Model risk in the pricing of exotic options

The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Variance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework.

Avaliação da função ventricular esquerda e dimensão da aurícula esquerda por Vscan® e relatório de estágio

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular. Área de especialização: Ultrassonografia Cardiovascular.

Deformação miocárdica em atletas de diferentes modalidades – Um estudo por 2D Speckle Tracking: projecto de investigação

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular. Área de Especialização: Ultrassonografia Cardiovascular

Deformação miocárdica analisada por Speckle Tracking, em doentes hipertensos com fracção de ejecção preservada

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular - Área de especialização: Ultrassonografia Cardiovascular.

Study of the influence of count’s number in myocardium in the determination of reproducible functional parameters in Gated-SPECT studies simulated with GATE

Myocardial Perfusion Gated Single Photon Emission Tomography (Gated-SPET) imaging is used for the combined evaluation of myocardial perfusion and left ventricular (LV) function. But standard protocols of the Gated-SPECT studies require long acquisition times for each study. It is therefore important to reduce as much as possible the total duration of image acquisition. However, it is known that this reduction leads to decrease on counts statistics per projection and raises doubts about the validity of the functional parameters determined by Gated-SPECT. Considering that, it’s difficult to carry out this analysis in real patients. For ethical, logistical and economical matters, simulated studies could be required for this analysis. Objective: Evaluate the influence of the total number of counts acquired from myocardium, in the calculation of myocardial functional parameters (LVEF – left ventricular ejection fraction, EDV – end-diastolic volume, ESV – end-sistolic volume) using routine software procedures.

Structural characterization of Co‐Re superlattices

Co‐Re superlattices were prepared with nominal periodicities of 65–67 Å and varying bilayer composition. The structural characterization was made by x‐ray diffraction and Rutherford backscattering spectrometry (RBS). First, second, and third order satellites are observed in the x‐ray diffractogram at 2θ values and with intensities close to those predicted by simulation. This confirms the coherence of the superlattice. RBS measurements combined with RUMP simulations give information on interface sharpness and the absolute thicknesses of the Co and Re layers. Discrepancies between the experimental and simulated diffractograms are found for Co thicknesses below 18 Å.

Subunits of the chaperonin CCT are associated with Tetrahymena microtubule structures and are involved in cilia biogenesis

The cytosolic chaperonin CCT is a heterooligomeric complex of about 900 kDa that mediates the folding of cytoskeletal proteins. We observed by indirect immunofluorescence that the Tetrahymena TpCCTalpha, TpCCTdelta, TpCCTepsilon, and TpCCTeta-subunits colocalize with tubulin in cilia, basal bodies, oral apparatus, and contractile vacuole pores. TpCCT-subunits localization was affected during reciliation. These findings combined with atomic force microscopy measurements in reciliating cells indicate that these proteins play a role during cilia biogenesis related to microtubule nucleation, tubulin transport, and/or axoneme assembly. The TpCCT-subunits were also found to be associated with cortex and cytoplasmic microtubules suggesting that they can act as microtubule-associated proteins. The TpCCTdelta being the only subunit found associated with the macronuclear envelope indicates that it has functions outside of the 900 kDa complex. Tetrahymena cytoplasm contains granular/globular-structures of TpCCT-subunits in close association with microtubule arrays. Studies of reciliation and with cycloheximide suggest that these structures may be sites of translation and folding. Combined biochemical techniques revealed that reciliation affects the oligomeric state of TpCCT-subunits being tubulin preferentially associated with smaller CCT oligomeric species in early stages of reciliation. Collectively, these findings indicate that the oligomeric state of CCT-subunits reflects the translation capacity of the cell and microtubules integrity.

Relação entre função ventricular esquerda e os índices de captação miocárdio/pulmão em estudos Gated-SPECT

Introdução – A tomografia de emissão de fotão simples sincronizada com o sinal eletrocardiográfico (Gated-SPECT) é essencial para a avaliação conjunta da perfusão e da função ventricular esquerda (VE) do miocárdio. Objetivo – Investigar a relação entre a função VE e o índice de captação (IC) miocárdio/pulmão direito (M/PD) e M/P esquerdo (M/PE) nos estudos Gated-SPECT com 99mTc-Tetrofosmina. Metodologia – Amostra de 32 pacientes que realizaram estudos Gated-SPECT por indicação clínica, sendo subdividida em dois grupos: Grupo I (GI) – pacientes com a informação clínica de enfarte agudo do miocárdio (EAM); Grupo II (GII) – pacientes com a informação clínica de isquemia. Por cada paciente adquiriram-se imagens estáticas torácico-abdominais e dois estudos Gated-SPECT do miocárdio (protocolo de um dia esforço/repouso). Nas imagens estáticas definiram-se regiões de interesse (Regions of interest – ROI) para calcular os IC. Nos estudos Gated-SPECT utilizou-se o software Quantitative Gated SPECT/Quantitative Perfusion SPECT para calcular a Fração de Ejeção do Ventrículo Esquerdo (FEVE). Efetuou-se análise estatística descritiva para caracterização da amostra. Aplicou-se o teste de Spearman para avaliar a correlação entre a FEVE e os IC por grupo de pacientes. O Teste de Willcoxon foi usado para comparar FEVE em repouso e em esforço. Resultados – Nos estudos Gated-SPECT em esforço não se verificou correlação estatisticamente significativa entre a FEVE e os IC, para GI e GII; em repouso existe correlação positiva estatisticamente significativa entre a FEVE e os IC, para GI; para GII não se verificou correlação. Na comparação dos valores de FEVE em esforço e repouso nos dois grupos constatou-se a existência de diferenças estatisticamente significativas, sendo a FEVE em Esforço

Avaliação ecocardiográfica da insuficiência mitral concomitante, na substituição valvular aórtica isolada: é possível prevê-la?

