937 resultados para Volatilità implicita formula di Black-Sholescomportamento asintotico vicino alla scadenza


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We evaluate the mixed partition function for dyonic BPS black holes using the recently proposed degeneracy formula for the STU model. The result factorizes into the OSV mixed partition function times a proportionality factor. The latter is in agreement with the measure factor that was recently conjectured for a class of N = 2 black holes that contains the STU model.

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Ni(II)complexes(1-5)ofdi2pyridylketoneN(4)-phenylthiosemicarbazone (HL) have been synthesized and spectrochemically characterized. Elemental analyses revealed a NiL2 center dot 2H(2)O stoichiometry for compound 1. However, the single crystals isolated revealed a composition NiL, - 0.5(H,0)0.5(DMF). The compound crystallizes into a monoclinic lattice with the space group P-21/n. Complexes 2. 3 and 4 are observed to show a 1:1:1 ratio of metal: thioseicarbazone:gegenion, with the general formula NiLX center dot yH(2)O [X = NCS. Y = 2 for 2; X = Cl, Y = 3 for 3 and X = N-3, y = 4.5 for 4]. Compound 5 is a dimer with a metal:thiosemicarbazone:gegenion ratio of 2:2: 1. with the formula [Ni,L,(SO4)1 - 4H(2)O (c) 2007 Elsevier Ltd. All rights reserved.

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Ni(II) complexes (1-5) of di-2-pyridyl ketone N(4)-phenylthiosemicarbazone (HL) have been synthesized and spectrochemically characterized. Elemental analyses revealed a NiL2 center dot 2H(2)O stoichiometry for compound 1. However, the single crystals isolated revealed a composition NiL, - 0.5(H,0)0.5(DMF). The compound crystallizes into a monoclinic lattice with the space group P-21/n. Complexes 2. 3 and 4 are observed to show a 1:1:1 ratio of metal: thioseicarbazone:gegenion, with the general formula NiLX center dot yH(2)O [X = NCS. Y = 2 for 2; X = Cl, Y = 3 for 3 and X = N-3, y = 4.5 for 4]. Compound 5 is a dimer with a metal:thiosemicarbazone:gegenion ratio of 2:2: 1. with the formula [Ni,L,(SO4)1 - 4H(2)O (c) 2007 Elsevier Ltd. All rights reserved.

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New complexes of lanthanide perchlorates with di-t-butyl amides of di, tri and tetraglycolic acids have been synthesised. The complexes have the general formula Ln(DiGA)3(ClO4)3; Ln(TriGA)2 (ClO4)3 and Ln(TetGA)2 (C1O4)3, where Ln = La-Yb and Y and DiGA = N,N′, di-t-butyl diglycolamide, TriGA N,N′, di-t-butyl triglycolamide and TetGA = N,N′ di-t-butyl tetraglycolamide, respectively. The complexes have been characterized by analysis, electrolytic conductance, infrared,1H and13C nuclear magnetic resonance and electronic spectral data.Infrared spectra indicate the coordination of all the available ether oxygens and the amide carbonyls in each of the ligands, to the metal ions. IR and conductance data show that the perchlorate groups in all the complexes are ionic.1H and13C NMR data support the IR data regarding the mode of coordination of ligands to the metal ions. Electronic spectral shapes have been interpreted in terms of nine, eight and ten coordination in DiGA, TriGA and TetGA complexes respectively.

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We compute the logarithmic correction to black hole entropy about exponentially suppressed saddle points of the Quantum Entropy Function corresponding to Z(N) orbifolds of the near horizon geometry of the extremal black hole under study. By carefully accounting for zero mode contributions we show that the logarithmic contributions for quarter-BPS black holes in N = 4 supergravity and one-eighth BPS black holes in N = 8 supergravity perfectly match with the prediction from the microstate counting. We also find that the logarithmic contribution for half-BPS black holes in N = 2 supergravity depends non-trivially on the Z(N) orbifold. Our analysis draws heavily on the results we had previously obtained for heat kernel coefficients on Z(N) orbifolds of spheres and hyperboloids in arXiv:1311.6286 and we also propose a generalization of the Plancherel formula to Z(N) orbifolds of hyperboloids to an expression involving the Harish-Chandra character of sl (2, R), a result which is of possible mathematical interest.

