1,721,020 research outputs found
Optimal investment in markets with over and under-reaction to Information
No full textIn this paper we introduce a jump-diffusion model of shot-noise type for stock prices, taking into account over and under-reaction of the market to incoming news. We work in a partial information setting, by supposing that standard investors do not have access to the market direction, the drift, (modeled via a random variable) after a jump. We focus on the expected (logarithmic) utility maximization problem by providing the optimal investment strategy in explicit form, both under full (i.e., from the insider point of view, aware of the right kind of market reaction at any time) and under partial information (i.e., from the standard investor viewpoint, who needs to infer the kind of market reaction from data). We test our results on market data relative to Enron and Ahold. The three main contributions of this paper are: the introduction of a new market model dealing with over and under-reaction to news, the explicit computation of the optimal filter dynamics using an original approach combining enlargement of filtrations with Innovation Theory and the application of the optimal portfolio allocation rule to market data
Functional quantization of rough volatility and applications to volatility derivatives
Full text linkWe develop a product functional quantization of rough volatility. Since the optimal quantizers can be computed offline, this new technique, built on the insightful works by [Luschgy, H. and Pagès, G., Functional quantization of Gaussian processes. J. Funct. Anal., 2002, 196(2), 486–531; Luschgy, H. and Pagès, G., High-resolution product quantization for Gaussian processes under sup-norm distortion. Bernoulli, 2007, 13(3), 653–671; Pagès, G., Quadratic optimal functional quantization of stochastic processes and numerical applications. In Monte Carlo and Quasi-Monte Carlo Methods 2006, pp. 101–142, 2007 (Springer: Berlin Heidelberg)], becomes a strong competitor in the new arena of numerical tools for rough volatility. We concentrate our numerical analysis on the pricing of options on the VIX and realized variance in the rough Bergomi model [Bayer, C., Friz, P.K. and Gatheral, J., Pricing under rough volatility. Quant. Finance, 2016, 16(6), 887–904] and compare our results to other benchmarks recently suggested
A self-exciting modeling framework for forward prices in power markets
Full text linkWe propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps clustering features. Models of this kind have been already proposed for the spot price dynamics, but the main purpose of the present work is to investigate the performances of such models in describing the forward dynamics. We adopt a Heath–Jarrow–Morton approach in order to capture the whole forward curve evolution. By examining daily data in the French power market, we perform a goodness-of-fit test and we present our conclusions about the adequacy of these models in describing the forward prices evolution
Fast hybrid schemes for fractional Riccati equations (Rough is not so tough)
Full text linkWe solve a family of fractional Riccati equations with constant (possibly complex) coefficients. These equations arise, for example, in fractional Heston stochastic volatility models, which have received great attention in the recent financial literature because of their ability to reproduce a rough volatility behavior. We first consider the case of a zero initial value corresponding to the characteristic function of the log-price. Then we investigate the case of a general starting value associated to a transform also involving the volatility process. The solution to the fractional Riccati equation takes the form of power series, whose convergence domain is typically finite. This naturally suggests a hybrid numerical algorithm to explicitly obtain the solution also beyond the convergence domain of the power series. Numerical tests show that the hybrid algorithm is extremely fast and stable. When applied to option pricing, our method largely outperforms the only available alternative, based on the Adams method
Innovative poly(butylene terephtalate) based nanocomposites: a preliminary investigation
No full textCorrection to: No-arbitrage commodity option pricing with market manipulation (Mathematics and Financial Economics, (2020), 14, 3, (577-603), 10.1007/s11579-020-00265-y)
No full textThe paper [1] contains two mistakes. We are grateful to Man Kit Tsui for his questions and remarks, leading us to identify them
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variabilità nel ricorso alla laparoscopianell’intervento di appendicectomia
No full textOBIETTIVI: La variabilità clinica rappresenta un fenomeno estremamente
complesso legato da un lato all’erogatore, disponibilità di nuove opzioni
terapeutiche e scelte del singolo professionista, talora condizionato da richieste
sempre più specifiche da parte dell’utenza. Questo lavoro ha l’obiettivo di
dimensionare la variabilità intraregionale nel ricorso all’appendicectomia e
nell’esecuzione laparoscopica della stessa nell’ambito della Regione Veneto.
MATERIALI: Avvalendosi dell’archivio regionale informatizzato SDO, riferito al
periodo 2000-2008, è stato calcolato il tasso di appendicectomia (TA) di area,
espresso per 100.000 ab./anno, in riferimento alle singole aziende sanitarie
territoriali (n. 21), considerando ciascuna di esse come singola unità dell’indagine
indipendentemente dal numero di assistiti, mediamente 230.111 ± 105.127
(range: 74.813 – 466.132) e, per la numerosità estremamente diversificata
sono state incluse nell’analisi solo le 19 aziende con più di 100.000 assistiti. La
stessa variabilità è stata inoltre considerata in termini di macroaree, aggregando
le aziende per le 7 province, 669.119 ± 302.049 residenti (range: 211.843 –
880.339). il TA di area va considerato come un indicatore proxy del fenomeno
poiché non considera il ricorso alla mobilità, né interregionale né intraregionale,
contrariamente al TA di popolazione calcolato sulla popolazione residente.
RIASSUNTO: Il campione era costituito da 38.314 interventi di appendicectomia,
con un TA di popolazione complessivamente pari a 90,9; per quanto concerne
la variabilità intraregionale, la stratificazione del campione per singola azienda
ha evidenziato un TA mediamente pari a 94,2 ± 16 (range: 74 - 128,6) con un
ricorso alla tecnica laparoscopica del 28% ± 15,8% (range: 4,8% - 53,9%),
attestatosi al di sopra del 50% in 4 delle 19 aziende considerate ma inferiore
al 20% in 10 di esse. Dall’aggregazione per macroaree provinciali, includendo
nell’analisi tutte le aziende, si è assistito a una riduzione della variabilità
rispetto all’analisi per singola azienda, sia del TA, 90,2 ± 13,8 (range 74,4 -
116,1), che del ricorso alla laparoscopia, 25% ± 10,6% (16 - 44%). Da segnalare
infine che dall’analisi della distribuzione dei TA, sia a livello di singola azienda
che su base provinciale, non è emersa alcuna correlazione con la percentuale
di interventi effettuati per via laparoscopica.
CONCLUSIONI: L’analisi, oltre a una variabilità contenuta e in linea alla
letteratura nel ricorso all’appendicectomia, ha evidenziato un quadro della
diffusione della tecnica laparoscopica piuttosto disomogeneo con una variabilità
plausibilmente riconducibile alle differenti competenze degli operatori in ambito
laparoscopico
LA CHIRURGIA TIROIDEA NELLA REGIONE VENETO
No full textDato che la tiroide è considerata un organo “di confine” tra le discipline di ORL e Chirurgia Generale, è stato condotto uno studio retrospettivo decennale per la definizione di un quadro epidemiologico relativo alla chirurgia tiroidea nel Veneto, identificando specialità di erogazione e volume di prestazioni erogate dalle singole Aziende Sanitarie
- …
