Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model

A simple approach to determining the Gaussian kernel that constitutes the backbone of the multi-factor Heston model is proposed based on a suitable expansion in powers of volatilities of volatilities. This analysis provides Black-Scholes-like formulas for pricing European vanilla options, allowing for accurate approximations of the option prices under the multi-factor Heston model up to volatilities of volatilities on the order of 50%. The analysis also leads to a simple formula for the implied volatility showing that changes in the convexity of the volatility smile are due only to price skewness, and an easy formula to reproduce volatility indices via the realized volatility. Interestingly, the variance of the Gaussian kernel is equal to the variance of the continuously compounded return in the case of the Heston model. The empirical analyses presented assess the potential of our approach to capture market distortions while adequately forecasting the dynamics of the VIX index

Population trends and urbanization. Simulating density effects using a local regression approach

7siopenDensity-dependent population growth regulates long-term urban expansion and shapes distinctive socioeconomic trends. Despite a marked heterogeneity in the spatial distribution of the resident population, Mediterranean European countries are considered more homogeneous than countries in other European regions as far as settlement structure and processes of metropolitan growth are concerned. However, rising socioeconomic inequalities among Southern European regions reflect latent demographic and territorial transformations that require further investigation. An integrated assessment of the spatio-temporal distribution of resident populations in more than 1000 municipalities (1961-2011) was carried out in this study to characterize density-dependent processes of metropolitan growth in Greece. Using geographically weighted regressions, the results of our study identified distinctive local relationships between population density and growth rates over time. Our results demonstrate that demographic growth rates were non-linearly correlated with other variables, such as population density, with positive and negative impacts during the first (1961-1971) and the last (2001-2011) observation decade, respectively. These findings outline a progressive shift over time from density-dependent processes of population growth, reflecting a rapid development of large metropolitan regions (Athens, Thessaloniki) in the 1960s, to density-dependent processes more evident in medium-sized cities and accessible rural regions in the 2000s. Density-independent processes of population growth have been detected in the intermediate study period (1971-2001). This work finally discusses how a long-term analysis of demographic growth, testing for density-dependent mechanisms, may clarify the intrinsic role of population concentration and dispersion in different phases of the metropolitan cycle in Mediterranean Europe.openPolinesi G.; Recchioni M.C.; Turco R.; Salvati L.; Rontos K.; Rodrigo-Comino J.; Benassi F.Polinesi, G.; Recchioni, M. C.; Turco, R.; Salvati, L.; Rontos, K.; Rodrigo-Comino, J.; Benassi, F

Hydrogen Sulfide Protects HUVECs against Hydrogen Peroxide Induced Mitochondrial Dysfunction and Oxidative Stress

10.1371/journal.pone.0053147PLoS ONE82

Systemic age-associated DNA hypermethylation of ELOVL2 gene : in vivo and in vitro evidences of a cell replication process

Epigenetic remodeling is one of the major features of the aging process. We recently demonstrated that DNA methylation of ELOVL2 and FHL2 CpG islands is highly correlated with age in whole blood. Here we investigated several aspects of age-associated hypermethylation of ELOVL2 and FHL2 We showed that ELOVL2 methylation is significantly different in primary dermal fibroblast cultures from donors of different ages. Using epigenomic data from public resources, we demonstrated that most of the tissues show ELOVL2 and FHL2 hypermethylation with age. Interestingly, ELOVL2 hypermethylation was not found in tissues with very low replication rate. We demonstrated that ELOVL2 hypermethylation is associated with in vitro cell replication rather than with senescence. We confirmed intra-individual hypermethylation of ELOVL2 and FHL2 in longitudinally assessed participants from the Doetinchem Cohort Study. Finally we showed that, although the methylation of the two loci is not associated with longevity/mortality in the Leiden Longevity Study, ELOVL2 methylation is associated with cytomegalovirus status in nonagenarians, which could be informative of a higher number of replication events in a fraction of whole-blood cells. Collectively, these results indicate that ELOVL2 methylation is a marker of cell divisions occurring during human aging

Validation of Agent-Based Models in Economics and Finance

Since the survey by Windrum et al. (Journal of Artificial Societies and Social Simulation 10:8, 2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated critical review of the existing validation techniques. We sketch a simple theoretical framework that conceptualizes existing validation approaches, which we examine along three different dimensions: (i) comparison between artificial and real-world data; (ii) calibration and estimation of model parameters; and (iii) parameter space exploration. Finally, we discuss open issues in the field of ABM validation and estimation. In particular, we argue that more research efforts should be devoted toward advancing hypothesis testing in ABM, with specific emphasis on model stationarity and ergodicity

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

This paper proposes a general computational framework for empirical estimation of financial agent based models, for which criterion functions do not have known analytical form. For this purpose, we adapt a nonparametric simulated maximum likelihood estimation based on kernel methods. Employing one of the most widely analysed heterogeneous agent models in the literature developed by Brock and Hommes (1998), we extensively test properties of the proposed estimator and its ability to recover parameters consistently and efficiently using simulations. Key empirical findings point us to the statistical insignificance of the switching coefficient but markedly significant belief parameters defining heterogeneous trading regimes with superiority of trend-following over contrarian strategies. In addition, we document slight proportional dominance of fundamentalists over trend following chartists in main world markets

A framework for increasing the availability of life cycle inventory data based on the role of multinational companies

Purpose The aim of the paper is to assesses the role and effectiveness of a proposed novel strategy for Life Cycle Inventory (LCI) data collection in the food sector and associated supply chains. The study represents one of the first of its type and provides answers to some of the key questions regarding the data collection process developed, managed and implemented by a multinational food company across the supply chain. Methods An integrated LCI data collection process for confectionery products was developed and implemented by Nestlé, a multinational food company. Some of the key features includes: (1) management and implementation by a multinational food company, (2) types of roles to manage, provide and facilitate data exchange, (3) procedures to identify key products, suppliers and customers, (4) LCI questionnaire and cover letter, and (5) data quality management based on the pedigree matrix. Overall, the combined features in an integrated framework provides a new way of thinking about the collection of LCI data from the perspective of a multinational food company. Results The integrated LCI collection framework spanned across five months and resulted in 87 new LCI datasets for confectionery products from raw material, primary resource use, emission and waste release data collected from suppliers across 19 countries. The data collected was found to be of medium-to-high quality compared with secondary data. However, for retailers and waste service companies only partially completed questionnaires were returned. Some of the key challenges encountered during the collection and creation of data included: lack of experience, identifying key actors, communication and technical language, commercial compromise, confidentiality protection, and complexity of multi-tiered supplier systems. A range of recommendations are proposed to reconcile these challenges which include: standardisation of environmental data from suppliers, concise and targeted LCI questionnaires, and visualising complexity through drawings. Conclusions The integrated LCI data collection process and strategy has demonstrated the potential role of a multinational company to quickly engage and act as a strong enabler to unlock latent data for various aspects of the confectionery supply chain. Overall, it is recommended that the research findings serve as the foundations to transition towards a standardised procedure which can practically guide other multinational companies to considerably increase the availability of LCI data

High performance algorithms for time dependent wave scattering from a bounded obstacle

Proceeding