1,505 research outputs found
Valuation of Collateralized Funds of Hedge Fund Obligations: A Basket Option Pricing Approach
No full textThe purpose of the present contribution is to provide an extension to a
model developed by Tassinari and Corradi [7] to price equity and debt tranches of
collateralized funds of hedge fund obligations (CFOs). The key idea is to price each
CFO liability as an option on the underlying basket of hedge funds. The proposed
model is able to reproduce the empirical characteristics observed in the distribution
of hedge funds’ returns: skewness, excess kurtosis and dependence in the tails. Additionally,
it can be easily calibrated to the empirical correlation matrix and it requires
only historical information to be estimated and implemented. The result is a scheme
that can be useful in structuring a CFO. In particular, we believe that the approach
described in this work can be helpful to rating agencies and to deal structures to
evaluate various capital structures, test levels, liquidity profiles, coupons and equity
distribution rules
Metodo e testualità. Costruzioni analtiche e modi di fare
No full textThis number of E | C has an experimental character. The contributions gathered in the volume collect the fruit of the work of a cycle of seminars that took place in Palermo between October and December 2021: they were entitled "Text analysis seminars" and saw the participation of Giuditta Bassano, Denis Bertrand , Alice Giannitrapani, Manar Hammad, Tarcisio Lancioni, Dario Mangano, Francesco Mangiapane, Gianfranco Marrone, Maria Pia Pozzato, Carlo Andrea Tassinari and Ilaria Ventura Bordenca. The seminars were intended to reflect on the semiotic method, already the subject of the 2017 conference of the Italian Association of Semiotic Studies, whose proceedings were published in the numbers 24/2018 and 25/2019 of this magazine. Compared to these previous reflections, the seminars aimed to anchor the reasoning to a specific practice of work, the analysis of the text, with the desire to explain strategies and tactics of approach to analysis, of application of the method in a situation
Metodo e testualità. Costruzioni analtiche e modi di fare
No full textThis number of E | C has an experimental character. The contributions gathered in the volume collect the fruit of the work of a cycle of seminars that took place in Palermo between October and December 2021: they were entitled "Text analysis seminars" and saw the participation of Giuditta Bassano, Denis Bertrand , Alice Giannitrapani, Manar Hammad, Tarcisio Lancioni, Dario Mangano, Francesco Mangiapane, Gianfranco Marrone, Maria Pia Pozzato, Carlo Andrea Tassinari and Ilaria Ventura Bordenca. The seminars were intended to reflect on the semiotic method, already the subject of the 2017 conference of the Italian Association of Semiotic Studies, whose proceedings were published in the numbers 24/2018 and 25/2019 of this magazine. Compared to these previous reflections, the cotribibutions aimed to anchor the reasoning to a specific practice of work, the analysis of the text, with the desire to explain strategies and tactics of approach to analysis, of application of the method in a situation
"L'albero Falcone" e i suoi epigoni. La propagazione vegetale della memoria antimafia
No full textLe stragi di Capaci e via D’Amelio segnano un punto di svolta nel linguaggio con cui i movimenti antimafia costruiscono la memoria pubblica della violenza mafiosa. Uno dei tratti salienti di questa svolta è la proliferazione di luoghi di memoria che ruotano intorno a figure arboree. Il capostipite di questa genealogia è l’albero Falcone, noto come punto di raccolta per le manifestazioni del 23 maggio, la giornata della legalità. Nel corso degli anni ’90, il modello memoriale costruito intorno all’albero si sviluppa e si diffonde, mentre sono sempre già frequenti le piantumazioni di alberi in memoria delle vittime della mafia. L’articolo cerca di esplicitare le forme semiotiche soggiacenti a questa dendrolatria antimafia e ai suoi modi di diffusione nel repertorio celebrativo dell’Italia contemporanea. Tirando le fila di questa ricostruzione, propone infine alcune considerazioni critiche sul rapporto tra memoria e paesaggio, sullo sfondo più generale del rapporto tra natura e cultura nell’epoca dell’Antropocene.The massacres of Capaci and via D'Amelio mark a turning point in the language with which the anti-mafia movements build the public memory of mafia violence. One of the salient features of this turning point is the proliferation of places of memory that revolve around tree figures. The progenitor of this genealogy is the Falcone tree, known as a collection point for the demonstrations of May 23, the day of legality. During the 90s, the memorial model built around the tree developed and spread, while the planting of trees in memory of the victims of the mafia is always already frequent. The article tries to explain the semiotic forms underlying this anti-mafia dendrolatry and its ways of spreading in the celebratory repertoire of contemporary Italy. Pulling the strings of this reconstruction, he finally proposes some critical considerations on the relationship between memory and landscape, against the more general background of the relationship between nature and culture in the Anthropocene era
