Hermite Calculus

We develop a new method of umbral nature to treat blocks of Her mite and of Hermite like poly- nomials as independent algebraic quantities. The Calculus we propose allows the formulation of a number of ”practical rules” allowing significant simplific ations in computational problem

Market microstructure, bank's behaviour and interbank spreads

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads

Banks’ strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market

We present an empirical analysis of the European electronic interbank market of overnight lend- ing e-MID during the years 1999–2009. After introducing the peculiar market mechanism, we consider the activity, defined as the number of trades per day; the spreads, defined as the differ- ence between the rate of a transaction and the key rates of the European Central Bank; the lending conditions, defined as the difference between the costs of a lent and a borrowed Euro; the bank strategies, defined through different variants of the cumulative volume functions; etc. Among other facts, it emerges that the lending conditions differ from bank to bank, and that the bank strategies are not strongly associated either to the present, past or future spreads. Moreover, we show the presence of a bid-ask spread-like effect and its behavior during the crisis

City@home: Monte Carlo derivative pricing distributed on networked computers

Monte Carlo is a powerful and versatile derivative pricing tool, with the main drawback of requiring a large amount of computing time to generate enough realisations of the stochastic process. However, since realisations are independent from each other, the task is “embarrassingly” parallel and the workload can be easily distributed on a large set of processors without the need for fast networking and thus an expensive dedicated supercomputer. Such an alternative, much cheaper and more accessible way can be realised with the BOINC toolkit, distributing the Monte Carlo runs on networked clients running under Windows, Linux or various Unix variants, and recollecting the results at the end for a statistical evaluation of the price distribution at the final time. Though it is likely that the clients will belong to the intranet of a large company or institution, we gave our program the evocative name City@home in honour of the paradigmatic SETI@home project. As an application, we present the generation of synthetic high frequency financial time series for speculative option valuation in the context of uncoupled continuous-time random walks (fractional diffusion), with a Lévy marginal density function for the tick-by-tick log returns and a Mittag-Leffler marginal density function for the waiting times. Lévy deviates are generated with the Chambers-Mallows-Stuck method, Mittag-Leffler deviates with the Kozubowski-Pakes method

Comparação de configurações para leitura de potássio em ICP-OES.

O objetivo do trabalho foi comparar diferentes configurações do ICP-OES na determinação da concentração de K, em amostras de tecido vegetal, buscando reduzir o tempo de leitura das amostras e, consequentemente, o custo operacional do equipamento

Integrals of Special Functions and Umbral Methods

We derive integrals of combination of Gauss and Bessel functions, by the use of umbral techniques. We show that the method allows the possibility of pursuing new and apparently fruitful avenues in the theory of special functions, displaying interesting links with the theory and the formalism of integral transforms

Q-functions and distributions, operational and umbral methods

The use of non-standard calculus means have been proven to be extremely powerful for studying old and new properties of special functions and polynomials. These methods have helped to frame either elementary and special functions within the same logical context. Methods of Umbral and operational calculus have been embedded in a powerful and efficient analytical tool, which will be applied to the study of the properties of distributions such as Tsallis, Weibull and Student’s. We state that they can be viewed as standard Gaussian distributions and we take advantage of the relevant properties to infer those of the aforementioned distributions