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

Correction to: An Iterative Approach to Stratification: Poverty at Regional Level in Italy

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Emerging cross-disciplinary profiles: The Geomatic Epidemiologist

Abstract Issue Geographic information systems (GIS) and remote sensing technologies are increasingly used in Public Health epidemiology, showing a great potential in anticipating and responding to actual and future challenges for the public health system and in improving health services' excellence. According to the evidences collected within a wide meta-research carried on of relevant literature ("GIS geographic information system" and "GIS geographic information system and training" on Pubmed; "epidemiologist use of GIS and training" and "epidemiologist use of gis" on Google Scholar),GIS and new sensing technologies are mostly used to: map air and water pollution, map diseases prevalence, predict infection diseases and vector-spread diseases in big areas, study health service coverage and preparedness in emergencies, map cities and study urban health, study climate changes for decision making. Description of the Problem Specific skills and training are required to address the use of GIS and new sensing technologies.The specific aim of our study is to identify the professional profile of a new figure, called 'Geomatic Epidemiologist' and to define its professional and educational standards, as well as the relevant training programs. Results Data collection and analysis of INAPP and ESCO databases about existing professional profiles (starting from 2016) has allowed drafting a first qualification schema and profile. The profile has been defined according to the 4C model (elaborated by Univaq) distinguishing between Hard Skills (technical knowledge and skills),Soft Skills (cognitive, individual and social) and interpersonal behaviors. Conclusions Profile will be validated with relevant stakeholders and Public Health professionals in order to deepen the understanding of the main competences required to study health issues with GIS and related technologies; to this extent, a questionnaire has been elaborated to evaluate relevance, frequency and complexity of each component of the profile Key messages Developing cross-disciplinary profiles, (i.e. the Geomatic Epidemiologist) integrating clusters of competences (holistic approach). Public health research challenges and excellence

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

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

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