Il calcio in Italia: storia, tradizione e prospettive future

Nel corso degli anni il calcio italiano, dalla storia e tradizioni invidiabili, ha perso terreno nella battaglia competitiva del calcio europeo sia per quanto riguarda il risultato sportivo sia per quanto riguarda il risultato economico. La cultura calcistica però appassiona e unisce italiani come nient’altro. Dopo decenni di prestazioni all’insegna di tutti, nell’attuale scenario l’Italia calcistica si trova in una diversa posizione, con lo sguardo verso nuovi orizzonti. Il calcio italiano professionistico avrebbe bisogno di una strategia o di un modello di successo da imitare, innanzitutto nella veste del suo campionato di punta, la Serie A, per ripartire e diventare competitiva in primo luogo nel contesto europeo molto competitivo. Nonostante tutti gli scandali e problemi di natura finanziaria che hanno caratterizzato la storia del calcio italiano – oltreché i problemi attuali, per esempio, riguardo all’età media dei giocatori di Serie A – il suo profondo bagaglio culturale calcistico rimane, in sostanza, un punto di partenza fermo senza molti paragoni al mondo. La responsabilità di sviluppare e rivitalizzare il ‘prodotto’ calcio ha bisogno di idee nuove e investimenti al pari dei competitori principali. I problemi di prima importanza da risolvere sono la moltiplicazione e la ristrutturazione del modello di ricavi e gli impianti sportivi urgentemente da privatizzare e ristrutturare per renderli moderni e più profittabili. I tifosi di calcio, che si contano in decine di milioni solo in Italia (oggi come oggi addirittura 4 italiani su 10 si definiscono “tifosi militanti”), avrebbero bisogno di un ‘prodotto’ rivitalizzato che ha conservato il suo orgoglio e le caratteristiche nazionali uniche, tra cui, la parte sana della cultura dei tifosi organizzati chiamati ‘ultras’, di cui il modo di tifare ma in parte anche il linguaggio e le caratteristiche simboliche, sono divenuti, nel corso degli anni, conosciuti e imitati in larga parte del mondo. Tuttavia, in prospettiva non si può e non si deve trascurare l’impatto e le possibili opportunità finanziarie che il sempre più ampio e crescente mercato del calcio internazionale potrebbe offrire, nonostante ne soffrisse un po’ l’identità tradizionale del calcio italiano.

On Option Price Information Content and Extraction of Implied Probability Distributions

In this study we used market settlement prices of European call options on stock index futures to extract implied probability distribution function (PDF). The method used produces a PDF of returns of an underlying asset at expiration date from implied volatility smile. With this method, the assumption of lognormal distribution (Black-Scholes model) is tested. The market view of the asset price dynamics can then be used for various purposes (hedging, speculation). We used the so called smoothing approach for implied PDF extraction presented by Shimko (1993). In our analysis we obtained implied volatility smiles from index futures markets (S&P 500 and DAX indices) and standardized them. The method introduced by Breeden and Litzenberger (1978) was then used on PDF extraction. The results show significant deviations from the assumption of lognormal returns for S&P500 options while DAX options mostly fit the lognormal distribution. A deviant subjective view of PDF can be used to form a strategy as discussed in the last section.

Optiohinnoittelumallien empiirinen vertailu OMX 25 Helsinki -warranttimarkkinoilla