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[EN] Combination of polycarboxylate anions and dipyridyl ligands is an effective strategy to produce solid coordination frameworks (SCF) which are crystalline materials based on connections between metal ions through organic ligands. In this sense, combination of polycarboxylate anions and dipyridyl ligands is an effective strategy to produce extended structures. In this context, this work is focused on two novel CuII-based SCFs exhibiting PDC (2,5-pyridinedicarboxylate) and bpa (1,2-di(4-pyridyl)ethane), being the first structures reported in literature containing both ligands. Chemical formula are [Cu2[(PDC)2(bpa)(H2O)2]•3H2O•DMF (1), and [Cu2(PDC)2(bpa)(H2O)2]•7H2O (2), where DMF is dimethylformamide. Compounds 1 and 2 have been characterized by means of XRD, IR, TG/DTG, and DTA analysis.

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Motivated by the recently proposed Kerr/CFT correspondence, we investigate the holographic dual of the extremal and non-extremal rotating linear dilaton black hole in Einstein-Maxwell-Dilaton-Axion Gravity. For the case of extremal black hole, by imposing the appropriate boundary condition at spatial infinity of the near horizon extremal geometry, the Virasoro algebra of conserved charges associated with the asymptotic symmetry group is obtained. It is shown that the microscopic entropy of the dual conformal field given by Cardy formula exactly agrees with Bekenstein-Hawking entropy of extremal black hole. Then, by rewriting the wave equation of massless scalar field with sufficient low energy as the SLL(2, R) x SLR(2, R) Casimir operator, we find the hidden conformal symmetry of the non-extremal linear dilaton black hole, which implies that the non-extremal rotating linear dilaton black hole is holographically dual to a two dimensional conformal field theory with the non-zero left and right temperatures. Furthermore, it is shown that the entropy of non-extremal black hole can be reproduced by using Cardy formula.

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We extend the recently proposed Kerr/CFT correspondence to examine the dual conformal field theory of four-dimensional Kaluza-Klein black hole in Einstein-Maxwell-Dilaton theory. For the extremal Kaluza-Klein black hole, the central charge and temperature of the dual conformal field are calculated following the approach of Guica, Hartman, Song and Strominger. Meanwhile, we show that the microscopic entropy given by the Cardy formula agrees with Bekenstein-Hawking entropy of extremal Kaluza-Klein black hole. For the non-extremal case, by studying the near-region wave equation of a neutral massless scalar field, we investigate the hidden conformal symmetry of Kaluza-Klein black hole, and find the left and right temperatures of the dual conformal field theory. Furthermore, we find that the entropy of non-extremal Kaluza-Klein black hole is reproduced by Cardy formula. (C) 2010 Elsevier B.V. All rights reserved.

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Le riflessioni che seguono intendono offrire un contributo al dibattito sulle nuove forme di abitare intese principalmente come attitudini relazionali che, nel loro prendere forma, producono spazi dando voce quella vocazione comunitaria sempre più diffusa nella nostra società contemporanea. L’occasione di seguire da vicino il processo di trasformazione di un Gruppo di Acquisto Solidale (Gas), costituito per iniziativa di alcuni cittadini ferraresi, in un gruppo di aspiranti cohousers, seguendone le fasi di apprendimento collettivo, di dialogo con le istituzioni locali e con i diversi attori che progressivamente entrano in gioco, si inserisce in una più vasta ricerca, da tempo portata avanti da chi scrive, sulla natura delle politiche pubbliche per la città e per il territorio, con particolare riguardo a contesti relativamente marginali di cui la regione del Delta del Po può essere considerata una concreta espressione.

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This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility alone as in the Hull-White case. When we specialize this model to an equilibrium recursive utility model, we show through simulations that option prices are more informative than stock prices about the structural parameters of the model. We also show that a simple method of moments with a panel of option prices provides good estimates of the parameters of the model. This lays the ground for an empirical assessment of this equilibrium model with S&P 500 option prices in terms of pricing errors.

