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Università della Svizzera italiana

A new approach to check the free boundary of single factor interest rate put option

Allegretto, Walter ; Barone-Adesi, Giovanni ; Dinenis, Elias ; Lin, Yangpin ; Sorwar, Ghulam

The application of Green’s theorem to free boundary problems in option pricing leads to a new metric to measure numerical errors. Free boundaries for a variety of interest rate models are computed more accurately through minimization of our metric.

Università della Svizzera italiana

The Leontief model and economic theory

Marangoni, Giandemetrio

This article examines the relationship between classical, marginalist and Keynesian economics and the Leontief model and shows how the analysis of productive and distributional interdependencies may provide an appropriate conceptual framework for comparing the different analytical approaches.

Università della Svizzera italiana

The use of log-linear models in transport economics : the problem of commuters’ choice of mode

Rossera, Fabio

Before implementing a model of mode choice in urban travel, one needs to solve several problems relating to the framing of the analysis. The present study argues that loglinear models may be usefully applied to the analysis of categorical variables. Two problems are considered. Firstly, the methods proposed by loglinear models for identifying the interrelationships existing between a set of...

Università della Svizzera italiana

Fiscalità pubblica centralizzata e federale : aspetti generali e il caso italiano attuale

Bernardi, Luigi

This paper summarises a lecture given at Università della Svizzera italiana, Lugano, on May 18th, 2000. The paper is divided into three sections. The first one traces the different roots of unitary as well of federal countries, their present relative distribution across the western world, the outlook for future tendencies in this field. The second section is devoted to a critical analysis of...

Università della Svizzera italiana

A note on robustness in Merton's model of intertemporal consumption

Trojani, Fabio ; Vanini, Paolo

The paper presents a robust version of a simple two-assets Merton's (1969) model where the optimal choices and the implied shadow market prices of risk for a representative robust decision maker (RDM) can be easily described. With the exeption of the log utility case, precautionary behaviour is induced in the optimal consumption-investment rules through a substitution of investment in risky...

Università della Svizzera italiana

Indirect robust estimation of the short-term interest rate process

Czellara, Veronika ; Karolyib, G. Andrew ; Ronchetti, Elvezio

In: Journal of Empirical Finance, 2007, vol. 14, no. 4, p. 546-563

We propose Indirect Robust Generalized Method of Moments (IRGMM), a simulationbased estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it corrects both the errors due to discretization and the errors due to model misspecification. We apply this approach...

Università della Svizzera italiana

Saddlepoint approximations for multivariate M -estimates with applications to bootstrap accuracy

Field, Chris ; Robinson, John ; Ronchetti, Elvezio

In: Annals of the Institute of Statistical Mathematics, 2008, vol. 60, no. 1, p. 205-224

We obtain marginal tail area approximations for the one-dimensional test statistic based on the appropriate component of the M-estimate for both standardized and Studentized versions which are needed for tests and confidence intervals. The result is proved under conditions which allow the application to finite sample situations such as the bootstrap and involves a careful discretization with...

Università della Svizzera italiana

Economies of scale and scope in local public transportation

Farsi, Mehdi ; Fetz, Aurelio ; Filippini, Massimo

In: Journal of Transport Economics and Policy, 2007, vol. 41, no. 3, p. 345-361

This paper analyzes the cost structure of the Swiss urban public transport sector in order to assess scale and scope economies. A multi-output cost function has been estimated for a panel data set of companies operating trolley-bus, motor-bus and tramway systems. The results suggest increasing returns to scale and economies of scope. This analysis has important policy implications in view of the...

Università della Svizzera italiana

Fuel choices in urban Indian households

Farsi, Mehdi ; Filippini, Massimo ; Pachauri, Shonali

In: Environment and Development Economics, 2007, vol. 12, no. 6, p. 757-774

This paper applies an ordered discrete choice framework to model fuel choices and patterns of cooking fuel use in urban Indian households. The choices considered are for three main cooking fuels: firewood, kerosene and LPG (liquid petroleum gas). The models, estimated using a large microeconomic dataset, show a reasonably good performance in the prediction of households’ primary and secondary...

Università della Svizzera italiana

An empirical evaluation of data flow testing of Java classes

Giovanni Denaro ; Gorla, Alessandra ; Pezzè, Mauro

This paper tackles the problem of structural integration testing of stateful classes. Previous work on structural testing of object-oriented software exploits data flow analysis to derive test requirements for class testing and defines contextual def-use associations to characterize inter-method relations. Non-contextual data flow testing of classes works well for unit testing, but not for...