Libera!

About: Libera! is a based out in . It is known for research contribution in the topics: Bellman equation & European union. The organization has 501 authors who have published 571 publications receiving 7962 citations.

Robustness for path-dependent volatility models

Abstract: In this paper, we consider a generalisation of the Hobson–Rogers model proposed by Foschi and Pascucci (Decis Eocon Finance 31(1):1–20, 2008) for financial markets where the evolution of the prices of the assets depends not only on the current value but also on past values. Using differentiability of stochastic processes with respect to the initial condition, we analyse the robustness of such a model with respect to the so-called offset function, which generally depends on the entire past of the risky asset and is thus not fully observable. In doing this, we extend previous results of Blaka Hallulli and Vargiolu (2007) to contingent claims, which are globally Lipschitz with respect to the price of the underlying asset, and we improve the dependence of the necessary observation window on the maturity of the contingent claim, which now becomes of linear type, while in Blaka Hallulli and Vargiolu (2007), it was quadratic. Finally, in this framework, we give a characterisation of the stationarity assumption used in Blaka Hallulli and Vargiolu (2007), and prove that this model is stationary if and only if it is reduced to the original Hobson–Rogers model. We conclude by calibrating the model to the prices of two indexes using two different volatility shapes.

Computer-implemented weighted tree search

Abstract: Methods for resolving ambiguity in a search of a tree data structure are provided. Ambiguity occurs when a searched value occurs at two or more nodes of the tree data structure. Weighted distances between a context node and two or more candidate nodes are determined where each of the candidate nodes contains the searched value. The weighted distance between the context node and each candidate node equals the number of downward steps from the context node to the candidate node multiplied by a first constant plus the number of upward steps from the context node to the candidate node multiplied by a second constant. The node having a desired weighted distance is selected and information from the selected node is returned.

Dynamic Dominators and Low-High Orders in DAGs

Abstract: We consider practical algorithms for maintaining the dominator tree and a low-high order in directed acyclic graphs (DAGs) subject to dynamic operations. Let G be a directed graph with a distinguished start vertex s. The dominator tree D of G is a tree rooted at s, such that a vertex v is an ancestor of a vertex w if and only if all paths from s to w in G include v. The dominator tree is a central tool in program optimization and code generation, and has many applications in other diverse areas including constraint programming, circuit testing, biology, and in algorithms for graph connectivity problems. A low-high order of G is a preorder of D that certifies the correctness of D, and has further applications in connectivity and path-determination problems. We first provide a practical and carefully engineered version of a recent algorithm [ICALP 2017] for maintaining the dominator tree of a DAG through a sequence of edge deletions. The algorithm runs in O(mn) total time and O(m) space, where n is the number of vertices and m is the number of edges before any deletion. In addition, we present a new algorithm that maintains a low-high order of a DAG under edge deletions within the same bounds. Both results extend to the case of reducible graphs (a class that includes DAGs). Furthermore, we present a fully dynamic algorithm for maintaining the dominator tree of a DAG under an intermixed sequence of edge insertions and deletions. Although it does not maintain the O(mn) worst-case bound of the decremental algorithm, our experiments highlight that the fully dynamic algorithm performs very well in practice. Finally, we study the practical efficiency of all our algorithms by conducting an extensive experimental study on real-world and synthetic graphs.

Doping Products and Their Demand

Abstract: In this second chapter we provide context for the analysis of the supply of doping products, by considering the products available in Italy and by assessing, at least roughly, the demand. Despite the lack of specific historical or cross-country studies, we draw from the assumption that the use of doping substances and methods in Italy has followed the same broad lines of development known from studies in other countries. On the basis of NAS seizure data and anti-doping investigations we show that the entire palette of doping substances and methods is currently available on the Italian market. Exploiting the available data, we then estimate the size of the two main groups of users of doping products, athletes and body-builders, and demonstrate that a significant minority of the nearly 14 million Italians, aged 15 and older, who regularly engage in sports has consumed doping products at least occasionally, generating a market that is comparable to that of heroin.

Comportamenti di consumo e costruzione dell’identità

Abstract: Oggi il tema dell’identita e della sua costruzione e una questione all’ordine del giorno, argomento di scottante attualita nella mente e sulla bocca di tutti.