Il moto browniano in finanza

In questo lavoro si presenta il fenomeno fisico nominato moto browniano, s’illustra il modello matematico atto a descriverlo e si analizza come questo abbia avuto notevole importanza in ambito finanziario, in particolare nell’elaborazione del modello di Black, Scholes e Merton per la valutazione dei derivati.

Metodi di approssimazione saddlepoint ed applicazioni finanziarie

I metodi saddlepoint studiati nella tesi permettono di approssimare la densità di una variabile aleatoria a partire dalla funzione generatrice dei cumulanti (ricavabile dalla funzione caratteristica). Integrando la densità saddlepoint si ottiene la formula di Lugannani-Rice (e ulteriori generalizzazioni) per approssimare le probabilità di coda. Quest'ultima formula è stata poi applicata in ambito finanziario per il calcolo del prezzo di un'opzione call rispetto a vari modelli (Black-Scholes, Merton, CGMY)e in ambito assicurativo per calcolare la probabilità che il costo totale dei sinistri in una polizza non superi una certa quota fissata.

Il Teorema di Inversione di Lévy

In questa tesi si dimostra il teorema di inversione di Lévy, risultato che permette di ricostruire, a partire dalla funzione caratteristica di una variabile aleatoria assolutamente continua, la sua densità. Come conseguenza si dimostra che la funzione caratteristica di una variabile aleatoria ne caratterizza univocamente la distribuzione. Viene inoltre presentata una applicazione della formula di inversione per la valutazione di opzioni in finanza con esempi numerici basati sul modello Merton.

Metodi di Fourier per la valutazione dei derivati finanziari

Questa tesi affronta uno dei principali argomenti trattati dalla finanza matematica: la determinazione del prezzo dei derivati finanziari. Esistono diversi metodi per trattare questo tema, ma in particolare vengono illustrati i metodi che usano la trasformata di Fourier. Questi ultimi infatti ci permettono di sostituire il calcolo dell'attesa condizionata scontata, con il calcolo dell'integrale della trasformata di Fourier, in quanto la funzione caratteristica, cioè la trasformata di Fourier della funzione densità, è più trattabile rispetto alla funzione densità stessa. Vengono in primo luogo analizzate alcune importanti formule di valutazione e successivamente implementate, attraverso il software Mathematica. I modelli di riferimento utilizzati per l'implementazione sono il modello di Black-Scholes e il modello di Merton.

