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.

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.

Autonomous Pricing using Policy-Gradient Reinforcement Learning

Nella letteratura economica e di teoria dei giochi vi è un dibattito aperto sulla possibilità di emergenza di comportamenti anticompetitivi da parte di algoritmi di determinazione automatica dei prezzi di mercato. L'obiettivo di questa tesi è sviluppare un modello di reinforcement learning di tipo actor-critic con entropy regularization per impostare i prezzi in un gioco dinamico di competizione oligopolistica con prezzi continui. Il modello che propongo esibisce in modo coerente comportamenti cooperativi supportati da meccanismi di punizione che scoraggiano la deviazione dall'equilibrio raggiunto a convergenza. Il comportamento di questo modello durante l'apprendimento e a convergenza avvenuta aiuta inoltre a interpretare le azioni compiute da Q-learning tabellare e altri algoritmi di prezzo in condizioni simili. I risultati sono robusti alla variazione del numero di agenti in competizione e al tipo di deviazione dall'equilibrio ottenuto a convergenza, punendo anche deviazioni a prezzi più alti.

Unibo-BP: an innovative free software implementation of Bundle Protocol Version 7 (RFC 9171)

The BP (Bundle Protocol) version 7 has been recently standardized by IETF in RFC 9171, but it is the whole DTN (Delay-/Disruption-Tolerant Networking) architecture, of which BP is the core, that is gaining a renewed interest, thanks to its planned adoption in future space missions. This is obviously positive, but at the same time it seems to make space agencies more interested in deployment than in research, with new BP implementations that may challenge the central role played until now by the historical BP reference implementations, such as ION and DTNME. To make Unibo research on DTN independent of space agency decisions, the development of an internal BP implementation was in order. This is the goal of this thesis, which deals with the design and implementation of Unibo-BP: a novel, research-driven BP implementation, to be released as Free Software. Unibo-BP is fully compliant with RFC 9171, as demonstrated by a series of interoperability tests with ION and DTNME, and presents a few innovations, such as the ability to manage remote DTN nodes by means of the BP itself. Unibo-BP is compatible with pre-existing Unibo implementations of CGR (Contact Graph Routing) and LTP (Licklider Transmission Protocol) thanks to interfaces designed during the thesis. The thesis project also includes an implementation of TCPCLv3 (TCP Convergence Layer version 3, RFC 7242), which can be used as an alternative to LTPCL to connect with proximate nodes, especially in terrestrial networks. Summarizing, Unibo-BP is at the heart of a larger project, Unibo-DTN, which aims to implement the main components of a complete DTN stack (BP, TCPCL, LTP, CGR). Moreover, Unibo-BP is compatible with all DTNsuite applications, thanks to an extension of the Unified API library on which DTNsuite applications are based. The hope is that Unibo-BP and all the ancillary programs developed during this thesis will contribute to the growth of DTN popularity in academia and among space agencies.