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Università della Svizzera italiana

On the structure of finitely additive martingales

Cassese, Gianluca

Finitely additive martingales are the counterpart of finitely additive measures over filtered probability space. We study the structure of the Yosida Hewitt decomposition in such setting and obtaing a full characterisation. Based on this result we introduce a “conditional expectation” operator for finitely additive measures which has some properties in common with ordinary conditional...

Università della Svizzera italiana

Requisiti patrimoniali, adeguatezza del capitale e gestione del rischio

Barone, Emilio ; Barone-Adesi, Giovanni ; Masera, Rainer

Il Comitato di Basilea ha deciso di introdurre un nuovo schema sull’adeguatezza dei mezzi patrimoniali degli istituti bancari, in sostituzione dell’Accordo del 1988. Le proposte avanzate in uno studio pubblicato nel giugno di quest’anno (A New Capital Adequacy Framework) sono state sottoposte all’esame della comunità finanziaria internazionale. La fase di consultazione del mercato...

Università della Svizzera italiana

Does volatility pay?

Barone-Adesi, Giovanni

An investor with quadratic utility invests amounts changing with his perceptions of risk and expected return in a market with changing risk. Optimal investment policies are derived under several hypotheses for expected returns. These policies are combined in a Bayesian framework to yield a policy that performs better than the ‘buy and hold’ policy in our tests, except in the case of the FTSE...

Università della Svizzera italiana

Incomplete information and the closed-end fund discount

Barone-Adesi, Giovanni ; Kim, Youngsoo

We model the closed-end fund discount/premium in a version of Merton’s (1978) asset pricing model with incomplete information. In this economy, investors trade only assets which they “know about”. The model generates a closed-end fund discount or premium, depending on risk-aversion parameters. The fund share price reverts to the net asset value on open-ending of the fund. The...

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...