196,316 research outputs found
Fondo Nacional para el Medio Ambiente y Recursos Naturales (Fondo MARENA) : Plan estratégico 2010-2012
No full textEl Plan Estratégico 2010–2012 del Fondo Nacional para el Medio Ambiente y Recursos Naturales (Fondo MARENA), marca la etapa fundacional de la institución como mecanismo nacional de financiamiento ambiental en la República Dominicana. Se define su misión, visión, ejes estratégicos iniciales y estructura operativa, orientándose a apoyar políticas ambientales mediante la canalización de recursos financieros, tanto públicos como internacionales, hacia proyectos de conservación, manejo sostenible de los recursos naturales y adaptación al cambio climático. Este primer plan enfatiza la necesidad de posicionar al Fondo como ente gestor confiable, promover alianzas interinstitucionales, y establecer marcos normativos y administrativos para su funcionamiento
Fondo Nacional para el Medio Ambiente y Recursos Naturales (Fondo MARENA) : Plan estratégico para el período 2013-2016
No full textEl Plan Estratégico Institucional 2013–2016 amplía la estructura estratégica del Fondo MARENA en coherencia con los instrumentos internacionales de financiamiento ambiental y los compromisos del país en materia de sostenibilidad. El plan introduce una matriz de planificación orientada a resultados, consolidando cinco líneas estratégicas: fortalecimiento institucional, gestión de fondos y fideicomisos, apoyo a iniciativas territoriales, monitoreo y evaluación de impactos, y promoción de la participación ciudadana. Además, articula objetivos con los marcos de política pública nacional como la Estrategia Nacional de Desarrollo y los acuerdos multilaterales sobre cambio climático y biodiversidad
Pricing Discretely Monitored Asian Options by Maturity Randomization
No full textWe present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Levy process. For geometric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Levy-stable case. For arithmetic Asian options we solve the valuation problem by recursive integration and derive a recursive theoretical formula for the moments to check the accuracy of the results. We compare the implementation of our method to Monte Carlo simulation implemented with control variates and using different parametric Levy processes. We also discuss model-risk issues
Asian options with jumps: A closed form formula
No full textIn this article Marena, Roncoroni, and Fusai derive a closed-form formula for the fair value of call and put options written on the arithmetic average of security prices driven by jump diffusion processes displaying (possibly periodical) trend, time varying volatility, and mean reversion. The model allows one for jointly fitting quoted futures curve and the time structure of spot price volatility. These result extends the no-jump case put forward in [Fusai, G., Marena, M., Roncoroni, A. 2008. Analytical Pricing of Discretely Monitored Asian-Style Options: Theory and Application to Commodity Markets. Journal of Banking and Finance 32 (10), 2033-2045]. A few tests based on commodity price data assess the importance of introducing a jump component on the resulting option prices
Effetto dell'età sulla Na,K-ATPasi linfocitaria e sulla sensibilità periferica all'insulina
No full textZ-Transform and preconditioning techniques for option pricing
No full textIn the present paper, we convert the usual n-step backward recursion that arises in option pricing into a set of independent integral equations by using a z-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation into a linear system that we solve by iterative algorithms and we study the benefits of suitable preconditioning techniques. We show the relevance of our procedure in pricing options (such as plain vanilla, lookback, single and double barrier options) when the underlying evolves according to an exponential Lévy process
A Note on the Analytical Pricing of Commodity Asian-Style Options under Discrete Monitoring
No full textOption pricing, maturity randomization and distributed computing
No full textWe price discretely monitored options when the underlying evolves according to different exponential Lévy processes.
By geometric randomization of the option maturity, we transform the -steps backward recursion that arises in option pricing into an integral equation. The option price is then obtained solving n independent integral equations by a suitable quadrature method. Since the integral equations are mutually independent, we can exploit the potentiality of a grid computing architecture. The primary performance disadvantage of grids is the slow communication speeds between nodes. However, our algorithm is well-suited for grid computing since the integral equations can be solved in parallel, without the need to communicate intermediate results between processors. Moreover, numerical experiments on a cluster architecture show the good scalability properties of our algorithm.We price discretely monitored options when the underlying evolves according to different exponential Levy processes. By geometric randomization of the option maturity, we transform the n-steps backward recursion that arises in option pricing into an integral equation. The option price is then obtained solving n independent integral equations by a suitable quadrature method. Since the integral equations are mutually independent, we can exploit the potentiality of a grid computing architecture. The primary performance disadvantage of grids is the slow communication speeds between nodes. However, our algorithm is well-suited for grid computing since the integral equations can be solved in parallel, without the need to communicate intermediate results between processors. Moreover, numerical experiments on a cluster architecture show the good scalability properties of our algorithm. (C) 2010 Elsevier B.V. All rights reserved
Option Pricing, Maturity Randomization and Grid Computing
No full textBy geometric randomization of the option maturity, we transform the n-steps backward recursion that arises in option pricing into an integral equation. The option price is then obtained solving n independent integral equations. This is accomplished by a quadrature procedure that transforms each integral equation in a linear system. Since the solution of each linear system is independent one of the other, we can exploit the potentiality of the grid architecture AGA. We compare different quadrature methods of the integral equation with Monte Carlo simulation. Therefore we price options (such as plain vanilla, single and double barrier options) when the underlying evolves according to
different exponential Levy processes
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