1,721,028 research outputs found
An application of the Unconditional Disturbances Method for Option Princing on Hedge Funds
No full text
Amortization dismantling to remove any doubt of anatocism
No full textWe propose in this paper a method for verifying the non-existence of anatocism in a periodic amortization with n periodic installments, by the replication of its cash flows. The cash flows are obtained by recursively constructing an appropriate sequence of n consecutive single period loans, at the periodic interest rate i, each one with repayment of principal and interest at the end of the single period. Since each elementary transaction is concluded within one time unit, there is no possibility of interest accruing on interest and hence anatocism is ruled out. Therefore, this characteristic must be acknowledged to be valid also for the loan amortization schedule with n periodic installments whose cash flows are perfectly replicated by the unique loan sequence obtained
Why did CPDOs fail? An analysis focused on credit spread modeling
No full textIn 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 algprithm 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
Investigating the diffusion of renewable energy technologies in Italy
No full textIn this paper we investigate the diffusion process of renewable energy technology in Italy
through the study and estimation of different mathematical models proposed in the literature.
Basing the estimation on historical data of the installed power, we find that the pioneer of new
product diffusion models, the Bass model, is appropriate to represent the photovoltaic technology
diffusion process, whereas after a comparison among the most important models discussed in the
literature, we conclude that the Non-Uniform Influence (NUI) model describes the wind technology
diffusion process in the most accurate way. The NUI model is also used as a prediction
instrument for the diffusion dynamics of wind technology. In fact, we fixed the level of installed
power to reach at a future data, and simulated the diffusion curve to find how many years are
needed to get to the target
Investigating the diffusion of renewable energy technologies in Italy
No full textIn this paper we investigate the diffusion process of renewable energy technology in Italy
through the study and estimation of different mathematical models proposed in the literature.
Basing the estimation on historical data of the installed power, we find that the pioneer of new
product diffusion models, the Bass model, is appropriate to represent the photovoltaic technology
diffusion process, whereas after a comparison among the most important models discussed in the
literature, we conclude that the Non-Uniform Influence (NUI) model describes the wind technology
diffusion process in the most accurate way. The NUI model is also used as a prediction
instrument for the diffusion dynamics of wind technology. In fact, we fixed the level of installed
power to reach at a future data, and simulated the diffusion curve to find how many years are
needed to get to the target
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