Financial asset bubbles in banking networks

We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not direct access to the bubble, but can take initially advantage from its increase by investing on the banks in the core. Investments are modeled by the weight of the links, which is a function of the robustness of the banks. In this way, a preferential attachment mechanism towards the core takes place during the growth of the bubble. We then investigate how the bubble distort the shape of the network, both for finite and infinitely large systems, assuming a non vanishing impact of the core on the periphery. Due to the influence of the bubble, the banks are no longer independent, and the law of large numbers cannot be directly applied at the limit. This results in a term in the drift of the diffusions which does not average out, and that increases systemic risk at the moment of the burst. We test this feature of the model by numerical simulations.Comment: 33 pages, 6 table

Management sanitario in riabilitazione

Il management viene definito come “operare con le risorse umane, fisiche e finanziarie per raggiungere gli obiettivi dell’organizzazione, svolgendo funzioni di pianificazione, organizza zione e controllo” (Megginson 1996). Fino al XVIII secolo la gestione delle aziende era affidata alle capacità personali dei vari responsabili e alla loro esperienza. Tale situazione non era più sostenibile in quanto la situazione del mercato imponeva di fare fronte al rapido sviluppo della tecnologia e di ridurre al massimo i tempi di produzione. Con l’avvento della rivoluzione industriale si è sviluppato un corpo di conoscenze in ordine temporale dando vita a numerose scuole di pensiero (taylorismo, behaviorismo). Ciascuna scuola ha fornito il proprio contributo alla costruzione del concetto di management, alla definizione dei principi fondamentali delle organizzazioni e alla identificazione della figura del manager. L’obiettivo della presenti tesi di tipo sperimentale, è quello di progettare uno strumento, che consente di fornire tutte le informazioni necessarie per dare una risposta a questi elementi. Il presente lavoro scaturisce dalla convinzione che la progettazione dei Servizi sanitari sia uno degli elementi essenziali del processo di innovazione in Sanità. Vuole essere un approfondimento delle tematiche relative ai processi ed alle modalità che stanno alla base di una corretta e moderna programmazione in ambito sanitario, evidenziando le logiche ed utilizzando gli strumenti e le tecniche propri del Project Management. Viene descritto brevemente la storia della progettazione, evidenziando come il “lavorare per progetti” si sia progressivamente evoluto da una applicazione inizialmente in ambito militare, alla progressiva evoluzione fino agli ultimi anni in cui é divenuto strumento di lavoro in ambito sanitario. Inoltre, viene introdotto il concetto di Project Management, ne identifica e descrive le componenti e ne traccia una relazione ed un riscontro con quelle che sono le indicazioni del sistema di gestione per la qualità Iso 9001:2000. Inoltre si approfondisce ed analizza le basi metodologiche del Project Management, evidenziando quali siano le funzioni e le responsabilità delle figure coinvolte nella progettazione, inoltre descrive il processo di pianificazione e controllo di progetto e gli strumenti adottati per attuarlo. Si focalizza l’attenzione sulle fasi della progettazione sanitaria, che vengono analizzate singolarmente evidenziandone l‘importanza ed il significato a fini di una corretta ed efficace attività progettuale

Endoscopic ultrasonography for surveillance of individuals at high risk for pancreatic cancer

Pancreatic cancer is a highly lethal disease with a genetic susceptibility and familial aggregation found in 3%-16% of patients. Early diagnosis remains the only hope for curative treatment and improvement of prognosis. This can be reached by the implementation of an intensive screening program, actually recommended for individuals at high-risk for pancreatic cancer development. The aim of this strategy is to identify pre-malignant precursors or asymptomatic pancreatic cancer lesions, curable by surgery. Endoscopic ultrasound (EUS) with or without fine needle aspiration (FNA) seems to be the most promising technique for early detection of pancreatic cancer. It has been described as a highly sensitive and accurate tool, especially for small and cystic lesions. Pancreatic intraepithelial neoplasia, a precursor lesion which is highly represented in high-risk individuals, seems to have characteristics chronic pancreatitis-like changes well detected by EUS. Many screening protocols have demonstrated high diagnostic yields for pancreatic pre-malignant lesions, allowing prophylactic pancreatectomies. However, it shows a high interobserver variety even among experienced endosonographers and a low sensitivity in case of chronic pancreatitis. Some new techniques such as contrast-enhanced harmonic EUS, computer-aided diagnostic techniques, confocal laser endomicroscopy miniprobe and the detection of DNA abnormalities or protein markers by FNA, promise improvement of the diagnostic yield of EUS. As the resolution of imaging improves and as our knowledge of precursor lesions grows, we believe that EUS could become the most suitable method to detect curable pancreatic neoplasms in correctly identified asymptomatic at-risk patients

