The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

Conceptualization of an Electric Compact SUV for the American and Italian Market using the IDeS Method

Electric cars are increasingly popular due to a transition of mobility towards more sustainable forms. From an increasingly green and pollution reduction perspective, there are more and more incentives that encourage customers to invest in electric cars. Using the Industrial Design and Structure (IDeS) research method, this project has the aim to design a new electric compact SUV suitable for all people who live in the city, and for people who move outside urban areas. In order to achieve the goal of developing a new car in the industrial automotive environment, the compact SUV segment was chosen because it is a vehicle very requested by the costumers and it is successful in the market due to its versatility. IDeS is a combination of innovative and advanced systematic approaches used to set up a new industrial project. The IDeS methodology is sequentially composed of Quality Function Deployment (QFD), Benchmarking (BM), Top-Flop analysis (TFA), Stylistic Design Engineering (SDE), Design for X, Prototyping, Testing, Budgeting, and Planning. The work is based on a series of steps and the sequence of these must be meticulously scheduled, imposing deadlines along the work. Starting from an analysis of the market and competitors, the study of the best and worst existing parameters in the competitor’s market is done, arriving at the idea of a better product in terms of numbers and innovation. After identifying the characteristics that the new car should have, the other step is the styling part, with the definition of the style and the design of the machine on a 3D CAD. Finally, it switches to the prototyping and testing phase to see if the product is able to work. Ultimately, intending to place the car on the market, it is essential to estimate the necessary budget for a possible investment in this project.

A new concept for a Sport-Coupè car developed with the Industrial Design Structure method (IDeS)

The aim of this study, conducted in collaboration with Lawrence Technological University in Detroit, is to create, through the method of the Industrial Design Structure (IDeS), a new concept for a sport-coupe car, based on a restyling of a retro model (Ford Mustang 1967). To date, vintage models of cars always arouse great interest both for the history behind them and for the classic and elegant style. Designing a model of a vehicle that can combine the charm of retro style with the innovation and comfort of modern cars would allow to meet the needs and desires of a large segment of the market that today is forced to choose between past and future. Thanks to a well-conceived concept car an automaker company is able to express its future policy, to make a statement of intent as, such a prototype, ticks all the boxes, from glamour and visual wow-factor to technical intrigue and design fascination. IDeS is an approach that makes use of many engineering tools to realize a study developed on several steps that must be meticulously organized and timed. With a deep analysis of the trends dominating the automotive industry it is possible to identify a series of product requirements using quality function deployment (QFD). The considerations from this first evaluation led to the definition of the technical specifications via benchmarking (BM) and top-flop analysis (TFA). Then, the structured methodology of stylistic design engineering (SDE) is applied through six phases: (1) stylistic trends analysis; (2) sketches; (3) 2D CAD drawings; (4) 3D CAD models; (5) virtual prototyping; (6) solid stylistic model. Finally, Developing the IDeS method up to the final stages of Prototypes and Testing you get a product as close as possible to the ideal vehicle conceptualized in the initial analysis.