The meaning of implied volatility in pricing stock options traded in options markets

Ph.D. in the Faculty of Business Administration

The three-dimensional single-bin-size bin packing problem: combining metaheuristic and machine learning approaches

The Three-Dimensional Single-Bin-Size Bin Packing Problem is one of the most studied problem in the Cutting & Packing category. From a strictly mathematical point of view, it consists of packing a finite set of strongly heterogeneous “small” boxes, called items, into a finite set of identical “large” rectangles, called bins, minimizing the unused volume and requiring that the items are packed without overlapping. The great interest is mainly due to the number of real-world applications in which it arises, such as pallet and container loading, cutting objects out of a piece of material and packaging design. Depending on these real-world applications, more objective functions and more practical constraints could be needed. After a brief discussion about the real-world applications of the problem and a exhaustive literature review, the design of a two-stage algorithm to solve the aforementioned problem is presented. The algorithm must be able to provide the spatial coordinates of the placed boxes vertices and also the optimal boxes input sequence, while guaranteeing geometric, stability, fragility constraints and a reduced computational time. Due to NP-hard complexity of this type of combinatorial problems, a fusion of metaheuristic and machine learning techniques is adopted. In particular, a hybrid genetic algorithm coupled with a feedforward neural network is used. In the first stage, a rich dataset is created starting from a set of real input instances provided by an industrial company and the feedforward neural network is trained on it. After its training, given a new input instance, the hybrid genetic algorithm is able to run using the neural network output as input parameter vector, providing as output the optimal solution. The effectiveness of the proposed works is confirmed via several experimental tests.

Design and management of a supply chain: a joint location-inventory problem under uncertainty (Part A)

In this paper, a joint location-inventory model is proposed that simultaneously optimises strategic supply chain design decisions such as facility location and customer allocation to facilities, and tactical-operational inventory management and production scheduling decisions. All this is analysed in a context of demand uncertainty and supply uncertainty. While demand uncertainty stems from potential fluctuations in customer demands over time, supply-side uncertainty is associated with the risk of “disruption” to which facilities may be subject. The latter is caused by external factors such as natural disasters, strikes, changes of ownership and information technology security incidents. The proposed model is formulated as a non-linear mixed integer programming problem to minimise the expected total cost, which includes four basic cost items: the fixed cost of locating facilities at candidate sites, the cost of transport from facilities to customers, the cost of working inventory, and the cost of safety stock. Next, since the optimisation problem is very complex and the number of evaluable instances is very low, a "matheuristic" solution is presented. This approach has a twofold objective: on the one hand, it considers a larger number of facilities and customers within the network in order to reproduce a supply chain configuration that more closely reflects a real-world context; on the other hand, it serves to generate a starting solution and perform a series of iterations to try to improve it. Thanks to this algorithm, it was possible to obtain a solution characterised by a lower total system cost than that observed for the initial solution. The study concludes with some reflections and the description of possible future insights.

Design and management of a supply chain: a joint location-inventory problem under uncertainty (Part B)

In recent years, global supply chains have increasingly suffered from reliability issues due to various external and difficult to-manage events. The following paper aims to build an integrated approach for the design of a Supply Chain under the risk of disruption and demand fluctuation. The study is divided in two parts: a mathematical optimization model, to identify the optimal design and assignments customer-facility, and a discrete-events simulation of the resulting network. The first one describes a model in which plant location decisions are influenced by variables such as distance to customers, investments needed to open plants and centralization phenomena that help contain the risk of demand variability (Risk Pooling). The entire model has been built with a proactive approach to manage the risk of disruptions assigning to each customer two types of open facilities: one that will serve it under normal conditions and a back-up facility, which comes into operation when the main facility has failed. The study is conducted on a relatively small number of instances due to the computational complexity, a matheuristic approach can be found in part A of the paper to evaluate the problem with a larger set of players. Once the network is built, a discrete events Supply Chain simulation (SCS) has been implemented to analyze the stock flow within the facilities warehouses, the actual impact of disruptions and the role of the back-up facilities which suffer a great stress on their inventory due to a large increase in demand caused by the disruptions. Therefore, simulation follows a reactive approach, in which customers are redistributed among facilities according to the interruptions that may occur in the system and to the assignments deriving from the design model. Lastly, the most important results of the study will be reported, analyzing the role of lead time in a reactive approach for the occurrence of disruptions and comparing the two models in terms of costs.