Tämän tutkimuksen tarkoituksena on selvittää pystytäänkö OMX 25 Helsinki kohde-etuusindeksin warranttien hintoja ennustamaan käyttämällä erilaisia optiohinnoittelumalleja. Tutkielman aineisto koostuu OMXH25-indeksiä seuraavien warranttien hinta-aikasarjatiedoista vuosilta 2009-2011. Tutkimuksessa käytettiin kolmea eri hinnoittelumallia warranttien hinnoitteluvirheiden tutkimiseen. Perinteistä Black-Scholes-hinnoittelumallia käytettiin siten, että warranttiaineistosta joh-dettu implisiittinen volatiliteetti regressoitiin maturiteetin ja toteutushinnan mu-kaan, jonka jälkeen regression perusteella valittiin kulloiseenkin tilanteeseen sopiva volatiliteettiestimaatti. Black-Scholes-mallin lisäksi tutkimuksessa käy-tettiin kahta GARCH-pohjaista optiohinnoittelumallia. Mallien estimoimia hin-toja verrattiin markkinoiden warranttihintoihin. Tulosten perusteella voitiin todeta, että mallit onnistuvat hinnoittelemaan war-rantteja paremmin lyhyen ajan päähän mallien kalibroinnista. Tulokset vaihte-livat suuresti eri vuosien välillä eikä minkään käytetyn mallin nähty suoriutu-van systemaattisesti muita malleja paremmin.

Fuzzy real option analysis in patent related decision making and patent valuation

The shift towards a knowledge-based economy has inevitably prompted the evolution of patent exploitation. Nowadays, patent is more than just a prevention tool for a company to block its competitors from developing rival technologies, but lies at the very heart of its strategy for value creation and is therefore strategically exploited for economic pro t and competitive advantage. Along with the evolution of patent exploitation, the demand for reliable and systematic patent valuation has also reached an unprecedented level. However, most of the quantitative approaches in use to assess patent could arguably fall into four categories and they are based solely on the conventional discounted cash flow analysis, whose usability and reliability in the context of patent valuation are greatly limited by five practical issues: the market illiquidity, the poor data availability, discriminatory cash-flow estimations, and its incapability to account for changing risk and managerial flexibility. This dissertation attempts to overcome these impeding barriers by rationalizing the use of two techniques, namely fuzzy set theory (aiming at the first three issues) and real option analysis (aiming at the last two). It commences with an investigation into the nature of the uncertainties inherent in patent cash flow estimation and claims that two levels of uncertainties must be properly accounted for. Further investigation reveals that both levels of uncertainties fall under the categorization of subjective uncertainty, which differs from objective uncertainty originating from inherent randomness in that uncertainties labelled as subjective are highly related to the behavioural aspects of decision making and are usually witnessed whenever human judgement, evaluation or reasoning is crucial to the system under consideration and there exists a lack of complete knowledge on its variables. Having clarified their nature, the application of fuzzy set theory in modelling patent-related uncertain quantities is effortlessly justified. The application of real option analysis to patent valuation is prompted by the fact that both patent application process and the subsequent patent exploitation (or commercialization) are subject to a wide range of decisions at multiple successive stages. In other words, both patent applicants and patentees are faced with a large variety of courses of action as to how their patent applications and granted patents can be managed. Since they have the right to run their projects actively, this flexibility has value and thus must be properly accounted for. Accordingly, an explicit identification of the types of managerial flexibility inherent in patent-related decision making problems and in patent valuation, and a discussion on how they could be interpreted in terms of real options are provided in this dissertation. Additionally, the use of the proposed techniques in practical applications is demonstrated by three fuzzy real option analysis based models. In particular, the pay-of method and the extended fuzzy Black-Scholes model are employed to investigate the profitability of a patent application project for a new process for the preparation of a gypsum-fibre composite and to justify the subsequent patent commercialization decision, respectively; a fuzzy binomial model is designed to reveal the economic potential of a patent licensing opportunity.

