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Pricing Volatility Referenced Assets
Alan De Genaro Dario
Revista Brasileira de Finan？as , 2006,
Abstract: Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993) stochastic volatility model. Additionally, the Heston (1993) model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.
Generating Interest Rate Stress Scenarios
Alan De Genaro Dario,Mariela Fernández
Revista Brasileira de Finan？as , 2011,
Abstract: This article describes the use of the Heath-Jarrow-Morton framework to generate stress scenarios for the term structure of the interest rate. By means of principal component analysis it is possible to reduce the dimensions of the problem and create a bridge between the information a specialist possesses for defining scenarios, such information generally being of low dimensions, and the robustness of the HJM model. The methodology is applied to Brazilian Market data during the market meltdown in 2008 and from other occasions.
Properties of Doubly Stochastic Poisson Process with affine intensity
Alan De Genaro Dario,Adilson Simonis
Quantitative Finance , 2011,
Abstract: This paper discusses properties of a Doubly Stochastic Poisson Process (DSPP) where the intensity process belongs to a class of affine diffusions. For any intensity process from this class we derive an analytical expression for probability distribution functions of the corresponding DSPP. A specification of our results is provided in a particular case where the intensity is given by one-dimensional Feller process and its parameters are estimated by Kalman filtering for high frequency transaction data.
Carbon Dioxide Concentrations and Light Levels on Growth and Mineral Nutrition of Juvenile Cacao Genotypes  [PDF]
Virupax C. Baligar, Marshall K. Elson, Alex-Alan F. Almeida, Quintino R. de Araujo, Dario Ahnert, Zhenli He
American Journal of Plant Sciences (AJPS) , 2021, DOI: 10.4236/ajps.2021.125056
Abstract: In many countries cacao (Theobroma cacao L.) is invariably grown as an understory crop in agroforestry types of cropping systems and subjected to low levels photosynthetic photon flux density (PPFD) due to presence of large number of upper story shade trees with poorly managed canopy structure. In recent years carbon dioxide concentration in the atmosphere is steadily increasing and it is unclear what impact this will have on performance of cacao grown under shade of upper story shade trees. A climatically controlled greenhouse experiment was undertaken to evaluate the effects of ambient and elevated carbon dioxide (400 and 700 μmol·mol-1) and three levels of PPFD (100, 200, and 400 μmol·m-2·s-1) on growth, and macro- and micronutrient use efficiency of three genetically contrasting cacao genotypes (CCN 51, VB 1117 and NO 81). Intraspecific variations were observed in cacao genotypes for growth parameters at ambient to elevated carbon dioxide and low to adequate levels of PPFD. With the exceptions of total root length and leaf area, irrespective of carbon dioxide and PPFD levels, all three genotypes showed significant differences in all the growth parameters. For all the cacao genotypes, increasing PPFD from 100 to 400 μmol·m-2·s-1 and carbon dioxide from 400 to 700 μmol·mol-1 increased overall growth parameters such as leaf, shoot and root biomass accumulation, stem height, leaf area, relative growth rate and net assimilation rate. Irrespective of carbon dioxide and PPFD, invariably genotypes differed significantly in macro-micronutrient uptake parameters such as concentration, uptake, influx, transport and use efficiency. With few exceptions, raising PPFD from 100 to 400 μmol·m-2
B-Maniac
Alan Ferrari,Dario Gallucci
Computer Science , 2014,
Abstract: Mobile Data Offloading permits users to use cheap communication media, whenever feasible, for delivering their personal data instead of using the infrastructure which is more expensive. Having good procedures to assess and compare the different possibilities a device has to send his data is crucial. In the following paper, we propose an evaluating approach that takes into consideration the topology changes history in order to provide an efficient way to calculate the quality of a specific medium. In particular \textit{Bayesian Networks} are used as basis to provide our solution to the Maniac Challenge 2013. Bayesian Networks is a statistical model for the generation of inferences starting with very little information. In the next sections we will give a definition of the Bayesian Networks focusing on the simplest and computationally efficient of the Bayesian Networks versions, named \textit{\naive Bayes}. Finally, we will show our method for the challenge to evaluate the medium and the bid strategy.
Educating towards Musical Historical Heritage: What Difficulties?  [PDF]
Elita Maule, Dario De Cicco
Creative Education (CE) , 2012, DOI: 10.4236/ce.2012.326163
Abstract: How does one set about helping children and teenagers to understand the different musical styles and genres, the historical context pertaining to works of music and composers, or the historical aesthetic appreciation of the musical repertoire? Are these aims achievable and simple to attain with students? This article intends to focus on this very aspect, deemed important and included in all the national curricula throughout Europe. It will show that the teacher’s familiarity with the specialist musical code could lead him/her to take for granted technical knowledge that the student does not actually possess and that the problems of temporal conceptualization should represent an object of careful reflection for all teachers.
Growth, Physiological and Nutrient Uptake Traits of Crotalaria Cover Crops Influenced by Levels of Carbon Dioxide under Low Light Intensities
Alex-Alan F. Almeida,Arlicelio de Q. Paiva,Dario Ahnert,Marshall K. Elson,Virupax C. Baligar,Yuncong Li,Zhenli L. He
- , 2018, DOI: 10.9734/IJPSS/2018/41846
Abstract: Article Information
Combining ability, heritability and genotypic relations of different physiological traits in cacao hybrids
Alex-Alan Furtado de Almeida,Allan Silva Pereira,Dario Ahnert,Marcio Gilberto Cardoso Costa,Márcia Christina da Silva Branco
- , 2017, DOI: 10.1371/journal.pone.0178790
Abstract:
Estudio Potenciométrico del ácido Fluorhídrico con Electrodos POSAI-316
Genaro Rosales,José de J. Pérez
Revista de la Sociedad Química de México , 1998,
Abstract:
Dynamics of Cladocera Community in a Tropical Hypereutrophic Environment (Gar？as Reservoir, S？o Paulo, Brazil)  [PDF]
Ariane Carolina Di Genaro, Suzana Sendacz, Munique de Almeida Bispo Moraes, Cacilda Thais Janson Mercante
Journal of Water Resource and Protection (JWARP) , 2015, DOI: 10.4236/jwarp.2015.75030
Abstract: This study was performed at Garcas Reservoir, a hypereutrophic urban lake within Sao Paulo metropolitan area, Southeast Brazil. This reservoir underwent to a marked limnological change after the harvest of free floating macrophytes, shifting to a hypereutrophic state. Present purposes were to characterize the Cladocera community and verify its association with the water deterioration after the macrophytes removal period as well as to compare it to previous studies, before macrophytes harvesting. Samplings were collected from October 2007 until September 2008 and the results were compared to data obtained during pre-removal period (1997). Principal Component Analysis (PCA) showed that the highest values for water transparency were associated with the macrophytes pre-removal period while the highest values of electrical conductivity, chlorophyll a and total phosphorus were associated with the macrophytes post-removal period, indicating the degradation of the water quality. During this period, large cladocerans disappeared and the small sized species of Bosmina predominated. Male organisms of this genus were found as well as elevated densities of Bosmina huaroensis, suggesting overcrowding. Furthermore, it was detected a reduction of 82% in the number of species compared to data from 1997. The shifts to the hypereutrophic state led to aggressive alterations in Cladocera community, suggesting a strong stress on populations.
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