5,296 research outputs found

    Agricultural Agent Land-Use and Land Ownership Behavioural Analysis: A Casa Study From a Southern Italian Region

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    The recent CAP reform introduced new income support instruments much more related on agricultural agents land-use and land-ownership conditions than before. In this perspective the behavioural analysis of land-use and land-ownership decision process seems to be a basic condition to evaluate the efficiency, effectiveness and equity of those instruments, and to understand and to forecast the agents response to these stimuli. The land-use and land-ownership behaviour differs according to various land managers, not only on the base of "economic-productive" conditions, but also on the base of exogenous and endogenous "institutional" conditions, such as the presence of formal or informal contracts, cultural values, intergenerational linkages, family-farm organisation and land-market imperfections and regulations. In this study an analytic methodology is presented together with an explanatory model which both try to show the role and the relationships between the various land-use and landownership driving factors at an agricultural agent level. It is also showed the different behavioural response to the exogenous stimuli coming from the "economic-institutional" environment, in which the agents operate. The model was tested in a Southern Italian region case study. In the first part of the analysis the various "economic-institutional" environment typologies, in which the region is articulated, were detected, on the base of official census data at the communal administrative units level. The Factorial Analysis through the Principal Components Analysis and Groups Analysis, is the analytic methodology used for this aim. In the second part of the analysis two specific "environments" were chosen in which the empirical survey was led at the agricultural agent level. The data coming from the survey were used to test the behavioural explanatory model. The results showed not only some specific "behavioural" paths which may be detected in the two different environments, but also deep differences among the various typologies of agricultural agents inside the same environments, depending on the "economic-productive" size, the presence of strong familiar roles, informal contracts for hiring work and renting land, the specific history of the agricultural agent, the perception of land as a productive factor, an investment good or a "social status symbol". The results are presented in the last part of the article.Behavioural studies, Institutional structure of land ownership, Land Economics/Use,

    The exact Taylor formula of the implied volatility

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    In a model driven by a multi-dimensional local diffusion, we study the behavior of implied volatility {\sigma} and its derivatives with respect to log-strike k and maturity T near expiry and at the money. We recover explicit limits of these derivatives for (T,k) approaching the origin within the parabolic region |x-k|^2 < {\lambda} T, with x denoting the spot log-price of the underlying asset and where {\lambda} is a positive and arbitrarily large constant. Such limits yield the exact Taylor formula for implied volatility within the parabola |x-k|^2 < {\lambda} T. In order to include important models of interest in mathematical finance, e.g. Heston, CEV, SABR, the analysis is carried out under the assumption that the infinitesimal generator of the diffusion is only locally elliptic

    Obstacle problem for Arithmetic Asian options

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    We prove existence, regularity and a Feynman-Ka\v{c} representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic average

    Nash estimates and upper bounds for non-homogeneous Kolmogorov equations

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    We prove a Gaussian upper bound for the fundamental solutions of a class of ultra-parabolic equations in divergence form. The bound is independent on the smoothness of the coefficients and generalizes some classical results by Nash, Aronson and Davies. The class considered has relevant applications in the theory of stochastic processes, in physics and in mathematical finance.Comment: 21 page

    Analytical approximation of the transition density in a local volatility model

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    We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.option pricing, analytical approximation, local volatility

    Calibration of the Hobson&Rogers model: empirical tests

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    The path-dependent volatility model by Hobson and Rogers is considered. It is known that this model can potentially reproduce the observed smile and skew patterns of different directions, while preserving the completeness of the market. In order to quantitatively investigate the pricing performance of the model a calibration procedure is here derived. Numerical results based on S&P500 option prices give evidence of the effectiveness of the model.

    Should I make or should I buy? Innovation strategies and governance structures in the Italian food sector

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    This paper analyses the “make or buy” decision of food firms applied to innovation strategy using 389 Italian food firms data from the Unicredit 2007 database. We develop a set of hypothesis from three theoretical perspectives such as transaction cost economics, strategic management and resource-based view. Our paper aims at highlight whether or not different firm’s features can be linked to the decision to make or buy. We found out that these two decisions are positively interlinked. Moreover we also found out that it is difficult to indicate a clear-cut behaviour for the Italian food firms if we refer to making or buying decisions. We discuss these results and use them to bring some interesting outcomes to discuss managerial implications and/or policy interventions in this highly strategic domain
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