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular - Ramo de especialização: Ultrassonografia Cardiovascular

The influence of count's number in myocardium in the determination of reproducible parameters in Gated-SPECT studies simulated with GATE

Myocardial Perfusion Gated Single Photon Emission Tomography (Gated-SPET) imaging is used for the combined evaluation of myocardial perfusion and left ventricular (LV). The purpose of this study is to evaluate the influence of the total number of counts acquired from myocardium, in the calculation of myocardial functional parameters using routine software procedures. Methods: Gated-SPET studies were simulated using Monte Carlo GATE package and NURBS phantom. Simulated data were reconstructed and processed using the commercial software package Quantitative Gated-SPECT. The Bland-Altman and Mann-Whitney-Wilcoxon tests were used to analyze the influence of the number of total counts in the calculation of LV myocardium functional parameters. Results: In studies simulated with 3MBq in the myocardium there were significant differences in the functional parameters: Left ventricular ejection fraction (LVEF), end-systolic volume (ESV), Motility and Thickness; between studies acquired with 15s/projection and 30s/projection. Simulations with 4.2MBq show significant differences in LVEF, end-diastolic volume (EDV) and Thickness. Meanwhile in the simulations with 5.4MBq and 8.4MBq the differences were statistically significant for Motility and Thickness. Conclusion: The total number of counts per simulation doesn't significantly interfere with the determination of Gated-SPET functional parameters using the administered average activity of 450MBq to 5.4MBq in myocardium.

Avaliação da viabilidade miocárdica pós-enfarte: Gated-SPECT versus Gated-PET

Mestrado em Medicina Nuclear - Ramo de especialização: Tomografia por Emissão de Positrões

Avaliação da função diastólica no ventrículo esquerdo em mulheres hipertensas com excesso de peso ou obesidade

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular - Ramo de especialização: Ultrassonografia Cardiovascular

Avaliação da função ventricular esquerda por ecocardiografia bidimensional com VVI em indivíduos hipertensos voluntários

Mestrado em Tecnologia de Diagnóstico e Intervenção Cardiovascular - Ramo de especialização: Ultrassonografia Cardiovascular

The influence of number of counts in the myocardium in the determination of reproducible functional parameters in gated-SPECT studies simulated with GATE

Myocardial perfusion gated-single photon emission computed tomography (gated-SPECT) imaging is used for the combined evaluation of myocardial perfusion and left ventricular (LV) function. The aim of this study is to analyze the influence of counts/pixel and concomitantly the total counts in the myocardium for the calculation of myocardial functional parameters. Material and methods: Gated-SPECT studies were performed using a Monte Carlo GATE simulation package and the NCAT phantom. The simulations of these studies use the radiopharmaceutical 99mTc-labeled tracers (250, 350, 450 and 680MBq) for standard patient types, effectively corresponding to the following activities of myocardium: 3, 4.2, 5.4-8.2MBq. All studies were simulated using 15 and 30s/projection. The simulated data were reconstructed and processed by quantitative-gated-SPECT software, and the analysis of functional parameters in gated-SPECT images was done by using Bland-Altman test and Mann-Whitney-Wilcoxon test. Results: In studies simulated using different times (15 and 30s/projection), it was noted that for the activities for full body: 250 and 350MBq, there were statistically significant differences in parameters Motility and Thickness. For the left ventricular ejection fraction (LVEF), end-systolic volume (ESV) it was only for 250MBq, and 350MBq in the end-diastolic volume (EDV), while the simulated studies with 450 and 680MBq showed no statistically significant differences for global functional parameters: LVEF, EDV and ESV. Conclusion: The number of counts/pixel and, concomitantly, the total counts per simulation do not significantly interfere with the determination of gated-SPECT functional parameters, when using the administered average activity of 450MBq, corresponding to the 5.4MBq of the myocardium, for standard patient types.

HEART ANEURYSM IN CHAGAS' DISEASE

This prospective study on 41 autopsy collected human hearts concerns the "apical" lesion in Chagas' disease. Previous report did not show a correlation between lesion frequency and heart weight then discarding a vascular factor in its pathogenesis. The present paper involves other variables besides the heart weight to evaluate the relative coronary insufficiency. Distinct colored gel (green and red) injected through the capillary beds of both coronary arteries defined the extent of both vessels before separating the atria and removing the sub-epicardium fat. The Right Ventricle (RV) and Left Ventricle (LV) free walls furnished the RV/LV mass ratio. The myocardium mass colored green (right coronary artery - RC) and the whole Ventricular Weight (VW) determined the RC/VW mass ratio. The heart weight plus these mass ratios, graded and added, composed a score inversely proportional to the myocardium irrigation condition. It intended to be a more sensitive morphologic evaluation of the relative ischaemia to correlate to the apical lesion. This study showed a right deviation for the relative accumulated frequency of lesions plotted as a score function and a significant difference for higher scores in hearts with aneurysm. It suggests a ischaemic factor intervening in the apical lesion pathogenesis in Chagas' cardiopathy.