Il modello LIBOR per i tassi di interesse: sviluppi recenti

Pietra angolare per la Finanza Matematica è la celebre formula di Black&Scholes per il calcolo del prezzo di un'opzione call. Esiste una formula analoga, nota in letteratura come formula "Black 76", per la valutazione dei caplet. Per due decenni tale formula è stata adoperata sul mercato, nonostante l'assenza di una rigorosa giustificazione matematica. Nella tesi vengono presentati i principali modelli stocastici per il tasso di interesse: dai modelli per il tasso a breve, sorti verso la fine degli anni Settanta, fino ai più recenti sviluppi relativi al Modello LIBOR. La presentazione sistematica di quest'ultimo modello costituisce il fulcro della tesi. Il Modello LIBOR venne introdotto dagli articoli di Miltersen et al. (1997), Brace et al. (1997) e Jamshidian (1997). Con esso la formula "Black 76" trova una rigorosa giustificazione matematica. Questo non basta però a rendere il Modello LIBOR completamente soddisfacente. L'analisi dei dati provenienti dal mercato mostra, infatti, che strike diversi implicano volatilità diverse nella formula "Black 76". In altri termini, se confrontiamo i prezzi di mercato dei cap con i prezzi teorici derivanti dalla formula "Black 76", si osserva che la scelta delle volatilità dei tassi forward che rendono questi due prezzi identici (dette volatilità implicite) dipende anche dal valore dello strike, diversamente da quanto dovrebbe risultare dal Modello LIBOR nella sua definizione classica. Tale fenomeno è detto fenomeno dello Smile. Per questo, nell'ultimo decennio, sono state proposte numerose estensioni a tale modello. I modelli più convincenti (oltre che matematicamente più stimolanti) sono i modelli a volalitità stocastica. Nella tesi presento il Modello di Wu e Zhang e il Modello di Mercurio e Morini; questi modelli si fondano su analoghi modelli già noti nell'ambito dell'equity: il Modello di Heston e il Modello SABR. Essi consentono di valutare in modo piuttosto semplice, pur con qualche approssimazione, i derivati più importanti del tasso di interesse, ossia i cap e gli swaption. Inoltre, con un'opportuna scelta dei parametri sono in grado di cogliere adeguatamente il fenomeno dello Smile

EU integration and party politics in the Balkans. EPC Issue Paper No.77, September 2014

Throughout the Balkan region, popularly elected leaders consistently fail to meet the democratic standards set by the EU and, more importantly, they fall short of their voters’ expectations. Distrust in representative institutions and disengagement from political life runs dramatically high among the people of the Balkan countries, and this generalised sense of dissatisfaction is starting to breed cynicism also towards the idea of a better future inside the Union. This study highlights the interplay between EU integration and national politics in the region, and that both are consequential for the quality of Balkan democracies, as well as reminiscent of the Western and Central and Eastern European experience

An analysis of GAVI, the Global Fund and World Bank support for human resources for health in developing countries

Shortages, geographic imbalances and poor performance of health workers pose major challenges for improving health service delivery in developing countries. In response, multilateral agencies have increasingly recognized the need to invest in human resources for health (HRH) to assist countries in achieving their health system goals. In this paper we analyse the HRH-related activities of three agencies: the Global Alliance for Vaccines and Immunisation (GAVI); the Global Fund for Aids, Tuberculosis, and Malaria (the Global Fund); and the World Bank. First, we reviewed the type of HRH-related activities that are eligible for financing within each agency. Second, we reviewed the HRH-related activities that each agency is actually financing. Third, we reviewed the literature to understand the impact that GAVI, Global Fund and World Bank investments in HRH have had on the health workforce in developing countries. Our analysis found that by far the most common activity supported across all agencies is short-term, in-service training. There is relatively little investment in expanding pre-service training capacity, despite large health worker shortages in developing countries. We also found that the majority of GAVI and the Global Fund grants finance health worker remuneration, largely through supplemental allowances, with little information available on how payment rates are determined, how the potential negative consequences are mitigated, and how payments are to be sustained at the end of the grant period. Based on the analysis, we argue there is an opportunity for improved co-ordination between the three agencies at the country level in supporting HRH-related activities. Existing initiatives, such as the International Health Partnership and the Health Systems Funding Platform, could present viable and timely vehicles for the three agencies to implement this improved co-ordinatio