Family Anomie and Juvenile Deliquency in Post-Communist Romania

The sensitivity of crime rates to social, economic and political influences has long aroused the interest of sociologists who have attempted to explain what kind of relationships might be associated with variations in crime rates between different social groups at different times. The earliest views were put forward by Emil Durkheim, and while later writers have developed (R.K. Merton, L. Srole, A, K. Cohen, etc.) have developed some aspects of his ideas further, his basic ideas of the divorce of the individual from normative standards and the lack of social integration are still valid. Ms. Voicu-Minea looked at the theoretical background in detail but then limited it to a specific social group, the family, asking first why certain individual within vulnerable families and/or negative social influences commit offences while others do not. In modern times the family has undergone massive structural and functional changes. Its former economic function, which once endowed it with a great capacity for social inclusion, has generally vanished, while its formerly crucial role in children's education has been massively reduced. These changes, which are still not complete, can lead to dysfunction and in certain social contexts such as that in post-communist Romanian society, this risk of dysfunction is still greater as unfavourably social circumstances more easily affect such families. The number of cases of juvenile delinquency in Romania has increased sharply ever since the end of the communist system and in 1996 reached the level of 18,317 cases. The sample examined included 1012 juvenile delinquents aged between 14 and 18, taken from all areas of Bucharest. Over 80% of charges related to theft, with more serious offences being relatively rare. The children underwent a series of psychological tests, accompanied by a questionnaire relating to family situation. The results showed that juvenile delinquency in Romania is overwhelmingly male, with 91.8% of offences being committed by boys. Two thirds of the research group were under the age of 16 and only just over one third attended school, with over half having left school before the legal age. While the majority of subjects had a lower than average level of education, they did not always recognise this, with two thirds seeing their level of education as being as good as or better than average. Nearly half the children (43%) did not live with both natural parents and majority came from families with three or more children. This applied both to their original families and to the families in which they were living at the time of the survey. The overwhelming majority of families were living in or around Bucharest, but under one third originated from there. Almost 25% of parents were under-schooled and around one third were unqualified workers. At least 30% of families lived in inadequate accommodation and family incomes were generally low. Ms. Voicu-Minea does however point out that over half the minors from the sample saw their family income as satisfactory or even more than satisfactory. When factors such as bad relationships between parents, corporal punishment, alcohol consumption and criminal records of family members were taken into account, the picture was bleak, making it understandable why over 36% of subjects had run away from home at least once, and in many cases repeatedly and for longer periods. The overwhelming majority of offences (80.8%) were committed in groups of between 2 and 11 persons, usually "friends" but in about 10% of cases member's of the family. IQ tests put about 75% of the sample at slightly under average, the difference being too slight to account for the behaviour problems of the majority. Personality tests, however, showed a different picture. Over 70% of those tested manifested an acute need of tenderness and a similar number a high level of potential aggressiveness. Almost half of the minors expressed such feelings as intolerance or a desire for revenge, and Ms. Voicu-Minea found a clear weakness of the Self. Around half the sample expressed sentiments of abandonment, renunciation and solitude.

Is the Market Eroding Moral Norms? A Micro-Analytical Validation of Some Ideas of Anomie Theory

Anomie theorists have been reporting the suppression of shared welfare orientations by the overwhelming dominance of economic values within capitalist societies since before the outset of neoliberalism debate. Obligations concerning common welfare are more and more often subordinated to the overarching aim of realizing economic success goals. This should be especially valid with for social life in contemporary market societies. This empirical investigation examines the extent to which market imperatives and values of the societal community are anchored within the normative orientations of market actors. Special attention is paid to whether the shape of these normative orientations varies with respect to the degree of market inclusion. Empirical analyses, based on the data of a standardized written survey within the German working population carried out in 2002, show that different types of normative orientation can be distinguished among market actors. These types are quite similar to the well-known types of anomic adaptation developed by Robert K. Merton in “Social Structure and Anomie” and are externally valid with respect to the prediction of different forms of economic crime. Further analyses show that the type of normative orientation actors adopt within everyday life depends on the degree of market inclusion. Confirming anomie theory, it is shown that the individual willingness to subordinate matters of common welfare to the aim of economic success—radical market activism—gets stronger the more actors are included in the market sphere. Finally, the relevance of reported findings for the explanation of violent behavior, especially with view to varieties of corporate violence, is discussed.

Social Structural Effects on the Level and Development of the Individual Experience of Anomie in the German Population

Can one observe an increasing level of individual lack of orientation because of rapid social change in modern societies? This question is examined using data from a representative longitudinal survey in Germany conducted in 2002–04. The study examines the role of education, age, sex, region (east/west), and political orientation for the explanation of anomia and its development. First we present the different sources of anomie in modern societies, based on the theoretical foundations of Durkheim and Merton, and introduce the different definitions of anomia, including our own cognitive version. Then we deduce several hypotheses from the theory, which we test by means of longitudinal data for the period 2002–04 in Germany using the latent growth curve model as our statistical method. The empirical findings show that all the sociodemographic variables, including political orientation, are strong predictors of the initial level of anomia. Regarding the development of anomia over time (2002–04), only the region (west) has a significant impact. In particular, the results of a multi-group analysis show that western German people with a right-wing political orientation become more anomic over this period. The article concludes with some theoretical implications.

