Contingent Claim Pricing In A Dual Expected Utility Theory Framework

This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets. In this framework this dual price is obtained, for the rst time in the literature, without any comonotonicity hypothesis and for contingent claims written on n underlying assets following generic Itô processes. An application is also considered assuming geometric brownian motion for the underlying assets and the Wang transform as distortion function.Contingent Claims Pricing, Dual Utility Theory, Wang Transform.

Un modello per la dinamica del prezzo a pronti dell'elettricità

Nel presente articolo si propone un nuovo modello per l'evoluzione del prezzo a pronti dell'elettricità basato sull'ipotesi che esistano due regimi diversi per la sua evoluzione: uno "normale" in cui i prezzi si discostano poco dai fattori che determinano il costo di produzione ed uno "eccezionale" in cui i prezzi subiscono salti improvvisi, assumendo valori molto grandi, affine quindi alla classe degli "switching-model". Tale comportamento nella dinamica dei prezzi è ottenuto generalizzando opportunamente la nozione di coefficiente di "mean-reversion": in particolare supponendo che esso sia un processo stocastico dipendente esplicitamente dal livello del prezzo. Ciò consente di ottenere un'evoluzione del prezzo dell'eletticità che, a differenza degli "switching-model", è markoviana. Inoltre il livello di complessità del modello proposto è analogo ai modelli con coefficiente di "mean-reversion" deterministico.Electricity market, Jump process

Environmental and Innovation Performance in a Dynamic Impure Public Good Framework

We model investment decisions regarding innovation and emissions abatement in a dynamic theoretical framework. Considering knowledge stock as an impure public good, we study the reaction function between one representative agent’s investments in innovation and the other agents’ investments in the public characteristic of the impure public good. We demonstrate that the reaction function has a positive slope under general conditions and that its sensitiveness is affected by assumptions on the elasticity of substitution in the benefit function. The positivity of the reaction function is then empirically tested in an econometric estimation. We exploit an original sector-based database by gathering innovation efforts as well as polluting emissions and economic dimensions over the time span 1996-2005 for 15 European countries and 23 manufacturing sectors. Empirical results show that sector-based innovation investment is positively driven by the public characteristics provided by other sectors. Different reactivity strength for different polluting emissions also allows us to disclose the role of complementarity in agents’ decisions.impure public goods; environmental externalities; innovation spillovers

Dynamic portfolio selection in a dual expected utility theory framework

In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.Portfolio Selection, Dual Utility Theory, Wang Transform

Estensione della tecnica degli alberi bi/tri-nominali ad alberi N-nomiali. Applicazione ai processi diffusivi con salto

Nel presente articolo è proposta un'estensione della tecnica degli alberi bi/tri-nomiali, largamente usata per la valutazione di titoli derivati, ad una tecnica basata sulla costruzione di alberi N-nomiali, con N intero arbitrario. Il vantaggio di tale tecnica consiste essenzialmente in 1) utilizzo di probabilità di transizione da un nodo ad un altro deducibili direttamente dall'evoluzione del sottostante in ambito "risk-neutral"; 2) facilità di realizzazione del codice per il calcolo numerico e notevole precisazione di calcolo in tempo brevi; 3) agevolte trattazione dei processi diffusivi ocn salto. I risultati ottenuti nel presente articolo sono simili a quelli ottenibili tramite uno schema di calcolo basato sull'integrazione in spazi di dimensione infinita (integrali di cammino di Feynmann). Si confrontino, relativamente al caso di processi stocastici puramente diffusivi, i riferimenti bibliografici.Binomial tree, Jump process.

Effects of alternative steeping methods on composition, antioxidant property and colour of green, black and oolong tea infusions

Cold water steeping is reported to maximise tea health benefits, but requires long infusion time. In this work, the employment of a brief hot infusion step followed by ice addition was evaluated. The comparison of this innovative method with hot and cold steeping was investigated on green, black and oolong teas. Catechins, xanthines and gallic acid content, antioxidant power, total phenolics and colour analysis were evaluated. Hot infusion shown rapid extractive power, but relevant compound degradation. On the contrary, cold infusion extracted higher level of healthy molecules with slow kinetic. The innovative method achieved in short time similar properties of cold infusion in terms of antioxidant power. As for bioactive compounds, such as gallic acid and epigallocatechin gallate, highest values, about double than in hot infusion, were recorded for green and black teas. This steeping method may represent an alternative approach for industrial beverage preparation

Self-T-Dual Brane Cosmology and the Cosmological Constant Problem

We consider a codimension-one brane embedded in a gravity-dilaton bulk action, whose symmetries are compatible with T-duality along the space-like directions parallel to the brane, and the bulk time-like direction. The equations of motions in the string frame allow for a smooth background obtained by the union of two symmetric patches of AdS space. The Poincar\'{e} invariance of the solution appears to hold independently of the value of the brane vacuum energy, through a self-tuning property of the dilaton ground state. Moreover, the effective cosmology displays a bounce, at which the scale factor does not shrink to zero. Finally, by exploiting the T-duality symmetry, we show how to construct an ever-expanding Universe, along the lines of the Pre-Big Bang scenario.Comment: Minor corrections, comments & references added. Accepted for publicatio

Aspects of Quantum Gravity in Cosmology

We review some aspects of quantum gravity in the context of cosmology. In particular, we focus on models with a phenomenology accessible to current and near-future observations, as the early Universe might be our only chance to peep through the quantum gravity realm.Comment: 15 pages, 1 figure. Invited review for Modern Physics Letter A. Version 2: minor typos corrected, few references adde