Showing 1 - 10 of 22
The thesis develops the option pricing model with interest rate model in stochastic environment by analyzing insurance field in asset liability management context and regulatory puorpose from the management prospective.
Persistent link: https://www.econbiz.de/10015220436
The thesis develops the option pricing model with interest rate model in stochastic environment by analyzing insurance field in asset liability management context and regulatory puorpose from the management prospective.
Persistent link: https://www.econbiz.de/10015220768
In this paper we present an integral equation approach for the valuation of European-style installment derivatives when the premium payments, made continuously throughout the contract’s life, are assumed to be a function of the asset price and time variables. The contribution of this study is...
Persistent link: https://www.econbiz.de/10008559922
Forecasting Budget expenditures using Budget balance intra annual data
Persistent link: https://www.econbiz.de/10015224723
In this work we have found a relevant increase in the systematic risk of the American real estate securities in the year 2007 which go to the initial values in the year 2009. With the aim to evaluate the systematic risk we have used the Fama-French three factor model and we have studied the...
Persistent link: https://www.econbiz.de/10015244590
The aim of this paper is to build a tool for performing forecasting exercises, allowing to obtain a reliable estimate of Italian consumer price inflation. To reach this goal we estimate a simple three-equation model for the short term forecasting of twelve-month percentage variations of the...
Persistent link: https://www.econbiz.de/10015254991
This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the...
Persistent link: https://www.econbiz.de/10010335289
This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component technique is first used to summarize the...
Persistent link: https://www.econbiz.de/10010335307
We investigate the occurrence of risk sharing among Italian regions with respect to both long run and short run income fluctuations by means of Vector Equilibrium Correction Models (VEqCMs) which allow to test all implications of the theory without preliminary filtering or transformations of...
Persistent link: https://www.econbiz.de/10005042439
Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases, the quality of forecasts should improve. Yet, there is no consensus about a "true" or "best" measure of volatility. In this paper we propose to jointly consider absolute daily...
Persistent link: https://www.econbiz.de/10005812865