The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Alianças estratégicas: análise do sector exportador de produtos português

Dissertação de Mestrado em Finanças Empresariais

Transmission costs allocation based on optimal re-dispatch

Congestion management of transmission power systems has achieve high relevance in competitive environments, which require an adequate approach both in technical and economic terms. This paper proposes a new methodology for congestion management and transmission tariff determination in deregulated electricity markets. The congestion management methodology is based on a reformulated optimal power flow, whose main goal is to obtain a feasible solution for the re-dispatch minimizing the changes in the transactions resulting from market operation. The proposed transmission tariffs consider the physical impact caused by each market agents in the transmission network. The final tariff considers existing system costs and also costs due to the initial congestion situation and losses. This paper includes a case study for the 118 bus IEEE test case.

Orientation system for people with cognitive disabilities

In health care there has been a growing interest and investment in new tools to have a constant monitoring of patients. The increasing of average life ex-pectation and, consequently, the costs in health care due to elderly population are the motivation for this investment. However, healthmonitoring is not only important to elderly people, it can be also applied to people with cognitive disabilities. In this article we present some systems, which try to support these persons on doing their day-to-day activities and how it can improve their life quality. Also, we present an idea to a project that tries to help the persons with cognitive disabilities by providing assistance in geo-guidance and keep their caregivers aware of their location.

Impact of the background Region of Interest in the relative renal function

Renal scintigraphy with 99mTc-dimercaptosuccinic acid (99mTc-DMSA) is performed with the aim of detect cortical abnormalities related to urinary tract infection and accurately quantify relative renal function (RRF). For this quantitative assessment Nuclear Medicine Technologist should draw regions of interest (ROI) around each kidney (KROI) and peri-renal background (BKG) ROI although controversy still exists about BKG-ROI. The aim of this work was to evaluate the effect of the normalization procedure, number and location of BKG-ROI on the RRF in 99mTc-DMSA scintigraphy.

Arquitetura para aquisição de respostas a perguntas frequentes

Dissertação de natureza científica realizada para obtenção do grau de Mestre em Engenharia Informática e de Computadores

Cost of schizophrenia: direct costs and use of resources in the State of São Paulo

OBJECTIVE: To estimate the direct costs of schizophrenia for the public sector. METHODS: A study was carried out in the state of São Paulo, Brazil, during 1998. Data from the medical literature and governmental research bodies were gathered for estimating the total number of schizophrenia patients covered by the Brazilian Unified Health System. A decision tree was built based on an estimated distribution of patients under different types of psychiatric care. Medical charts from public hospitals and outpatient services were used to estimate the resources used over a one-year period. Direct costs were calculated by attributing monetary values for each resource used. RESULTS: Of all patients, 81.5% were covered by the public sector and distributed as follows: 6.0% in psychiatric hospital admissions, 23.0% in outpatient care, and 71.0% without regular treatment. The total direct cost of schizophrenia was US$191,781,327 (2.2% of the total health care expenditure in the state). Of this total, 11.0% was spent on outpatient care and 79.2% went for inpatient care. CONCLUSIONS: Most schizophrenia patients in the state of São Paulo receive no regular treatment. The study findings point out to the importance of investing in research aimed at improving the resource allocation for the treatment of mental disorders in Brazil.

O leasing e a assimetria de informação: um estudo de caso no setor do transporte rodoviário de mercadorias

Dissertação de Mestrado em Finanças Empresariais

Reliability of nasal auscultation and their relation to middle ear condition – a clinical interest to pediatrics respiratory physiotherapy

Background: Acute respiratory infections are usual in children under three years old occurring in upper respiratory tract, having an impact on child and caregiver’s quality of life predisposing to otitis media or bronchiolitis. There are few valid and reliable measures to determine the child’s respiratory condition and to guide the physiotherapy intervention. Aim: To assess the intra and inter rater reliability of nasal auscultation, to analyze the relation between sounds’ classification and middle ear’s pressure and compliance as well as with the Clinical Severity Score. Methods: A cross-sectional observational study was composed by 125 nursery children aged up to three years old. Tympanometry, pulmonary and nasal auscultation and application of Clinical Severity Score were performed to each child. Nasal auscultation sounds’ were recorded and sent to 3 blinded experts, that classified, as “obstructed” and “unobstructed”, with a 48 hours interval, in order to analyze inter and intra rater reliability. Results: Nasal auscultation revealed a substantial inter and intra rater reliability (=0,749 and evaluator A - K= 0,691; evaluator B - K= 0,605 and evaluator C - K= 0,724, respectively). Both ears’ pressure was significantly lower in children with an "unobstructed" nasal sound when compared with an “obstructed” nasal sound (t=-3,599, p<0,001 in left ear; t=-2,258, p=0,026 in right ear). Compliance in both ears was significantly lower in children with an "obstructed" nasal sound when compared with “unobstructed” nasal sound (t=-2,728, p=0,007 in left ear; t=-3,830, p<0,001 in right ear). There was a statistically significant association between sounds’ classification and tympanograms types in both ear’s (=11,437, p=0,003 in left ear; =13,535, p=0,001 in right ear). There was a trend to children with an "unobstructed" nasal sound that had a lower clinical severity score when compared with “obstructed” children. Conclusion: It was observed a good intra and substantial inter reliability for nasal auscultation. Nasal auscultation sounds’ classification was related to middle ears’ pressure and compliance.

