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VASSALLO, Pietro. "Development of multivariate and network models for the analysis of Big Data: applications in economics, insurance, and social sciences." Doctoral thesis, Università degli Studi di Palermo, 2020. http://hdl.handle.net/10447/394729.
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In questa tesi sviluppo metodi statistici multivariati e di rete per lo studio di sistemi complessi. In particolare, focalizzo la mia analisi sullo studio di reti complesse bipartite e le loro applicazioni a (i) l'economia, per capire l'effetto di contagio tra istituti finanziari e stati sovrani, (ii) la sorveglianza nelle assicurazioni, per individuare comportamenti fraudolenti, e (iii) le scienze sociali, per studiare l'effetto delle politiche del REF sulle eccellenze nella ricerca delle università in UK.In this thesis I develop multivariate statistical and network methods for the study of complex systems. In particular, I focus my analysis on the study of bipartite complex networks and their applications to (i) economics to understand the contagion effect between sovereign and financial institutions, (ii) insurance surveillance to uncover fraudsters and (iii) social science to study the effect of the politics of REF on research excellence of universities in the UK.
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ELLERO, Andrea. "Soluzioni ottime di livello in programmazione lineare frazionaria e in alcune sue generalizzazioni: aspetti teorici ed algoritmici." Doctoral thesis, Università di Trieste - Università di Venezia, 1993. http://hdl.handle.net/10278/27173.
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NTAMJOKOUEN, SOBGNI Achille. "Multipopulation longevity risk modeling : introducing new methodologies." Doctoral thesis, Università degli studi di Bergamo, 2015. http://hdl.handle.net/10446/31894.
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OGGIONI, Giorgia. "Average cost power contracts and CO2 burdens for energy intensive industry." Doctoral thesis, Università degli studi di Bergamo, 2008. http://hdl.handle.net/10446/53.
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Nel 2005 è stato istituito a seguito della Direttiva Europea 2003/87 il mercato di scambio dei permessi di emissione (EU-ETS). Chi opera nell'ETS può produrre gas serra in misura eguale al numero di permessi che detiene. Ogni permesso equivale al diritto di emettere una tonnellata di anidride carbonica ed è liberamente commerciabile. Come si evince dall'analisi di mercato tale creazione dell'EU-ETS
può danneggiare le industrie Europee caratterizzate da un elevato consumo d'elettricità sia in modo diretto che indiretto.
L'impatto diretto dell'ETS è dovuto ai costi di abbattimento delle emissioni delle vecchie tecnologie e dall'acquisto dei permessi di emissione sul mercato. L'effetto indiretto è invece rappresentato dal
trasferimento del costo dei permessi di emissione nel prezzo dell'elettricità. L'azione combinata di questi due effetti può ridurre la competitivita delle grandi industrie Europee sui mercati internazionali.
Alcuni di questo settori industriali minacciano di trasferire le loro attività produttive al di fuori dell'Europa. Questo potrebbe portare al cosiddetto fenomeno di "carbon leakage". Facendo riferimento ad una proposta avanzata dalle grandi industrie francesi, si analizzano politiche contrattuali mediante le quali le grandi imprese possono acquistare elettricità al costo medio. Il prezzo pagato dagli altri consumatori è calcolato in base al costo marginale di produzione dell'elettricità.
Grazie a questi contratti, le compagnie produttrici di energia riservano parte dei loro impianti alle grandi industrie che pagano un prezzo basato sul costo medio della capacità, del combustibile e delle emissioni, relativi alle tecnologie a loro dedicate. Tale prezzo include anche il costo medio di trasmissione. Le industrie possono decidere di essere rifornite ad un unico prezzo medio regionale oppure a dei prezzi medi zonali (assimilabili a prezzi nodali). Il fine ultimo consiste nell'analisi degli effetti provocati dall'applicazione dei prezzi basati sul costo medio (singolo e zonale) considerando i casi in cui le imprese produttrici di energia dispongono di una capacità fissata o sono predisposte per nuove tecnologie. Il sistema di trasmissione è del tipo "flow based market coupling" e il prezzo dei permessi d'emissione è endogeno. I risultati ottenuti dimostrano che i contratti basati sul costo medio possono parzialmente contenere i costi diretti e indiretti dell'EU-ETS e ridurre la tendenza delle grandi industrie Europee a trasferire le loro attività. Tuttavia, gli effetti differiscono su base regionale in corrispondenza delle diverse politiche nazionali applicate in campo energetico. Infine, l'EU-ETS influenza le strategie
d'investimento indirizzandole verso l'impiego di risorse rinnovabili e del nucleare.
