Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

A study of extended radio galaxies in the Shapley concentration core

Extended cluster radio galaxies show different morphologies com- pared to those found isolated in the field. Indeed, symmetric double radio galaxies are only a small percentage of the total content of ra- dio loud cluster galaxies, which show mainly tailed morphologies (e.g. O’Dea & Owen, 1985). Moreover, cluster mergers can deeply affect the statistical properties of their radio activity. In order to better understand the morphological and radio activity differences of the radio galaxies in major mergeing and non/tidal-merging clusters, we performed a multifrequency study of extended radio galax- ies inside two cluster complexes, A3528 and A3558. They belong to the innermost region of the Shapley Concentration, the most massive con- centration of galaxy clusters (termed supercluster) in the local Universe, at average redshift z ≈ 0.043. We analysed low frequency radio data performed at 235 and 610 MHz with Giant Metrewave Radio Telescope (GMRT) and we combined them with proprietary and literature observations, in order to have a wide frequency range (150 MHz to 8.4 GHz) to perform the spectral analysis. The low frequency images allowed us to carry out a detailed study of the radio tails and diffuse emission found in some cases. The results in the radio band were also qualitatively compared with the X-ray information coming from XMM-Newton observations, in order to test the interaction between radio galaxies and cluster weather. We found that the brightest central galaxies (BCGs) in the A3528 cluster complex are powerful and present substantial emission from old relativistic plasma characterized by a steep spectrum (α > 2). In the light of observational pieces of evidence, we suggest they are possible re-started radio galaxies. On the other hand, the tailed radio galaxies trace the host galaxy motion with respect to the ICM, and our find- ings is consistent with the dynamical interpretation of a tidal interaction (Gastaldello et al. 2003). On the contrary, the BCGs in the A3558 clus- ter complex are either quiet or very faint radio galaxies, supporting the hypothesis that clusters mergers quench the radio emission from AGN.

Il Pricing come fattore competitivo nel mercato dei beni durevoli

L'elaborato tratta delle dinamiche del pricing, analizzando nello specifico al contrapposizione fra Prezzo e Valore per il Cliente, entrando nello specifico delle metodologie per la determinazione degli stessi per poi introdurre alcune delle più comuni politiche di prezzo attuate dalle aziende. Si descrive dunque il mercato degli elettrodomestici bianchi, evidenziando come il Prezzo sia una variabile determinante in questo mercato ormai in fase di saturazione. Infine si fa un analisi di "The Business Game" analizzando la condotta del team irajoya e come il Prezzo sia stato essenziale per il successo della squadra nel mercato simulato.