1,821 research outputs found
Saggio di giurisprudenza tratto dalle leggi romane, canoniche, napoleonee con le riflessioni de piu accreditati giureconsulti italiani e francesi del dottor Filippo Marini - vol. 2.1
No full textBologna : tipografia di Ulisse Ramponi, 1809
Legato con il v. 2.2
https://galileodiscovery.unipd.it/discovery/fulldisplay?context=L&vid=39UPD_INST:VU1&search_scope=MyInst_and_CI&tab=Everything&docid=alma99000259676020604
Saggio di giurisprudenza tratto dalle leggi romane, canoniche, napoleonee con le riflessioni de piu accreditati giureconsulti italiani e francesi del dottor Filippo Marini - vol. 1
No full textBologna : tipografia di Ulisse Ramponi, 1808
[a]-o8 p9
https://galileodiscovery.unipd.it/discovery/fulldisplay?context=L&vid=39UPD_INST:VU1&search_scope=MyInst_and_CI&tab=Everything&docid=alma99000405920020604
Saggio di giurisprudenza tratto dalle leggi romane, canoniche, napoleonee con le riflessioni de piu accreditati giureconsulti italiani e francesi del dottor Filippo Marini - vol. 3.2
No full textBologna : tipografia di Ulisse Ramponi, 1811
Legato con il v. 3.1
https://galileodiscovery.unipd.it/discovery/fulldisplay?context=L&vid=39UPD_INST:VU1&search_scope=MyInst_and_CI&tab=Everything&docid=alma99000259677020604
A note on the complex roots of complex random polynomials
No full textBy using the technique proposed in Ibragimov and Zeitouni, [(1997), Trans. Amer. Math. Soc. 349, 2427{2441], we derive an exact formula for the mean number of complex roots of a complex random polynomial. The explicit evaluation of the average density is obtained in the case of multivariate normal coefficients and its correspondence with the early Hammersley result is shown
Computing quantiles in regime-switching jump-diffusions with application to optimal risk management: a Fourier transform approach
No full textIn this paper we consider the problem of calculating the quantiles of a risky position, the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transform methods. Furthermore, we study a classical option-based portfolio strategy which minimizes the Value-at-Risk of the hedged position and show the impact of jumps and switching regimes on the optimal strategy in a numerical example. However, the analysis of this hedging strategy, as well as the computational technique for its implementation, is fairly general, i.e. it can be applied to any dynamical model for which Fourier transform methods are viable
On the well-posedness of multivariate spectrum approximation and convergence of high-resolution spectral estimators
No full textIn this paper, we establish the well-posedness of the generalized moment problems recently studied by Byrnes-Georgiou-Lindquist and coworkers, and by Ferrante-Pavon-Ramponi. We then apply these continuity results to prove almost sure convergence of a sequence of high-resolution spectral estimators indexed by the sample size
On the well-posedness of multivariate spectrum approximation and convergence of high-resolution spectral estimators
No full textIn this paper, we establish the well-posedness of the generalized moment problems recently studied by Byrnes-Georgiou-Lindquist and coworkers, and by Ferrante-Pavon-Ramponi. We then apply these continuity results to prove the almost sure convergence of a sequence of high-resolution spectral estimators indexed by the sample size
Lezioni di finanza matematica
No full textLezioni su alcuni dei concetti alla base della moderna Finanza Matematica: mercati a reddito fisso, analisi del rischio, valutazione di derivati
Adaptive and monotone spline estimation of the cross--sectional term structure of interest rates
No full textA number of numerical methods based on a piecewise polynomial approximation have
been proposed for the estimation of the term structure of interest rates. Some drawbacks
have been pointed out, such as a possible non monotonic estimated discount function
and a highly fluctuating spot and forward rates. In order to overcome these kind of
problems, we study the feasibility of an adaptive regression spline technique which use a
monotone basis together with two alternative knot location procedures: a deterministic
greedy algorithm and its randomized version in a simulated annealing framework. The
features of the proposed method are tested on a set of data
VaR-Optimal risk management in regime-switching jump-diffusion models
No full textIn this paper we study a classical option-based portfolio strategy which minimizes the Value-at-Risk of the hedged po-sition in a continuous time, regime-switching jump-diffusion market, by using Fourier Transform methods. However, the analysis of this hedging strategy, as well as the computational technique for its implementation, is fairly general, i.e. it can be applied to any dynamical model for which Fourier transform methods are viabl
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