Modeling financial assets without semimartingales

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class ${\cal A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of ${\cal A}$-martingale. A calculus related to ${\cal A}$-martingales with some examples is developed. Some applications to the maximization of the utility of an insider are expanded.Comment: 53 page

Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes

In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure $Q+R$, where $Q$ is a finite quadratic variation process and $R$ is strongly predictable in some technical sense: that condition implies, in particular, that $R$ is weak Dirichlet, and it is fulfilled, for instance, when $R$ is independent of $M$. The method is based on a transformation which reduces the diffusion coefficient multiplying $\xi$ to 1. We use generalized It\^{o} and It\^{o}--Wentzell type formulae. A similar method allows us to discuss existence and uniqueness theorem when $\xi$ is a H\"{o}lder continuous process and $\sigma$ is only H\"{o}lder in space. Using an It\^{o} formula for reversible semimartingales, we also show existence of a solution when $\xi$ is a Brownian motion and $\sigma$ is only continuous.Comment: Published at http://dx.doi.org/10.1214/009117906000000566 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

On stochastic calculus related to financial assets without semimartingales

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class $\mathcal{A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of $\mathcal{A}$-martingale. A calculus related to $\mathcal{A}$-martingales with some examples is developed. Some applications to no-arbitrage, viability, hedging and the maximization of the utility of an insider are expanded. We finally revisit some no arbitrage conditions of Bender-Sottinen-Valkeila type

Soggetti alla violenza. Post mortem di Pablo Larraín

La posibilidad de construir un sujeto que, sometido al ejercicio de la violencia, se vea conformado al respecto de la voluntad dictatorial representa la clave de lectura que se utilizará en el análisis de Post mortem (2010), el segundo capítulo de la trilogía chilena que el director Pablo Larraín ha dedicado a la narración de la dictadura que ha sufrido su país de origen. Los eventos narrados suceden en 1973, el año del golpe de estado perpetrado por el general Augusto Pinochet. El protagonista de la historia es Mario, un funcionario del estado encargado de transcribir y teclear los informes de las autopsias. Mario asiste diariamente al ejercicio de la violencia interiorizando por completo su praxis laboral, limitándose a registrar lo que pasa. En el seguimiento del funcionario en el cumplimiento de su rutina, este artículo analiza las estrategias con las que la película brinda al espectador las formas de la sujeción al régimen de violencia de la dictadura.The possibility to build a subject who, exposed to violence, adjusts himself to respect the dictatorial regime is the paper’s key to the interpretation of Post Mortem (2010), the second part of Chilean director Pablo Larraín’s trilogy, dedicated to the story of the dictatorial regime in his country. The events occurred in 1973, the year of the coup d’état carried out by General Augusto Pinochet. The protagonist of the story is Mario, a civil servant in charge of transcribing and typing autopsy reports. By witnessing the daily exercise of violence, Mario fully internalizes the practice of violence since he does nothing but simply recording what happens. Following the civil servant in the performance of his routine, the paper analyzes the strategies with which the movie provides the spectator with the dictatorial regime’s main forms of subjection

Infliximab in recalcitrant severe atopic eczema associated with contact allergy.

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Study of debris-flow initiation through the analysis of seismic signals

Monitoring data gathered in the headwaters of the Gadria catchment, eastern Italian Alps, have been analysed to study debris-flow initiation. The active channel, located at 2200 m a.s.l., was instrumented with a geophone, a time-lapse video camera and a rain gauge. The peak amplitude and duration of the seismic signals and their frequency content were analysed and compared with video images. Results showed that different seismic sources produced signals with different characteristics and that it is possible to discriminate the most intense runoff by analysing the combination of peak amplitude and duration of the seismic signal. The further development of this research would be to create an algorithm able to automatically classify the seismic sources and identify intense channel processes that can generate debris flows. In perspective, the combination of seismic detection in the initiation area with monitoring just above the infrastructures at risk could represent an effective solution to expand the lead time of an early warning system

Role of BRCA2 mutation status on overall survival among breast cancer patients from Sardinia

