120,821 research outputs found
Dettagli territoriali
No full textNon si può parlare di forma del territorio senza tener conto dei telai resistenti delle infrastrutture e delle reti che ne regolano le mobilità sia fisica che immateriale. Il coinvolgimento del suolo inteso come superficie spessa, molteplice, costituita di differenti strati significativi è una delle azioni più frequenti del progetto. Il volume restituisce gli esiti teorici e applicativi di un seminario progettuale curato da Carmen Andriani nella Facoltà di Pescara (2000/2003) con contributi di: C. Andriani, F. Bilò, E. Corradi, P. Misino, N. Trasi, L. Romagni, R. Orienti
Valuation of Collateralized Funds of Hedge Fund Obligations: A Basket Option Pricing Approach
No full textThe purpose of the present contribution is to provide an extension to a
model developed by Tassinari and Corradi [7] to price equity and debt tranches of
collateralized funds of hedge fund obligations (CFOs). The key idea is to price each
CFO liability as an option on the underlying basket of hedge funds. The proposed
model is able to reproduce the empirical characteristics observed in the distribution
of hedge funds’ returns: skewness, excess kurtosis and dependence in the tails. Additionally,
it can be easily calibrated to the empirical correlation matrix and it requires
only historical information to be estimated and implemented. The result is a scheme
that can be useful in structuring a CFO. In particular, we believe that the approach
described in this work can be helpful to rating agencies and to deal structures to
evaluate various capital structures, test levels, liquidity profiles, coupons and equity
distribution rules
tassinari g l, corradi c (2013). Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure. QUANTITATIVE FINANCE, vol. 13, p. 1991-2010, ISSN: 1469-7696
No full textCollateralized Funds of Hedge Fund Obligations (CFOs) are relatively recent structured finance products linked to the performance of underlying funds of hedge funds. The capital structure of a CFO is similar to traditional Collateralized Debt Obligations (CDOs), meaning that investors are offered different rated notes and equity interests. CFOs are structured as arbitrage market value CDOs. The fund of funds manager actively manages the fund to maximize total returns while limiting price volatility within the guidelines of the structure. The aim of this paper is to provide a useful framework to evaluate Collateralized Funds of Hedge Fund Obligations, that is pricing the equity and the debt tranches of a CFO. The basic idea is to evaluate each CFO liability as an option written on the underlying pool of hedge funds. The value of every tranche depends on the evolution of the collateral portfolio during the life of the contract. Care is taken to distinguish between the fund of hedge funds and its underlying hedge funds, each of which is itself a portfolio of various securities, debt instruments and financial contracts. The proposed model incorporates skewness, excess kurtosis and is able to capture more complex dependence structures among hedge fund log-returns than the mere correlation matrix. With this model it is possible to describe the impact of an equivalent change of probability measure not only on the marginal processes but also on the underlying dependence structure among hedge funds
Un exemple d’assimilation culturelle : la fable orientale dans le Traité de l’origine des romans de Pierre-Daniel Huet
No full textOn sait que dans la production littéraire de la première génération des Lumières l’Orient est présenté comme le lieu d’origine des fables et des superstitions religieuses. Le Traité de l’origine des romans de Pierre-Daniel Huet, publié d’abord en 1670 en guise de préface à Zayde, est un chaînon essentiel du processus qui a conduit à l’élaboration de ce topos si essentiel dans la culture des Lumières. Le savant prélat semble hésiter entre la fidélité à l’herméneutique allégorique de tradition humaniste, qui valorise la fable comme mode d’expression de la vérité, et une nouvelle méfiance rationaliste à l’égard de la gratuité et de la figuralité excessive de la fable orientale. L’article se propose d’enquêter sur le statut de la fable orientale dans le traité de Pierre-Daniel Huet et plus largement dans la France de la fin du XVIIe siècle. On s’interroge en somme sur les raisons qui ont empêché la naissance d’un genre “fable orientale” au XVIIe siècle comparable au “conte oriental” en vogue au siècle suivant, malgré la double consécration représentée par les ouvrages de Huet et de La Fontaine
Shear strengthening of wall panels through jacketing with cement mortar reinforced by GFRP grids
No full textThis paper gives the results of a series of shear tests carried out on historic wall panels reinforced with an innovative technique by means of jacketing with GFRP (Glass Fiber Reinforced Plastics) mesh inserted into an inorganic matrix. Tests were carried out in situ on panels cut from three different historic buildings in Italy: two in double-leaf rough hewn rubble stone masonry in Umbria and L'Aquila and another with solid brick masonry in Emilia. Two widely-known test methods: the diagonal compression test and the shear-compression test with existing confinement stress. The test results enabled the determination of the shear strength of the masonry before and after the application of the reinforcement. The panels strengthened with the GFRP exhibited a significant improvement in lateral load-carrying capacity of up to 1060% when compared to the control panels. A numerical study assessed the global behavior and the stress evolution in the unreinforced and strengthened panels using a finite element code
Il sistema socio-sanitario bresciano
No full text*Il presente contributo è indirizzato a presentare le sfide e le risorse del Sistema sanitario bresciano in una prospettiva glocal
- …
