Hedge em carteiras de opções exóticas no Brasil

O objetivo do trabalho é efetuar uma análise empírica de estratégias de hedge no mercado brasileiro de derivativos. Em particular, consideramos uma carteira de opções exóticas com barreira do tipo knock-in e knock-out. Além das tradicionais estratégias de hedge estático e dinâmico, propomos também uma abordagem alternativa definida por uma estratégia híbrida de hedge. Os resultados apontam que todas as estratégias são eficazes do ponto de vista estatístico, porém a abordagem híbrida é a mais eficiente, combinando a precisão da dinâmica com os menores custos da estática.

Aplicación de la teoría de opciones reales a la determinación del momento óptimo de cosecha forestal

Se propone el enfoque de opciones reales como herramienta económico-financiera para la toma de decisiones estratégicas en el sector forestal. En términos de instrumentos financieros, consideraremos en particular una opción exótica conocida como barrier option del tipo knock-in. Suponemos que la proyección del precio de venta promedio de los subproductos sigue un proceso estocástico del tipo Geométrico Browniano, mientras que la producción se determina mediante simulación de un turno forestal. La decisión de talar la masa forestal surge de comparar en cada periodo, el valor de flujo de fondos en cada nodo (FFij(t)) de una rejilla binomial con el valor esperado en el próximo año (X t+1 x e−rΔ t) ). En un ejemplo analizado el criterio tradicional del VAN indica que el mayor valor actual se produce en el instante t = 0 (año 10), mientras que el enfoque de opciones reales arroja que el máximo valor de ejercicio se da en el periodo t = 8 (año 18).

Hedging in a discontinuous market: the barrier option

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Renewal equations for option pricing

In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.

HERITABILITY FOR RESISTANCE TO ROSETTE DISEASE IN EXOTIC VALENCIA GROUNDNUTS

Groundnut rosette disease (GRD) is the most destructive virus disease of Valencia groundnuts ( Arachis hypogaea L.) in sub-Saharan Africa. Cultural, biological and chemical control measures have received limited success due to small scale farmers’ inability to use them. Use of host plant resistance provides the most effective and economically viable management option for the resource poor farmers. This study was conducted to determine heritability for resistance to GRD in Valencia groundnuts. Six crosses; Valencia C (P1) × ICGV-SM 90704 (P2), Valencia C (P1) × ICGV-SM 96801(P2), Valencia C (P1) × ICGV-SM 99566 (P2), NuMex-M3 (P1) × ICGV-SM 90704 (P2), NuMex-M3 × ICGV-SM 96801 (P2), and NuMex-M3 (P1) × ICGV-SM 99566 (P2), were made to generate F1, F2, BC1P1 and BC1P2 populations. Data on GRD severity were collected on a 1-9 score scale. Genetic Advance as a percentage of the mean (GAM) and heritability were estimated using variance components. Phenotypic Coefficient of Variation (PCV) and Genotypic Coefficient of Variation (GCV) estimates were high (20.04-70.1%) in the six crosses, except for Valencia C × ICGV-SM 96801(18.1%) and NuMex-M3 × ICGV-SM 96801(17.1%), which exhibited moderate GCV values. Broad and narrow sense heritability estimates for GRD disease score ranged from 64.1 to 73.7% and 31 to 41.9%, respectively, in all the crosses. GAM was high in all the crosses (21-50.7%), except for Valencia C x ICGV-SM 96801 (14.67), M3 x ICGV-SM 99566 (18%) and NuMex-M3 x ICGV-SM 96801 (13.5%) crosses that exhibited moderate GAM. The study revealed the presence of variability of GRD resistance, implying that genetic improvement of these exotic materials is possible.

Action Of Essential Oils From Brazilian Native And Exotic Medicinal Species On Oral Biofilms.

