667 research outputs found
The new collective spaces: spaces of consum and leisure
El presente artículo está centrado en el impacto producido por los
centros comerciales urbanos y otros artefactos arquitectónicos de ocio
y consumo en su entorno próximo. Al contrario del discurso corriente
y más mediatizado, se defiende la idea de que algunas veces estos
objetos tienen un impacto tremendamente positivo en la renovación
del espacio urbano contemporáneo, generando nueva edificación,
mejoras en el espacio público y un incremento sustancial de la actividad
económica existente.This article focuses on the impact produced by urban shopping
centers and other architectural artifacts of leisure and
consumption in its immediate environment. Unlike the current
discourse and the media, the author defends the idea that
sometimes these objects have a tremendously positive impact on
the renewal of contemporary urban space, creating new
buildings, improving public space and a substantial increase of
existing economic activity.Peer Reviewe
Three essays on the valuation of American-style options
Classificação: G13Esta tese aborda a avaliac¸ ˜ao de opc¸ ˜oes de estilo Americano, com e sem barreira, em
tr ˆes artigos distintos:
A. Pricing and Static Hedging of American-style Options under the Jump to Default
Extended CEV Model
Este artigo avalia (e faz o hedging) de opc¸ ˜oes de estilo Americano atrav´es do static
hedge approach (SHP) proposto por Chung and Shih (2009) e estende a literatura
em duas direc¸ ˜oes. Primeiramente, o SHP ´e adaptado ao modelo jump to default
extended CEV (JDCEV) de Carr and Linetsky (2006), e s˜ao avaliadas opc¸ ˜oes de
estilo Americano sem barreira sobre activos com possibilidade de fal ˆ encia. A robustez
e a efici ˆencia das soluc¸ ˜oes de avaliac¸ ˜ao propostas, s˜ao comparadas com
o optimal stopping approach de Nunes (2009), no ˆambito dos modelos JDCEV e
constant elasticity of variance (CEV) de Cox (1975), considerando diferentes valores
para o parˆametro de elasticidade. Em segundo lugar, tanto o SHP como o
optimal stopping approach s˜ao estendidos para a avaliac¸ ˜ao de opc¸ ˜oes de estilo
Americano com um cap.
B. General Put-Call Symmetry for American-style Barrier Options
Este artigo deriva relac¸ ˜oes de simetria put-call para opc¸ ˜oes de estilo Americano
com uma e duas barreiras. Usando a t ´ecnica de mudanc¸a de numer´ ario proposta por Geman et al. (1995) e Schroder (1999) estas simetrias s˜ao derivadas sem
impor restric¸ ˜oes pr ´evias sobre o processo estoc´ astico seguido pelo activo subjacente.
Os resultados s˜ao testados atrav´es de uma extensa an´ alise num´ erica sob
o modelo constant elasticity of variance.
C. In-Out Parity Relations and Early Exercise Boundaries for American-style Barrier
Options
Este artigo deriva novas relac¸ ˜oes de paridade in-out para puts de estilo Americano
com uma barreira inferior e calls de estilo Americano com uma barreira superior.
Mais importante, ´e proposta uma nova representac¸ ˜ao da fronteira de exerc´ıcio
antecipado para opc¸ ˜oes de estilo Americano com dupla barreira knock-out, em
termos da fronteira de exerc´ıcio ´optimo de uma opc¸ ˜ao de estilo Americano com
uma s´o barreira. Assim sendo, o m´etodo static hedge portfolio ´e estendido para
a avaliac¸ ˜ao de opc¸ ˜oes de estilo Americano com dupla barreira knock-out. Os resultados
s˜ao testados atrav´es de uma extensa an´ alise num´ erica sob os modelos
geometric Brownian motion e constant elasticity of variance.This thesis addresses the valuation of American-style standard and barrier options in
three separate and self-contained papers:
A. Pricing and Static Hedging of American-style Options under the Jump to Default
Extended CEV Model
This paper prices (and hedges) American-style options through the static hedge
approach (SHP) proposed by Chung and Shih (2009) and extends the literature in
two directions. First, the SHP approach is adapted to the jump to default extended
CEV (JDCEV) model of Carr and Linetsky (2006), and plain-vanilla American-style
options on defaultable equity are priced. The robustness and efficiency of the proposed
pricing solutions are compared with the optimal stopping approach offered
by Nunes (2009), under both the JDCEV framework and the nested constant elasticity
of variance (CEV) model of Cox (1975), using different elasticity parameter
values. Second, both the SHP and the optimal stopping approaches are extended
to the valuation of American-style capped options.
