1,414 research outputs found

    CVA and vulnerable options pricing by correlation expansions

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    We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we model the asset price evolution as solution to a linear equation that might depend on different stochastic factors and we provide an approximate evaluation of the option's price, by exploiting a correlation expansion approach, introduced in \cite{AS}. We compare the numerical performance of such a method with that recently proposed by Brigo et al. (\cite{BR18}, \cite{BRH18}) in the case of a call option driven by a GBM correlated with the CIR default intensity. We additionally report some numerical evaluations obtained by other methods.Comment: 21 page

    The Very High Energy source catalog at the ASI Science Data Center

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    The increasing number of Very High Energy (VHE) sources discovered by the current generation of Cherenkov telescopes made particularly relevant the creation of a dedicated source catalogs as well as the cross-correlation of VHE and lower energy bands data in a multi-wavelength framework. The "TeGeV Catalog" hosted at the ASI Science Data Center (ASDC) is a catalog of VHE sources detected by ground-based Cherenkov detectors. The TeGeVcat collects all the relevant information publicly available about the observed GeV/TeV sources. The catalog contains also information about public light curves while the available spectral data are included in the ASDC SED Builder tool directly accessible from the TeGeV catalog web page. In this contribution we will report a comprehensive description of the catalog and the related tools.Comment: 5 pages, 3 figures - Proceeding of the 34th International Cosmic Ray Conferenc

    Transdural Spread of Glioblastoma with Endonasal Growth in a Long-Term Survivor Patient: Case Report and Literature Review.

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    Glioblastoma (GBM) is the most aggressive primary tumor of the central nervous system (CNS) in adults. Its growth has been always described as locally invasive. This tumor rarely penetrates dura mater and invades extracranial structures. We present a case of GBM, which occurred in a 39-year-old man, with final involvement of the nasal cavity. The patient was operated four times in three years, and a personalized adjuvant chemotherapy regimen was administered in a neo-adjuvant fashion. Histopathological features of the tumor are described. To our knowledge, there are only 9 cases reported in the literature showing this growth pattern and the last case was reported in 1998

    Refractory hypothyroidism due to improper storage of levothyroxine tablets

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    Context: A not negligible part of hypothyroid patients on levothyroxine therapy do not normalize serum thyrotropin (TSH) concentrations. "Refractory hypothyroidism," i.e., a condition characterized by persistently abnormal serum TSH levels despite adequate titration of l-T4 substitution therapy, requires biochemical and instrumental investigation, but no definite etiology is found in up to 15% of cases. Objective: To report patients presenting with refractory hypothyroidism with proven improper storage of levothyroxine tablets. Design: Patients on l-T4 substitution therapy referred to three Italian outpatient Clinics of Endocrinology between January 2013 and December 2015 for refractory hypothyroidism were investigated for levothyroxine tablet exposure to humidity, light, and high temperature. Results: We report eight patients, accounting for approximately 1% of all hypothyroid patients and 5% of those with refractory hypothyroidism in our series. Careful anamnesis disclosed that these patients stored levothyroxine tablets inappropriately. Normalization of serum TSH concentrations was obtained in all cases by simply recommending to store the new levothyroxine tablets away from heat, light, and humidity. Conclusion: Refractory hypothyroidism linked to improper storage of l-T4 tablets does exist and might be an underrecognized entity. In addition to proper modalities of ingestion of l-T4 tablets, patients need to be instructed on proper modalities of storage, as well

    A moment matching method for option pricing under stochastic interest rates

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    In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black & Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment matching technique applied to a conditional Black & Scholes formula, is quite general and it applies to various models, whether affine or not. To check its accuracy and computational time, we implement it for the CIR interest rate model correlated with the underlying, using the Monte Carlo simulations as a benchmark. The method's performance turns out to be quite remarkable, even when compared with analogous results obtained by the affine approximation technique presented in Grzelak and Oosterlee (2011) and by the expansion formula introduced in Kim and Kunimoto (1999), as we show in the last section

    Insights into the physics of neutron star interiors from pulsar glitches

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    The presence of superfluid phases in the interior of a neutron star affects its dynamics, as neutrons can flow relative to the non-superfluid (normal) components of the star with little or no viscosity. A probe of superfluidity comes from pulsar glitches, sudden jumps in the observed rotational period of radio pulsars. Most models of glitches build on the idea that a superfluid component of the star is decoupled from the spin-down of the normal component, and its sudden recoupling leads to a glitch. This transition in the strength of the hydrodynamic coupling is explained in terms of quantum vortices (long-lived vortices that are naturally present in the neutron superfluid at the microscopic scale). After introducing some basic ideas, we derive (as a pedagogical exercise) the formal scheme shared by many glitch studies. Then, we apply these notions to present some recent advances and discuss how observations can help us to indirectly probe the internal physics of neutron stars.Comment: 30 pages, 7 figures. Chapter 7 of the volume "Astrophysics in the XXI Century with Compact Stars", Eds. C.A.Z. Vasconcellos and F. Weber, World Scientific (2022), submitted in August 202
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