Reinforcement learning for the debt value adjustment hedging

LAUREA MAGISTRALELe condizioni dei mercati finanziari dopo la crisi economica e l'introduzione di nuovi standard internazionali nell'accounting hanno portato alla luce la necessità di considerare il rischio di credito e più genericamente il rischio di controparte nella valutazione dei derivati finanziari. Se prima della crisi infatti veniva considerato nullo il rischio di default di una banca, a seguito del 2008 e in particolare a seguito della crisi dei debiti sovrani, si è percepito come questo potesse essere il driver di un rischio finanziario sistemico. Gli istituti finanziari dunque non sono più solamente interessati a creare delle strategie di copertura contro un eventuale rischio di default della controparte, ma hanno la necessità di coprire anche il rischio derivante da cambiamenti nella proprià qualità di credito. La scarsità di tecniche di trading indirizzate alla copertura dell'Own Credit Risk è il motivo alla base del seguente lavoro. Questa tesi infatti nasce da una collaborazione tra il Politecnico di Milano e Banca IMI, volta alla ricerca di tecniche di reinforcement learning che permettano al Credit Treasury Desk di automatizzare il processo di copertura. La presente tesi vuole quindi formalizzare il problema dell'hedging del Debt Value Adjustment. In particolare nella prima parte si analizza la questione dal punto di vista finanziario, analizzando i derivati utilizzati per la copertura e i modelli utilizzati per il pricing di questi ultimi. Nella seconda parte invece il problema viene formalizzato sotto una prospettiva basata sul reinforcement learning, e dunque più in generale basata sulle teorie del controllo. L'implementazione degli algoritmi per la rappresentazione dell'environment sono stati svolti utilizzando linguaggio C++ e sono parte integrante del seguente lavoro

Nanovectors Design for Theranostic Applications in Colorectal Cancer

Colorectal cancer (CRC) is a diffused disease with limited therapeutic options, none of which are often curative. Based on the molecular markers and targets expressed by the affected tissues, numerous novel approaches have been developed to study and treat this disease. In particular, the field of nanotechnology offers an astonishingly wide array of innovative nanovectors with high versatility and adaptability for both diagnosis and therapy (the so called \u201ctheranostic platforms\u201d). However, such complexity can make the selection of a specific nanocarrier model to study a perplexing endeavour for the biomedical scientist or clinician not familiar with this field of inquiry. This review offers a comprehensive overview of this wide body of knowledge, in order to outline the essential requirements for the clinical viability evaluation of a nanovector model in CRC. In particular, the differences among the foremost designs, their specific advantages, and technological caveats will be treated, never forgetting the ultimate endpoint for these systems development: the clinical practice

Chimeric symbionts expressing a Wolbachia protein stimulate mosquito immunity and inhibit filarial parasite development

Wolbachia can reduce the capability of mosquitoes to transmit infectious diseases to humans and is currently exploited in campaigns for the control of arboviruses, like dengue and Zika. Under the assumption that Wolbachia-mediated activation of insect immunity plays a role in the reduction of mosquito vectorial capacity, we focused our attention on the Wolbachia surface protein (WSP), a potential inductor of innate immunity. We hypothesized that the heterologous expression of this protein in gut- and tissue-associated symbionts may reduce parasite transmission. We thus engineered the mosquito bacterial symbiont Asaia to express WSP (AsaiaWSP). AsaiaWSP induced activation of the host immune response in Aedes aegypti and Anopheles stephensi mosquitoes, and inhibited the development of the heartworm parasite Dirofilaria immitis in Ae. aegypti. These results consolidate previous evidence on the immune-stimulating property of WSP and make AsaiaWSP worth of further investigations as a potential tool for the control of mosquito-borne diseases

Hierarchies of evolutionary radiation in the world’s most species rich vertebrate group, the Neotropical Pristimantis leaf litter frogs

The Neotropical leaf litter frog genus Pristimantis is very species-rich, with 526 species described to date, but the full extent of its diversity is much higher and remains unknown. This study explores the phylogenetic processes and resulting evolutionary patterns of diversification in Pristimantis. Given the well-recognised failure of morphology- and community-based species groups to describe diversity within the genus, we apply a new test for the presence and phylogenetic distribution of higher evolutionary units. We developed a phylogeny based on 260 individuals encompassing 149 Pristimantis presumed species, sampled at mitochondrial and nuclear genes (3718 base pair alignment), combining new and available sequence data. Our phylogeny broadly agrees with previous studies, both in topology and age estimates, with the origin of Pristimantis at 28.97 (95% HDP =21.59 – 37.33) million years ago (MYA). New taxa that we add to the genus, which had not previously been included in Pristimantis phylogenies, suggest considerable diversity remains to be described. We assessed patterns of lineage origin and recovered 14 most likely (95% CI: 13–19) phylogenetic clusters or higher evolutionary significant units (hESUs) within Pristimantis. Diversification rates decrease towards the present following a density-dependent pattern for Pristimantis overall and for most hESU clusters, reflecting historical evolutionary radiation. The timing of diversification suggests that geological events in the Miocene, such as Andes orogenesis and Pebas system formation and drainage, may have had a direct or indirect impact on the evolution of Pristimantis and thus contributed to the origins of evolutionary independent phylogenetic clusters