Repair of postinfarction dyskinetic LV aneurysm with either linear or patch technique

Objectives: Controversy still exists regarding the optimal surgical technique for postinfarction dyskinetic left ventricular aneurysm (LVA) repair. We compared the efficacy of two established techniques, linear vs. patch remodeling, for repair of dyskinetic LVA. Patients and methods: From 1989 to 1998, 95 (16 women, 79 men) consecutive patients were operated on for postinfarction dyskinetic LVA. Thirty-four patients underwent patch remodeling (R) and 61 linear (L) repair. The mean age was 61.1±8.5 years. Indications for surgery alone or in combination included angina in 72 patients, dyspnea in 64 and ventricular tachycardia in 41. Thirty-seven patients had a history of congestive heart failure (R 13 (38%), L 24 (39%), NS). The mean ejection fraction (EF) with aneurysm was 0.29±0.09 in R vs. 0.35±0.10 in L (P≪0.04), whereas the mean EF without aneurysm was 0.43±0.11 in R vs. 0.46±0.08 in L (P=0.3). Seventy-one aneurysms were anterior (R 30 (88%), L 41 (68%), P≪0.05). Concomitant coronary artery bypass grafting was performed in 84 patients (R 29 (85%), L 55 (90%), NS). Follow-up ranged from 1 to 12 years (mean 5.6±3.4 years, median 6.1 years). Results: Early mortality was 8% (n=8) (R 4, L 4, NS). Survival at 1, 5 and 10 years was 88, 73, and 44%, respectively. It did not differ significantly between R (1 and 5 year survival 85, 66%) and L (90, 76%, P=0.58). Preoperative risk factors for mortality were history of congestive heart failure (1 and 5 year survival 81 and 57% vs. 90 and 78%, respectively, hazard ratio (HR)=1.95, P≪0.05), non-anterior localization of the aneurysm (86 and 49% vs. 86 and 77%, HR=2.06, P≪0.05), history of thromboembolic events (57 and 19% vs. 89 and 74%, HR=3.27, P≪0.05), and left ventricular EF (HR=0.97 per %, P=0.05). At late follow-up the mean functional class was 1.8±0.6 in long-term survivors (preoperative 2.9±0.9, P≪0.001) with no difference between the groups. Conclusions: The technique of repair of postinfarction dyskinetic LVA should be adapted in each patient to the cavity size and extent of the scarring process into the septum and subvalvular mitral apparatus. Applying these considerations to the choice of the technique of repair, both techniques achieved satisfactory results with respect to perioperative mortality, late functional status and surviva

Comparative Testing Report on the Detection and Quantification of Maize Event MON 810 - Comparative testing round: ILC-CRL-GMFF-CT-02/10

In the frame of Regulation (EC) No 882/2004, the European Union Reference Laboratory for Genetically Modified Food and Feed has the duty to organise comparative testing rounds and to ensure an appropriate follow-up of these activities. This report describes the outcome of the second comparative testing round ILC-CRL-GMFF-CT-02/10. Participants had to determine the GM content in two test items denoted maize powder levels 1 and 2, containing different GM percentages of maize event MON 810. This comparative testing round was organised in collaboration with the Reference Materials Unit and the Food Safety and Quality Unit of the Institute for Reference Materials and Measurements (Geel, BE). The maize event MON 810 test items were produced by the Reference Materials Unit. The Food Safety and Quality Unit managed the on-line registration and submission of results. A total of 136 laboratories were invited to participate in ILC-CRL-GMFF-CT-02/10. Six National Reference Laboratories declined participation, of which two were no longer a National Reference Laboratory. Ninety laboratories from 41 countries returned results, of which 65 were National Reference Laboratories, six were members of the European Network of GMO Laboratories only and 19 were laboratories from third countries. Two National Reference Laboratories, two Official control laboratories and nine laboratories from a third country did not submit any results. Participants could report the results of the exercise either in mass/mass % or in copy/copy %. The outcome of this second comparative testing round was in general positive, with 82-100 % of participants gaining a z-score in the range of -2 to +2 for both maize powder levels 1 and 2 regardless of the calibration method, the measurement unit and the approach used for calculating the z-score.JRC.I.3-Molecular Biology and Genomic