Biased Random-key Genetic Algorithms For The Winner Determination Problem In Combinatorial Auctions.

Abstract In this paper, we address the problem of picking a subset of bids in a general combinatorial auction so as to maximize the overall profit using the first-price model. This winner determination problem assumes that a single bidding round is held to determine both the winners and prices to be paid. We introduce six variants of biased random-key genetic algorithms for this problem. Three of them use a novel initialization technique that makes use of solutions of intermediate linear programming relaxations of an exact mixed integer-linear programming model as initial chromosomes of the population. An experimental evaluation compares the effectiveness of the proposed algorithms with the standard mixed linear integer programming formulation, a specialized exact algorithm, and the best-performing heuristics proposed for this problem. The proposed algorithms are competitive and offer strong results, mainly for large-scale auctions.

Ecological Literacy And Beyond: Problem-based Learning For Future Professionals.

Ecological science contributes to solving a broad range of environmental problems. However, lack of ecological literacy in practice often limits application of this knowledge. In this paper, we highlight a critical but often overlooked demand on ecological literacy: to enable professionals of various careers to apply scientific knowledge when faced with environmental problems. Current university courses on ecology often fail to persuade students that ecological science provides important tools for environmental problem solving. We propose problem-based learning to improve the understanding of ecological science and its usefulness for real-world environmental issues that professionals in careers as diverse as engineering, public health, architecture, social sciences, or management will address. Courses should set clear learning objectives for cognitive skills they expect students to acquire. Thus, professionals in different fields will be enabled to improve environmental decision-making processes and to participate effectively in multidisciplinary work groups charged with tackling environmental issues.

A hybrid heuristic for the multi-plant capacitated lot sizing problem with setup carry-over

This paper addresses the capacitated lot sizing problem (CLSP) with a single stage composed of multiple plants, items and periods with setup carry-over among the periods. The CLSP is well studied and many heuristics have been proposed to solve it. Nevertheless, few researches explored the multi-plant capacitated lot sizing problem (MPCLSP), which means that few solution methods were proposed to solve it. Furthermore, to our knowledge, no study of the MPCLSP with setup carry-over was found in the literature. This paper presents a mathematical model and a GRASP (Greedy Randomized Adaptive Search Procedure) with path relinking to the MPCLSP with setup carry-over. This solution method is an extension and adaptation of a previously adopted methodology without the setup carry-over. Computational tests showed that the improvement of the setup carry-over is significant in terms of the solution value with a low increase in computational time.

Merluccius hubbsi (Teleostei: Merlucciidae): stock identification based on reproductive biology in the south-southeast brazilian region

The Argentine hake, Merluccius hubbsi, a demersal-pelagic species found from Rio de Janeiro, Brazil to the Tierra del Fuego, Argentina, has become an important target of the Brazilian bottom-trawler fleet since 2001. Earlier studies focusing on the species have suggested that more than one stock might occur off the Brazilian coast, in accordance with environmental features. In order to evaluate this hypothesis, fish were collected from four different areas in the Brazilian waters in which the hake is distributed, during the summers and winters of 1996-2001 and 2004, the females being used to analyze and compare spatial-temporal variations in ovarian maturation. Gonad indexes were also applied for the same purpose. Results indicate a north-south spawning gradient occurring as from summer at around 21°S to winter near 34°S, leading to the identification of two distinct stocks: one located between 21°S and 29°S (Southeastern stock) and the other between 29°S and 34°S (Southern stock), this latter shared with Uruguay and Argentina. Brazilian stocks present clear signs of overexploitation, the situation calling for an urgent solution.