Essential oils (EO) obtained from twenty medicinal and aromatic plants were evaluated for their antimicrobial activity against the oral pathogens Candida albicans, Fusobacterium nucleatum, Porphyromonas gingivalis, Streptococcus sanguis and Streptococcus mitis. The antimicrobial activity of the EO was evaluates by microdilution method determining Minimal Inhibitory Concentration. Chemical analysis of the oils compounds was performed by Gas chromatography-mass spectrometry (CG-MS). The most active EO were also investigated as to their actions on the biolfilm formation. The most of the essential oils (EO) presented moderate to strong antimicrobial activity against the oral pathogens (MIC--Minimal Inhibitory Concentrations values between 0.007 and 1.00 mg/mL). The essential oil from Coriandrum sativum inhibited all oral species with MIC values from 0.007 to 0.250 mg/mL, and MBC/MFC (Minimal Bactericidal/Fungicidal Concentrations) from 0.015 to 0.500 mg/mL. On the other hand the essential oil of C. articulatus inhibited 63.96% of S. sanguis biofilm formation. Through Scanning Eletronic Microscopy (SEM) images no changes were observed in cell morphology, despite a decrease in biofilm formation and changes on biofilm structure. Chemical analysis by Gas Chromatography-Mass Spectrometry (GC-MS) of the C. sativum essential oil revealed major compounds derivatives from alcohols and aldehydes, while Cyperus articulatus and Aloysia gratissima (EOs) presented mono and sesquiterpenes. In conclusion, the crude oil from C. articulatus exhibited the best results of antimicrobial activity e ability to control biofilm formation. The chemical analysis showed the presence of terpenes and monoterpenes such as a-pinene, a-bulnesene and copaene. The reduction of biofilms formation was confirmed from SEM images. The results of this research shows a great potential from the plants studied as new antimicrobial sources.

Contrasting Effects Of Land Use Intensity And Exotic Host Plants On The Specialization Of Interactions In Plant-herbivore Networks.

Human land use tends to decrease the diversity of native plant species and facilitate the invasion and establishment of exotic ones. Such changes in land use and plant community composition usually have negative impacts on the assemblages of native herbivorous insects. Highly specialized herbivores are expected to be especially sensitive to land use intensification and the presence of exotic plant species because they are neither capable of consuming alternative plant species of the native flora nor exotic plant species. Therefore, higher levels of land use intensity might reduce the proportion of highly specialized herbivores, which ultimately would lead to changes in the specialization of interactions in plant-herbivore networks. This study investigates the community-wide effects of land use intensity on the degree of specialization of 72 plant-herbivore networks, including effects mediated by the increase in the proportion of exotic plant species. Contrary to our expectation, the net effect of land use intensity on network specialization was positive. However, this positive effect of land use intensity was partially canceled by an opposite effect of the proportion of exotic plant species on network specialization. When we analyzed networks composed exclusively of endophagous herbivores separately from those composed exclusively of exophagous herbivores, we found that only endophages showed a consistent change in network specialization at higher land use levels. Altogether, these results indicate that land use intensity is an important ecological driver of network specialization, by way of reducing the local host range of herbivore guilds with highly specialized feeding habits. However, because the effect of land use intensity is offset by an opposite effect owing to the proportion of exotic host species, the net effect of land use in a given herbivore assemblage will likely depend on the extent of the replacement of native host species with exotic ones.

Detection of exotic massive hadrons in ultrahigh energy cosmic ray telescopes

We investigate the detection of exotic massive strongly interacting hadrons (uhecrons) in ultrahigh energy cosmic ray telescopes. The conclusion is that experiments such as the Pierre Auger Observatory have the potential to detect these particles. It is shown that uhecron showers have clear distinctive features when compared to proton and nuclear showers. The simulation of uhecron air showers, and its detection and reconstruction by fluorescence telescopes, is described. We determine basic cuts in observables that will separate uhecrons from the cosmic ray bulk, assuming this is composed by protons. If these are composed by a heavier nucleus, the separation will be much improved. We also discuss photon induced showers. The complementarity between uhecron detection in accelerator experiments is discussed.

