1,372,773 research outputs found
Credit default swaps and financial stability
No full textCredit default swaps (CDSs), initially intended as instruments for hedging and managing credit risk, have been pinpointed during the recent crisis as being detrimental to financial stability. We argue that the impact of credit default swap markets on financial stability crucially depends on clearing mechanisms and capital and liquidity requirements for large protection sellers. In particular, the culprits are not so much speculative or “naked” credit default swaps but inadequate risk management and supervision of protection sellers. When protection sellers are inadequately capitalised, OTC (over-the-counter) CDS markets may act as channels for contagion and systemic risk. On the other hand, a CDS market where all major dealers participate in a central clearing facility with adequate reserves can actually contribute to mitigating systemic risk. In the latter case, a key element is the risk management of the central counterparties, for which we outline some recommendations.
A reduced basis for option pricing
No full textWe introduce a reduced basis method for the efficient numerical solution of partial integro-differential equations which arise in option pricing theory. Our method uses a basis of functions constructed from a sequence of Black-Scholes solutions with different volatilities. We show that this choice of basis leads to a sparse representation of option pricing functions, yielding an approximation whose precision is exponential in the number of basis functions. A Galerkin method using this basis for solving the pricing PDE is presented. Numerical tests based on the CEV diffusion model and the Merton jump diffusion model show that the method has better numerical performance relative to commonly used finite-difference and finite-element methods. We also compare our method with a numerical Proper Orthogonal Decomposition (POD). Finally, we show that this approach may be used advantageously for the calibration of local volatility functions.
A new method based on biophotonic instrumentation for environmental monitoring
No full textA new approach to environmental monitoring is presented in this work, related to the use of a biophotonic instrument to support evaluation of lichens stress status. Lichens are widely used as bioindicators, that is organisms able to indicate the presence and amount of atmospheric pollutants. The proposed approach requires the measure of lichens fluorescence response by means of a self-developed biophotonic instrument, in order to obtain an objective evaluation of lichens stress status. The lichens rise fluorescence response was measured, following the OJIP procedure, a standardized laboratory method for plants health analysis. The experimental validation of this approach was done in two steps. Firstly, lichens of "Physcia Adscendens" species were collected on poplar trees, in tree areas: the first and the second areas near an industrial zone, direction of the prevailing winds, the third at a distance of about ten kilometers. Then the changes in fluorescence activity were evaluated, placing near an industrial area several samples of "Flavoparmelia Caperata (L.) Hale" lichens, collected in a non-polluted area. A fluorescence response modification was observed, demonstrating that changes in atmospheric pollution could be monitored by means of differential measurements on suitable samples. To validate the obtained results, the pollution degree was estimated using also a widely accepted method, which is the evaluation of lichen biodiversity. Lichen vegetation of the poplar trees was surveyed using a sampling grid of ten units. The Lichen Biodiversity Index (LBI) was calculated as the sum of the frequencies of all species within the grid. As a result of the comparison between fluorescence response shape and LBI evaluation, a real correlation was found, demonstrating the proposed approach effectiveness
Quality of life and personality traits in patients with malignant pleural mesothelioma and their first-degree caregivers
No full textAntonella Granieri,1 Stella Tamburello,2 Antonino Tamburello,2 Silvia Casale,3 Chiara Cont,1 Fanny Guglielmucci,1 Marco Innamorati21Università degli Studi di Torino, Turin, Italy; 2Università Europea di Roma, Rome, Italy; 3Università di Firenze, Firenze, ItalyAbstract: Asbestos exposure causes significant pleural diseases, including malignant pleural mesothelioma (MPM). Taking into account the impact of MPM on emotional functioning and wellbeing, this study aimed to evaluate the quality of life and personality traits in patients with MPM and their first-degree caregivers through the World Health Organization Quality of Life–BREF (WHOQOL-BREF) and the Minnesota Multiphasic Personality Inventory-2 Restructured Form (MMPI-2-RF). The sample was composed of 27 MPM patients, 55 first-degree relatives enrolled in Casale Monferrato and Monfalcone (Italy), and 40 healthy controls (HC). Patients and relatives reported poorer physical health than the HC. Patients had a higher overall sense of physical debilitation and poorer health than relatives and the HC, more numerous complaints of memory problems and difficulties in concentrating, and a greater belief that goals cannot be reached or problems solved, while often claiming that they were more indecisive and inefficacious than the HC. First-degree relatives reported lower opinions of others, a greater belief that goals cannot be reached or problems solved, support for the notion that they are indecisive and inefficacious, and were more likely to suffer from fear that significantly inhibited normal activities than were HC. In multinomial regression analyses, partial models indicated that sex, physical comorbidities, and the True Response Inconsistency (TRIN-r), Malaise (MLS), and Behavior-Restricting Fears (BRF) dimensions of the MMPI-2-RF had significant effects on group differences. In conclusion, health care providers should assess the ongoing adjustment and emotional wellbeing of people with MPM and their relatives, and provide support to reduce emotional distress.Keywords: asbestos, cancer, MMPI-2-RF, Casale Monferrato, Monfalcone, Ital
Hierarchical Cont-Bouchaud model
No full textWe extend the well-known Cont-Bouchaud model to include a hierarchical
topology of agent's interactions. The influence of hierarchy on system dynamics
is investigated by two models. The first one is based on a multi-level, nested
Erdos-Renyi random graph and individual decisions by agents according to Potts
dynamics. This approach does not lead to a broad return distribution outside a
parameter regime close to the original Cont-Bouchaud model. In the second model
we introduce a limited hierarchical Erdos-Renyi graph, where merging of
clusters at a level h+1 involves only clusters that have merged at the previous
level h and we use the original Cont-Bouchaud agent dynamics on resulting
clusters. The second model leads to a heavy-tail distribution of cluster sizes
and relative price changes in a wide range of connection densities, not only
close to the percolation threshold.Comment: 10 pages, 6 figure
Studio e sviluppo di un sistema per il rilevamento, mediante tecniche ottiche, del profilo monodirezionale degli aerosol distribuiti da irroratrici impiegate negli oliveti e/o nelle colture arboree a chioma espansa
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