458 research outputs found

    Agricultural Agent Land-Use and Land Ownership Behavioural Analysis: A Casa Study From a Southern Italian Region

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    The recent CAP reform introduced new income support instruments much more related on agricultural agents land-use and land-ownership conditions than before. In this perspective the behavioural analysis of land-use and land-ownership decision process seems to be a basic condition to evaluate the efficiency, effectiveness and equity of those instruments, and to understand and to forecast the agents response to these stimuli. The land-use and land-ownership behaviour differs according to various land managers, not only on the base of "economic-productive" conditions, but also on the base of exogenous and endogenous "institutional" conditions, such as the presence of formal or informal contracts, cultural values, intergenerational linkages, family-farm organisation and land-market imperfections and regulations. In this study an analytic methodology is presented together with an explanatory model which both try to show the role and the relationships between the various land-use and landownership driving factors at an agricultural agent level. It is also showed the different behavioural response to the exogenous stimuli coming from the "economic-institutional" environment, in which the agents operate. The model was tested in a Southern Italian region case study. In the first part of the analysis the various "economic-institutional" environment typologies, in which the region is articulated, were detected, on the base of official census data at the communal administrative units level. The Factorial Analysis through the Principal Components Analysis and Groups Analysis, is the analytic methodology used for this aim. In the second part of the analysis two specific "environments" were chosen in which the empirical survey was led at the agricultural agent level. The data coming from the survey were used to test the behavioural explanatory model. The results showed not only some specific "behavioural" paths which may be detected in the two different environments, but also deep differences among the various typologies of agricultural agents inside the same environments, depending on the "economic-productive" size, the presence of strong familiar roles, informal contracts for hiring work and renting land, the specific history of the agricultural agent, the perception of land as a productive factor, an investment good or a "social status symbol". The results are presented in the last part of the article.Behavioural studies, Institutional structure of land ownership, Land Economics/Use,

    The exact Taylor formula of the implied volatility

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    In a model driven by a multi-dimensional local diffusion, we study the behavior of implied volatility {\sigma} and its derivatives with respect to log-strike k and maturity T near expiry and at the money. We recover explicit limits of these derivatives for (T,k) approaching the origin within the parabolic region |x-k|^2 < {\lambda} T, with x denoting the spot log-price of the underlying asset and where {\lambda} is a positive and arbitrarily large constant. Such limits yield the exact Taylor formula for implied volatility within the parabola |x-k|^2 < {\lambda} T. In order to include important models of interest in mathematical finance, e.g. Heston, CEV, SABR, the analysis is carried out under the assumption that the infinitesimal generator of the diffusion is only locally elliptic

    Analytical approximation of the transition density in a local volatility model

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    We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.option pricing, analytical approximation, local volatility

    Analytical expansions for parabolic equations

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    We consider the Cauchy problem associated with a general parabolic partial differential equation in dd dimensions. We find a family of closed-form asymptotic approximations for the unique classical solution of this equation as well as rigorous short-time error estimates. Using a boot-strapping technique, we also provide convergence results for arbitrarily large time intervals.Comment: 23 page

    Asymptotics for dd-dimensional L\'evy-type processes

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    We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Levy-type process, we derive a family of asymptotic approximations for transition densities and European-style options prices. Examples of stochastic volatility models with jumps are provided in order to illustrate the numerical accuracy of our approach. The methods described in this paper extend the results from Corielli et al. (2010), Pagliarani and Pascucci (2013) and Lorig et al. (2013a) for Markov diffusions to Markov processes with jumps.Comment: 20 Pages, 3 figures, 3 table

    Pricing approximations and error estimates for local L\'evy-type models with default

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    We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar L\'evy-type stochastic processes. We derive rigorous error bounds for the approximate solutions. We also provide numerical examples illustrating the usefulness and versatility of our methods in a variety of financial settings.Comment: 36 pages, 4 figures, 1 table

    Intrinsic Taylor formula for Kolmogorov-type homogeneous groups

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    We consider a class of ultra-parabolic Kolmogorov-type operators satisfying the Hormander's condition. We prove an intrinsic Taylor formula with global and local bounds for the remainder given in terms of the norm in the homogeneous Lie group naturally associated to the differential operator
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