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Alessandro Fiori Maccioni

  1. Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox.

    Tue, 06/28/2011 - 15:01 — SomNambul
    Authors: Alessandro Fiori Maccioni
    Subjects: Trading and Market Microstructure
    Abstract

    This paper highlights the role of risk neutral investors in generating
    endogenous bubbles in derivatives markets. We propose the following theorem. A
    market for derivatives, which has all the features of a perfect market except
    completeness and has some risk neutral investors, may exhibit almost surely
    extreme price movements which represent a violation to the Gaussian random walk
    hypothesis. This can be viewed as a paradox because it contradicts wide-held
    conjectures about prices in informationally efficient markets with rational
    investors.

  2. A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds.

    Tue, 06/28/2011 - 15:01 — SomNambul
    Authors: Alessandro Fiori Maccioni
    Subjects: Risk Management
    Abstract

    This research presents an analysis of the demographic risk related to future
    membership patterns in pension funds with restricted entrance, financed under a
    pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for
    investigating the behaviour of the demographic variable "new entrants" and the
    influence it exerts on the financial dynamics of such funds. Further
    information on pension funds of Italian professional categories and an
    application to the Cassa Nazionale di Previdenza e Assistenza dei Dottori
    Commercialisti (CNPADC) are then provided.

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