Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

Equity Default Swaps are new equity derivatives designed as a product for credit investors.Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.Cross-Asset Trading of Credit Risk;Constant-Elasticity-of-Variance (CEV) Diffusion

Assessing Credit with Equity: A CEV Model with Jump to Default

Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the zero barrier either diffusively or with a jump, which implies non-zero credit spreads for short maturities.Easy cross-asset hedging is enabled.By means of a tersely speci.ed pricing kernel, we also make analytic credit-risk management possible under systematic jump-to-default risk.Equity;Corporate Bonds;Credit Default Swaps;Constant-Elasticity-of-Variance (CEV) Diffusion;Jump to Default

Some results on quadratic hedging with insider trading

We consider the hedging problem in an arbitrage-free incomplete financial market, where there are two kinds of investors with different levels of information about the future price evolution, described by two filtrations F and G = F 28 \u3c3(G) where G is a given r.v. representing the additional information. We focus on two types of quadratic approaches to hedge a given square-integrable contingent claim: local risk minimization (LRM) and mean-variance hedging (MVH). By using initial enlargement of filtrations techniques, we solve the hedging problem for both investors and compare their optimal strategies under both approaches. In particular, for LRM, we show that for a large class of additional non trivial r.v.s G both investors will pursue the same locally risk minimizing portfolio strategy and the cost process of the ordinary agent is just the projection on F of that of the insider. For the MVH approach, we study also some general stochastic volatility model, including Hull and White, Heston and Stein and Stein models. In this more specific setting and for r.v.s G which are measurable with respect to the filtration generated by the volatility process, we obtain an expression for the insider optimal strategy in terms of the ordinary agent optimal strategy plus a process admitting a simple feedback-type representation

Assessing Credit with Equity:A CEV Model with Jump to Default

Unlike in structural and reduced-form models, we use equity as a liquid and observable primitive to analytically value corporate bonds and credit default swaps.Restrictive assumptions on the .rm.s capital structure are avoided.Default is parsimoniously represented by equity value hitting the zero barrier either diffusively or with a jump, which implies non-zero credit spreads for short maturities.Easy cross-asset hedging is enabled.By means of a tersely speci.ed pricing kernel, we also make analytic credit-risk management possible under systematic jump-to-default risk.

An Impulse-Regime Switching Game Model of Vertical Competition

We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a representative downstream firm to produce a final consumption good. Both firms can influence the price of the commodity. By shutting down or increasing generation capacities, the upstream firm influences the price with impulses. By switching (or not) to a substitute, the downstream firm influences the drift of the commodity price process. We study the resulting impulse--regime switching game between the two firms, focusing on explicit threshold-type equilibria. Remarkably, this class of games naturally gives rise to multiple Nash equilibria, which we obtain via a verification based approach. We exhibit three types of equilibria depending on the ultimate number of switches by the downstream firm (zero, one or an infinite number of switches). We illustrate the diversification effect provided by vertical integration in the specific case of the crude oil market. Our analysis shows that the diversification gains strongly depend on the pass-through from the crude price to the gasoline price

Orchard floor management affects tree functionality, productivity and water consumption of a late ripening peach orchard under semi-arid conditions

Semi-arid conditions are favorable for the cultivation of late ripening peach cultivars; however, seasonal water scarcity and reduction in soil biological fertility, heightened by improper soil management, are jeopardizing this important sector. In the present two-year study, four soil managements were compared on a late ripening peach orchard: (i) completely tilled (control); (ii) mulched with reusable reflective plastic film; (iii) mulching with a Leguminosae cover-crop flattened after peach fruit set; (iv) completely tilled, supplying the water volumes of the plastic mulched treatment, supposed to be lower than the control. Comparison was performed for soil features, water use, tree functionality, fruit growth, fruit quality, yield and water productivity. Even receiving about 50% of the regular irrigation, reusable reflective mulching reduced water loss and soil carbon over mineralization, not affecting (sometimes increasing) net carbon assimilation, yield, and fruit size and increasing water productivity. The flattening technique should be refined in the last part of the season as in hot and dry areas with clay soils and low organic matter, soil cracking increased water evaporation predisposing the orchard at water stress. The development and implementation of appropriate soil management strategies could be pivotal for making peach production economically and environmentally sustainable

Un unico partito possibile? : Teodicea e determinismo nel pensiero di John Wyclif

