Roots and Effects of Investments' Misperception

This work deals with the problem of investors' irrational behavior and financial products' misperception. The theoretical analysis of the mechanisms driving wrong evaluations of investment performances is explored. The study is supported by the application of Monte Carlo simulations to the remarkable case of structured financial products. Some motivations explaining the popularity among retail investors of these complex financial instruments are also provided. Investors are assumed to compare the performances of different projects through stochastic dominance rules and, to pursue our scopes, a new definition of this decision criteria is introduced.

Bayesian inference for Hidden Markov Model

� Hidden Markov Models can be considered an extension of mixture models, allowing for dependent observations. In a hierarchical Bayesian framework, we show how Reversible Jump Markov Chain Monte Carlo techniques can be used to estimate the parameters of a model, as well as the number of regimes. We consider a mixture of normal distributions characterized by different means and variances under each regime, extending the model proposed by Robert et al. (2000), based on a mixture of zero mean normal distributions.

Bayesian hidden Markov models for financial data

Hidden Markov Models can be considered as an extension of mixture models, which allows for dependent observations and makes them suitable for financial applications. In a hierarchical Bayesian framework, we show how reversible jump Markov chain Monte Carlo techniques can be used to estimate the parameters of the model, as well as the number of regimes. An application to exchange rate dynamics modeling is presented

Long Swings in Exchange Rates: a Stochastic Control Approach

A regime-switching model to describe the exchange rate dynamics is derived as solution to a stochastic control problem. We assume exchange rates evolve according to some macroeconomic variables whose dynamics could be described by a Brownian motion with a state-dependent drift. The local Monetary Authority is assumed to intervene influencing the evolution of the fundamental, causing the exchange rate to switch from a depreciating to an appreciating regime (and vice versa). We assume the behaviour of the Monetary Authority can be modeled using an optimal control framework where the state variable is represented by the fundamental. The solution of the model allows the determination of an endogenous tolerance band within which the exchange rate freely fluctuates

Long-term outcomes of the global tuberculosis and COVID-19 co-infection cohort

Background: Longitudinal cohort data of patients with tuberculosis (TB) and coronavirus disease 2019 (COVID-19) are lacking. In our global study, we describe long-term outcomes of patients affected by TB and COVID-19. Methods: We collected data from 174 centres in 31 countries on all patients affected by COVID-19 and TB between 1 March 2020 and 30 September 2022. Patients were followed-up until cure, death or end of cohort time. All patients had TB and COVID-19; for analysis purposes, deaths were attributed to TB, COVID-19 or both. Survival analysis was performed using Cox proportional risk-regression models, and the log-rank test was used to compare survival and mortality attributed to TB, COVID-19 or both. Results: Overall, 788 patients with COVID-19 and TB (active or sequelae) were recruited from 31 countries, and 10.8% (n=85) died during the observation period. Survival was significantly lower among patients whose death was attributed to TB and COVID-19 versus those dying because of either TB or COVID-19 alone (p<0.001). Significant adjusted risk factors for TB mortality were higher age (hazard ratio (HR) 1.05, 95% CI 1.03-1.07), HIV infection (HR 2.29, 95% CI 1.02-5.16) and invasive ventilation (HR 4.28, 95% CI 2.34-7.83). For COVID-19 mortality, the adjusted risks were higher age (HR 1.03, 95% CI 1.02-1.04), male sex (HR 2.21, 95% CI 1.24-3.91), oxygen requirement (HR 7.93, 95% CI 3.44-18.26) and invasive ventilation (HR 2.19, 95% CI 1.36-3.53). Conclusions: In our global cohort, death was the outcome in >10% of patients with TB and COVID-19. A range of demographic and clinical predictors are associated with adverse outcomes

Sustainability and ethic view of the future generations

This paper elaborates on the concept of sustainability and the way future generations should be treated in intertemporal optimization problems. In particular, we discuss how discounting the future can lead to unethical choices

Credit Default Swaps: Implied Ratings versus Official Ones

Recently, in line with the progressive development of the credit derivatives market, the academic research has begun to explore the relationship between Credit Default Swap market and rating events. In this paper, following a market based approach, we calibrate an Implied Rating model on Credit Default Swap market spreads. The non parametric mapping of Implied Ratings is calibrated on a large data set of Credit Default Swap quotes that includes the years of financial turmoils. This allows also to investigate the existence of possible differences between normal and abnormal market conditions. Unlike other models, the one proposed considers a linear penalty function which allows to evaluate market quotes in a neutral way and to formalize a more computationally efficient programming model. We ompare the behaviors of credit rating agencies in different markets (EU and USA) and in different sub-periods, in order to analyze whether Implied Rating changes anticipate or follow the effective rating changes supplied by Fitch Ratings, Moody’s and Standard and Poor’s

Sustainability and ethic view of the future generations

This paper elaborates on the concept of sustainability and the way future generations should be treated in intertemporal optimization problems. In particular, we discuss how discounting the future can lead to unethical choices