2,179 research outputs found
Pricing Asian options in affine Garch models
No full textWe derive recursive relationships for the m.g.f. of the geometric average of the underlying
within some affine Garch models [Heston and Nandi (2000), Christoffersen et al.
(2006), Bellini and Mercuri (2007), Mercuri (2008)] and use them for the semi-analytical
valuation of geometric Asian options. Similar relationships are obtained for low order
moments of the arithmetic average, that are used for an approximated valuation of arithmetic
Asian options based on truncated Edgeworth expansions, following the approach
of Turnbull and Wakeman (1991). In both cases the accuracy of the semi-analytical procedure
is assessed by means of a comparison with Monte Carlo prices. The results are
quite good in the geometric case, while in the arithmetic case the proposed methodology
seems to work well only in the Heston and Nandi cas
Option pricing in a Garch model with tempered stable innovations
No full textThe key problem for option pricing in Garch models is that the risk-neutral distribution of the underlying at maturity is unknown. Heston and Nandi solved this problem by computing the characteristic function of the underlying by a recursive procedure. Following the same idea, Christoffersen, Heston and Jacobs proposed a Garch-like model with inverse Gaussian innovations and recently Bellini and Mercuri obtained a similar procedure in a model with Gamma innovations. We present a model with tempered stable innovations that encompasses both the CHJ and the BM models as special cases. The proposed model is calibrated on S&P500 closing option prices and its performance is compared with the CHJ, the BM and the Heston-Nandi model
L’uso dei microresti vegetali per le ricostruzioni paleoambientali e per la valutazione degli effetti dell’attività antropica: l’esempio dei laghi vulcanici laziali
No full textNegli ultimi decenni diversi studi hanno dimostrato l’utilità di combinare le analisi polliniche con lo studio dei microcarboni e dei palinomorfi non pollinici [Carrión e Navarro, 2002; Miras et al., 2004; Riera et al., 2006] e sempre più spesso i lavori riportano risultati da entrambi i tipi di reperti, che possono essere analizzati sugli stessi preparati e quindi in laboratorio non richiedono estrazioni diverse.
Lo studio palinologico di sequenze lacustri oloceniche permette di approfondire la conoscenza dei complessi rapporti tra l’uomo e l’ambiente e di ricostruire le trasformazioni del paesaggio avvenute sia sotto la pressione di eventi naturali e/o climatici che culturali [Mercuri e Sadori, 2012, 2013; Mercuri et al., 2010; Roberts et al., 2011; Sadori et al., 2011]
Option pricing in a conditional bilateral gamma model
No full textWe propose a conditional Bilateral Gamma model, in which the shape parameters of the Bilateral Gamma distribution have a Garch-like dynamics. After risk neutralization by means of a Bilateral Esscher Transform, the model admits a recursive procedure for the computation of the characteristic function of the underlying at maturity, à la Heston and Nandi (2000). We compare the calibration performance on SPX options with the models of Heston and Nandi (2000), Christoffersen, Heston and Jacobs (2006) and with a Dynamic Variance Gamma model introduced in Mercuri and Bellini (2011), obtaining promising result
El mercuri s'ha triplicat als nostres oceans
No full textL"ACTIVITAT INDUSTRIAL INCLOU PROCESSOS molt diversos que sovint generen productes potencialment contaminants, que s"han estat abocant al medi ambient amb més o menys control des de l"inici de la Revolució Industrial. Alguns d"aquests productes poden ser reciclats pels mateixos cicles naturals, geoquímics i biològics, però d"altres es van acumulant, com és el cas del mercuri. Un estudi publicat a la revista Nature, encapçalat per Carl H. Lamborg, de la Woods Hole Oceanographic Institution de Massachusetts, als EUA, indica que la quantitat de mercuri als oceans s"ha triplicat des de la Revolució Industrial i, malgrat que el nivell actual encara és raonablement lluny de ser considerat tòxic per a les persones, pot començar a alterar els ecosistemes marins. A més, com assenyalen els autors del treball, la capacitat dels oceans per dissoldre el mercuri acumulat es podria estar esgotant, la qual cosa implicaria que, si no es prenen mesures que evitin els abocaments incontrolats, el seu ritme de penetració dins els ecosistemes i, a la llarga, en l"alimentació humana, podria augmentar de manera exponencial
Forensic Palynology: methods and future.
