On the decomposition of stochastic discounted cash flows

This paper extends previous results by Peccati [7] and Beccacece [1] on the decomposition of the discounted cash flow for deterministic financial operations to the stochastic case. Modelling financial operations as processes whose cumulant is a semimartingale, we obtain a very general decomposition formula which allows one to consider even random discount factors. © 1991 Springer-Verlag

Effect of tecovirimat on healing time and viral clearance by emulation of a target trial in patients hospitalized for mpox

Tecovirimat is a treatment option for severe mpox, although randomized clinical trials are ongoing. The aim of the study is to assess the effect of tecovirimat on healing time and the extent of viral clearance by target trial emulation using observational data. Clinical and virological data of patients hospitalized for mpox were collected. Samples from the upper respiratory tract (URT) were grouped in two time points: T1 (median 6 days from symptoms onset) and T2 (median 5 days from T1). Patients were followed-up until recovery. Average treatment effect (ATE) in patients untreated versus treated with tecovirimat was estimated on time to healing and variation in viral load in URT, using a weighted and cloning analysis. Among the 41 patients included, 19 completed a course of tecovirimat. The median time from symptoms onset to hospitalization and to drug-starting was 4 days and 10 days, respectively. No improvement in healing time in treated versus untreated was observed. No difference by treatment group in time to viral clearance was detected by ATE fitted in a subset of 13 patients after controlling for confounders. We found no evidence for a large effect of tecovirimat in shortening healing time and viral clearance. While awaiting the results of randomized studies, the use of tecovirimat should be restricted to the clinical trial setting

Sulla scomposizione del DCF

Si propone una scomposizione del DCF in quote di compentenza di periodo mediante l'impiego della trasformata di Fourier. Si estende la formula al caso di operazioni finanziarie miste, caratterizzate mediante la funzione cumulativa dei margini, anche nel caso di Internal financial law a tasso variabile

Functional ANOVA, ultramodularity and monotonicity: Applications in multiattribute utility theory

Utility function properties as monotonicity and concavity play a fundamental role in reflecting a decision-maker's preference structure. These properties are usually characterized via partial derivatives. However, elicitation methods do not necessarily lead to twice-differentiable utility functions. Furthermore, while in a single-attribute context concavity fully reflects risk aversion, in multiattribute problems such correspondence is not one-to-one. We show that Tsetlin and Winkler's multivariate risk attitudes imply ultramodularity of the utility function. We demonstrate that geometric properties of a multivariate utility function can be successfully studied by utilizing an integral function expansion (functional ANOVA). The necessary and sufficient conditions under which monotonicity and/or ultramodularity of single-attribute functions imply the monotonicity and/or ultramodularity of the corresponding multiattribute function under additive, preferential and mutual utility independence are then established without reliance on the utility function differentiability. We also investigate the relationship between the presence of interactions among the attributes of a multiattribute utility function and the decision-maker's multivariate risk attitudes.Multiattribute utility theory Functional ANOVA Multi-criteria analysis Ultramodular functions

Copertura del rischio di cambio in presenza di un finanziamento: il caso dell'importatore

Si affronta il problema della copertura del rischio di cambio nell'ottica di un operatore che a fronte di un debito in valuta si avvalga di un finanziamento

Dominanza temporale e valore attuale

Scopo del lavoro è fornire una caratterizzazione di un indice di convenienza per operazioni finanziarie richiedendo alcune semplici proprietà formali. In particolare, la condizione richiesta è il rispetto della dominanza temporale tra flussi di cassa

Relazioni d'ordine e tasso di rendimento

Si introduce di una relazione d'ordine parziale indotta da un cono convesso su insiemi di operazioni finanziarie (o. f.) che permette di instaurare un ordinamento nella classe dei fattori di sconto, consentendo di ottenere condizioni necessarie e sufficienti per il segno del valore attuale dell'o. f.. In particolare, la dominanza temporale (dei vari ordini) per l'insieme delle o. f. consente di riottenere in modo assai semplice e naturale condizioni ben note per l'esistenza e l'unicità del tasso di rendimento (T.I.R.) (Teoremi di Norstrøm, De Faro, Bernhard, ecc.). Si mostra ulteriormente come i teoremi ricordati siano intimamente legati alla dominanza temporale e quindi si possano dimostrare ed interpretare su un terreno interamente finanziario

Dividend and Uncertainty: Evidence from the italian market

In this paper we investigate the behaviour of the market around dividend payment dates. Our empirical analysis, based on a Bayesian approach applied to Italian stock data, confirms the presence of abnormal returns at the ex-dividend date, as already documented in the literature for other markets. Calibrating a suitable model introduced in Battauz, Quadratic Hedging for Asset Derivatives with Discrete Stochastic Dividends, Insurance: Mathematics and Economics 32/2 (2003) to take care of the additional randomness pertubing the market around dividend payment dates, we investigate the effects on the derivative evaluation. Looking at the NoArbitrage prices of American call options written on some Italian dividend-paying stock and comparing them with the marketed prices, we conclude that the effect of this additional randomness can be neglected

Immunization strategies in linear models

A financial world is considered where an agent invests in a set of assets and partially funds the investment through debt. An investor-funding strategy which provides a surely non-negative yield is searched for. The problem reduces to the inversion (iin a generalized sense) of a matrix. It is shown that an approximate immunization strategy can be designed through the use of linear programming