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This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

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The present work deals with the investigations on sthe structural spectral and magnetic interactions of transition metal complexes of multidentate ligands from D1-2-pyridyl ketone and N(4)-Substituted thiosemicarbazides.Thiosemicarbazones are thiourea derivatives with the general formula R2N— C(S)—NH—N=CR2. In the solution state, the thiosemicarbazones exhibit the thionethiol tautomerism similar to the keto-enol tautomerism, and in solution state the thiol form predominates and a deprotonation at the thiolate group in alcoholic medium enhances the coordination abilities ofthe thiosemicarbazones.The magnetochemistry of metal complexes of di-2-pyridyl ketone is a current hot subject of research, which mainly owes to the excellent structural diversity of the complexes ranging from cubanes to clusters, with promising ferromagnetic outputs.Only few efforts were aimed at the magnetochemistry of metal complexes of thiosemicarbazones, and that too were concerned with the complexes of bisttltioscinicarbazones). However, as far as the monothiosemicarbazones are concerned, the magnetochemistry of transition metal complexes of di-2-pyridyl ketone thiosemicarbazones turned up quite unexplored. Consequently, an investigation into it appeared novel and promising to us and that prompted this study, which can be regarded as the initial step towards exploring the magnetochemistry of thiosemicarbazone complexes, especially of di-2-pyridyl ketone derivatives.We could successfully isolate single crystals suitable for X-ray diffraction for the first three ligands. To conclude, we have synthesized some new thiosemicarbazones and their transition metal complexes and studied their structural, spectral and magnetic attributes. Some ofthe complexes revealed interesting stereochemistries and possible bridging characteristics with spectroscopic evidences. Unfortunately, single crystal Xray diffraction studies could not be carried out for many of these interesting compounds due to the lack of availability of suitable quality single crystals. However, the magnetic studies provided support for the proposed stereochemistry giving evidences for their magnetically concentrated nature. The magnetic susceptibilities measured at six different temperatures in the 80-298 K range are fitted into different magnetic equations, which provided an idea about the magnetic behavior of the compounds under study. Some of the copper, oxovanadium, nickel and cobalt complexes are found to possess anomalous magnetic moments, i.e., they revealed no regular gradation with temperature. However, some other copper complexes are observed to be antiferromagnetic, due to super-exchange pathways. The manganese complexes and one of the cobalt complexes are also observed to be antiferromagnetic in nature. However, some nickel complexes have turned up to be ferromagnetic. Accordingly, the versatile stereoehemistry and magnetic behavior of the complexes studied, prompt us to conclude that the transition metal complexes of di-2-pyridyl ketone thiosemicarbazones are promising systems for potential magnetic applications.

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En este trabajo construimos un modelo de mercado financiero basado en un proceso telegráfico más un proceso de saltos para la valoración de opciones Europeas. Vamos a asumir que el tamaño de los saltos es constante y después que es aleatorio, en ambos casos estos saltos ocurren cuando la tendencia del mercado cambia. Estos modelos capturan la dinámica del mercado en periodos con presencia de ciclos financieros. Mostraremos la estructura del conjunto de medidas neutrales al riesgo, además, de fórmulas explícitas para los precios de las opciones Europeas de venta y compra.

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Two sets of Schiff base ligands, set-1 and set-2 have been prepared by mixing the respective diamine (1,2-propanediamine or 1,3-propanediamine) and carbonyl compounds (2-acetylpyridine or pyridine-2-carboxaldehyde) in 1:1 and 1:2 ratios, respectively and employed for the synthesis of complexes with Ni(II) perchlorate and Ni(II) thiocyanate. Ni(II) perchlorate yields the complexes having general formula [NiL2](ClO4)(2) (L = L-1 [N-1-(1-pyridin-2-yl-ethylidine)-propane-1,3-diamine] for complex 1, L-2 [N-1-pyridine-2-ylmethylene-propane1,3-diamine] for complex 2 or L-3 [N-1-(1-pyridine-2-yl-ethylidine)-propane-1,2-diamine] for complex 3) in which the Schiff bases are mono-condensed terdentate whereas Ni(II) thiocyanate results in the formation of tetradentate Schiff base complexes, [NiL](SCN)(2) (L=L-4 [N,N'-bis-(1-pyridine-2-yl-ethylidine)-propane-1,3-diamine] for complex 4, L-5 [NN'-bis(pyridine-2-ylmethyline)-propane-1, 3-diamine] for complex 5 or L-6 [NN'-bis-(1-pyridine-2-yl-ethylidine)-propane- 1, 2-diamine] for complex 6) irrespective of the sets of ligands used. Formation of the complexes has been explained by anion modulation of cation templating effect. All the complexes have been characterized by elemental analyses, spectral and electrochemical results. Single crystal X-ray diffraction studies confirm the structures of four representative members, 1, 3, 4 and 5; all of them have distorted octahedral geometry around Ni(II). The bis-complexes of terdentate ligands, I and 3 are the mer isomers and the complexes of tetradentate ligands, 4 and 5 possess trans geometry. (c) 2007 Elsevier Ltd. All rights reserved.