La riflessione del maestro inglese pu\uf2 senz\u2019altro essere considerata per molti versi forte: basti pensare alla piena fiducia riposta nella convergenza di ragione e fede e nella sinergia di metafisica realista e logica della scrittura. Tuttavia, non mancano tracce di debolezza: il discorso teologico del primo Wyclif non solo \ue8 pi\uf9 complesso e articolato di quanto non si sia soliti pensare, ma oltretutto sembra condurre a conclusioni ben lontane dall\u2019affermazione estrema e urtante di un unico partito possibile per Dio e per l\u2019uomo. Quanto alle formulazioni pi\uf9 mature, oltre alla possibilit\ue0 di rintracciare indizi di debolezza nello spirito delle tesi giovanili, sembra anche attestabile la presenza di tracce di indebolimento: questo \ue8 il bilancio da trarre circa gli interventi correttivi cui Wyclif sottopose le proprie dottrine teologiche, private con il procedere degli anni del sostegno garantito dai ben congegnati argomenti filosofici. La stessa ricezione del suo pensiero da parte della tradizione (avversa o favorevole che fosse) pu\uf2 dirsi debole, viziata da fraintendimenti e da letture unilaterali, nonch\ue9 spesso priva del conforto di riscontri testuali. Il ritratto ben noto del riformatore inglese \u2013 alla luce di quanto detto sin qui \u2013 reclama forse un ricorso pi\uf9 convinto al chiaro-scuro. Basti pensare al dubbio circa l\u2019efficacia del tentativo proposto proprio nel giovanile De universalibus, cos\uec come nel De dominio divino, di una conciliazione tra la necessit\ue0 degli eventi futuri quoad prescienciam Dei e la libert\ue0 umana di determinare le proprie azioni, che pure sembrerebbe suffragata da molte evidenze testuali. Un modo, questo, per dire che la ballata leggendaria di un Wyclif determinista (presunto o meno) continuer\ue0 ancora a essere cantata

VANTAGGI DELL’UTILIZZO DEL SISTEMA DOSIMETRICO OSL IN CASO DI EMERGENZA

VANTAGGI DELL’UTILIZZO DEL SISTEMA DOSIMETRICO OSL IN CASO DI EMERGENZA S. Abate, F. Campi, L. Garlati, O. Tambussi Politecnico di Milano, Dipartimento di Energia, via La Masa 34, 20156 Milano [email protected] Il sistema dosimetrico per corpo intero OSL (Optically Stimulated Luminescence) è un tipo di dosimetria che si sta sempre più diffondendo in vari paesi. In Europa molti centri di ricerca si sono dotati di un proprio sistema dosimetrico, mentre commercialmente Landauer rappresenta il maggior fornitore di tale servizio dosimetrico, ma anche del sistema stesso (dosimetri e apparecchio di lettura). Il vantaggio di questo tipo di dosimetro consiste nella semplicità e velocità di lettura e azzeramento, anche se risulta meno affidabile dei film-badge. Inoltre, rispetto ai dosimetri a TL, risultano essere più stabili nel tempo, non dovendo subire cicli termici che ne alterano la struttura cristallina e di conseguenza le loro performance. Questo permette di utilizzare, leggere e azzerare anche il singolo dosimetro e non l’intero lotto di appartenenza. Questa caratteristica permette di utilizzare il dosimetro a OSL come un dosimetro passivo, ma col vantaggio della lettura indiretta al termine delle operazioni, proprio come per un dosimetro elettronico viene effettuata la lettura diretta su display. In questo lavoro si vogliono paragonare i vantaggi e gli svantaggi dei sistemi dosimetrici tradizionali (film-badge e TLD) con il sistema OSL. Si presentano i risultati sperimentali delle performance (dipendenza energetica, dosimetrica e angolare) del sistema dosimetrico OSL Inlight con sistema di lettura MicroStar. Infine si presentano i risultati degli irraggiamenti condotti in parallelo presso un centro LAT tra il sistema OSL e i dosimetri elettronici DMC 2000 (Mirion Technologies). Le caratteristiche di questo dosimetro permettono di concludere che questo tipo di sistema dosimetrico ha degli aspetti positivi per il suo utilizzo in caso di emergenza radiologica senza i costi di una dosimetria con strumentazione attiva

Innovative Soil Management and Micro-Climate Modulation for Saving Water in Peach Orchards

Microclimatic and soil management studies emphasize that roofing above the canopy or soil mulching contributes to reduce water losses from horticultural cropping systems and, at the same time, to increase water use efficiency. The aim of this 2-year on-farm study, carried out on a late ripening peach (cv. California) orchard, was to investigate the combined effect of water supply (full or deficit irrigation, DI), incoming light (hail or shading net), and soil management (tilling or mulching) on: microclimate; fruit growth; yield; irrigation water use productivity (WPI); and soil water stress coefficient (Ks). Shading hail net reduced air temperature (−1°C), wind speed (−57%), solar radiation (−32%), while increased relative air humidity (+9.5%). Compared to the control treatment (hail net coverage, soil tillage, and full irrigation), the innovative management (DI + shading hail net + mulching) reduced seasonal volumes of irrigation water (−25%) and increased both final yield (+36%) and WPI (+53%). Saving water resources without losing yield is an achievable goal by peach orchards growing under the Mediterranean climate if the DI agro-technique is adopted conjointly with shading hail net and soil mulching