Results of surgery for irreversible moderate to severe mitral valve regurgitation secondary to myocardial infarction

Objective: Moderate to severe irreversible mitral regurgitation secondary to myocardial infarction is an independent risk factor for reduced long-term survival. Late effects of correction of mitral incompetence concomitant with coronary artery bypass grafting (CABG) are less well known and the choice of mitral valve procedure is still debated. Methods: From 1988 to 1998, 93 consecutive patients (mean age 63±9 years) were treated for moderate to severe irreversible mitral regurgitation secondary to myocardial infarction; 84 were in NYHA functional class III-IV and 19 were in cardiogenic shock. Thirty-seven patients underwent emergency surgery. Perioperative intraaortic balloon pump (IABP) was necessary in 33 patients. Follow-up ranged from 6 months to 12 years (mean 51 months±41). Results: Mitral valve was repaired in 30 patients and replaced in 63. Replacement was preferably performed in patients with major displacement of papillary muscle and in patients with acute papillary muscle rupture. CABG (3.4 distal anastomoses) was performed in all patients and was complete in 92%. Early mortality was 15% (14/93). Multivariable analysis identified need for IABP (P=0.005) and COPD (P=0.02) as risk factors for early death. Emergency surgery had only a trend (P=0.15) for increased mortality; age, low ejection fraction, repair vs. replacement had no influence. Actuarial survival rates at 1, 5 and 10 years were 81, 65 and 56%, respectively. Late survival was similar in patients with replacement or repair (P=0.46). At last follow-up, all but one patient were in NYHA functional class I or II. Conclusions: Combined mitral valve procedure and myocardial revascularization, as complete as possible, for moderate to severe mitral regurgitation secondary to myocardial infarction achieve satisfactory early and late outcome despite the increased operative mortality. Acute papillary muscle rupture, severe restriction of the mitral valve by major displacement of the papillary muscle are better managed by valve replacemen

Comparative Testing Report on the Detection and Quantification of Maize Event NK603 - Comparative testing round: ILC-CRL-GMFF-CT-01/10

In the frame of Regulation EC (No) 882/2004, the European Reference Laboratory for Genetically Modified Food and Feed has the duty to organise comparative testing rounds and to ensure an appropriate follow-up of these activities. This report describes the outcome of the first comparative testing round ILC-CRL-GMFF-CT-01/10. Participants had to determine the GM content in two test items denoted maize powder level 1 and level 2, containing different GM percentages of maize event NK603. This comparative testing round was organised in collaboration with the Reference Materials Unit and the Food Safety and Quality Unit of the Institute for Reference Materials and Measurements (Geel, BE). The maize event NK603 test items were produced by the Reference Materials Unit. The Food Safety and Quality Unit managed the on-line registration and submission of results. A total of 110 laboratories were invited to participate in ILC-CRL-GMFF-CT-01/10. Five National Reference Laboratories declined participation. Ninety-three results were returned from 84 laboratories from 36 countries, of which 66 were National Reference Laboratories, seven were members of the European Network of GMO Laboratories only and 11 were laboratories from third countries. Two National Reference Laboratories, two European Network of GMO Laboratories only members and one laboratory from a third country did not submit any results. Participants could report the results of the exercise either in mass/mass % or in copy/copy %. The outcome of this first comparative testing round was in general positive with a share of 86-96 % and 94-100 % of participants exhibiting a z-score in the range of -2 to +2 for maize powder level 1 and level 2, respectively.JRC.DG.I.4-Molecular biology and genomic