the PCPD remains unresolved. In the PCPD, a nearest-neighbor pair of particles is necessary for the process of creation and annihilation, but the particles to diffuse individually. In this work we study the PCPD with diffusion of pair, in which isolated particles cannot move; a nearest-neighbor pair diffuses as a unit. Using quasistationary simulation, we determined with good precision the critical point and critical exponents for three values of the diffusive probability: D=0.5 and D=0.1. For D=0.5: PC=0.89007(3), β/v=0.252(9), z=1.573(1), =1.10(2), m=1.1758(24). For D=0.1: PC=0.9172(1), β/v=0.252(9), z=1.579(11), =1.11(4), m=1.173(4)

THE EFFECT of ANIONIC SORPTION on THE METAKAOLINITE

This paper reports an investigation on the effect of thermal activation of kaolinite. It is well known that during calcinations (400-650 degrees C), kaolinite loses the OH lattice water and is transformed into metakaolinite or amorphous material. Arsenic is trace element that is toxic to animals including humans. The adsorption of arsenic on kaolinite was investigated at varying pH and thermal pretreatment. Calcination of sample is carried out at 650 degrees C for 3 h. The decomposition of kaolinite is recorded using methods of thermal analysis. The resultant product is identified by XRD. Laboratory experiments were conducted examining the effect of arsenic by thermally modified kaolinite. The Langmuir isotherm was used to describe arsenite and arsenate sorption by the calcined kaolinite. The equilibrium parameters used were based on experimental data obtained for the dynamic adsorption process of arsenic. Removal of arsenate using natural kaolinite was satisfactory, whereas arsenic was not removed by adsorption with thermally modified kaolinite. Moreover, the adsorption of arsenic by kaolinite and metakaolinite decreases with increasing pH.

Direct Observation of Tetragonal Distortion in Epitaxial Structures through Secondary Peak Split in a Synchrotron Radiation Renninger Scan

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Uma Fundamentação Intervalar Aplicada à Morfologia Matemática

This work present a interval approach to deal with images with that contain uncertainties, as well, as treating these uncertainties through morphologic operations. Had been presented two intervals models. For the first, is introduced an algebraic space with three values, that was constructed based in the tri-valorada logic of Lukasiewiecz. With this algebraic structure, the theory of the interval binary images, that extends the classic binary model with the inclusion of the uncertainty information, was introduced. The same one can be applied to represent certain binary images with uncertainty in pixels, that it was originated, for example, during the process of the acquisition of the image. The lattice structure of these images, allow the definition of the morphologic operators, where the uncertainties are treated locally. The second model, extend the classic model to the images in gray levels, where the functions that represent these images are mapping in a finite set of interval values. The algebraic structure belong the complete lattices class, what also it allow the definition of the elementary operators of the mathematical morphology, dilation and erosion for this images. Thus, it is established a interval theory applied to the mathematical morphology to deal with problems of uncertainties in images

Dinâmica da Plasticidade Sináptica em neurônios do hipocampo durante ciclos de sono: um estudo computacional

Several research lines show that sleep favors memory consolidation and learning. It has been proposed that the cognitive role of sleep is derived from a global scaling of synaptic weights, able to homeostatically restore the ability to learn new things, erasing memories overnight. This phenomenon is typical of slow-wave sleep (SWS) and characterized by non-Hebbian mechanisms, i.e., mechanisms independent of synchronous neuronal activity. Another view holds that sleep also triggers the specific enhancement of synaptic connections, carrying out the embossing of certain mnemonic traces within a lattice of synaptic weights rescaled each night. Such an embossing is understood as the combination of Hebbian and non-Hebbian mechanisms, capable of increasing and decreasing respectively the synaptic weights in complementary circuits, leading to selective memory improvement and a restructuring of synaptic configuration (SC) that can be crucial for the generation of new behaviors ( insights ). The empirical findings indicate that initiation of Hebbian plasticity during sleep occurs in the transition of the SWS to the stage of rapid eye movement (REM), possibly due to the significant differences between the firing rates regimes of the stages and the up-regulation of factors involved in longterm synaptic plasticity. In this study the theories of homeostasis and embossing were compared using an artificial neural network (ANN) fed with action potentials recorded in the hippocampus of rats during the sleep-wake cycle. In the simulation in which the ANN did not apply the long-term plasticity mechanisms during sleep (SWS-transition REM), the synaptic weights distribution was re-scaled inexorably, for its mean value proportional to the input firing rate, erasing the synaptic weights pattern that had been established initially. In contrast, when the long-term plasticity is modeled during the transition SWSREM, an increase of synaptic weights were observed in the range of initial/low values, redistributing effectively the weights in a way to reinforce a subset of synapses over time. The results suggest that a positive regulation coming from the long-term plasticity can completely change the role of sleep: its absence leads to forgetting; its presence leads to a positive mnemonic change