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.

Preparazione di una resina epossidica bio-based e studio delle relative proprietà

Epoxy resins are very diffused materials due to their high added value deriving from high mechanical proprieties and thermal resistance; for this reason they are widely used both as metallic coatings in aerospace and in food packaging. However, their preparation uses dangerous reagents like bisphenol A and epichlorohydrin respectively classified as suspected of causing damage to fertility and to be carcinogen. Therefore, to satisfy the ever-growing attention to environmental problems and human safeness, we are considering alternative “green” processes through the use of reagents obtained as by-products from other processes and mild experimental conditions, and also economically sustainable and attractive for industries. Following previous results, we carried out the reaction leading to the formation of diphenolic acid (DPA), its allylation and the following epoxidation of the double bonds, all in aqueous solvent. In a second step the obtained product were cross-linked at high temperature with and without the use of hardeners. Then, on the obtained resin, some tests were performed like release in aqueous solution, scratch test and DSC analysis.

Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

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.