No full textLavori Originali / Original Articles3 A.M. Mercuri, A.TravagliniL’incontro di Roma e la Palinologia Forense in Italia / The meeting of Rome on Forensic Palynology7 D.C. MildenhallForensic palynology: an increasingly used tool in forensic science / Palinologia Forense: uno strumento dellaScienza Forense sempre più usato11 A.M. Mercuri, I. Massamba N’siala, L. OlmiPolline giallo: la palinologia applicata alle Scienze Forensi / The yellow pollen: palynology applied to ForensicSciences20 A.Travaglini, S. Silvestri, E. Mei, E. Marcelli, P. MontagnaIl Progetto: “Palinologia Forense: esperienze a Roma” / The project: “Forensic Palynology at Rome”25 M. Boi, G. Servera Vives, M. Capó Martí, L. Llorens GarcíaI cavalli e le loro qualità come campionatori pollinici / Horses as pollen trap34 M. Mariotti Lippi, A.M. MercuriPalynological analyses applied to a case of kidnapping in Italy / Indagini palinologiche applicate ad un casodi sequestro di persona39 A.Travaglini, E. MeiUn caso di omicidio per la palinologia forense / A homicide case for Forensic Palynology44 C.A. Accorsi, L. Forlani, F. Rossi, E. Del Borrello, G.Trevisan, A. CicognaniPalinologia e tossicologia in un caso di omicidio con notevole interesse forense / Forensic palynology andtoxycology in a interesting case of murder49 M. Marchesini, S. MarvelliIl contributo delle indagini palinologiche alle cause di morte di Cangrande della Scala, signore di Verona(1291-1329 d.C.) / The contribution of palynological analyses to the recognition of death-leading causes ofCangrande della Scala, master of Verona (1291-1329 a.D.
Palynology: the bridge between palaeoecology and ecology for the understanding of human-induced global changes in the Mediterranean area.
No full textThe starting point of palynology when dealing with ecology is that ‘ecosystems are dynamic and have a history’ (Willis & Birks, 2006; Birks, 2012). In a thematic review centred on ‘cultural landscapes of the past’, recently published, Mercuri, et al. (2010) outlined the essential role of botanists in creating a bridge of knowledge between past and present vegetation and human impact dynamics. This is especially obtained by providing a faithful interpretation of the plant cover developed as a consequence of presence or pressure of both past and modern human activities. These concepts match the assumptions of history as ‘change with time’ and ‘ecology as a historical discipline’ by Boero (2010)
Cambiamenti climatici e impatto antropico nel Mediterraneo: la prospettiva paleo/archeobotanica.
No full textIl legame tra esseri umani e ambiente è una delle problematiche più stringenti degli ultimi decenni, volta in particolare a comprendere quale sostenibilità ambientale sia possibile in un momento di evidenti cambiamenti climatici (Diamond 2002; Oldfield 2005; Sadori 2007). Le ricerche sugli archivi biologici permettono di studiare la relazione tra storia della vegetazione e trasformazioni socio-ambientali per area geografica e per fase culturale (Berglund 2003; Birks et al. 1998; Mercuri 2008) La prospettiva paleo- e archeobotanica si occupa di questi temi attraverso lo studio di resti botanici, polline e macroresti vegetali, presenti in depositi di origine diversa. Lo studio del Tardoglaciale e Olocene, circa gli ultimi 15mila anni, mostra chiari cambiamenti della copertura vegetale che sono avvenuti in seguito a oscillazioni climatiche globali. Con una generalizzazione, possiamo riassumere i cambiamenti più evidenti in un andamento verso innalzamento delle temperature e calo delle precipitazioni, con variazioni stagionali, nel Mediterraneo centrale. Proprio nel Mediterraneo, l’Olocene medio ha visto anche il fiorire di alcune delle più importanti civiltà, preludio della società moderna. Molti autori sottolineano che le traiettorie di evoluzione culturale sembrano più o meno fortemente coincidere con cambiamenti climatici (Mercuri et al. 2011). Questi ultimi hanno portato, tra le proprie conseguenze, modifiche nell’assetto vegetazionale più o meno drammatiche. Resta comunque non facile avere a disposizione record che abbiano una sufficiente risoluzione sufficiente a discriminare tra modifiche ambientali climatiche o antropiche, perché è probabile che alcuni adattamenti all’ambiente siano avvenuti in modo sfumato e altre più brusco, in dipendenza dalle condizioni locali.Bibliografia citataBerglund BE (2003) Human impact and climate changes - synchronous events and a causal link? Quat Int 105: 7-12Birks HH, Birks JB, Kaland PE, Moe D (1988) The Cultural Landscape, Cambridge University Press, CambridgeDiamond J (2002) Evolution, consequences and future of plant and animal domestication. Nature 418: 700–707Mercuri AM (2008) Human influence, plant landscape, evolution and climate inferences from the archaeobotanical records of the Wadi Teshuinat area (Libyan Sahara). J Arid Environ 72: 1950–1967Mercuri AM, Sadori L, Uzquiano Ollero P (2011) Mediterranean and north-African cultural ad- aptations to mid-Holocene environmental and climatic change. Holocene 21: 189–206Oldfield F (2005) Environmental change: key issues and alternative approaches, Cambridge, University Press CambridgeSadori L (2007) Pollen Records, Postglacial. Southern Europe. Encyclopedia of Quaternary Sci- ences, Elsevier, pp. 2763-277