Cell phenotype changes and oxidative stress response in Vibrio spp. induced into viable but non-culturable (VBNC) state

Purpose: Aquatic bacteria of the genus Vibrio include animal and human pathogens. The occurrence of Vibrio-related diseases has been associated with the current climate change-driven increase of sea surface temperature. Vibrio spp. can enter into the viable but non-culturable (VBNC) state, as a consequence of starvation in seawater at low temperatures. In such physiological state, Vibrio cells are no longer culturable on standard media agar plates but can resuscitate if incubated at 30 °C prior to plating, retaining virulence. Since limited information is available on regards to this topic, in this work, we characterized the phenotypic changes of four Vibrio spp. strains (one laboratory strain and three environmental isolates) in cold seawater microcosms, investigating the relationship between resuscitation and a hydrogen peroxide-induced oxidative stress. Methods: Cell phenotypic changes and the effect of hydrogen peroxide and/or catalase addition to the medium were studied on VBNC and resuscitated cells by flow cytometry in microcosm experiments, paralleled by culturability experiments by plating. Results: The cells of all the Vibrio strains changed their phenotype upon the induction of the VBNC state resulting in cell dwarfing and decrease in DNA quantity, losing the ability to grow on solid media. These features were partially or totally reverted when the cells were treated for resuscitation. Hydrogen peroxide at concentrations as low as 0.007 mM prevented resuscitation and a prolonged exposure to hydrogen peroxide at concentrations far under those inhibiting the growth of log-phase cells permanently damaged VBNC cells, which could not be resuscitated. However, the potential of culturability of VBNC cells could be preserved, at least for a part of the population, by plating the cells in the presence of catalase. The study also showed that during the resuscitation process, the cells gradually increased their resistance to hydrogen peroxide. Conclusions: The timing and mode of induction of the VBNC state, as well as cell resuscitation and response to hydrogen peroxide, differed among Vibrio strains, indicating that induction and resuscitation from dormancy could vary in the context of species belonging to a single genus

The Genomes of Four Meyerozymacaribbica Isolates and Novel Insights into the Meyerozymaguilliermondii Species Complex

Yeasts of the Meyerozyma guilliermondii species complex are widespread in nature and can be isolated from a variety of sources, from the environment to arthropods to hospital patients. To date, the species complex comprises the thoroughly studied and versatile M. guilliermondii, and the hard to distinguish M. caribbica, and Candida carpophila Here we report the whole-genome sequencing and de novo assembly of four M. caribbica isolates, identified with the most recent molecular techniques, derived from four Diptera species. The four novel assemblies present reduced fragmentation and comparable metrics (genome size, gene content) to the available genomes belonging to the species complex. We performed a phylogenomic analysis comprising all known members of the species complex, to investigate evolutionary relationships within this clade. Our results show a compact phylogenetic structure for the complex and indicate the presence of a sizable core set of genes. Furthermore, M. caribbica, despite a broad literature on the difficulties of discerning it from M. guilliermondii, seems to be more closely related to C. carpophila Finally, we believe that there is evidence for considering these four genomes the first published for the species M. caribbica Raw reads and assembled contigs have been made public to further the studies on these organisms

Hydrolytic Profile of the Culturable Gut Bacterial Community Associated With Hermetia illucens

Larvae of the black soldier fly (BSF) Hermetia illucens (L.) convert organic waste into high valuable insect biomass that can be used as alternative protein source for animal nutrition or as feedstock for biodiesel production. Since insect biology and physiology are influenced by the gut microbiome, knowledge about the functional role of BSF-associated microorganisms could be exploited to enhance the insect performance and growth. Although an increasing number of culture-independent studies are unveiling the microbiota structure and composition of the BSF gut microbiota, a knowledge gap remains on the experimental validation of the contribution of the microorganisms to the insect growth and development. We aimed at assessing if BSF gut-associated bacteria potentially involved in the breakdown of diet components are able to improve host nutrition. A total of 193 bacterial strains were obtained from guts of BSF larvae reared on a nutritious diet using selective and enrichment media. Most of the bacterial isolates are typically found in the insect gut, with major representatives belonging to the Gammaproteobacteria and Bacilli classes. The hydrolytic profile of the bacterial collection was assessed on compounds typically present in the diet. Finally, we tested the hypothesis that the addition to a nutritionally poor diet of the two isolates Bacillus licheniformis HI169 and Stenotrophomonas maltophilia HI121, selected for their complementary metabolic activities, could enhance BSF growth. B. licheniformis HI169 positively influenced the larval final weight and growth rate when compared to the control. Conversely, the addition of S. maltophilia HI121 to the nutritionally poor diet did not result in a growth enhancement in terms of larval weight and pupal weight and length in comparison to the control, whereas the combination of the two strains positively affected the larval final weight and the pupal weight and length. In conclusion, we isolated BSF-associated bacterial strains with potential positive properties for the host nutrition and we showed that selected isolates may enhance BSF growth, suggesting the importance to evaluate the effect of the bacterial administration on the insect performance