Background: Germline mutations in BRCA1 or BRCA2 genes have been demonstrated to increase the risk of developing breast cancer. Conversely, the impact of BRCA mutations on prognosis and survival of breast cancer patients is still debated. In this study, we investigated the role of such mutations on breast cancer-specific survival among patients from North Sardinia. Methods: Among incident cases during the period 1997–2002, a total of 512 breast cancer patients gave their consent to undergo BRCA mutation screening by DHPLC analysis and automated DNA sequencing. The Hakulinen, Kaplan-Meier, and Cox regression methods were used for both relative survival assessment and statistical analysis. Results: In our series, patients carrying a germline mutation in coding regions and splice boundaries of BRCA1 and BRCA2 genes were 48/512 (9%). Effect on overall survival was evaluated taking into consideration BRCA2 carriers, who represented the vast majority (44/48; 92%) of mutation-positive patients. A lower breast cancer-specific overall survival rate was observed in BRCA2 mutation carriers after the first two years from diagnosis. However, survival rates were similar in both groups after five years from diagnosis. No significant difference was found for age of onset, disease stage, and primary tumour histopathology between the two subsets. Conclusion: In Sardinian breast cancer population, BRCA2 was the most affected gene and the effects of BRCA2 germline mutations on patients' survival were demonstrated to vary within the first two years from diagnosis. After a longer follow-up observation, breast cancer-specific rates of death were instead similar for BRCA2 mutation carriers and non-carriers

Direct Anterior versus Lateral Approach for Femoral Neck Fracture: Role in COVID-19 Disease

Background: During the COVID-19 emergency, the incidence of fragility fractures in elderly patients remained unchanged. The management of these patients requires a multidisciplinary approach. The study aimed to assess the best surgical approach to treat COVID-19 patients with femoral neck fracture undergoing hemiarthroplasty (HA), comparing direct lateral (DL) versus direct anterior approach (DAA). Methods: A single-center, observational retrospective study including 50 patients affected by COVID-19 infection (30 males, 20 females) who underwent HA between April 2020 to April 2021 was performed. The patients were allocated into two groups according to the surgical approach used: lateral approach and anterior approach. For each patient, the data were recorded: age, sex, BMI, comorbidity, oxygen saturation (SpO2), fraction of the inspired oxygen (FiO2), type of ventilation invasive or non-invasive, HHb, P/F ratio (PaO2/FiO2), hemoglobin level the day of surgery and 1 day post operative, surgical time, Nottingham Hip Fractures Score (NHFS) and American Society of Anesthesiologists Score (ASA). The patients were observed from one hour before surgery until 48 h post-surgery of follow-up. The patients were stratified into five groups according to Alhazzani scores. A non-COVID-19 group of patients, as the control, was finally introduced. Results: A lateral position led to a better level of oxygenation (p < 0.01), compared to the supine anterior approach. We observed a better post-operative P/F ratio and a reduced need for invasive ventilation in patients lying in the lateral position. A statistically significant reduction in the surgical time emerged in patients treated with DAA (p < 0.01). Patients within the DAA group had a significantly lower blood loss compared to direct lateral approach. Conclusions: DL approach with lateral decubitus seems to preserved respiratory function in HA surgery. Thus, the lateral position may be associated with beneficial effects on gas exchange

Monitoring debris flows in the Gadria catchment (eastern Italian Alps): Data and insights acquired from 2018 to 2020

This work analyses seven debris flows recorded between 2018 and 2020 in the Gadria instrumented catchment (South Tirol). We focus on three aspects not previously explored in this catchment: (i) the debris-flow transfer times between the headwaters and the outlet; (ii) the longitudinal variability of debris-flow velocity between the three downstream monitored cross-sections, and (iii) the characteristics of the secondary surges observed in three debris flows. In most cases, the mean velocity of the debris flow estimated from the upper to the lower channel reaches (for travel distance of 2155 m) is rather low, ranging between 1.9 and 3.9 m/s. This result could indicate a progressive slowing down, and possibly even temporary stops of debris flows along the path. Some variability in flow velocity was observed between two channel reaches in the lower part of the catchment (0.7 – 2.3 m/s in the upstream reach, and 1.4 – 4.7 in the downstream one). Regarding the secondary surges, these have been noted to occur superimposed on slow-moving slurry-type phases. The mean velocity of the secondary surges varied between 3.5 and 8.9 m/s, with an average value close to 6 m/s for all three events. Their regular shape, duration, and depth suggest that such surges were generated by flow instabilities, with no external forcing