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.

Synthesis, characterization and catalytic performances of ruthenium-based catalysts for the acceptorless dehydrogenative coupling of butanol

A growing interest towards new sources of energy has led in recent years to the development of a new generation of catalysts for alcohol dehydrogenative coupling (ADC). This green, atom-efficient reaction is capable of turning alcohol derivatives into higher value and chemically more attractive ester molecules, and it finds interesting applications in the transformation of the large variety of products deriving from biomass. In the present work, a new series of ruthenium-PNP pincer complexes are investigated for the transformation of 1-butanol, one of the most challenging substrates for this type of reactions, into butyl butyrate, a short-chain symmetrical ester widely used in flavor industries. Since the reaction kinetics depends on hydrogen diffusion, the study aimed at identifying proper reactor type and right catalyst concentration to avoid mass transfer interferences and to get dependable data. A comparison between catalytic activities and productivities has been made to establish the role of the different ligands bonded both to the PNP binder and to the ruthenium metal center, and hence to find the best catalyst for this type of reaction.

Active Translation into English and Italian of Hosseini's adaptation of the Persian epic,"Shahname"

This thesis proposes a translation from Persian into Italian and English of an ancient Persian epic called Shahname, or literally “The Book of Kings,” by Ferdosi, first published in the 11th century CE. The translation proposed, however, is not based on the original book by Ferdosi, which is written all in verse, but rather, an edited, shorter, and simplified version written in prose, by Mohamad Hosseini, first published in 2013. Nonetheless, in his version, Hosseini included some of the verses from the original poems in order to show the value and the beauty of Ferdosi’s writing. Many translations of Ferdosi’s book have been made into English, but only one translation has been made into Italian, by one Italo Pizzi, in 8 volumes, all in verse, in 1886. This thesis analyses and discusses the choices made for the two translations presented into English and Italian. My project is not only to propose translations of Hosseini’s version, but to also introduce the reader to the Persian culture, and to the life of the most famous Iranian epic writer, Ferdosi, and his masterpiece, Shahname.