Local volatility changes in the black-scholes model

In this paper we address a problem arising in risk management; namely the study of price variations of different contingent claims in the Black-Scholes model due to anticipating future events. The method we propose to use is an extension of the classical Vega index, i.e. the price derivative with respect to the constant volatility, in thesense that we perturb the volatility in different directions. Thisdirectional derivative, which we denote the local Vega index, will serve as the main object in the paper and one of the purposes is to relate it to the classical Vega index. We show that for all contingent claims studied in this paper the local Vega index can be expressed as a weighted average of the perturbation in volatility. In the particular case where the interest rate and the volatility are constant and the perturbation is deterministic, the local Vega index is an average of this perturbation multiplied by the classical Vega index. We also study the well-known goal problem of maximizing the probability of a perfect hedge and show that the speed of convergence is in fact dependent of the local Vega index.

Efficiency and quality in local government management: the case of Spanish local authorities

This study analyses efficiency levels in Spanish local governments and their determining factors through the application of DEA (Data Envelopment Analysis) methodology. It aims to find out to what extent inefficiency arises from external factors beyond the control of the entity, or on the other hand, how much it is due to inadequate management of productive resources. The results show that on the whole, there is still a wide margin within which managers could increase local government efficiency levels, although it is revealed that a great deal of inefficiency is due to exogenous factors. It is specifically found that the size of the entity, per capita tax revenue, the per capita grants or the amount of commercial activity are some of the factors determining local government inefficiency.

A note on Spatial Autocorrelation at a Local Level

In this paper we analyze the existence of spatial autocorrelation at a local level in Catalonia using variables such as urbanisation economies, population density, human capital and firm entries. From a static approach, our results show that spatial autocorrelation is weak and diminishes as the distance between municipalities increases. From a dynamic approach, however, spatial autocorrelation increased over the period we analysed. These results are important from a policy point of view, since it is essential to know how economic activities are spatially concentrated or disseminated. Key words: spatial autocorrelation, municipalities. JEL classification: R110, R120

Spillovers and growth in a local interaction model

In this paper we aim at studying to what extent spillovers between firms may foster economic growth. The attention is addressed to the spillovers connected with the R&D activity that improves the quality of the goods firms supply. Our model develops a growth theory framework and we assume that firms spread around a circle. Our study assesses that spillovers between neighbors affect the probability of successful research for each of them. In particular, spillovers are the forces fuelling growth when, on the whole, firms turn out to be net receivers with respect to their neighbors.

Sources of Competitiveness in Tourist Local Systems

At the end of the XIX Century, Marshall described the existence of some concentrations of small and medium enterprises specialised in a specific production activity in certain districts of some industrial English cities. Starting from his contribute, Italian scholars have paid particular attention to this local system of production coined by Marshall under the term industrial district. In other countries, different but related territorial models have played a central role as the milieu or the geographical industrial clusters. Recently, these models have been extended to non-industrial fields like culture, rural activities and tourism. In this text, we explore the extension of these territorial models to the study of tourist activities in Italy, using a framework that can be easily applied to other countries or regions. The paper is divided in five sections. In the first one, we propose a review of the territorial models applied to tourism industry. In the second part, we construct a tourist filiere and we apply a methodology for the identification of local systems through GIS tools. Thus, taxonomy of the Italian Tourist Local Systems is presented. In the third part, we discuss about the sources of competitiveness of these Tourist Local Systems. In the forth section, we test a spatial econometrics model regarding different kinds of Italian Tourist Local Systems (rural systems, arts cities, tourist districts) in order to measure external economies and territorial networks. Finally, conclusions and policy implications are exposed.

On moduli of smoothness of fractional order

In this paper we consider the properties of moduli of smoothness of fractional order. The main result of the paper describes the equivalence of the modulus of smoothness and a function from some class.

Industrial location at a local level: some comments about the territorial level of the analysis

This paper contributes to the existing literature on industrial location by discussing some issues regarding the territorial levels that have been used in location analysis. We analyse which could be the advantages and disadvantages of performing locational analysis at a different local levels. We use data for new manufacturing firms located at municipality, county and travel to work areas level. We show that location determinants vary according to the territorial level used in the analysis, so we conclude that the level at which we perform the investigation should be carefully selected. Keywords: industrial location, cities, agglomeration economies, count data models.

Clean Development Mechanism and Sustainable Development: a discussion on the link between the CDM and Sustainable Development, an analysis of the current status of the CDM portfolio, and an multicriteria evaluation of the effects of additional incentives in order to foster broad local Sustainable Development dividends from the CDM projects

vegeu resum en el fitxer adjunt a l'inici del treball de recerca

Do creative industries cluster? mapping creative local production systems in Italy

An important debate on the role of creativity and culture as factors of local economic development is distinctly emerging. Despite the emphasis put on the theoretical definition of these concepts, it is necessary to strengthen comparative research for the identification and analysis of the kind of creativity embedded in the territory as well as its determinants. Creative local production systems are identified in Italy and Spain departing from local labour markets as territorial units, and focusing on two different kinds of creative

On the boundedness on inhomogeneous Lipschitz spaces of fractional integrals, singular integrals and hypersingular integrals associated to non-doubling measures on metric spaces

In this paper we prove T1 type necessary and sufficient conditions for the boundedness on inhomogeneous Lipschitz spaces of fractional integrals and singular integrals defined on a measure metric space whose measure satisfies a n-dimensional growth. We also show that hypersingular integrals are bounded on these spaces.

Economic impact of a new museum on the local economy: "The Gaudí Centre"

In this paper we analyse the economic impact of a new museum (the Gaudí Centre) on the local economy of Reus, a city in the province of Tarragona (southern Catalonia). We use a Keynesian income multiplier model to evaluate the effects of this new cultural venue on local income. In our calculation of the economic impact we distinguish between two phases: the construction phase and the exploitation phase. Our results show the important income impact of this cultural investment on the local economy.