tassinari g l, corradi c (2013). Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure. QUANTITATIVE FINANCE, vol. 13, p. 1991-2010, ISSN: 1469-7696
No full textCollateralized Funds of Hedge Fund Obligations (CFOs) are relatively recent structured finance products linked to the performance of underlying funds of hedge funds. The capital structure of a CFO is similar to traditional Collateralized Debt Obligations (CDOs), meaning that investors are offered different rated notes and equity interests. CFOs are structured as arbitrage market value CDOs. The fund of funds manager actively manages the fund to maximize total returns while limiting price volatility within the guidelines of the structure. The aim of this paper is to provide a useful framework to evaluate Collateralized Funds of Hedge Fund Obligations, that is pricing the equity and the debt tranches of a CFO. The basic idea is to evaluate each CFO liability as an option written on the underlying pool of hedge funds. The value of every tranche depends on the evolution of the collateral portfolio during the life of the contract. Care is taken to distinguish between the fund of hedge funds and its underlying hedge funds, each of which is itself a portfolio of various securities, debt instruments and financial contracts. The proposed model incorporates skewness, excess kurtosis and is able to capture more complex dependence structures among hedge fund log-returns than the mere correlation matrix. With this model it is possible to describe the impact of an equivalent change of probability measure not only on the marginal processes but also on the underlying dependence structure among hedge funds
On the time course of exogenous cueing effects: a response to Lupianez and Weaver
No full textResponds to the J. Lupianez and B. Weaver (see record 1998-04685-009) comments on the G. Tassinari et al (see record 1994-20171-001) discussion on the role of peripheral non-informative cues in the early facilitation of target detection. The current authors present further data and ideas which support the original claim which was disputed by Lupianez and Weaver: that the inhibitory effect precedes the facilitatory effect. ((c) 1998 APA/PsycINFO, all rights reserved
Tassinari (Suzanne). La vaisselle de bronze romaine et provinciale au Musée des Antiquités nationales
No full textMassart C. Tassinari (Suzanne). La vaisselle de bronze romaine et provinciale au Musée des Antiquités nationales. In: Revue belge de philologie et d'histoire, tome 61, fasc. 1, 1983. Antiquité — Oudheid. pp. 263-264
Alberi. Figure del pensiero, forme dell'azione
No full textIl contributo lega il rinnovato interesse per le figure e l'immaginario arboreo allo sviluppo delle environmental humanities sullo sfondo del dibattito sull'Antropocene. In particolare, introduce gli orientamenti teorici principali che sottendono lo studio delle "dendrolatrie" negli ambiti di studio della memoria e del patrimonio culturale, dell'antropologia e della storia delle religioni e nel campo dei cultural studies.The study put into perspective the renewal of interest toward trees and botanical figures with the development of environemental humanities in the framework of the Anthropocene. In particular, it introduces the main theoretical orientations undelying the study of the cults of trees in the fields of memory and heritage studies, of anthropology and history of religion and of cultural studies
Ostra (Ancona)
No full textIl contributo presenta le nuove ricerche del Dipartimento di Archeologia dell'Università di Bologna nella città romana di Ostra (Marche, Italia)
“Bakchias XV. Rapporto preliminare della Campagna di scavo del novembre 2006”
No full textRapporto della XV campagna di scavo compiuta dalla Missione Archeologica dell'Università di Bologna nel Fayyum (Egitto)Report of the fifteenth excavations carried out by the Archaeological Mission of the University of Bologna in Fayyum (Egypt
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