Na 1 Nachlass Max Horkheimer, 81 - Korrespondenzen u.a. mit Julius Marx und Alexander Mitscherlich (p. II 11, 53-295)

22 Briefe zwischen Robert M. MacIver und Max Horkheimer, 1941-1947; 4 Briefe und Beilage zwischen Julius B. Maller vom Amercian Jewish Committee und Max Horkheimer, 1945-1946; 3 Briefe zwischen Eric Mann und Max Horkheimer, 1947; 13 Briefe und Beilagen zwischen Ludwig Marcuse und Max Horkheimer, 1941-1948 sowie 1 Manuskript von Ludwig Marcuse: War Guilt and Peace Aims, dazu von Max Horkheimer Gutachten und Entwürfe; 8 Briefe zwischen Siegfried Marck und Max Horkheimer, 1945-1950; 7 Briefe zwischen Claire Marck vom American Jewish Committee und Max Horkheimer, 1945-1946; 4 Briefe zwischen Alfred von Martin und Max Horkheimer, 1948-1949; 2 Briefe und Beilage zwischen Hugo Marx und Max Horkheimer, 1945; 44 Briefe und Beilage zwische Julius Marx und Max Horkheimer, 1945-1949; 2 Briefe und Beilage zwischen Heinrich Meng und Max Horkheimer, 10.07.1942, 29.10.1942; 5 Briefe zwischen Karl Menges und Max Horkheimer, 1943-1944; 8 Briefe und Beilage Karl A. Menninger, William C. Menninger und Max Horkheimer, 1941-1949; 23 und Beilage Joseph Messinger und Max Horkheimer, 1945-1949; 2 Briefe zwischen Robert K. Merton und Max Horkheimer, 1949; 1 Brief von Fritz Merz an Max Horkheimer, 1949; 9 Briefe zwischen Fred Mielke und Max Horkheimer, 1948-1950 siehe auch Alexander Mitscherlich; 1 Brief von Max Horkheimer bzw. Theodor W. Adorno an George Mintzer, ca. 1944; 5 Briefe zwischen Walter G. Muelder und Max Horkheimer, 1942-1943; 21 Briefe und Beilage zwischen Dorothy Mulgrave und Max Horkheimer, 1941-1948; 2 Briefe zwischen Arthur E. Murphy und Max Horkheimer, 1947;

Na 1 Nachlass Max Horkheimer, 546 - Korrespondenzen mit Leo Löwenthal (p. VI 18, 215-414)

135 Briefe zwischen Leo Löwenthal und Max Horkheimer; 2 Briefe von Max Horkheimer an S. Flowerman, 1945/1946; 2 Briefe zwischen John Slawson und Max Horkheimer, Februar 1946; 1 Brief von R. Nevitt Sanford an John Slawson, 31.01.1946; 1 Brief von Paul Lazarsfeld an Norbert K. Merton, 04.02.1946; 1 Brief von Paul Lazarsfeld an Theodore Abel, 05.02.1946; 2 Briefe zwischen Max Horkheimer und Dessie E. Kushell, Januar 1946; 3 Briefe von Max Horkheimer an Margaret Nicolson, Januar 1946;

Na 1 Nachlass Max Horkheimer, 547 - Korrespondenzen mit Leo Löwenthal (p. VI 19, 1-158)

107 Briefe zwischen Max Horkheimer und Leo Löwenthal; 10 Briefe von Max Horkheimer an Samuel H. Flowerman (Sandy); 1 Brief von Samuel H. Flowerman an Frederick Pollock, 26.03.1946; 1 Brief von Paul F. Lazarsfeld an Max Horkheimer, 10.03.1946; 1 Brief von Frederick Pollock an Robert K. Merton, 17.04.1946; 1 Brief von Samuel H. Flowerman an Frederick Pollock, 26.03.1946; 1 Brief von Robert K. Merton an Arthur W. MacMahon, 12.03.1946; 1 Brief von E. Franklin Frazier an Leo Löwenthal, 27.03.1946; 2 Briefe zwischen Margaret Nicholson und Max Horkheimer, März 1946;

Researching the Culture in Agri-Culture: Social Research for International Development: Elementos para una sociología de la investigación agrícola internacional. En: Avá, nº 9

Dedicado a la memoria de Robert Merton y sus contribuciones a la sociología de la ciencia, el libro toma como objeto la débil institucionalización del análisis social en la investigación agrícola. Así, la "cultura en la agricultura" hace referencia a los patrones y formas de organización social de la actividad de investigación en los centros agrícolas internacionales.

