Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis

This paper considers a financial market where the asset prices and the corresponding volatility are driven by a multidimensional mixture of Wiener shocks and Poisson jumps. While implied volatility is characterized by spikes, the existing models rely on the restrictive assumption of positive jumps in volatility. To overcome this inadequacy, the present paper introduces normally distributed jumps in the logvariance process. The model proposed is able to mimic empirically observed spikes in volatility and, consequently, improves upon the existing literature as it replicates the main features of both the stock return series and the corresponding option prices. After estimating the stock returns via the Efficient Method of Moments, the expression for the valuation of a plain vanilla European call option is derived, using the no-arbitrage argument. S&P500 option prices are used to assess quantitatively the empirical performance of the innovative features of the proposed model. The estimates indicate that spikes in volatility introduce a significant improvement in option pricing and provide evidence for stochastic jump risk premia.

Anthropologists in/of the neoliberal academy

This special Forum brings together short commentaries from anthropologists working in a variety of university settings and roles, to reflect on our immediate recent experiences with the imposition of public sector educational reforms. The contributions explore ongoing institutional transformations in Australia and New Zealand, Romania, Denmark, Greece, Finland, Mexico, US, Holland, Spain, Canada and the UK. We aim to establish a platform to host ongoing discussions about the changing nature of higher education and its implications for the future of anthropology. We are confident that these exchanges in Anuac will enable colleagues coping with the impacts of austerity to move together toward a coalition in favour of the university as we think it should be. Contributions of Cris Shore & Susan Wright, Vintilă Mihăilescu, Sarah F. Green, Gabriela Vargas-Cetina & Steffan Igor Ayora-Diaz, Tracey Heatherington, Dimitris Dalakoglou, Noelle Molé Liston, Susana Narotzky, Jaro Stacul, Meredith Welch-Devine, Jon P. Mitchell

Perturbations and Stability of Black Ellipsoids

We study the perturbations of two classes of static black ellipsoid solutions of four dimensional vacuum Einstein equations. Such solutions are described by generic off--diagonal metrics which are generated by anholonomic transforms of diagonal metrics. The analysis is performed in the approximation of small eccentricity deformations of the Schwarzschild solution. We conclude that such anisotropic black hole objects may be stable with respect to the perturbations parametrized by the Schrodinger equations in the framework of the one--dimensional inverse scattering theory.Comment: Published variant in IJMD with small modifications in formulas and new reference

La nuova Anuac: editoriale

Editorial article from the new Editor-in-Chief

Questo numero

Introduzione del nuovo numero della rivista Anuac (vol. 5, n.1, 2016

Electromagnetic radiation from collisions at almost the speed of light: an extremely relativistic charged particle falling into a Schwarzschild black hole

We investigate the electromagnetic radiation released during the high energy collision of a charged point particle with a four-dimensional Schwarzschild black hole. We show that the spectra is flat, and well described by a classical calculation. We also compare the total electromagnetic and gravitational energies emitted, and find that the former is supressed in relation to the latter for very high energies. These results could apply to the astrophysical world in the case charged stars and small charged black holes are out there colliding into large black holes, and to a very high energy collision experiment in a four-dimensional world. In this latter scenario the calculation is to be used for the moments just after the black hole formation, when the collision of charged debris with the newly formed black hole is certainly expected. Since the calculation is four-dimensional, it does not directly apply to Tev-scale gravity black holes, as these inhabit a world of six to eleven dimensions, although our results should qualitatively hold when extrapolated with some care to higher dimensions.Comment: 6 pages, 2 figure

Introduction

Questo Forum raccoglie brevi interventi di antropologi che con ruoli diversi lavorano in differenti contesti universitari, allo scopo di riflettere su recenti esperienze di riforme neoliberiste del sistema pubblico dell'istruzione superiore. I contributi esplorano processi di neoliberalizzazione dell'università e cambiamenti istituzionali in corso in Australia e Nuova Zelanda, Romania, Danimarca, Grecia, Finlandia, Messico, Stati Uniti, Olanda, Spagna, Canada e Regno Unito. L'obiettivo è quello di costruire una piattaforma che possa ospitare riflessioni critiche sulle trasformazioni attuali dell'accademia e delle relative implicazioni per il futuro dell'antropologia. Auspichiamo che il Forum serva anche a indurre i colleghi alle prese con le conseguenze del vigente regime di austerità a formare una coalizione in favore di una idea di università diversa da quella oggi dominante. Contributi di Cris Shore & Susan Wright, Vintilă Mihăilescu, Sarah F. Green, Gabriela Vargas-Cetina & Steffan Igor Ayora-Diaz, Tracey Heatherington, Dimitris Dalakoglou, Noelle Molé Liston, Susana Narotzky, Jaro Stacul, Meredith Welch-Devine, Jon P. Mitchell

Peer-review, parentela, jihad, habitus, musei post-etnografici e molto altro

Presentazione del Direttore del numero della rivist