arXiv subjects

E. Cisana

Publications and source records attributed to E. Cisana.

7 recordsLinked to original sources

arXiv2007

A Comparative Study of Stochastic Volatility Models

The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present, several stochastic volatility models are discussed in the literature, differing in the dynamics attached to the volatility. The aim of the present work is to compare the most recent results about three popular models: the Vasicek, Heston and exponential Ornstein-Uhlenbeck models. We analyzed for each of them the theoretical results known in the literature (volatility and return distribution, higher-order moments and different-time correlations) in order to test their predictive effectiveness on the outcomes of original numerical simulations, paying particular attention to their ability to reproduce empirical statistical properties of prices. The numerical results demonstrate that these models can be implemented maintaining all their features, especially in view of financial applications like market risk management or option pricing. In order to critically compare the models, we also perform an empirical analysis of financial time series from the Italian stock market, showing the exponential Ornstein-Uhlenbeck model's ability to capture the stylized facts of volatility and log-return probability distributions.

q-fin.ST↗

arXiv2006

Risk measures with non-Gaussian fluctuations

Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the returns distribution in terms of a Student-$t$ (or Tsallis) distribution. Non-Gaussian closed-form solutions for Value-at-Risk and Expected Shortfall are obtained and standard formulae known in the literature under the normality assumption are recovered as a special case. The implications of the approach for risk management are demonstrated through an empirical analysis of financial time series from the Italian stock market. Detailed comparison with the results of the widely used procedures of quantitative finance, such as parametric normal approach, RiskMetrics methodology and historical simulation, as well as with previous findings in the literature, are shown and commented. Particular attention is paid to quantify the size of the errors affecting the risk measures obtained according to different methodologies, by employing a bootstrap technique.

physics.soc-ph↗

arXiv2006

A Non-Gaussian Approach to Risk Measures

Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the returns distribution in terms of a Student-t distribution. Non-Gaussian closed-form solutions for Value-at-Risk and Expected Shortfall are obtained and standard formulae known in the literature under the normality assumption are recovered as a special case. The implications of the approach for risk management are demonstrated through an empirical analysis of financial time series from the Italian stock market and in comparison with the results of the most widely used procedures of quantitative finance. Particular attention is paid to quantify the size of the errors affecting the market risk measures obtained according to different methodologies, by employing a bootstrap technique.

physics.soc-ph↗

arXiv2005

Detection of gamma-ray lines from interstellar 60Fe by the high resolution spectrometer SPI

It is believed that core-collapse supernovae (CCSN), occurring at a rate about once per century, have seeded the interstellar medium with long-lived radioisotopes such as 60Fe (half-life 1.5 Myr), which can be detected by the gamma rays emitted when they beta-decay. Here we report the detection of the 60Fe decay lines at 1173 keV and 1333 keV with fluxes 3.7 +/- 1.1 x 10(-5) ph cm(-2) s(-1) per line, in spectra taken by the SPI spectrometer on board INTEGRAL during its first year. The same analysis applied to the 1809 keV line of 26Al yielded a line flux ratio 60Fe/26Al = 0.11 +/- 0.03. This supports the hypothesis that there is an extra source of 26Al in addition to CCSN.

astro-ph↗

arXiv2004

SPI observations of positron annihilation radiation from the 4th galactic quadrant: Spectroscopy

The status of the analysis of the electron/positron annihilation radiation performed by INTEGRAL/SPI in the 4th GALACTIC QUADRANT is reported. We use data from the first two Galactic Center Deep Exposures (GCDE) and from the Galactic Plane Scans (GPS). The analysis presented here is focused on the spectroscopic aspects of the electron/positron annihilation radiation. Background substraction and model fitting methods are described, and the parameters of the 511 keV line (flux, energy, and width) are deduced.

astro-ph↗

arXiv2004

SPI observations of positron annihilation radiation from the 4th galactic quadrant: sky distribution

During its first year in orbit the INTEGRAL observatory performed deep exposures of the Galactic Center region and scanning observations of the Galactic plane. We report on the status of our analysis of the positron annihilation radiation from the 4th Galactic quadrant with the spectrometer SPI, focusing on the sky distribution of the 511 keV line emission. The analysis methods are described; current constraints and limits on the Galactic bulge emission and the bulge-to-disk ratio are presented.

astro-ph↗

arXiv2004

Search for gamma-ray line emission from the radioactive decay of 60Fe with SPI

The search for gamma-ray line emission from the radioactive decay of 60Fe figures among the prime scientific objectives of the INTEGRAL mission. 60Fe is believed to be primarily produced in core-collapse supernovae, although other sites, such as carbon deflagration supernovae or intermediate mass AGB stars have also been suggested. We present first results of our search for the 1173 and 1332 keV gamma-ray lines of 60Fe decay in the SPI data of the first mission year. So far we can only report upper flux limits whose levels are determined by systematic uncertainties in the treatment of the instrumental background. Once we understand the background uncertainties better, the SPI data should provide stringent constraints on 60Fe nucleosynthesis in our Galaxy.

astro-ph↗