Nutritional characteristics and in vitro digestibility of silages from different corn cultivars harvested at two cutting heights

The objective of this study was to evaluate the nutritional traits and in vitro digestibility of silages from different corn cultivars harvested at two cutting heights. It was evaluated 11 cultivars (Dina 766, Dina 657, Dina 1000, P 3021, P 3041, C 805, C 333, AG 5011, FO 01, Dina co 9621 and BR 205) harvest 5 cm above ground (low) and 5 cm below the intersection of the first ear (high). It was used a random block design (three blocks), arranged in a 11 × 2 factorial scheme. Silages from plants harvested at high cutting height presented average content of dry matter significantly superior to silages from plants harvested at low height. Cultivars FO 01, AG 5011, Dina co 9621 and Dina 766 presented greater content of crude protein than cultivars C 805, P 3041 and P 3021, which presented the lowest contents of this nutrient. The raise in the cut height increased in vitro dry matter true digestibility coefficients and in vitro dry matter digestibility of silage evaluated. The increase in cut height improved nutritive value of silages by decreasing concentrations of fibrous fractions and increasing in vitro dry matter digestibility.

Evaluation of corn cultivars harvested at two cutting heights for ensilage

The objective of this study was to evaluate the agronomic characteristics, bromatological-chemical composition and digestibility of 11 corn cultivars (Zea mays) harvested at two cutting heights. Cultivars D 766, D 657, D 1000, P 3021, P 3041, C 805, C 333, AG 5011, FO 01, CO 9621 and BR 205 were evaluated when they were harvested 5 cm above ground (low) and 5 cm below the insertion of the first ear (high). The experiment was designed as random blocks, with three replicates, arranged in an 11 x 2 factorial scheme. Cultivars presented similar productions of forage dry matter and grains. Percentages of stalk, leaf, straw, cob and kernel fractions were different among cultivars, as well as dry matter content of the whole plant at harvest. Considering the whole plant, only the contents of gross energy, nitrogen in neutral detergent fiber, and in vitro neutral and acid detergent fiber digestibility did not differ among cultivars. Increase on the cutting height improved forage quality due to the reduction of stalk and leaf fractions and contents of cell wall constituents.

A hepcidina como parâmetro bioquímico na avaliação da anemia por deficiência de ferro

A anemia por deficiência de ferro caracteriza-se como o mais prevalente problema nutricional em todo o mundo. Nesta revisão reuniu-se informações a respeito do metabolismo da hepcidina, avaliando-se seu valor como parâmetro bioquímico na anemia por deficiência de ferro. Realizou-se um levantamento bibliográfico nas bases de dados PUBMED e LILACS, período 2006-2010, referentes à hepcidina como um biomarcador para a regulação do metabolismo do ferro. Foram localizados 35 estudos publicados em revistas internacionais e um estudo sobre o assunto em revista nacional. A produção de hepcidina é regulada homeostaticamente pela anemia e hipóxia. Quando a oferta de oxigênio está inadequada ocorre diminuição do nível de hepcidina. Consequentemente, maior quantidade de ferro proveniente da dieta e dos estoques dos macrófagos e hepatócitos se tornam disponíveis. A hepcidina possui a função de se ligar à ferroportina, regulando a liberação do ferro para o plasma. Quando as concentrações de hepcidina estão baixas, as moléculas de ferroportina são expostas na membrana plasmática e liberam o ferro. Quando os níveis de hepcidina aumentam, a hepcidina liga-se às moléculas de ferroportina induzindo sua internalização e degradação, e o ferro liberado diminui progressivamente. Aparentemente o desenvolvimento do diagnóstico e terapia da anemia baseados no bioindicador hepcidina pode oferecer uma abordagem mais efetiva. Estudos epidemiológicos são necessários para comprovar o valor da hepcidina no diagnóstico diferencial das anemias, incluindo protocolos de amostragem para análise, com padronização similar às utilizadas em outras avaliações bioquímicas, e estabelecimento de pontos de corte para a expressão urinária e plasmática desse peptídeo

Herbage accumulation, growth and structural characteristics of Mombasa grass (Panicum maximum Jacq.) harvested at different cutting intervals

The objective of the present study was to evaluate herbage accumulation, morphological composition, growth rate and structural characteristics in Mombasa grass swards subject to different cutting intervals (3, 5 and 7 wk) during the rainy and dry seasons of the year. Treatments were assigned to experimental units (17.5 m(2)) according to a complete randomised block design, with four replicates. Herbage accumulation was greater in the rainy than in the dry season (83 and 17%, respectively). Herbage accumulation (24,300 kg DM ha(-1)), average growth rate (140 kg DM ha(-1) d(-1)) and sward height (111 cm) were highest in the 7 wk cutting interval, but leaf proportion (56%), leaf:stem (1.6) and leaf:non leaf (1.3) ratios decreased. Herbage accumulation, morphological composition and sward structure of Mombasa grass sward may be manipulated through defoliation frequency. The highest leaf proportion was recorded in the 3-wk cutting interval. Longer cutting intervals affected negatively sward structure, with potential negative effects on utilization efficiency, animal intake and performance.