B. General Put-Call Symmetry for American-style Barrier Options
This paper derives put-call symmetries for American-style single and double barrier
options. Using the change of numeraire technique proposed by Geman et al.
(1995) and Schroder (1999) we are able to derive these symmetries without imposing previous assumptions on the process followed by the underlying asset. Our
results are tested through an extensive numerical analysis run under the constant
elasticity of variance model.
C. In-Out Parity Relations and Early Exercise Boundaries for American-style Barrier
Options
This paper derives new in-out parity relations for American-style puts with a down
barrier and American-style calls with an up barrier. More importantly, we also propose
a novel representation for the early exercise boundary of American-style double
knock-out options in terms of the simpler optimal stopping boundary for a nested
single barrier American-style option. Therefore, we are able to extend the static
hedge portfolio approach to the valuation of American-style double barrier knockout
options. Our results are tested through an extensive numerical analysis run
under the geometric Brownian motion (GBM) and the constant elasticity of variance
models
Interferometric mapping of test mass surfaces for precise position determination in inertial sensors
Novel inertial reference sensors for space applications using optical readout of a Spherical
proof mass (SPM), which enable full drag-free operations, are being studied for future
space programs such as Laser Interferometer Space Antenna (LISA) and Big Bang Observer.
Using this concept results in the reduction of residual acceleration noise by the
proof mass, but with the SPM under rotation the surface topography induces errors in
the center of mass position determination due to factors like surface finish, that changes
the optical path length on a nanometer scale, and the reflection angle.
To determine successfully the center of mass position with picometer accuracy, a
surface map of the proof mass is necessary in order to correct the measurement data, thus
improving the precision of the position determination.
An experimental setup using double heterodyne interferometer in opposing configuration
developed by Airbus, Friedrichshafen, is used to map one single surface circumference
of a continuously rotating proof mass. In this thesis, enhancements were done
to allow a complete surface map of the SPM with picometer accuracy at relevant angular
frequencies. Enhancements made were: The inertial-mass degrees of freedom were
increased by adding a second rotational stage. Overall software performance has been
improved by implementing fast angle read-out by the encoders. Code in LabVIEW and
MATLAB has been developed, capable of making a full 2D surface map of the SPM for
calibration of errors in the determination of the position of the center of mass. Data
acquisition has been sped up to enable low-noise full 2D surface maps
Hybrid artificial intelligence algorithms for short-term load and price forecasting in competitive electric markets
The liberalization and deregulation of electric markets forced the various participants to accommodate several challenges, including: a considerable accumulation of new generation capacity from renewable sources (fundamentally wind energy), the unpredictability associated with these new forms of generation and new consumption patterns, contributing to further electricity prices volatility (e.g. the Iberian market).
Given the competitive framework in which market participants operate, the existence of efficient computational forecasting techniques is a distinctive factor. Based on these forecasts a suitable bidding strategy and an effective generation systems operation planning is achieved, together with an improved installed transmission capacity exploitation, results in maximized profits, all this contributing to a better energy resources utilization.