The Forecast Performance of Model-Free Implied Volatility: Evidence from DAX Index Options

Volatility has a central role in various theoretical and practical applications in financial markets. These include the applications related to portfolio theory, derivatives pricing and financial risk management. Both theoretical and practical applications require good estimates and forecasts for the asset return volatility. The goal of this study is to examine the forecast performance of one of the more recent volatility measures, model-free implied volatility. Model-free implied volatility is extracted from the prices in the option markets, and it aims to provide an unbiased estimate for the market’s expectation on the future level of volatility. Since it is extracted from the option prices, model-free implied volatility should contain all the relevant information that the market participants have. Moreover, model-free implied volatility requires less restrictive assumptions than the commonly used Black-Scholes implied volatility, which means that it should be less biased estimate for the market’s expectations. Therefore, it should also be a better forecast for the future volatility. The forecast performance of model-free implied volatility is evaluated by comparing it to the forecast performance of Black-Scholes implied volatility and GARCH(1,1) forecast. Weekly forecasts for six years period were calculated for the forecasted variable, German stock market index DAX. The data consisted of price observations for DAX index options. The forecast performance was measured using econometric methods, which aimed to capture the biasedness, accuracy and the information content of the forecasts. The results of the study suggest that the forecast performance of model-free implied volatility is superior to forecast performance of GARCH(1,1) forecast. However, the results also suggest that the forecast performance of model-free implied volatility is not as good as the forecast performance of Black-Scholes implied volatility, which is against the hypotheses based on theory. The results of this study are consistent with the majority of prior research on the subject.

Osakeindeksioption implisiittisen volatiliteetin informaatiosisältö

Volatiliteetilla mitataan arvopaperin toteutuneen tuoton epävarmuutta ja sillä on keskeinen rooli riskienhallinnassa sekä arvopapereiden hinnoittelussa. Volatiliteetin estimoimiseen on kaksi vaihtoehtoista lähestymistapaa. Historiallinen volatiliteetti estimoidaan toteutuneesta hintadatasta, kun taas implisiittinen volatiliteetti voidaan johtaa optioiden markkinahinnoista käyttämällä Black-Scholes-Merton-hinnoittelumallia tai vaihtoehtoisesti Britten-Jonesin ja Neubergerin kehittämää mallia (mallivapaa implisiittinen volatiliteetti), joka ei ole riippuvainen mistään tietystä hinnoittelumallista, vaan johdetaan suoraan optioiden markkinahinnoista. Implisiittinen volatiliteetti edustaa näin ollen markkinaosapuolten näkemystä option jäljellä olevana juoksuaikana toteutuvasta volatiliteetista. Toteutuvan volatiliteetin ennustamista implisiittisen ja historiallisen volatiliteetin avulla on tutkittu laajalti 1970-luvulta lähtien ja tulokset ovat olleet ristiriitaisia sekä historiallisen ja implisiittisen volatiliteetin keskinäisessä vertailussa että kahden eri implisiittisen volatiliteetin vertailussa. Tämän tutkielman tavoite on selvittää ennustaako implisiittinen volatiliteetti toteutuvaa volatiliteettia. Tutkielmassa syvennytään erityisesti vertailemaan historiallisen volatiliteetin, Black–Scholes-implisiittisen sekä mallivapaan implisiittisen volatiliteetin paremmuutta toteutuvan volatiliteetin ennusteina. Tutkielman empiirinen osuus on suoritettu eurooppalaisella aineistolla käyttämällä EURO STOXX 50 -indeksin, siihen liittyvien osto-optioiden sekä VSTOXX-volatiliteetti-indeksin hintatietoja vuosilta 2006–2014. Aikasarjatutkimus on suoritettu ei-päällekkäisillä havainnoilla niin, että jokaista volatiliteettiennustetta kohden on tasan yksi kuukauden mittainen periodi, jolta toteutunut volatiliteetti lasketaan. Empiirinen tarkastelu on suoritettu PNS-regressioanalyysillä, jolla on ensin tutkittu jokaisen volatiliteettiennusteen kykyä selittää toteutuvaa volatiliteettia sekä erikseen että yhdessä. Tulosten perusteella mallivapaa implisiittinen volatiliteetti on harhainen, mutta tutkituista ennusteista selkeästi tehokkain ennustamaan toteutuvaa volatiliteettia ja sisällyttää itseensä sekä Black–Scholes-implisiittisen että historiallisen volatiliteetin sisältämän informaation