El delito en Mendoza

En el contexto de la crisis socioeconómica que está sufriendo el país se advierte, en estos primeros años del siglo 21, tanto en las cifras oficiales como por la “insistencia" mediática, un crecimiento sostenido en la Argentina del total de delitos cometidos. Si se hace un poco de memoria se recordará que, por lo menos en Mendoza, el punto de inflexión en que la capital provincial pasó de ser la tranquila ciudad principal del oasis norte de la provincia, a una ciudad con las características de inseguridad y violencia propias de las grandes urbes tercermundistas (México D.F., Sao Paulo), parece ubicarse aproximadamente a mediados de la década del 1990. Las razones y el momento en que ocurren ciertas situaciones, como las crisis económicas o el aumento del delito, no se debe al azar y a cuestiones aleatorias. Las situaciones que se viven hoy día son efecto de otras que han sucedido en el pasado, reciente o remoto. Es el fin de las ciencias sociales darle un sentido a lo que de otra manera aparecería como caótico, buscando las causas que operan en el trasfondo y que determinan cómo suceden los fenómenos y cuándo. Si se acepta lo anterior resulta importante, entonces, estudiar desde una perspectiva sociológica las causas de la criminalidad y su aumento en la ciudad de Mendoza. Sólo de esta manera se podrá mejorar la comprensión del fenómeno, para actuar “técnicamente" sobre él desde las políticas de Estado y para predecir, desde las teorías criminológicas, el desarrollo futuro probable. Se parte de la idea de que uno de los grandes defectos de todos los partidos políticos argentinos, y de los gobiernos de turno, es la falta de acuerdo o de ideas para desarrollar e implementar políticas estratégicas de Estado a largo plazo. Se intentará que este trabajo, aunque se ocupe del tema concreto del delito en Mendoza, igual refleje la importancia dada a que existan políticas de Estado y de que éstas se basen sobre marcos conceptuales coherentes.

La familia como objeto de estudio

La presente investigación encuentra su primera motivación en el estudio de los diferentes exponentes del pensamiento sociológico, revisados en materias teóricas de la carrera, tales como Teoría sociología clásica, Teoría sociológica contemporánea y Sociología sistemática. En efecto, en las obras de buena parte de los pensadores de la teoría sociológica es posible encontrar abordajes o acercamientos en torno de la familia. Sin pretender un abordaje exhaustivo, la propuesta que aquí presentamos toma como objeto de estudio a las teorías sociológicas de la familia, haciendo hincapié en los planteos marxistas y estructural funcionalistas. El objetivo último es elaborar un análisis comparado de estas dos perspectivas teóricas que coexisten, conflictivamente, en el campo de la sociología. Empleando la metodología propia del análisis materialista de los discursos teóricos, específicamente, la de la lectura sintomática (Althusser), nos proponemos sistematizar las problemáticas teóricas puestas en juego por el estructural funcionalismo (y también por otras versiones de la sociología académica) y el marxismo a la hora de abordar la familia como objeto de estudio. Así, la pregunta más general de esta investigación puede formularse de esta forma: ¿qué conceptos e interrogantes, qué supuestos, qué ausencias y asuntos claves, caracterizan el abordaje que se hace de la familia desde la sociología académica y desde las vertientes marxistas y críticas? En otras palabras, ¿qué objeto (sociológico) construyen en torno de la familia los principales exponentes de ambas problemáticas? De este modo, el trabajo pretende ser un punto de inicio para investigaciones futuras, contribuyendo al debate académico.