This dissertation presents a new hybrid method for load and electricity prices forecasting, for one day ahead time horizon. The optimization scheme presented in this method, combines the efforts from different techniques, notably artificial neural networks, several optimization algorithms and wavelet transform. The method’s validation was made using different real case studies. The subsequent comparison (accuracy wise) with published results, in reference journals, validated the proposed hybrid method suitability.O processo de liberalização e desregulação dos mercados de energia elétrica, obrigou os diversos participantes a acomodar uma série de desafios, entre os quais: a acumulação considerável de nova capacidade de geração proveniente de origem renovável (fundamentalmente energia eólica), a imprevisibilidade associada a estas novas formas de geração e novos padrões de consumo. Resultando num aumento da volatilidade associada aos preços de energia elétrica (como é exemplo o mercado ibérico).
Dado o quadro competitivo em que os agentes de mercado operam, a existência de técnicas computacionais de previsão eficientes, constituí um fator diferenciador. É com base nestas previsões que se definem estratégias de licitação e se efetua um planeamento da operação eficaz dos sistemas de geração que, em conjunto com um melhor aproveitamento da capacidade de transmissão instalada, permite maximizar os lucros, realizando ao mesmo tempo um melhor aproveitamento dos recursos energéticos.
Esta dissertação apresenta um novo método híbrido para a previsão da carga e dos preços da energia elétrica, para um horizonte temporal a 24 horas. O método baseia-se num esquema de otimização que reúne os esforços de diferentes técnicas, nomeadamente redes neuronais artificiais, diversos algoritmos de otimização e da transformada de wavelet. A validação do método foi feita em diferentes casos de estudo reais. A posterior comparação com resultados já publicados em revistas de referência, revelou um excelente desempenho do método hibrido proposto
Market neutral volatility: a different approach to the S&P 500 options market efficiency
Under the efficient market hypothesis, an options price’s implied volatility should be
the best possible forecast of the future realized volatility of the underlying asset. In spite
of this theoretical proposition, a vast number of studies in the financial literature found
that implied volatility is a biased estimator of the future realized volatility. These
findings suggest that we are either in the presence of an inefficient market or that
econometric models fail on that purpose.
In this thesis, by introducing the concept of Market Neutral Volatility and the derivation
of a theoretical model, we show what in fact the implied volatility forecasts and we
prove that the S&P 500 options market is efficient. This property of the S&P 500
options market assures that the implied volatility cannot be a biased forecast of its
future realized volatility. Thus, we conclude that the bias of the implied volatility
estimator is due to the inadequacy of the commonly used econometric approaches.Sob a hipótese de eficiência dos mercados, a volatilidade implícita de uma opção deve
ser a melhor previsão possível da futura volatilidade realizada do activo subjacente.
Apesar deste argumento teórico, um vasto número de estudos realizados na literatura
financeira, concluem que a volatilidade implícita é um estimador enviesado da
volatilidade realizada futura. Estes resultados sugerem que, ou estamos na presença de
um mercado ineficiente, ou que a metodologia econométrica utilizada é inadequada.
Através da introdução do conceito de Market Neutral Volatility e da derivação de um
modelo teórico, é demonstrado, o que na realidade a volatilidade implícita estima, e
provamos que o mercado de opções sobre o S&P 500 é eficiente. A eficiência do
mercado de opções sobre o S&P 500, garante que a volatilidade implícita desse mercado
não pode ser um estimador enviesado da volatilidade realizada futura. Estes resultados
permitem concluir que o problema da obtenção de estimativas enviesadas, deverá
resultar do uso de metodologias econométricas inadequadas
Semiclassical treatment of quantum chaotic transport with a tunnel barrier
We consider the problem of a semiclassical description of quantum chaotic
transport, when a tunnel barrier is present in one of the leads. Using a
semiclassical approach formulated in terms of a matrix model, we obtain
transport moments as power series in the reflection probability of the barrier,
whose coefficients are rational functions of the number of open channels M. Our
results are therefore valid in the quantum regime and not only when .
The expressions we arrive at are not identical with the corresponding
predictions from random matrix theory, but are in fact much simpler. Both
theories agree as far as we can test.Comment: 17 pages, 5 figure
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