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

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

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

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

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

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 $M\gg 1$. 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