Avaliação da cinetica bacteriana na biolixiviação de calcopirita

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Aplicação dos princípios da manutenção Lean na indústria farmacêutica

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Mecânica

Produção de hidrogénio por fotoeletrólise da água – aproveitamento do subproduto oxigénio

A noção de Economia relativa ao Hidrogénio no vocabulário dos líderes políticos e empresariais tem vindo a mudar sobretudo pela preocupação da poluição global, segurança energética e mudanças climáticas, para além do crescente domínio técnico dos cientistas e engenheiros. O interesse neste composto, que é o elemento mais simples e abundante no universo, está a crescer, devido aos avanços tecnológicos das células de combustível – as potenciais sucessoras das baterias dos aparelhos portáteis eletrónicos, centrais elétricas e motores de combustão interna. Existem métodos já bem desenvolvidos para produzir o hidrogénio. Contudo, destacase a eletrólise da água, não só por ser um método simples mas porque pode utilizar recursos energéticos renováveis, tais como, o vento ou os painéis fotovoltaicos, e aumentar a sua eficiência. Os desafios para melhorar a utilização deste método consistem em reduzir o consumo, a manutenção e os custos energéticos e aumentar a confiança, a durabilidade e a segurança. Mais ainda, consistem em rentabilizar o subproduto oxigénio pois é um gás industrial e medicinal muito importante. Neste trabalho, estudou-se a viabilidade económica da instalação de uma unidade de produção de hidrogénio e oxigénio puros por eletrólise da água, utilizando como fonte energética a energia solar, na empresa Gasoxmed – Gases Medicinais S.A., pretendendo num futuro próximo, comercializar o hidrogénio como fonte de energia, e por outro lado, aproveitar o subproduto oxigénio para utilização industrial. Projetou-se assim uma unidade utilizando um eletrolisador da marca Proton, modelo C30, com capacidade de produção gasosa de 3 kg/h (30 m3/h) de hidrogénio e 20 kg/h (15 m3/h) de oxigénio. Os gases produzidos são comprimidos num compressor da marca RIX a 200 bares para posterior armazenamento em cilindros pressurizados. Dimensionou-se ainda um sistema de miniprodução fotovoltaico com potência 250 kW para alimentar eletricamente a instalação. A realização do projeto na nova área de produção necessitará de 1.713.963€, os quais serão adquiridos por empréstimo bancário. Definiram-se todos os custos fixos associados ao projeto que perfazem um total de 62.554€/mês para os primeiros 5 anos (duração do crédito bancário) findo o qual diminuirão para 21.204€/mês. Da comercialização do hidrogénio, do oxigénio industrial e da eletricidade produzida no sistema de miniprodução de 250 kW, prevê-se um lucro mensal de 117.925€, perfazendo assim um total líquido mensal positivo de 55.371€ durante os primeiros 5 anos e a partir daí de 96.721€/mês, resultando uma amortização do investimento inicial no final do 3º ano.

Sistemas hápticos no apoio à educação: estudo da aerodinâmica

É considerado um dos problemas na educação o facto de a aprendizagem poder ser muito baseada no uso da teoria. Sendo as experiências do ser humano uma grande parte da forma como vemos e vivemos o mundo, torna-se imprescindível o hábito da prática na formação do nosso conhecimento. Embora a teoria seja sempre necessária na construção de conceitos, deve ser complementada com a experiência de forma a consolidar a aprendizagem para melhor noção da realidade. Esta dissertação descreve uma didáctica para a integração de dispositivos hápticos aplicados à educação, concebendo assim um novo e inovador método de ensino aliado à prática. Dependendo da aceitação por parte dos alunos, este método de uso de tecnologia na educação para fins práticos pode revelar-se revolucionário. Experiências que seriam difíceis de realizar tornam-se possíveis de simular de uma forma real com a ajuda dos sistemas hápticos, em que a variedade de matérias que as aplicações podem simular é vasta. Especificamente, este trabalho fundamenta-se no estudo da aerodinâmica no voo com recurso a uma aplicação desenvolvida para o efeito e à potencialidade do aparelho háptico Novint Falcon, um interface sensorial táctil entre uma pessoa e um computador, de custo relativamente baixo em relação à generalidade dos preços deste tipo de dispositivos. Os testes que estudantes realizaram à aplicação revelaram grande interesse e curiosidade pela novidade da tecnologia háptica e apreciação no conceito do seu uso prático na educação. De forma geral, todos os alunos que participaram no ensaio do programa transmitiram feedback positivo, expressando maior ganho de motivação e desejo em ver este sistema aplicado a outras disciplinas.

The impact of financial disclosures in the measurement of notional interest rate swaps in the period of 2007-2012

Mestrado em Contabilidade

Direct medical costs associated with schizophrenia relapses in health care services in the city of São Paulo

OBJECTIVE: To assess direct medical costs associated with schizophrenia relapses in mental health services. METHODS: The study was conducted in three health facilities in the city of São Paulo: a public state hospital; a Brazilian National Health System (SUS)-contracted hospital; and a community mental health center. Medical records of 90 patients with schizophrenia who received care in 2006 were reviewed. Information on inpatient expenditures was collected and used for cost estimates. RESULTS: Mean direct medical cost of schizophrenia relapses per patient was US$ 4,083.50 (R$ 8,167.58) in the public state hospital; US$ 2,302.76 (R$ 4,605.46) in the community mental health center; and US$ 1,198.50 (R$ 2,397.74) in the SUS-affiliated hospital. The main component was daily inpatient room rates (87% - 98%). Medication costs varied depending on the use of typical or atypical antipsychotic drugs. Atypical antipsychotic drugs were more often used in the community mental health center. CONCLUSIONS: Costs associated with schizophrenia relapses support investments in antipsychotic drugs and strategies to reduce disease relapse and the need for mental health inpatient services. Treating patients in a community mental health center was associated with medium costs and added the benefit of not depriving these patients from family life.