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Search Results: 1 - 10 of 390 matches for " Rosanna Coviello "
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Nonsemimartingales: Stochastic differential equations and weak Dirichlet processes
Rosanna Coviello,Francesco Russo
Mathematics , 2006, DOI: 10.1214/009117906000000566
Abstract: In this paper we discuss existence and uniqueness for a one-dimensional time inhomogeneous stochastic differential equation directed by an $\mathbb{F}$-semimartingale $M$ and a finite cubic variation process $\xi$ which has the structure $Q+R$, where $Q$ is a finite quadratic variation process and $R$ is strongly predictable in some technical sense: that condition implies, in particular, that $R$ is weak Dirichlet, and it is fulfilled, for instance, when $R$ is independent of $M$. The method is based on a transformation which reduces the diffusion coefficient multiplying $\xi$ to 1. We use generalized It\^{o} and It\^{o}--Wentzell type formulae. A similar method allows us to discuss existence and uniqueness theorem when $\xi$ is a H\"{o}lder continuous process and $\sigma$ is only H\"{o}lder in space. Using an It\^{o} formula for reversible semimartingales, we also show existence of a solution when $\xi$ is a Brownian motion and $\sigma$ is only continuous.
Modeling financial assets without semimartingales
Rosanna Coviello,Francesco Russo
Mathematics , 2006,
Abstract: This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class ${\cal A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of ${\cal A}$-martingale. A calculus related to ${\cal A}$-martingales with some examples is developed. Some applications to the maximization of the utility of an insider are expanded.
On stochastic calculus related to financial assets without semimartingales
Rosanna Coviello,Cristina Di Girolami,Francesco Russo
Quantitative Finance , 2011,
Abstract: This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class $\mathcal{A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of $\mathcal{A}$-martingale. A calculus related to $\mathcal{A}$-martingales with some examples is developed. Some applications to no-arbitrage, viability, hedging and the maximization of the utility of an insider are expanded. We finally revisit some no arbitrage conditions of Bender-Sottinen-Valkeila type.
Seawater Intrusion and Salinization Processes Assessment in a Multistrata Coastal Aquifer in Italy  [PDF]
Giuseppe Sappa, Maria Teresa Coviello
Journal of Water Resource and Protection (JWARP) , 2012, DOI: 10.4236/jwarp.2012.411111
Abstract: This paper presents the results of the investigations, driven by different techniques, including environmental tracers and geophysical methods, in the aim of better understand the causes of the current salt-water intrusion in the Pontina Plain, in the south of the Lazio Region (Italy). In the last 50 years many investigation campaigns have been carried out to evaluate the evolution of salt-water intrusion. This is an area with a strong man-made residential and tourist impact and, in the some cases, it is characterized by intensive agricultural practices. Therefore, it can be affected not only by salt-water intrusion, but by the salinization of its groundwater also due to other factors. All these factors have led the Pontina Plain to a groundwater situation which makes the groundwater resource management and the planning of their future exploitation very difficult.
An Essay on Intra-Industry Trade in Intermediate Goods  [PDF]
Rosanna Pittiglio
Modern Economy (ME) , 2014, DOI: 10.4236/me.2014.55045
Abstract:

This paper contributes to the debate on the effects of international fragmentation on two-way trade in several ways. Firstly, it is the first study on determinants of horizontal and vertical intraindustry trade in intermediate goods with regard to Italy. Secondly, it studies if and how country-specific factors affect intra-industry trade in intermediate goods when heterogeneity among sectors is allowed. The topic is very important for its policy implications. As is known, the early literature distinguishing vertical from horizontal intra-industry trade is especially concerned that their determinants are not the same, and that an expansion in two-way trade might have different adjustment implications depending on its nature. In the case of input trade, the same motivation applies (since intermediates are a subset of total goods traded) but to a greater extent. The analysis, on the one hand has produced results that support the theoretical hypotheses, on the other hand has confirmed the relevance of considering intersectoral heterogeneity in analyzing determinants of intra-industry trade in intermediate goods.

