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

Port Authorities as cluster managers: the case of the Ligurian ports

The paper analyses the role of Port Authorities as cluster managers able to generate resources for investments with benefits for the intermodal transport chain as a whole. Assessment is made of Port Authority initiatives to foster the development of intermodality and the creation of dry ports. The framework proposed is then applied to the case of the Ligurian ports, which compete less as individual structures than as nodal points within integrated logistic chains. We argue that the integration of the land logistic interface may prove beneficial to the Ligurian ports, and that this can be achieved only if the Port Authorities act as cluster managers

Presence and conservation of the immunoglobulin superfamily in insects: current perspective and future challenges

Numerous proteins that contain a bona fide immunoglobulin domain have been identified in the last decade showing that immunoglobulin-like proteins are quite common in metazoans. In particular, recent surveys identified more than 140 immunoglobulin-like proteins in Drosophila melanogaster, Anopheles gambiae and Bombyx mori. A well-studied example of immunoglobulin-like protein is the Drosophila Down syndrome cell adhesion molecule (Dscam) that, accordingly to comparative molecular analyses, showed a high conservation in Diptera, Hymenoptera and Coleoptera, together with a conserved presence of alternative splicing that permitted insects to possess an unsuspected molecular complexity of their innate immune system. At a functional level, immunoglobulin-like proteins seem to be capable of reacting to pathogen challenges and may contribute to the defense against infection so that they are candidates as immune effector molecules in insects. Preliminary findings on insect-borne plant and animal diseases suggest a possible role of the immunoglobulin-like proteins in the vectorial capacity

Herding effects in order driven markets: The rise and fall of gurus

We introduce an order driver market model with heterogeneous traders that imitate each other on a dynamic network structure. The communication structure evolves endogenously via a fitness mechanism based on agents performance. We assess under which assumptions imitation, among noise traders, can give rise to the emergence of gurus and their rise and fall in popularity over time. We study the wealth distribution of gurus, followers and non followers and show that traders have an incentive to imitate and a desire to be imitated since herding turns out to be profitable. The model is then used to study the effect that different competitive strategies (i.e. chartist & fundamentalist) have on agents performance. Our findings show that positive intelligence agents cannot invade a market populated by noise traders when herding is high

An allelic variant in the intergenic region between ERAP1 and ERAP2 correlates with an inverse expression of the two genes

The Endoplasmatic Reticulum Aminopeptidases ERAP1 and ERAP2 are implicated in a variety of immune and non-immune functions. Most studies however have focused on their role in shaping the HLA class I peptidome by trimming peptides to the optimal size. Genome Wide Association Studies highlighted non-synonymous polymorphisms in their coding regions as associated with several immune mediated diseases. The two genes lie contiguous and oppositely oriented on the 5q15 chromosomal region. Very little is known about the transcriptional regulation and the quantitative variations of these enzymes. Here, we correlated the level of transcripts and proteins of the two aminopeptidases in B-lymphoblastoid cell lines from 44 donors harbouring allelic variants in the intergenic region between ERAP1 and ERAP2. We found that the presence of a G instead of an A at SNP rs75862629 in the ERAP2 gene promoter strongly influences the expression of the two ERAPs with a down-modulation of ERAP2 coupled with a significant higher expression of ERAP1. We therefore show here for the first time a coordinated quantitative regulation of the two ERAP genes, which can be relevant for the setting of specific therapeutic approaches

ENSO teleconnections to the Indian summer monsoon in observations and models

The teleconnections of different types of El Niño Southern Oscillation (ENSO) to the Indian summer monsoon are investigated in observations and models. We find that, not all regions in India are strongly affected by ENSO, so we focus on two regional teleconnections: (1) a negative rainfall signal around central north east (CNE) India and ‘hilly’ region during El Niño (and vice versa for La Niña) and (2) similar signal for parts of southern peninsular region. Using correlations, it is found that >50% of the fifth phase of the Coupled Model Inter‐comparison Project models capture these two regional teleconnections, with first captured by >80% of models. Furthermore, using a compositing technique that may better capture asymmetries in response to warm and cold events, the authors find that most models again agree on the sign of regional teleconnection around the CNE and hilly region, suggesting the robustness of ENSO signal in that region. The peninsular teleconnection is less well simulated in models. We find a clear connection between the Walker circulation and Indian summer monsoon rainfall around central India in models

Diversidade de insetos coletados com armadilha luminosa em plantio de mogno no interior de São Paulo.

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