Exotic phases induced by strong spin-orbit coupling in ordered double perovskites

We construct and analyze a microscopic model for insulating rocksalt ordered double perovskites, with the chemical formula A(2)BB'O(6), where the B' atom has a 4d(1) or 5d(1) electronic configuration and forms a face-centered-cubic lattice. The combination of the triply degenerate t(2g) orbital and strong spin-orbit coupling forms local quadruplets with an effective spin moment j=3/2. Moreover, due to strongly orbital-dependent exchange, the effective spins have substantial biquadratic and bicubic interactions (fourth and sixth order in the spins, respectively). This leads, at the mean-field level, to three main phases: an unusual antiferromagnet with dominant octupolar order, a ferromagnetic phase with magnetization along the [110] direction, and a nonmagnetic but quadrupolar ordered phase, which is stabilized by thermal fluctuations and intermediate temperatures. All these phases have a two-sublattice structure described by the ordering wave vector Q=2 pi(001). We consider quantum fluctuations and argue that in the regime of dominant antiferromagnetic exchange, a nonmagnetic valence-bond solid or quantum-spin-liquid state may be favored instead. Candidate quantum-spin-liquid states and their basic properties are described. We also address the effect of single-site anisotropy driven by lattice distortions. Existing and possible future experiments are discussed in light of these results.

Bioactive compounds and antioxidant capacity of exotic fruits and commercial frozen pulps from Brazil

The objective of this work was to characterize exotic fruits (cambuci, araca-boi, camu-camu, jaracatia, araca) and commercial frozen pulps (araca, cambuci, umbu, coquinho, pana, native passion fruit, cagaita) from Brazil in relation to their bioactive compounds contents and antioxidant capacity. Camu-camu (Myrciaria dubia) presented the highest vitamin C and total phenolics contents (397 and 1797 mg/100 g f.w., respectively) and the highest DPPH(center dot) scavenging capacity. Coquinho (Butia capitata) also showed a significant vitamin C content (43 mg/100 g f.w.). Among the commercial frozen pulps, cagaita presented the higher DPPH scavenging activity and inhibition of beta-carotene bleaching. A good correlation between total phenols and DPPH scavenging activity was found for fruits (r = 0.997) and commercial frozen pulps (r = 0.738). However, no correlation was found for total phenols and inhibition of beta-carotene bleaching. Quercetin and kaempferol derivatives were the main flavonoids present in all samples and cyanidin derivatives were detected only in camu-camu. Camu-camu and araca (Psidium guineensis) showed the highest total ellagic acid contents (48 and 63.5 mg/100 g f.w.). All commercial frozen pulps presented lower contents of bioactive compounds and antioxidant capacity than their respective fruits. According to our results, camu-camu and araca might be sources of bioactive compounds.

Is ultra-rapid opioid detoxification a viable option in the treatment of opioid dependence?

Ultra-rapid opioid detoxification (UROD) involves the acceleration of opioid withdrawal hv administering thp opioid receptor antagonist naltrexone under general anaesthesia. There is evidence from uncontrolled and a few controlled studies that UROD accelerates opioid withdrawal and that it achieves high rates of completion of acute opioid withdrawal. However, there is clear evidence that the use of a general anaesthetic is not required to accelerate withdrawal or to achieve high rates of completion of acute opioid withdrawal. These goals can be achieved by using naltrexone or naloxone to accelerate withdrawal under light sedation, a procedure known as rapid opioid detoxification under sedation (ROD). There is also evidence that use of an opioid antagonist is not required to achieve a high rate of completion of acute opioid withdrawal. The mixed agonist-antagonist buprenorphine has achieved comparable rates of completion in similarly selected patients with fewer withdrawal symptoms. There is no evidence from controlled trials that either UROD or ROD increases the rate of abstinence from opioids 6 or 12 months after withdrawal. UROD and ROD may increase the number of patients who are inducted onto naltrexone maintenance (NM) therapy but extensive experience with NM therapy suggests that it only has a limited role in selected patients. Given the lack of evidence of substantially increased rates of abstinence, and the need for anaesthetists and high dependency beds, UROD has at best a very minor role in the treatment of a handful of opioid dependent patients who are unable to complete withdraw in any other way. ROD may have more of a role as one option for opioid withdrawal in well motivated patients who want to be rapidly inducted onto NM therapy or who want to enter other types of abstinence-oriented treatment.