Symposium n. 39 'Reconstruction of past cultural landscapes and human-related environmental changes using palynological and archeobotanical records'of the 12th International Palynological Congress and 8th International Organisation of Palaeobotany Conference (30 August-5 September 2008, Bonn, Germany)
No full textConveners of Symposium n° 39: MERCURI and SADORI; coordinator and organizations of the 12th IPC: THOMAS LITT.This symposium aims to strengthen the importance of parallel studies both on pollen and macroremains; the two data sets supply in fact a more complete picture of past green landscapes. The session will deal with archaeobotanical studies related to archaeological sites focusing on the evolution of the cultural landscape, and strengthening the importance of parallel studies both on microremains (mainly pollen, but also micro-charcoals, phytolits and diatoms), and macroremains (seeds/fruits, wood/charcoal, leaves) to obtain a more complete picture of past green landscapes. Studies from archaeological layers (on-site), and sediment cores (off-site) close to archaeological sites, recording human-related environmental changes are included. The proposed time period ranges from the Early to the Late Holocene, but key-contributions of different ages are welcome as well. Contributions are urged from all countries, searching for human behaviour similarities and dissimilarities in different environments. Archaeobotany strongly calls for the cooperative research of palynologists and palaeobotanists to enhance and enforce the potentialities of the two approaches. In fact, pollen, micro-charcoal, and other palynomorph records from the archaeological sites are an invaluable tool to follow the diachronical succession of events, and for studying the onset and evolution of cultural landscapes. Plant macroremains offer details on specific determinations and palaeoecological/ethnobotanical inferences. Besides being a useful local reference, they are fundamental in disentangling, at least on a regional scale, if environmental changes are human or climate induced. The palynology of archaeological sites offers detailed studies, which can be very useful in environmental archaeology, to assess the relevance of the human influence on different environments and the extension of land use
Mid-Holocene cultural landscapes and climate change in Mediterranean and north-African areas
No full textDuring the Holocene, intense changes in climate, in environment and in cultural systems have occurred. Cultural trajectories have shown trends fairly coincident with climatic changes in Mediterranean and north-African areas. In particular, three dry events occurring at ca. 8200 cal yr BP, ca. 6000 cal yr BP and ca. 4200 cal yr BP seem to have been of key relevance for fairly synchronous climatic-cultural changes (Mercuri et al., in press). Archaeobotanical records (pollen and macroremains) help to recognise and date human presence and activity in different territories indicating that when human groups occupied a region they exploited the territory and operated a choice of useful plants for food, building and fire. Humans used and selected what the territory offered. When climatic-environmental changes occurred, humans changed their plant resources from time to time moving towards what was available in the territory and changing their subsistence strategies. Over-exploitation of thinned plant ressources including overgrazing, sometimes accelerated the evolution of aridity in a drying climatic phase. In these cases humans enforced aridity crisis and the relevant climate signal in palaeoclimatic records was enhanced. When dry climate depleted water and plant resources under a sustainable level, humans necessarily moved to new places.This work reports pollen and charcoal studies from six archaeological sites located around Mediterranean basin covering the three main dry events mentioned above :Wadi-Teshuinat area (south-western Libya), Benzú cave (Ceuta, Spain, north-western Africa), La Vaquera cave (central Spain), Lago di Mezzano (central Italy), Terramara di Montale (northern Italy) and Arslantepe (eastern Anatolia, Turkey).Archaeobotany suggests that Bronze age has probably marked the environment more than the Neolithic, possibly because there is a relationship between knowledge improvement, culture development and evolution of complexity in land exploitation.The work was partially financed by project PICAR - cultural landscaPe and human Impact in Circum-mediterranean countries - Programmi di Ricerca scientifica di rilevante Interesse Nazionale 2008FJCEF4Mercuri AM, Sadori L, Uzquiano Ollero P. in press. Mediterranean and north-African cultural adaptations to mid-Holocene environmental and climatic changes. The Holocene
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