131,649 research outputs found
"Spirito pubblico" e "spirito privato": qualche considerazione per un profilo biografico di Vincenzo Cuoco
No full textIl saggio è la prima sistematica ricostruzione delle vicende biografiche, politiche e culturali di Vincenzo Cuoco. Prendendo spunto dalle lettere scambiate con i suoi corrispondenti, si mostra ka centralità e l'originalità della riflessione filosofica e politica cuochiana nel primo risorgimento italiano
Il mercato dei contratti a premio in Italia: un’applicazione dell'Option Pricing Theory
No full textNonostante la loro crescente importanza presso le Borse italiane, i contratti a premio risultano ancora poco analizzati. Questo lavoro fornisce dapprima una descrizione del funzionamento del mercato dci premi, al fine di porre in luce le sue particolarità istituzionali rispetto ai mercati esteri delle opzioni su titoli azionari, e quindi una formula per la valutazione dei premi basata su tecniche di arbitraggio analoghe a quelle utilizzate nell'Option Pricing Theory. La verifica empirica della corrispondenza tra premi di mercato e valori teorici offre infine alcune indicazioni sulle possibilità di arbitraggio tra contratti a premio e a termine fermo e quindi sull'efficienza dei mercati azionari in Borsa
Implied Volatilities and Arbitrage Opportunities in the Italian Options Market
No full textThis paper, which follows up the analyses of an earlier study published in December 1988, starts by
updating the description of the regulatory framework for Italian stock options (premium contracts),
with reference both to the regulations issued by the Consob (the Italian SEC) and the changes in tax
law. This is followed by figures on the size of the market and its development in recent years. After
describing the standards operators use to value premium contracts and quantifying the deviations
from the theoretical values, we examine the techniques for forecasting share price volatilities and
verify the information content of the implied volatilities of premium contracts. The last part of the
paper describes an extensive simulation designed to reveal arbitrage opportunities that operators
failed to exploit during the period in question, with account being taken of transaction costs
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
Vincenzo Cuoco et Gian Domenico Romagnosi, lecteurs de Montesquieu
No full textIl capitolo, pubblicato poi autonomamente anche su 'Studi francesi', analizza l'influsso del pensiero di Montesquieu su Cuoco e Romagnosi, intellettuali tra i più influenti, com'è noto, sul pensiero politico del Risorgimento italiano
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
Il mercato mobiliare
No full textQuesto capitolo risulta organizzato nel modo seguente. Vengono innanzitutto descritte le strutture organizzative e le modalità operative del mercato primario e secondario (paragrafo 2). Il paragrafo 3 delinea quindi le caratteristiche dei principali strumenti del mercato mobiliare e ne illustra brevemente i principi di valutazione e di analisi: a questo scopo viene premesso un breve richiamo ad alcuni modelli di teoria finanziaria che costituiscono la base per la discussione successiva. Il paragrafo 4 descrive poi le condizioni di efficienza del mercato mobiliare, mentre il paragrafo 5 conclude il capitolo con alcune informazioni statistiche sul mercato mobiliare in Italia
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
Search for non-Gaussian events in the data of the VIRGO E4 engineering run
No full textThis work is a first attempt to search for glitch events in the data of the VIRGO Central Interferometer (CITF). In the first step, using simple algorithms, we searched for strong glitches in the interferometer's output photodiodes signals over the three days of data of the last engineering run. In the second step, we focused on 10 hours of data taken when the interferometer was locked and stable. The events found in the dark-fringe signal during this period are all within 3 rms of the mean output value of each algorithm and are, in some cases, linked to a beat between the powerline 50 Hz contamination and a 43.7 Hz line that comes from injection-system components. The main conclusions are that, at this level of analysis, the algorithms used have found no strong glitch-like events in the dark-fringe signal of VIRGO and that removing spectral lines like the 50 Hz is essential to further investigation
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