Laryngeal split and rib cartilage interpositional grafting: Treatment option for glottic/subglottic stenosis in adults

Objectives: Severe glottic/subglottic stenosis (complex laryngotracheal stenosis) is a rare but challenging complication of endotracheal intubation. Laryngotracheal reconstruction with cartilage graft and an intralaryngeal stent is a procedure described for complex laryngotracheal stenosis management in children; however, for adults, few options remain. Our aim was to analyze the results of laryngotracheal reconstruction as a treatment for complex laryngotracheal stenosis in adults, considering postoperative and long-term outcome. Methods: Laryngotracheal reconstruction (laryngeal split with anterior and posterior interposition of a rib cartilage graft) has been used in our institution to manage glottic/subglottic stenosis restricted to the larynx; laryngotracheal reconstruction associated with cricotracheal resection has been used to treat glottic/subglottic/upper tracheal stenosis (extending beyond the second tracheal ring). A retrospective study was conducted, including all patients with complex laryngotracheal stenosis treated surgically in our institution from January of 2002 until December of 2005. Results: Twenty patients (10 male and 10 female patients; average age, 36.13 years; age range, 18-54 years) were included. There were no deaths, and the postoperative complications were as follows: dysphonia, 25%; subcutaneous emphysema, 10%; tracheocutaneous fistula, 20%; wound infection, 15%; and bleeding, 5.0%. Eighty percent of the patients were completely decannulated after a mean of 23.4 months of follow-up (range, 4 -55 months). Conclusions: Laryngeal split with anterior and posterior cartilage graft interposition as an isolated procedure or associated with a cricotracheal resection is a feasible and low-morbidity alternative for complex laryngotracheal stenosis treatment.

Therapeutic Option for Infected Urinary Tract Fistulas in Renal Transplantation

Background. Approximately 20% of urinary tract fistulas after renal allografting are complicated by urinary tract infection, which presents a therapeutic challenge. Objective. To evaluate an option for treatment of urinary tract fistulas associated with urinary tract infection and unsuitable for minimally invasive or primary surgical urinary tract repair. Patients and Methods. The study included 650 recipients who underwent transplantation over 17 years. Urinary leakage was initially treated with indwelling bladder catheterization. Patients with fistulas refractory to treatment underwent surgical intervention to repair the urinary tract. In patients who were not candidates for primary repair of the urinary tract, temporary urinary diversion was performed, rather than classic percutaneous or open nephrostomy, using a ureteral stent (ie, a 6F or 8F Foley catheter with the balloon placed inside the renal pelvis). Results. Overall, urinary leakage occurred in 36 patients (5.5%). Conservative management was successful in 14 vesical fistulas (42.4%) and no ureteral fistulas (0%). Three patients died of sepsis during conservative treatment, before the new surgical approach. Five of 36 urinary leaks (13.9%) were managed using ureteral intubation with an 8F Foley catheter, with a success rate of 80%. Conclusion. Ureteral catheterization with an 8F Foley catheter is a feasible therapeutic option to treat complicated urinary tract fistulas unsuitable for primary surgical repair of the urinary tract.

Thiele massage as a therapeutic option for women with chronic pelvic pain caused by tenderness of pelvic floor muscles

Aims and objectives Musculoskeletal system has been found to be involved in genesis and perpetuation of chronic pelvic pain (CPP) and has strong evidences that up to 80% of women with CPP present dysfunction of the musculoskeletal system. In this study, we report a series of women with CPP caused by tenderness of pelvic floor muscles successfully treated with Thiele massage. Methods Were included in this study six women with CPP caused by tenderness of the levator ani muscle that underwent transvaginal massage using the Thiele technique, over a period of 5 minutes repeated once a week for 4 weeks. After 1 month, the women returned for follow-up. Results The median tenderness score for the six women evaluated was 3 at the first evaluation and 0 after 1 month of follow-up (P < 0.01). The mean Visual Analogue Scale and McGill Pain Index scores were 8.1 and 34, respectively, at the first evaluation, and 1.5 and 16.6 at follow-up (P < 0.01). Conclusion Thiele massage appears to be very helpful for women with CPP caused by tenderness of the levator ani muscle. However, these results are preliminary and a larger number of women are necessary to obtain more conclusive results.