Zobrazeno 1 - 10
of 275
pro vyhledávání: '"P, Lavagnini"'
Autor:
Gnoatto, Alessandro, Lavagnini, Silvia
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments. We allow for indices on any asset class, featuring collateralization in arbitrary currency denominations. The f
Externí odkaz:
http://arxiv.org/abs/2312.13057
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated from the
Externí odkaz:
http://arxiv.org/abs/2212.12725
Autor:
Lavagnini, Silvia
We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This series requires the computation of moments and correlators of the underlying price process, but for a polynomial jump-diffusion, these are given in
Externí odkaz:
http://arxiv.org/abs/2104.11684
Autor:
Isabela R. Lavagnini, Bola Yoon, Viviana Avila, Sanjit K. Ghose, Rishi Raj, Eliria M.J.A. Pallone, Lílian M. Jesus, João V. Campos
Publikováno v:
Open Ceramics, Vol 17, Iss , Pp 100565- (2024)
We investigated the use of metallic silver as a catalyst for flash sintering on hydroxyapatite/zirconia (HZ) composites. Adding 3 wt% of silver to the ceramic powder reduced the flash onset temperature (from 1084 °C to 925 °C) and also the electric
Externí odkaz:
https://doaj.org/article/25d21eb29c12445bb6bda9735644ac9a
Autor:
Ennio Lavagnini, Jonathan Booth, Katy Helm, Ferdaous El-Benni, Patrick B. Warren, David J. Bray, Richard L. Anderson
Publikováno v:
Frontiers in Soft Matter, Vol 4 (2024)
Self-assembly of surfactants into complex structures is key to the performance of many formulated products, which form a significant fraction of the world’s manufactured goods. Here we adopt the dissipative particle dynamics simulation approach to
Externí odkaz:
https://doaj.org/article/4e66058a18ee4de9a1efd2d97fa7f864
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose we introduce a new class of state-dependent volatility operators that
Externí odkaz:
http://arxiv.org/abs/2006.01911
Autor:
Benth, Fred Espen, Lavagnini, Silvia
In the setting of polynomial jump-diffusion dynamics, we provide an explicit formula for computing correlators, namely, cross-moments of the process at different time points along its path. The formula appears as a linear combination of exponentials
Externí odkaz:
http://arxiv.org/abs/1906.11320
Akademický článek
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Autor:
Luisa Lavagnini Barboza, Ana Carolina Bertassini, Mateus Cecilio Gerolamo, Aldo Roberto Ometto
Publikováno v:
RAE: Revista de Administração de Empresas, Vol 62, Iss 5 (2022)
A transição para a Economia Circular (EC) requer o aprofundamento e a compreensão dos valores organizacionais, os quais podem estimular e encorajar inovações e atitudes sustentáveis. Entretanto, a maioria dos estudos aborda majoritariamente asp
Externí odkaz:
https://doaj.org/article/3ef5cdacbb4143bcb01c7cc9e8da7588
Autor:
Eiter, H. -M., Lavagnini, M., Hackl, R., Nowadnick, E. A., Kemper, A. F., Devereaux, T. P., Chu, J. -H., Analytis, J. G., Fisher, I. R., Degiorgi, L.
Publikováno v:
Eiter, et al. PNAS 110(1), 64-69 (2013)
Charge and spin density waves, periodic modulations of the electron and magnetization densities, respectively, are among the most abundant and non-trivial low-temperature ordered phases in condensed matter. The ordering direction is widely believed t
Externí odkaz:
http://arxiv.org/abs/1208.5701