Electricity Price Modelling with a Regime Switching Volatility

We present a methodology to model electricity price dynamics by applying the interest rate theory toolkit. We construct the electricity market following [16] and applying the Heath, Jarrow and Morton ([7]) model. The electricity returns forward curve evolution using the Regime Switching Volatility is the instrument chosen to reflect into a simulating model the natural seasonality of electricity prices. The model calibration and the volatility parameters estimation allow to simulate in a realistic way the future electricity prices.

Esito prova scritta del 9/9/2011

La prova orale si svolgerà il 12/9 secondo gli orari di convocazione

Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model

In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by the entire credit spread term structure. The paper provides the defaultable bond and credit default swap option price in a probability setting equipped with a sub filtration structure. The Euler-Maruyama stochastic integral approximation and the Monte Carlo method are applied to develop a numerical algorithm for pricing. Finally, the Antithetic Variable technique is used to reduce the variance of credit default swap option prices.pricing; HJM model; Cox process; Monte Carlo method; CDS option

Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model

In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by the entire credit spread term structure. The paper provides the defaultable bond and CDS option price in a probability setting equipped with a subfiltration structure. The Euler-Maruyama stochastic integral approximation and the Monte Carlo method are applied to develop a numerical algorithm for pricing. Finally, the Antithetic Variables technique is used to reduce the variance of CDSO estimations.HJM model; Cox process; Monte Carlo method; bond price; CDS option

Why did CPDOs fail? An analysis focused on credit spread modeling

In this paper we propose a model to evaluate the performance of a Constant Proportion Debt Obligation (CPDO) and assess its rating. We model credit spread evolution in a HJM framework and default events for CPDO are generated by using a reduced form approach. Implementing a numerical algorithm that simulates the strategy of a CPDO, we obtain a rating for CPDO by using Monte Carlo simulations. We find a rating inferior to the one assigned by rating agencies. Using our model for credit spread dynamics, the revealed default probability for CPDO could have been predicted.

The v-Ki-Ras Oncogene Alters cAMP Nuclear Signaling by Regulating the Location and the Expression of cAMP-dependent Protein Kinase IIβ

The v-Ki-Ras oncoprotein dedifferentiates thyroid cells and inhibits nuclear accumulation of the catalytic subunit of cAMP-dependent protein kinase. After activation of v-Ras or protein kinase C, the regulatory subunit of type II protein kinase A, RIIbeta, translocates from the membranes to the cytosol. RIIbeta mRNA and protein were eventually depleted. These effects were mimicked by expressing AKAP45, a truncated version of the RII anchor protein, AKAP75. Because AKAP45 lacks membrane targeting domains, it induces the translocation of PKAII to the cytoplasm. Expression of AKAP45 markedly decreased thyroglobulin mRNA levels and inhibited accumulation of C-PKA in the nucleus. Our results suggest that: 1) The localization of PKAII influences cAMP signaling to the nucleus; 2) Ras alters the localization and the expression of PKAII; 3) Translocation of PKAII to the cytoplasm reduces nuclear C-PKA accumulation, resulting in decreased expression of cAMP-dependent genes, including RIIbeta, TSH receptor, and thyroglobulin. The loss of RIIbeta permanently down-regulates thyroid-specific gene expression