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.

Influence of microstructure variability on short crack growth behavior

Fatigue life in metals is predicted utilizing regression analysis of large sets of experimental data, thus representing the material’s macroscopic response. Furthermore, a high variability in the short crack growth (SCG) rate has been observed in polycrystalline materials, in which the evolution and distributionof local plasticity is strongly influenced by the microstructure features. The present work serves to (a) identify the relationship between the crack driving force based on the local microstructure in the proximity of the crack-tip and (b) defines the correlation between scatter observed in the SCG rates to variability in the microstructure. A crystal plasticity model based on the fast Fourier transform formulation of the elasto-viscoplastic problem (CP-EVP-FFT) is used, since the ability to account for the both elastic and plastic regime is critical in fatigue. Fatigue is governed by slip irreversibility, resulting in crack growth, which starts to occur during local elasto-plastic transition. To investigate the effects of microstructure variability on the SCG rate, sets of different microstructure realizations are constructed, in which cracks of different length are introduced to mimic quasi-static SCG in engineering alloys. From these results, the behavior of the characteristic variables of different length scale are analyzed: (i) Von Mises stress fields (ii) resolved shear stress/strain in the pertinent slip systems, and (iii) slip accumulation/irreversibilities. Through fatigue indicator parameters (FIP), scatter within the SCG rates is related to variability in the microstructural features; the results demonstrate that this relationship between microstructure variability and uncertainty in fatigue behavior is critical for accurate fatigue life prediction.

Comparison of radiobiological effects induced by ultra-high and standard dose rate of x-rays on a radio-resistant cell line

Radiotherapy (RT) has recently evolved with the emergence of heavy ion radiations or new fractionation schemes of photon therapy, which modify the dose rate of treatment delivery. The aim of the present study was then to evaluate the in vitro influence of a ultra-high dose rate comparing them with standard dose rate. In this regard, a radioresistant SK-MEL-28 cell line were irradiated with x-ray in order to have a total dose of 2 and 4 Gy, at two different dose rate. The ultra-high dose rate is a specific property of the dense plasma focus (DPF) device, which has pulsed operation and thus gives short and highly energetic pulses of multiple types of rays and particles, in this case, we focused our study on the influence of X-rays. While a low dose rate is obtained with conventional X-ray tube. In this study it results that a ultra-high dose rate enhances radiosensitivity of melanoma cells while reducing the adhesion, proliferation and migration ability of cells.