T. S. Eliot’s Ekphrastic Poems  [PDF]
Rosanna Rion
Advances in Literary Study (ALS) , 2014, DOI: 10.4236/als.2014.21007
Abstract:

Poems which have been inspired by paintings or mention a pictorial work can be analysed following a long tradition of studies between painting and poetry. Three of Eliot’s early poems: The Love Song of Saint Sebastian, Mr. Eliot’s Sunday Morning Service and On a Portraitare examples of this kind of ekphrastic exercise. There are different kinds of connections between painting and poetry and Eliot uses the iconological elements for different aims. The painters who interested the poet shared in common the fact that they represent a bridge between past and future, not a moment of perfect execution but one of great creativities.

El contrato administrativo: lex inter partes o ius vivandi?
Pedro José Jorge Coviello
Derecho PUCP , 2011,
Abstract: En el presente trabajo se estudia si en los contratos públicos el principio de observancia de los pactado (pacta sunt servanda, o lex inter pares) tiene preponderancia sobre el principio del ius vivandi típico de los contratos administrativos. Se busca, a través del estudio del derecho comparado y de la doctrina que originó ambos principios, llegara a una síntesis de ambos. Mediante la aplicación del principio de la legalidad, se trata de arribar a un equilibrio de ambos, sin perjuicio de reconocer el autor la preeminencia del principio contrato-ley.
Distributed team formation in multi-agent systems: stability and approximation
Lorenzo Coviello,Massimo Franceschetti
Computer Science , 2012,
Abstract: We consider a scenario in which leaders are required to recruit teams of followers. Each leader cannot recruit all followers, but interaction is constrained according to a bipartite network. The objective for each leader is to reach a state of local stability in which it controls a team whose size is equal to a given constraint. We focus on distributed strategies, in which agents have only local information of the network topology and propose a distributed algorithm in which leaders and followers act according to simple local rules. The performance of the algorithm is analyzed with respect to the convergence to a stable solution. Our results are as follows. For any network, the proposed algorithm is shown to converge to an approximate stable solution in polynomial time, namely the leaders quickly form teams in which the total number of additional followers required to satisfy all team size constraints is an arbitrarily small fraction of the entire population. In contrast, for general graphs there can be an exponential time gap between convergence to an approximate solution and to a stable solution.
Group buying with bundle discounts: computing efficient, stable and fair solutions
Lorenzo Coviello,Massimo Franceschetti
Computer Science , 2015,
Abstract: We model a market in which nonstrategic vendors sell items of different types and offer bundles at discounted prices triggered by demand volumes. Each buyer acts strategically in order to maximize her utility, given by the difference between product valuation and price paid. Buyers report their valuations in terms of reserve prices on sets of items, and might be willing to pay prices different than the market price in order to subsidize other buyers and to trigger discounts. The resulting price discrimination can be interpreted as a redistribution of the total discount. We consider a notion of stability that looks at unilateral deviations, and show that efficient allocations - the ones maximizing the social welfare - can be stabilized by prices that enjoy desirable properties of rationality and fairness. These dictate that buyers pay higher prices only to subsidize others who contribute to the activation of the desired discounts, and that they pay premiums over the discounted price proportionally to their surplus - the difference between their current utility and the utility of their best alternative. Therefore, the resulting price discrimination appears to be desirable to buyers. Building on this existence result, and letting N, M and c be the numbers of buyers, vendors and product types, we propose a O(N^2+NM^c) algorithm that, given an efficient allocation, computes prices that are rational and fair and that stabilize the market. The algorithm first determines the redistribution of the discount between groups of buyers with an equal product choice, and then computes single buyers' prices. Our results show that if a desirable form of price discrimination is implemented then social efficiency and stability can coexists in a market presenting subtle externalities, and computing individual prices from market prices is tractable.
The Government of Catastrophic Risks
Coviello Antonio,Di Trapani Giovanni
International Journal of Trends in Economics Management and Technology , 2013,
Abstract: The issue in question turns out to be very current inrelation to the continuous increase of natural disasters and theconsequent damage attributable to them, the analysis of thissubject can not be separated, however, by their awareness of theincreasing use of public resources necessary to cope with the hugeCosts essential to the implementation of actions aimed at thereconstruction of the affected areas. The analysis the conduct inthis paper refers to a study of the different types of naturaldisasters, issues related to these and the identification ofopportunities offered by the insurance system by identifying thepossible profiles of the different types of coverage just naturaldisasters. In sub-order, in the course of the work it was desired tosingle out the most common forms and the main methodologicalapproaches to insurance risk arising from its catastrophicphenomena.
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