101,135 research outputs found
Liquidity induced asset bubbles via flows of ELMMs
No full textWe consider a constructive model for asset price bubbles, where the market price is endogenously determined by the trading activity on the market and the fundamental price is exogenously given, as in [R. Jarrow, P. Protter, and A. Roch, Quant. Finance, 12 (2012), pp. 1339--1349]. To justify from a fundamental point of view, we embed this constructive approach in the martingale theory of bubbles (see [R. Jarrow, P. Protter, and K. Shimbo, Math. Finance, 20 (2010), pp. 145--185] and [F. Biagini, H. Föllmer, and S. Nedelcu, Finance Stoch., 18 (2014), pp. 297--326]) by showing the existence of a flow of equivalent martingale measures for , under which equals the expectation of the discounted future cash flow. As an application, we study bubble formation and evolution in a financial network
L'Etat de Malte : Emilio Biagini, Le Isole Maltesi
No full textDalmasso Etienne. L'Etat de Malte : Emilio Biagini, Le Isole Maltesi . In: Annales de Géographie, t. 86, n°476, 1977. pp. 489-490
On a one-phase Stefan problem
No full textIn this paper we introduce a new way to approach the one-phase Stefan problem
partial_t(u +chi) = Delta u + fchi, u(0) = g, chiin H(u(t)),
with both g and f non-negative and where H : R
ightarrow P([0; 1]) is the usual
maximal monotone Heavyside graph. Our idea is to introduce a discrete
in time approximation scheme involving, step by step, suitable one-phase
Hele-Shaw problems. With natural regularity hypotheses on data we are
able to solve them, by means of results similar to a joint work of the second author with P. Tilli.
Using the qualitative behavior of these solutions we can then construct a discrete in
time approximate solution for the Stefan problem endowed with suitable
a-priory estimates. So we can ̄finally pass to the limit, getting existence of
solutions, uniqueness, monotonicity and regularity results
Naples in the Fashion Circuit: Men’s Neapolitan Fashion of the Twentieth Century and the Influence of British Fashion
No full textUne remise en cause de la nécessité de la planification du territoire en Occident : Emilio Biagini, Planificazione territoriale in Occidente
No full textVigarié André. Une remise en cause de la nécessité de la planification du territoire en Occident : Emilio Biagini, Planificazione territoriale in Occidente. In: Annales de Géographie, t. 93, n°518, 1984. pp. 513-514
Letter, [Author unclear] to Paulina T. Merritt
No full textHandwritten letter to Paulina Merritt from an unknown author, October 1, 1876.
Financial asset bubbles in banking networks
No full textWe consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, where banks in the core hold a bubbly asset. Investments are modeled by the weight of the links, which is a function of the robustness of the banks. In this way, a preferential attachment mechanism of the banks in the periphery towards the core takes place during the growth of the bubble. We then investigate how the bubble distorts the shape of the network for both finite and infinitely large systems, assuming a nonvanishing impact of the core on the periphery. Due to the influence of the bubble, banks are no longer independent, and the strong law of large numbers cannot be directly applied to the average of banks' investments towards the periphery. This results in a term in the drift of the diffusions which does not average out, increasing systemic risk when the bubble bursts. We test this feature of the model by numerical simulations
Performances of bioinformatics pipelines for the identification of pathogens in clinical samples with the de novo assembly approaches: Focus on 2009 pandemic influenza A (H1N1)
No full textDiagnostic assays for pathogen detection are critical components of public-health monitoring efforts. In view of the limitations of methods that target specific agents, new approaches are required for the identification of novel, modified or 'unsuspected' pathogens in public-health monitoring schemes. Metagenomic approach is an attractive possibility for rapid identification of these pathogens. The analysis of metagenomic libraries requires fast computation and appropriate algorithms to characterize sequences. In this paper, we compared the computational efficiency of different bioinformatic pipelines ad hoc established, based on de novo assembly of pathogen genomes, using a data set generated with a 454 genome sequencer from respiratory samples of patients with diagnosis of 2009 pandemic influenza A (H1N1). The results indicate high computational efficiency of the different bioinformatic pipelines, reducing the number of alignments respect to the identification based on the alignment of individual reads. The resulting computational time, added to the processing/sequencing time, is well compatible with diagnostic needs. The pipelines here described are useful in the unbiased analysis of clinical samples from patients with infectious diseases that may be relevant not only for the rapid identification but also for the extensive genetic characterization of viral pathogens without the need of culture amplification. © Biagini et al
Minimal variance hedging for insider trading
No full textIn this paper we first study the problem of minimal hedging for an insider trader
in incomplete markets.
We use the forward integral in order to model the insider portfolio and
consider a general larger filtration. We characterize the optimal
strategy in terms of a martingale condition.
In the second part we focus on a
problem of mean-variance hedging
where the insider tries to minimize the variance of his
wealth at time T given that this wealth has a fixed expected value A.
We solve this problem for an initial enlargement of filtration
by providing an explicit solution
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