1,722,529 research outputs found
Four essays in between Probability Theory and Financial Mathematics
No full textLa seguente tesi di Dottorato consiste in quattro capitoli, corrispondenti a quattro diversi articoli che hanno costituito il fulcro della mia attività di ricerca durante il Ph.D. Tre dei quattro progetti sono il naturale proseguimento di quanto ho indagato durante gli studi magistrali e triennali. I primi due progetti trattano le tematiche dei giochi a campo medio e dei giochi di tipo McKean-Vlasov. In particolare, nel primo lavoro studiamo un gioco discreto ad N giocatori, per cui la nozione di equilibrio sottostante è quella di equilibrio correlato, e il suo limite di campo medio. Il secondo lavoro sviluppa un’applicazione dei giochi di tipo McKean-Vlasov ad un modello per lo studio dell’interazione tra un produttore e un consumatore che agiscono come speculatori nel mercato delle commodities. Gli ultimi due progetti vertono sullo studio della modellizzazione della volatilità nei modelli finanziari. Nel terzo capitolo, presentiamo un’applicazione della quantizzazione funzionale, una tecnica di discretizzazione per processi stocastici, ai cosiddetti modelli a volatilità rough con finalità di pricing: in particolare, ci focalizziamo sul prezzaggio di opzioni sul VIX e sulla volatilità realizzata. Nell’ultimo progetto, sviluppiamo uno studio teorico dettagliato di un modello a volatilità non Markoviana che è stato recentemente introdotto da Guyon.The following PhD Thesis consists of four chapters, corresponding to four different papers, which have been the core of my research activity during the Ph.D. Three out of four projects are the natural continuation of what I have been investigating during my Bachelor and Master’s studies. The first couple of projects deals with mean field and McKean-Vlasov games. Indeed, in the first we study a discrete N-player game and its mean-field limit where the underlying notion of equilibrium is the one of correlated equilibrium. The second work develops an application of McKean Vlasov games to model the interaction between a producer and a consumer acting as speculators in commodity markets. The second couple of projects deals with volatility modellisation in financial models. In the third project, we present an application of functional quantization, a discretisation technique for stochastic processes, to rough volatility models with pricing purposes: in particular, we focus on pricing options on VIX and realised volatility. In the last project, we develop a detailed theoretical analysis of a path dependent volatility model that was recently introduced by Guyon
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
No full text“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
No full textWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
No full textWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Correlated equilibria for mean field games with progressive strategies
No full textIn a discrete space and time framework, we study the mean field game limit for a class of symmetric N-player games based on the notion of correlated equilibrium. We give a definition of correlated solution that allows to construct approximate N-player correlated equilibria that are robust with respect to progressive deviations. We illustrate our definition by way of an example with explicit solutions
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