It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current market environment with negative short interest rates. Moreover, the diffusion term in the rate dynamics goes to zero...

The objective of this paper is to provide a quick overview on Exchange-Traded Products (i.e. on ETFs, ETNs, ETCs and ETVs) but above all on their risk (especially with regards to synthetic products) and mitigations

This paper investigates, by means of recurrence quantification analysis, the characteristics of trade cycles and economic development. Trade cycles are complex phenomena oscillating because of economic downturns and expansions. In this paper the features of the underlying dynamics are studied...

It is well known that the CIR model, as introduced in 1985, is inadequate for modelling the current market environment with negative short rates, r(t). Moreover, in the CIR model, the stochastic part goes to zero with the rates, neither volatility nor long term mean change with time, or fit with...

Although uncertainty is one of the oldest and most substantial parts of economic theory, there is still no consensus among economists on what uncertainty is. The key aspects are the ”under-socialized” versus ”oversocialized” approach, rationality and the alleged contrast between...

The aim of this paper is to propose a new methodology that allows forecasting, through Vasicek and CIR models, of future expected interest rates (for each maturity) based on rolling windows from observed financial market data. The novelty, apart from the use of those models not for pricing but...

Questo lavoro si propone il compito di illustrare l'argomento di in maniera sufficientemente semplice e completa ed è corredato da esercizi per l'acquisizione delle tecniche computazionali relative. L'ottimizzazione è applicabile a problemi decisionali modellabili in termini di funzioni di...

This work summarizes recent advances in modelling and econometrics for alternative directions in macroeconomics and cycle theories. Starting from the definition of a cycle and continuing with a historical overview, some basic nonlinear models of the business cycle are introduced. Furthermore,...