CVA and vulnerable options pricing by correlation expansions

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

Mixture dynamics and option pricing: a regime switching model

In this work I extend the mixture model proposed by Brigo and Mercurio (2000, 2001) as an alternative of the well-known Black-Scholes asset price model, by using a regime-switching diffusion framework

Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes we firstly outline the Fourier transform method both in log-price and log-strike to efficiently calculate the value of various types of options and as a concrete example of application, we present some numerical results within a two-state regime switching version of the Merton jump-diffusion model. Then we develop a closed-form solution to the problem of pricing a Forward Starting Option and use this result to approximate the value of such a derivative in a general stochastic volatility framework.Comment: 25 pages, 6 figure

A moment matching method for option pricing under stochastic interest rates

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

Experimental analysis of paddling efficiency of elite and non-elite athletes with instrumented canoe sprint C1

Canoeing is an on-water sport admitted by the International Canoe Federation (ICF) and Canoe Sprint became an Olympic discipline in 1936: its programme includes events over 200 m, 500 m and 1000 m. There are numerous Canoe events in single (C1), double (C2) and four (C4) boats. In this discipline the canoeist is kneeling on one knee, and uses a single-bladed flat paddle. In the same way as kayaking, canoeing is a sport whereby propulsion of the boat is derived mainly from muscle actions of the upper body. Conversely, the kneeling position of the canoeist influences the dynamic behaviour of the hull and the force stroke exerted by the single-bladed paddle results in augmented ‘fluctuation’ of the average speed, in greater roll angle and wider pitch span of the canoe with respect to the kayak boat. Besides, the flat shape of the paddle determines the particular paddling technique. In canoeing high forces must be applied at high stroke rates and athletes are coached both in stroke technique and power or resistance training. Elite athletes stand out for the style and efficiency of the stroke, for power and resistance and for skills in the race strategy. Biomechanical measures of canoeing is an important asset to improve performance. In addition comparing results from test to test enables monitoring of an athlete's yearly, and year-to-year improvement. Finally, the experimental analysis of the main kinematical and dynamical parameters allows to examine the shape of the force curves for stroke error detection purposes and to reduce the ineffective hull movements. In this paper the performance and the paddling technique of two elite and two non-elite canoeists are presented by means of an on-water experimental apparatus. Moreover a comparison between the drive phase of the stroke in kayaking and canoeing is proposed. The goals of this research project were to (1) develop a system for on-the-water measurement of paddling performance in kayaking and canoeing, (2) demonstrate the potential of such a system to quantify efficiency and then (3) compare the main kinematical and dynamical parameters of single K1 and C1 boats and the technique differences in paddling style

Learning in Non-Cooperative Configurable Markov Decision Processes

The Configurable Markov Decision Process framework includes two entities: a Reinforcement Learning agent and a configurator that can modify some environmental parameters to improve the agent's performance. This presupposes that the two actors have the same reward functions. What if the configurator does not have the same intentions as the agent? This paper introduces the Non-Cooperative Configurable Markov Decision Process, a setting that allows having two (possibly different) reward functions for the configurator and the agent. Then, we consider an online learning problem, where the configurator has to find the best among a finite set of possible configurations. We propose two learning algorithms to minimize the configurator's expected regret, which exploits the problem's structure, depending on the agent's feedback. While a naive application of the UCB algorithm yields a regret that grows indefinitely over time, we show that our approach suffers only bounded regret. Furthermore, we empirically show the performance of our algorithm in simulated domains

One-dimensional disordered photonic structures with two or more materials

Here we would like to discuss the light transmission modulation by periodic and disordered one dimensional (1D) photonic structures. In particular, we will present some theoretical and experimental findings highlighting the peculiar optical properties of: i) 1D periodic and disordered photonic structures made with two or more materials; ii) 1D photonic structures in which the homogeneity or the aggregation of the high refractive index layers is controlled. We will focus also on the fabrication aspects of these structures.Comment: 6 pages, 4 figure

Automated characterization of TAS-MRAM test arrays

In this work the characterization results of 1kbit TAS-MRAM arrays obtained through RIFLE Automated Test Equipment of 1Kbit array are reported. Such ATE, ensuring flexibility in terms of signals and timing, allowed evaluating hysteresis and to perform 50k write cycles in a very limited time, getting a first insight on TAS-MRAM arrays performance and reliability