Generalized Feynman-Kac Formula under volatility uncertainty

In this paper we provide a generalization of a Feynmac-Ka\c{c} formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result under different hypothesis with respect to the derivation given by Hu, Ji, Peng and Song (Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion, Stochastic Processes and their Application, 124 (2)), where the Lipschitz continuity of some functionals is assumed which is not necessarily satisfied in our setting. In particular, we show that the $G$-conditional expectation of a discounted payoff is a viscosity solution of a nonlinear PDE. In applications, this permits to calculate such a sublinear expectation in a computationally efficient way.Comment: 34 pages, 3 figure

Validation of geometric data in HBIM implementation processes of Romanesque churches in Sardinia

The implementation of BIM methodologies for historical buildings presupposes not only the collection of data and information related to its geometric configuration and to the technical parameters of its constituent elements, but more generally the identification of those semantic values which make it part of the historical-cultural heritage shared in a specific context. It is therefore essential that the modelling objectives are explicitly defined in relation to the specific BIM uses required, in order to avoid risks of over-modelling. This paper proposes a process of geometric validation of building information models of high morphological complexity implemented through Scan-to-BIM procedures. By means of a controlled and interoperable workflow, a chain of software applications is defined that is able to determine the level of geometric accuracy (LOA) of the information model with respect to the numerical model derived from the point cloud. Two case studies of H-BIM modelling of historical monumental complexes dating back to the Romanesque period in Sardinia (Italy) are illustrated: the churches of Sant'Efisio a Nora (Cagliari) and Santa Maria del Regno (Sassari). In the discussion of the results, the need for a prior definition of modelling strategies in relation to the expected BIM uses is highlighted.The digital survey was carried out as a part of the research project titled, “The Romanesque and the territory. Construction materials of the Sardegna Giudicale”, and coordinated by prof. Stefano Columbu. The BIM model was developed by a students’ team as part of the teaching activities of the Architectural Drawing course at the School of Engineering, University of Florence. The imagines are extracted from the drawings of the students, Valeria Siddi, Elena Pastorelli, Liuba Gabrielli, Simone Riccio, Elisa Ricotti

Detecting asset price bubbles using deep learning

In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices. The proposed algorithm is widely applicable and model-independent. We test the accuracy of our methodology in numerical experiments within a wide range of models and apply it to market data of tech stocks in order to assess if asset price bubbles are present. In addition, we provide a theoretical foundation of our approach in the framework of local volatility models. To this purpose, we give a new necessary and sufficient condition for a process with time-dependent local volatility function to be a strict local martingale.Comment: 29 pages, 3 figure

Supplement Liquidity based modeling of asset price bubbles via random matching

This is a supplement to the paper "Liquidity based modeling of asset price bubbles via random matching". The supplement is organized as follows. First, we prove Theorem 3.13 in [1] which provides the existence of the dynamical system D introduced in Definition 3.6 in [1]. Second, we show some properties of D which are summarized in Theorem 3.14 in [1]. In the following, we only state the basic setting and refer to [1] for definitions.Comment: arXiv admin note: substantial text overlap with arXiv:2210.1380

Signal-to-Noise Ratio importance in Apparent Diffusion Coefficient measurements using Diffusion-Weighted Echo-Planar-Imaging scans

Purpose: To define experimental grounds for Apparent Diffusion Coefficient (ADC) measurements using Spin-Echo Diffusion-Weighted Echo-Planar (SE-DW-EPI) sequences, as a function of Signal-to-Noise Ratio (SNR). Methods: multiple multi-b SE-DW-EPI scans with the same parameters but the lipid suppression technique have been compared on water phantom with a 3T MRI equipment. The SNR has been estimated using the method of difference. Images have been analyzed manually, comparing the signal intensities at different b-values. Results: All measurements show a high repeatability and strong self-consistency. A significant dependence of the ADC on SNR has been shown, and its lowest limitto obtain reliable quantitative answers has been stated. Conclusion: ADC measurements in vivo must be carefully designed to avoid systematic errors during acquisition and post-processing due to low SNR

Estimating extreme cancellation rates in life insurance

This paper assesses the risk of a mass lapse event in life insurance. The rarity of the event and the complexity of policyholder behavior make the risk assessment of such a scenario difficult. Using a simulation study, we evaluate how different estimation methods can assess the risk of this scenario, using panel data at the company level. We then use the best-performing method to estimate the probability distribution function of a mass cancellation event in the United States and Germany. We identify dependencies of the event on company and country characteristics, which have not been taken into account by regulating agencies. We also find that the current mass lapse scenario in Solvency II has no empirical foundation for the German market. We show that an empirically valid scenario leads to a significantly lower solvency capital requirement for the average German life insurer. © 2021 The Authors. Journal of Risk and Insurance published by Wiley Periodicals LLC on behalf of American Risk and Insurance Association