Nel presente articolo si propone un nuovo modello per l'evoluzione del prezzo a pronti dell'elettricità basato sull'ipotesi che esistano due regimi diversi per la sua evoluzione: uno "normale" in cui i prezzi si discostano poco dai fattori che determinano il costo di produzione ed uno...

The aim of this paper is to present a two-factor pricing model for convertible bonds, paying particular attention to the impact of volatility in the valuation process as suggested in previous studies. The model here proposed is discrete and the sources of uncertainty are the risk-free spot rate...

Questo lavoro propone due modelli per la valutazione di obbligazioni convertibili in ipotesi stocastica della struttura per scadenza e del valore dell'azienda nelle cui azioni il titolo può essere convertito. I modelli proposti vengono sviluppati in ipotesi di dipendenza tra i processi...

This paper examines investment decisions regarding innovation and emissions abatement in a dynamic framework, where knowledge stock is an impure public good. We take a sector perspective based on neo Schumpeterian theory that emphasises the role of both sector and innovation systems. We...

This paper develops a theoretical model in order to study how investment decisions in innovation taken by a single agent are influenced by environmental externalities produced by investment decisions taken by other agents. The model acts in a dynamic framework, where knowledge stock represents...

This paper develops a theoretical model to study how investment decisions in innovation taken by a single agent are influenced by environmental externalities produced by investment decisions taken by other agents. The model acts in a dynamic framework, where knowledge stock represents the...

<title>Abstract</title> Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, interest rates, real growth and...

Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, interest rates, real growth and inflation. In...

The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into...