The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew

The Multi Variate Mixture Dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form formulae for terminal correlations, average correlations and copula function are available. It also allows for complete decorrelation between assets and instantaneous variances. Each single asset is modelled according to a lognormal mixture dynamics model, and this univariate version is widely used in the industry due to its flexibility and accuracy. The same property holds for the multivariate process of all assets, whose density is a mixture of multivariate basic densities. This allows for consistency of single asset and index/portfolio smile. In this paper, we generalize the MVMD model by introducing shifted dynamics and we propose a definition of implied correlation under this model. We investigate whether the model is able to consistently reproduce the implied volatility of FX cross rates once the single components are calibrated to univariate shifted lognormal mixture dynamics models. We consider in particular the case of the Chinese renminbi FX rate, showing that the shifted MVMD model correctly recovers the CNY/EUR smile given the EUR/USD smile and the USD/CNY smile, thus highlighting that the model can also work as an arbitrage free volatility smile extrapolation tool for cross currencies that may not be liquid or fully observable. We compare the performance of the shifted MVMD model in terms of implied correlation with those of the shifted Simply Correlated Mixture Dynamics model where the dynamics of the single assets are connected naively by introducing correlation among their Brownian motions. Finally, we introduce a model with uncertain volatilities and correlation. The Markovian projection of this model is a generalization of the shifted MVMD model

DIAGRAMMA DI FASE DI ELETTRONI IN PIANI ACCOPPIATI

1994/1995VIII Ciclo1967Versione digitalizzata della tesi di dottorato cartacea

Ampliamento del Parco Giardino delle Kentie a Riposto

La conformazione recente del Parco è il frutto di un progetto realizzato agli inizi degli anni ’90 sulla scorta di un piano che prevedeva la sistemazione di un terreno di proprietà comunale sulla quale insistevano dei filari regolari di Kentie, il cui impianto è risalente ai primi anni del Novecento

Exploring the thermodynamic limit of Hamiltonian models: convergence to the Vlasov equation

We here discuss the emergence of Quasi Stationary States (QSS), a universal feature of systems with long-range interactions. With reference to the Hamiltonian Mean Field (HMF) model, numerical simulations are performed based on both the original $N$-body setting and the continuum Vlasov model which is supposed to hold in the thermodynamic limit. A detailed comparison unambiguously demonstrates that the Vlasov-wave system provides the correct framework to address the study of QSS. Further, analytical calculations based on Lynden-Bell's theory of violent relaxation are shown to result in accurate predictions. Finally, in specific regions of parameters space, Vlasov numerical solutions are shown to be affected by small scale fluctuations, a finding that points to the need for novel schemes able to account for particles correlations.Comment: 5 pages, 3 figure

Systemic candidiasis in farm-reared red-legged partridges (Alectoris rufa) caused by Leucosporidium spp

BACKGROUND: This report describes the results of radiological, histological and molecular examination of three farm-reared red-legged partridges (Alectoris rufa) affected by candidiasis. CASE PRESENTATION: Three juvenile farm-reared red-legged partridges in a batch of 100 of the same species were sent for clinical and pathological investigations. The owner referred of a sudden isolation of the sick animals, with apathy, diarrhea, ruffled plumage and respiratory rattles. Post mortem total body lateral projection radiograph showed an increased perihilar interstitial pattern and air bronchogram signs due to lung edema. At necropsy, carcasses showed cachexia; the pericloacal region was soiled by diarrheic fecal material. From the mouth to the intestine, a mucous yellowish fluid was present on a slightly reddish mucosa. Histopathology showed slight edema and congestion with different free fungal elements, referable to blastospores, hyphae and pseudohyphae. Biomolecular exam identified the most similar sequences as belonging to Leucosporidium scottii. CONCLUSION: To our knowledge, this case report describes for the first time this fungal species as a causative agent of candidiasis in birds

Short-term use of dexamethasone/netilmicin fixed combination in controlling ocular inflammation after uncomplicated cataract surgery

Purpose: To evaluate the short-term anti-inflammatory effect of dexamethasone/netilmicin fixed combination in the management of ocular inflammation after cataract surgery. Patients and methods: Open-label, randomized, active-controlled, clinical study conducted in 6 sites in Italy; 238 patients were randomized 2:1 to dexamethasone/netilmicin (dexa/net, n=158) or betamethasone/chloramphenicol (beta/chl, n=80). Treatment started the day of surgery and continued 4 times daily for 7 days. The primary efficacy parameter was the anterior chamber (AC) flare. The percentage of patients displaying none or mild (ie, only barely detectable) AC flare was defined as "efficacy rate", whereas the percentage of patients showing a decrease of AC flare score from baseline was defined as "percentage of responders". Additional parameters evaluated were AC cells, conjunctival hyperaemia, corneal and lid oedema, symptoms of ocular discomfort, visual acuity, and intraocular pressure. Dexa/net was considered effective if the efficacy rate was not inferior (by means of 97.5% confidence interval) to that of beta/chl. Results: After 7 days of treatment, no AC flare was observed in 92.8% (dexa/net) and 92.3% (beta/chl) of patients, whereas no AC cells were observed in 91.5% (dexa/net) and 93.6% (beta/chl) of patients, respectively. The "efficacy rate" was 100% in both groups, whereas the "percentage of responders" was 94.1% in the dexa/net and 93.6% in the beta/chl group. The p-value to reject the null hypothesis of inferiority was <0.001. Other efficacy parameters confirmed both treatments as highly effective, despite their difference in steroid content (2 mg/mL for beta/chl vs 1 mg/mL for dexa/net). IOP and visual acuity at the end of the study were comparable. Two cases of allergic conjunctivitis were considered adverse events and were both related to dexa/net. Conclusion: Short-term use of dexa/net fixed combination is safe and effective in the control of post-operative inflammation following uncomplicated cataract surgery

Cerebrospinal Fluid Pressure-Related Features in Chronic Headache: A Prospective Study and Potential Diagnostic Implications

Objective: To identify the pressure-related features of isolated cerebrospinal fluid hypertension (ICH) in order to differentiate headache sufferers with ICH from those with primary headache disorder.Methods: In this prospective study, patients with refractory chronic headaches and suspected of having cerebrospinal fluid-pressure elevation without papilledema or sixth nerve palsy, together with controls, underwent 1-h lumbar cerebrospinal fluid pressure monitoring via a spinal puncture needle.Results: We recruited 148 consecutive headache patients and 16 controls. Lumbar cerebrospinal fluid pressure monitoring showed high pressure and abnormal pressure pulsations in 93 (63 %) patients with headache: 37 of these patients with the most abnormal pressure parameters (opening pressure above 250 mm H2O, mean pressure 301 mm H2O, mean peak pressure 398 mm H2O, and severe abnormal pressure pulsations) had the most severe headaches and associated symptoms (nocturnal headache, postural headache, transient visual obscuration); 56 patients with the less abnormal pressure parameters (opening pressure between 200 and 250 mm H2O, mean pressure 228 mm H2O, mean peak pressure 316 mm H2O, and abnormal pressure pulsations) had less severe headaches and associated symptoms.Conclusions: Nocturnal and postural headache, and abnormal pressure pulsations are the more common pressure-related features of ICH in patients with chronic headache. Abnormal pressure pulsations may be considered a marker of ICH in chronic headache

Chlamydia pneumoniae, overall and cardiovascular mortality in end-stage renal disease (ESRD)

n/