171,037 research outputs found
The Valuation of Puttable Bonds: An Application of the Cox, Ingersoll and Ross Model to Italian Treasury Option Certificates
No full textThe Italian Treasurys puttable bonds (Certificati del Tesoro con opzione di rimborso anticipato -
CTOs) are the first example in Italy of retractable/extendible bonds, which have been used on the
Canadian market for some time and recently been adopted on the Euromarket. In this paper the single-factor version of the Cox, Ingersoll and Ross model is used to determine the equilibrium value of
CTOs at issue. The simulation of the effects of changes in their features provides useful information
on the optimal design of CTOs
The Italian Market for 'Premium' Contracts: An Application of Option Pricing Theory
No full textDespite their growing importance on Italian stock exchanges, premium contracts have not received
very much attention in analytical studies. This paper starts with a description of the working of the
market for premium contracts with the aim of highlighting its institutional peculiarities compared
with foreign markets for stock options and then develops a formula for the determination of premia
based on arbitrage methods similar to those used in option pricing theory. The empirical test of the
correspondence between actual market premia and the theoretical values obtained provides some indication
of the scope for arbitrage between premium and forward contracts, and hence of the efficiency
of Italian stock exchange markets
The Valuation of Bonds and Bond Options: Some Empirical Tests
No full textThis paper presents a general method for valuing fixed rate bonds and options written on them. In the first part, of a theoretical nature, we present valuation formulae, derived within the framework of the Cox, Ingersoll and Ross (CIR) model, both for bonds and for European options written on bonds (with and without coupons) and yields. We recall the theoretical parity of put and call options. In the second part we describe a procedure that can be used to estimate the CIR model using the prices of riskless coupon bonds. Lastly, we describe the valuation of bonds denominated in three different cur-rencies and of the options implied in some Italian government securities
La tutela giurisdizionale dei diritti dei detenuti
No full textLa ricerca si pone come esposizione ragionata dei termini della questione relativa all’efficacia dell’apparato di tutela attualmente in concreto fruibile dai soggetti reclusi.
Esordisce, pertanto, con l’individuazione delle posizioni giuridiche tutelabili, facendo riferimento, in particolare, a quelle espressamente riconosciute dall’ordinamento penitenziario e munite di copertura costituzionale.
Prosegue, poi, con l’illustrazione delle tappe del processo di giurisdizionalizzazione della fase esecutiva penale, evidenziando le carenze dell’attuale sistema di tutela delle posizioni soggettive del detenuto, soprattutto alla luce dell’appunto, mosso al legislatore penitenziario dalla Corte costituzionale nella sentenza n. 26 del 1999, circa la necessità di un procedimento giurisdizionale atto a sostituire i rimedi correntemente forniti dall’ordinamento per la salvaguardia dei diritti dei soggetti in vinculis.
Immutato il quadro normativo, a ben sette anni dalla pronuncia in questione, tenta, infine, di ricostruire le coordinate di un apparato di garanzie possibile, oltre che compatibile con le esigenze imposte dal rispetto di modalità di natura giurisdizionale, rendendo conto delle elaborazioni dottrinali e della posizione della giurisprudenza le quali, a fronte dell’immobilismo istituzionale, hanno perseverato nella ricerca di soluzioni pratiche in grado di condurre alla concreta affermazione dei diritti dei detenuti.The research talks about the matter of the effectiveness of the prisoners’ rights in the Italian rules and regulations.
It starts listing the positions that have a punctual protection due to their positive recognition in the criminal laws and in the Constitution, as well as in the international treaties.
Then it tells about the stages of the evolution -from an administrative to a jurisdictional conception- in the executive phase of a criminal trial, highlighting the current lacks of warranties. It refers, particularly, to the opinion of the Italian Supreme Court (verdict n. 26/1999) about the incompleteness of the in force jurisdictional system about prisoners’ rights protection.
At last, no measures adopted by the Italian parliament since the judges’ reprimand, it tries to build up the co-ordinates of a positive warranty system, respectful of the jurisdictional parameter, by illustrating the position of jurists and the experience of the Courts, which both, in the last years, are trying to test practical solutions in order to ensure effective rights to prisoners
The Term Structure of Interest Rates: A Test of the Cox, Ingersoll and Ross Model on Italian Treasury Bonds
No full textThis paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds in the
secondary market. The model is estimated daily for the period 30 December 1983 to 13 March 1989.
The resulting term structures of interest rates are compared with those obtained using interpolation
techniques (the cubic splines method). The daily estimation of the yield curves also makes it possible
to analyze the changes in Treasury bond prices, determine the turning points and obtain useful indications
regarding the efficiency of the secondary market and the consistency between the primary
and the secondary markets
Magnetoelectric effects and spin switching phenomena at the interface of chiral domains in spin-triplet superconductors
No full textSpin-triplet superconductors with time-reversal symmetry breaking can naturally lead to chiral domain walls in their interior. We study the magnetic properties emerging at the interface of chiral domains with opposite winding by focusing on the effects of a superconducting phase drop across the wall and an applied electric gating. The local inversion symmetry breaking at the domain wall drives mixed singlet-triplet pairing configurations that allow a phase- and electric-controllable magnetization with resulting parallel or antiparallel orientations on the two sides of the domain wall. The magnetic switching is also generally accompanied by both spin and charge currents flowing along the edges, whose amplitudes depend on the achieved parallel or antiparallel magnetic phase. The specific magnetoelectric properties of chiral domains with zero or nonvanishing net magnetization near the wall may have several implications. They can be employed to detect the presence of unconventional pairing as well as to design information storage units based on spin-polarized states attached to topological defects
Evolution of topological superconductivity by orbital-selective confinement in oxide nanowires
No full textWe determine the optimal conditions to achieve topological superconducting phases having spin-singlet pairing for a planar nanowire with a finite lateral width in the presence of an in-plane external magnetic field. We employ a microscopic description that is based on a three-band electronic model including both the atomic spin-orbit coupling and the inversion asymmetric potential at the interface between oxide band-gap insulators. We consider amplitudes of the pairing gap, spin-orbit interactions, and electronic parameters that are directly applicable to nanowires of LaAlO3-SrTiO3. The lateral confinement introduces a splitting of the d orbitals that alters the orbital energy hierarchy and significantly affects the electron filling dependence of the topological phase diagram. Due to the orbital directionality of the t(2g) states, we find that in the regime of strong confinement the onset of topological phases is pinned at electron filling where the quasiflat heavy bands start to get populated. The increase of the nanowire thickness leads to a changeover from a sparse-to-dense distribution of topologically nontrivial domains which occurs at the crossover associated with the orbital population inversion. These findings are corroborated by a detailed analysis of the most favorable topological superconducting phases in the electron doping-magnetic field plane highlighting the role of orbital-selective confinement
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