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Publications
Publications (22)
In this paper, we introduce the concept of statistical arbitrage through the definition of a mean-reverting trading strategy that captures persistent anomalies in long-run relationships among assets. We model the statistical arbitrage proceeding in three steps: (1) to identify mispricings in the chosen market, (2) to test mean-reverting statistical...
We present a new term-structure model for commodity futures prices based on Trolle and Schwartz (2009), which we extend by incorporating seasonal stochastic volatility represented with two different sinusoidal expressions. We obtain a quasi-analytical representation of the characteristic function of the futures log-prices and closed-form expression...
This paper discusses the usefulness of the long term memory property in price prediction. In particular, the Hurst’s exponents related to a wide set of portfolios generated by three crude oils are estimated by using the detrended fluctuation analysis. To this aim, the daily empirical data on West Texas Intermediate, Brent crude oil and Dubai crude...
We consider the credit risk transfer market, where several financial agents interact with each other and generate complex nonlinear relations. All these market participants are defaultable and when one of them defaults, the credit risk contagion can be described by a nonlinear dynamic problem. We propose a particular time delay Susceptible–Infected...
This paper deals with the analysis of the long-run behavior of a set of mispricing portfolios generated by three crude oils, where one of the oils is the reference commodity and it is compared to a combination of the other two ones. To this aim, the long-term parameter related to the mispricing portfolio are estimated on empirical data. We pay part...
We test seven term structure models in the Heath-Jarrow-Morton (1992) class in order to find the best representation of the Libor rate in interest rate markets after the credit crunch of 2007. The Libor rate is considered as a risky rate, subject to the credit risk of a generic counterparty whose credit quality is refreshed at each fixing date. We...
The purpose of this paper is to show that by using the toolkit of interest rate theory, it is possible to evaluate option prices through an electricity market equilibrium model. Options represent an adequate instrument to manage price risk faced by electricity producers that are related to both pool price and unit availability uncertainty. We have...
In this paper we propose and implement an electricity market equilibrium model. The model, originally conceived by Hinz [8], is now set up by making use as input of the spot price pattern obtained with the term structure Heath Jarrow Morton [6] model, but we assume that price volatility is seasonal. The chosen volatility functional form captures th...
A great deal of recent literature discusses the major anomalies that have appeared in the interest rate market following the credit crunch in August 2007. There were major consequences with regard to the development of spreads between quantities that had remained the same until then. In particular, we consider the spread that opened up between the...
In this paper, we propose a mathematical model with time delay to describe the process of diffusion of a new technology. This model is suitable for modeling diffusion processes of all those technologies that require great initial investments and public subsidies, such as technologies used for producing renewable energy. We consider external factors...
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 provi...
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 rati...
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 simulati...
In this paper we discuss the modelling of electricity contracts traded in the Italian market. We directly model the forward price of the electricity. We apply the Heath Jarrow Morton model in order to simulate the forward rate dynamics and evaluate first the forward price with instantaneous delivery time and then the "swap price" with delivery over...
In this paper we propose a mathematical model with time delay to describe the process of the diffusion for a new technology. This model is suitable for modelling diffusion processes of all those technologies, such as technologies used for producing renewable energy, that require great initial investments and public subsidies. We consider external f...
This paper provides CDS option pricing in a probability setting equipped with a subfiltration structure. The evolution of the defaultable term structure is modelled using the approach developed in Heath et al. (1992) when the spot rate and the forward rate affect the volatility term. The Euler-Maruyama stochastic integral approximation and the Monte...
In this paper a simulation approach for defaultable yield curve is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process when the stochastic intensity repre sents the credit spread. The forward credit spread volatility function is affected by the entire credit spread term structure. Cox process prop...
In this paper we propose a mathematical model with a time delay to describe the process for the diffusion of a new technology. We consider external factors, such as the government policy and the production costs, that influence the decision making process for new technology adoption. We also consider the internal influence from those who already ar...
