Modelling the MIB30 implied volatility surface. Does market efficiency matter?

We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark. This result is robust to alternative econometric approaches, including generalized least squares approaches that take into account both the panel structure of the data and the likely presence of heteroskedasticity and serial correlation in the random disturbances. Finally we show that the degree of pricing efficiency of this options market can strongly condition the results of the econometric analysis and therefore our understanding of the pricing mechanism underlying observed MIBO option prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage-free data only.Assets (Accounting) ; Prices

Mobilising Uncertainty and the Making of Responsible Sovereigns

The past few decades have witnessed a fundamental change in the perception of threats to the security of states and individuals. Issues of security are no longer primarily framed in terms of threats posed by an identifiable, conventional enemy. Instead, post-Cold War security policies have emphasised the global and radically uncertain nature of threats such as environmental degradation, terrorism and financial risks. What are the implications of this transformation for one of the constitutive principles of international society: state sovereignty? Existing literature has provided two possible answers to this question. The first focuses on the alleged need for states to seek international cooperation and to relax claims of national sovereignty. In Ulrich Beck's terminology, this would amount to a transformation of sovereign states into cosmopolitan states. The second takes the opposite position: in response to uncertain threats states rely on their sovereign prerogatives to take exceptional measures and set aside provisions of positive law. In Beck's terminology, this would amount to the creation of a surveillance state. None of these two answers, however, does justice to the complex relation between sovereignty, power and (international) law. As this article will show, the invocation of radical uncertainty has led to a transformation in sovereignty that cannot be captured in terms of the cosmopolitan/surveillance dichotomy. What is at stake is a more fundamental transformation of the way in which sovereignty is used to counter threats. Based on a study of the UN Counterterrorism Committee, this article demonstrates how state sovereignty is used as a governmental technology that aims to create proactive, responsible subjects. © 2011 British International Studies Association

Between history and values: A study on the nature of interpretation in international law

My thesis discusses the place of evaluative judgements in the interpretation of general international law. It concentrates on two questions. First, whether it is possible to interpret international legal practices without making an evaluative judgement about the point or value that provides the best justification of these practices. Second, whether the use of evaluative judgements in international legal interpretation threatens to undermine the objectivity of international law, the neutrality of international lawyers or the consensual and voluntary basis of the international legal system. I answer both questions in the negative. As regards the first, I argue that international legal practice has an interpretive structure, which combines appeals to the history of international practice with appeals to the principles and values that these practices are best understood as promoting. This interpretive structure is apparent not only in the claims of international lawyers about particular rules of international law (here I use the rule of estoppel as an example) but also in the most basic intuitions of international theorists about the theory and sources of general international law. I then argue that some popular concerns to the effect that the exercise of evaluation in the interpretation of international law will undermine the coherence or the usefulness of the discipline are generally unwarranted. The fact that international legal practice has an interpretive structure does not entail that propositions of international law are only subjectively true, that the interpreter enjoys license to manipulate their meaning for self-serving purposes, or that international law will collapse under the weight of irresolvable disagreements, divisions and conflicts about its proper interpretation