151 research outputs found
The Analysis of Real Data Using a Multiscale Stochastic Volatility Model
No full textIn this paper we use filtering and maximum likelihood methods to solve a calibration problem for a multiscale stochastic volatility model. The multiscale stochastic volatility model considered has been introduced in Fatone et al. (2009), generalises the Heston model and describes the dynamics of the asset price using as auxiliary variables two stochastic variances on two different time scales. The aim of this paper is to estimate the parameters of this multiscale model (including the risk premium parameters when necessary) and its two initial stochastic variances from the knowledge, at discrete times, of the asset price and, eventually, of the prices of call and/or put European options on the asset. This problem is translated into a maximum likelihood problem with the likelihood function defined through the solution of a filtering problem. Furthermore we develop a tracking procedure that is able to track the asset price and the values of its two stochastic variances for time values where there are no data available. Numerical examples of the solution of the calibration problem and of the performance of the tracking procedure using high frequency synthetic data and daily real data are presented. The real data studied are two time series of electric power price data taken from the US electricity market and the 2005 data relative to the US S&P 500 index and to the prices of a call and a put European option on the US S&P 500 index. The calibration procedure is applied to these data and the results of the calibration are used in the tracking procedure to forecast the asset and option prices. The forecasts of the asset prices and of the option prices are compared with the prices actually observed. This comparison shows that the forecasts are of very high quality even when we consider 'spiky' electric power price data. The website: http://www.econ.univpm.it/recchioni/finance/w9 contains some auxiliary material including animations that help with the understanding of this paper. A more general reference to the work of the authors and of their coauthors in mathematical finance is the website: http://www.econ.univpm.it/recchioni/finance. © 2011 Blackwell Publishing Ltd
Italian Barometer of Diabetes and Physical Activity
No full textLa seconda edizione del “Barometro su diabete e attività
fisica in Italia” viene pubblicata a distanza di quattro anni
dalla prima edizione in italiano ed in inglese del 2007.
L’obiettivo principale della prima pubblicazione di questo
documento era fornire un aggiornamento sullo stato dell’arte
dell’uso dell’attività motoria e dell’esercizio fisico
come strumento di prevenzione e cura del diabete nel
nostro paese, in relazione a quanto avviene a livello internazionale.
L’obiettivo dell’edizione 2011 rimane lo stesso
e simile sarà la diffusione del libro che è principalmente
rivolto a coloro che sono impegnati a vari livelli nella legislazione
sanitaria e nell’organizzazione di attività e servizi
socio-sanitari che promuovono il miglioramento degli
stili di vita
Acoustic Scattering Cross Sections of Smart Obstacles: A Case Study
No full textAcoustic scattering cross sections of smart furtive obstacles are studied and discussed. A smart furtive obstacle is an obstacle that, when hit by an incoming field, avoids detection through the use of a pressure current acting on its boundary. A highly parallelizable algorithm for computing the acoustic scattering cross section of smart obstacles is developed. As a case study, this algorithm is applied to the (acoustic) scattering cross section of a "smart" (furtive) simplified version of the NASA space shuttle when hit by incoming time-harmonic plane waves, the wavelengths of which are small compared to the characteristic dimensions of the shuttle. The solution to this numerically challenging scattering problem requires the solution of systems of linear equations with many unknowns and equations. Due to the sparsity of these systems of equations, they can be stored and solved using affordable computing resources. A cross section analysis of the simplified NASA space shuttle highlights three findings: i) the smart furtive obstacle reduces the magnitude of its cross section compared to the cross section of a corresponding "passive" obstacle; ii) several wave propagation directions fail to satisfactorily respond to the smart strategy of the obstacle; satisfactory furtive effects along all directions may only be obtained by using a pressure current of considerable magnitude. Numerical experiments and virtual reality applications can be found at the website: http://www..ceri.uniromal.it/ceri/zirilli/w
Tracing pharmaceuticals in an integrated municipal plant for wastewater and organic waste treatment
No full textThe occurrence, removal and fate of 43 pharmaceuticals belonging to different therapeutic groups were studied in the various stages of a full scale municipal integrated treatment plant. Here the biological nutrient removal from municipal wastewater is operated in the water train, while the sludge treatment train provides the anaerobic co-digestion of the waste activated sludge (WAS) and the organic fraction of municipal solid waste (OFMSW), with the following separate short-cut nitrogen removal from the anaerobic supernatant. Wastewater (i.e. WWTP raw influent, biological reactor influent and effluent wastewater) and sludge (i.e. WAS, digestate of WAS and OFMSW, WAS from the separate biological treatment of anaerobic supernatant) samples, as well as sludge supernatants and suspended particulate matter samples, were analyzed in order to obtain more information on the fate of the selected pharmaceuticals during treatment.
Particular attention was paid to the solid-liquid partitioning, since it is well
known that the particulate fraction may include a high portion of the potential pollution load, even in the case of polar compounds such as pharmaceuticals. At the influent of the plant and the biological reactor, the suspended particulate matter was collected using an automatic sampler equipped with a polyvinylidene fluoride hollow- fiber submerged membrane module, specially designed for this purpose (Fatone et al, 2011). It allowed the analysis of concentrated samples that contained ca. 20 times more concentrated suspended particulates (i.e. 6-12 gSS L-1) than the commonly analyzed conventional composite samples from raw urban wastewater (i.e. 0.1-0.6 gSS L-1). The preparation and analysis of the samples were performed using high
performance liquid chromatography coupled to a Hybrid Triple Quadrupole/Linear Ion trap mass spectrometer according to the previously developed multi-residual methodologies for analysis of pharmaceuticals in wastewater and sludge samples (Jelic et al., 2009)
A parallel numerical method to solve high frequency ghost obstacle acoustic scattering problems
No full text
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