Pricing caps with HJM models: the benefits of humped volatility

In this paper we compare different multifactor HJM models with humped volatility structures, to each other and to models with strictly decreasing volatility. All the models are estimated on Euribor and swap rates panel data. We develop the analysis in two steps: first we study the in-sample properties of the estimated models, then we study the pricing performance on caps. We find the humped volatility specification to greatly improve the model estimation and to provide sufficiently accurate cap prices, although the models has been calibrated on interest rates data and not on cap prices. Moreover we find the two factor humped volatility model to outperform the three factor models in pricing capsFinance, interest rates, humped volatility, Kalman filter, cap and floor pricing

Pricing caps with HJM models: The benefits of humped volatility

In this paper we compare different multifactor HJM models with humped volatility structures, to each other and to models with strictly decreasing volatility. All the models are estimated on Euribor and swap rates panel data maximizing the quasi-likelihood function obtained from the Kalman filter. We develop the analysis in two steps: first we study the in-sample properties of the estimated models, then we test the pricing performance on caps. We find the humped volatility specification to greatly improve the model estimation and to provide sufficiently accurate cap prices, although the models has been calibrated on interest rates data and not on cap prices. Moreover, we find the two-factor humped volatility model to outperform the three-factor models in pricing caps.Finance Interest rates Humped volatility Kalman filter Cap and floor pricing

MARKOVIAN HUMPED VOLATILITY MODELS UNDER HJM FRAMEWORK

Gli obiettivi di questa tesi sono due: il primo è implementare un modello HJM multifattoriale con volatilità stocastica strettamente decrescente imponendo opportune condizioni che rendono il modello affine e Markoviano; questa specificazione viene confrontata con il modello Gaussiano ottenuto come caso particolare, al fine di valutarne la bontà di stima in sample. In particolare viene anche stimato un modello HJM stazionario, cioè non condizionato all’osservazione della struttura iniziale dei tassi di interesse. Il secondo obiettivo è stimare un modello HJM multifattoriale, affine e Markoviano, con volatilità di tipo humped valutandone la consistenza in relazione alla specificazione con volatilità strettamente decrescente. La stima dei parametri è stata effettuata per massima verosimiglianza attraverso il filtro di Kalman, metodologia che permette di integrare la stima cross-section con quella time-series, sfruttando tutta l’informazione disponibile nei dati. In termini di verosimiglianza è significativo aumentare il numero dei fattori di rischio, ottenendo così un modello più flessibile, superando la misspecificazione del modello con un solo fattore. Il modello stazionario non è migliore di quello condizionato alla struttura iniziale, mentre la volatilità stocastica è significativa solo nel modello stazionario. Il modello con volatilità di tipo humped è consistente dal punto di vista teorico e produce una stima migliore di quello con volatilità strettamente decrescente

Determinants of corporate governance in the Italian financial market

none2valutazione delle determinanti della corporate governance in italiaE. Barucci; J. FaliniBarucci, Emilio; J., Falin

Loss of IRF-4–binding protein leads to the spontaneous development of systemic autoimmunity

IFN regulatory factor 4–binding (IRF-4–binding) protein (IBP) is a novel type of activator of Rho GTPases that is recruited to the immunological synapse upon TCR stimulation. Here we demonstrate that loss of IBP leads to the spontaneous development of a systemic autoimmune disorder characterized by the accumulation of effector/memory T cells and IgG(+) B cells, profound hypergammaglobulinemia, and autoantibody production. Similar to human SLE, this syndrome primarily affects females. T cells from IBP-deficient mice are resistant to death in vitro as well as in vivo and exhibit selective defects in effector function. In the absence of IBP, T cells respond suboptimally to TCR engagement, as demonstrated by diminished ERK1/2 activation, decreased c-Fos induction, impaired immunological synapse formation, and defective actin polymerization. Transduction of IBP-deficient T cells with a WT IBP protein, but not with an IBP mutant lacking the Dbl-like domain required for Rho GTPase activation, rescues the cytoskeletal defects exhibited by these cells. Collectively, these findings indicate that IBP, a novel regulator of Rho GTPases, is required for optimal T cell effector function, lymphocyte homeostasis, and the prevention of systemic autoimmunity