Work disability remains a major problem in rheumatoid arthritis in the 2000s: data from 32 countries in the QUEST-RA Study

Introduction: Work disability is a major consequence of rheumatoid arthritis (RA), associated not only with traditional disease activity variables, but also more significantly with demographic, functional, occupational, and societal variables. Recent reports suggest that the use of biologic agents offers potential for reduced work disability rates, but the conclusions are based on surrogate disease activity measures derived from studies primarily from Western countries. Methods: The Quantitative Standard Monitoring of Patients with RA (QUEST-RA) multinational database of 8,039 patients in 86 sites in 32 countries, 16 with high gross domestic product (GDP) (>24K US dollars (USD) per capita) and 16 low-GDP countries (<11K USD), was analyzed for work and disability status at onset and over the course of RA and clinical status of patients who continued working or had stopped working in high-GDP versus low-GDP countries according to all RA Core Data Set measures. Associations of work disability status with RA Core Data Set variables and indices were analyzed using descriptive statistics and regression analyses. Results: At the time of first symptoms, 86% of men (range 57%-100% among countries) and 64% (19%-87%) of women <65 years were working. More than one third (37%) of these patients reported subsequent work disability because of RA. Among 1,756 patients whose symptoms had begun during the 2000s, the probabilities of continuing to work were 80% (95% confidence interval (CI) 78%-82%) at 2 years and 68% (95% CI 65%-71%) at 5 years, with similar patterns in high-GDP and low-GDP countries. Patients who continued working versus stopped working had significantly better clinical status for all clinical status measures and patient self-report scores, with similar patterns in high-GDP and low-GDP countries. However, patients who had stopped working in high-GDP countries had better clinical status than patients who continued working in low-GDP countries. The most significant identifier of work disability in all subgroups was Health Assessment Questionnaire (HAQ) functional disability score. Conclusions: Work disability rates remain high among people with RA during this millennium. In low-GDP countries, people remain working with high levels of disability and disease activity. Cultural and economic differences between societies affect work disability as an outcome measure for RA.

An analytical approach to the dwarf galaxies cusp problem

Aims. An analytical solution for the discrepancy between observed core-like profiles and predicted cusp profiles in dark matter halos is studied. Methods. We calculate the distribution function for Navarro-Frenk-White halos and extract energy from the distribution, taking into account the effects of baryonic physics processes. Results. We show with a simple argument that we can reproduce the evolution of a cusp to a flat density profile by a decrease of the initial potential energy.

Ants Can Learn to Forage on One-Way Trails

The trails formed by many ant species between nest and food source are two-way roads on which outgoing and returning workers meet and touch each other all along. The way to get back home, after grasping a food load, is to take the same route on which they have arrived from the nest. In many species such trails are chemically marked by pheromones providing orientation cues for the ants to find their way. Other species rely on their vision and use landmarks as cues. We have developed a method to stop foraging ants from shuttling on two-way trails. The only way to forage is to take two separate roads, as they cannot go back on their steps after arriving at the food or at the nest. The condition qualifies as a problem because all their orientation cues-chemical, visual or any other - are disrupted, as all of them cannot but lead the ants back to the route on which they arrived. We have found that workers of the leaf-cutting ant Atta sexdens rubropilosa can solve the problem. They could not only find the alternative way, but also used the unidirectional traffic system to forage effectively. We suggest that their ability is an evolutionary consequence of the need to deal with environmental irregularities that cannot be negotiated by means of excessively stereotyped behavior, and that it is but an example of a widespread phenomenon. We also suggest that our method can be adapted to other species, invertebrate and vertebrate, in the study of orientation, memory, perception, learning and communication.