I modelli sono formulati come problemi di complementarietà non-monotoni in cui i costi di trasmissione, il prezzo dell'elettricità e dei permessi di emissione sono endogeni. Tali modelli sono implementati
in GAMS e risolti mediante PATH. Le simulazioni sono condotte su un prototipo del mercato elettrico dell'Europea Nord-Occidentale comprendente Francia, Germania, Belgio ed Olanda.Market evidences of the last three years show that the application of the EU-ETS may endanger the European electricity intensive industries both directly and indirectly. The direct ETS burdens come from the costs of both abating emissions from old technologies and buying emission allowances on the market. The pass through of carbon cost in electricity price implies an indirect ETS charge. The combined action of these two carbon burdens may negatively a ect European industries' competitiveness at international level. Some of these industries are threatening to relocate their production activities outside of Europe. This would lead to the so-called "carbon leakage" phenomenon. Taking stock of a French industrial proposal, I consider some special contractual policies whereby electricity intensive industries can buy electricity at average cost. The rest of the market is instead priced at marginal cost. Thanks to these contracts, generators reserve part of their power plants for these industries and apply to them a price depending on the average capacity, fuel and emission costs of these dedicated units. In addition, these contracts account for the average transmission charges. Industries can choose to be supplied either at a single regional average cost price or at zonal (assimilated to nodal) average cost prices (in which case transmission costs are equal to zero). The nal objective consists in analyzing the e ects provoked by the application of the single and the nodal average cost prices in the cases where generators dispose of fi xed capacity or can invest in new technologies. The market for transmission services is of the "flow based market coupling" type and the allowance price is endogenous. The results show that power contracts indeed partially relieve the direct and the indirect carbon costs and mitigate the incentive of European electricity intensive industries to relocate their activities, but with quite diverse regional impacts in correspondence with di erent national policies. Finally, the EU-ETS drives generators' investment choices towards clean and nuclear based technologies. Models are formulated as non-monotone complementarity problems with endogenous electricity, transmission and allowance prices. These are implemented in GAMS and solved by PATH. They are applied to a prototype power system calibrated on four countries of the Central Western Europe represented by France, Germany, Belgium and The Netherlands.
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TASSINARI, Gian Luca. "Pricing equity and debt tranches of collateralized fund of hedge funds obligations." Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/64.
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STAINO, Alessandro. "Financial models with Lévy processes." Doctoral thesis, Università degli studi di Bergamo, 2008. http://hdl.handle.net/10446/32.
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This dissertation studies option pricing, portfolio selection, and risk management assuming exponential-Lévy models in financial markets. Option pricing of European, American, and path-dependent derivatives is dealt with the markovian approach. Markovian approach has been introduced by Duan and Simonato [26] to price American options under Wiener and GARCH processes, and then Duan et al. [27] has shown how to price barrier options. This dissertation proposes to extend the markovian approach to Lévy processes and shows numerical results where the price convergence is observed. European, American, and barrier options are priced using the same procedure of Duan et al., while for compound and lookback options we propose a new pricing method. Specifically, we explain how to price compound and lookback options assuming a Markov chain evolutions of the asset price. Portfolio selection is studied assuming financial markets where asset log returns follow subordinated Lévy processes. Firstly, we propose a Mean-Value at Risk analysis under two financial markets, one without transaction costs, and the other one with proportional and constant transaction costs. Secondly, we study a multi-period model with unlimited short sales where investors look only at the mean and variance of the final wealth. Finally, we propose a Mean-Variance-Skewness analysis assuming a financial market with no short sales and without transaction costs. Our numerical results confirm the better performance of the studied subordinated Lévy processes with respect the Normal model. Risk management is studied proposing two conditional heteroscedastic models of portfolio returns. The first one is an extension of the EWMA RiskMetrics model and assumes L´evy distributed returns. The second one is a more sophisticated analysis and consists in a generalization of the GHICA model of Chen et al. [17].
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ORLANDINI, Davide Guido. "L'utilizzo delle trading rules nell'ottimizzazione di portafoglio." Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/61.
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BIANCHI, Michele Leonardo. "Tempered stable models in finance : theory and applications." Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/60.
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ROCCO, Marco. "Maximal Monotone Operators, Convex Representations and Duality." Doctoral thesis, Università degli studi di Bergamo, 2011. http://hdl.handle.net/10446/869.
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URISTANI, Angelo. "Voting Cohesions and Collusions via Cooperative Games." Doctoral thesis, Università degli studi di Bergamo, 2011. http://hdl.handle.net/10446/868.
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BALESTRA, Carlotta. "Essays in environmental economics with an OLG model." Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/59.
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PIANETI, Riccardo. "Essays in Systemic Risk and Contagion." Doctoral thesis, Università degli studi di Bergamo, 2014. http://hdl.handle.net/10446/30389.
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This work contributes to the timely debate about the consequences of the materialization of financial instability in the global economic and financial system. The topic of measuring and forecasting systemic risk, together with the related implications for policy makers, is explored from different angles.
First, we propose a method to estimate forward-looking probabilities of joint default, with an application to the recent European debt crisis. We find evidence of increasing systemic risk and danger of default contagion from early 2007 and more significantly from late 2011 onwards.
Second, a novel modelling framework to measure systemic risk in a unified approach, relying on an extended information basis across both financial and macroeconomic aggregates, is proposed and tested using data from 1995 to 2011.
Third, we analyse in particular the late 2000s crisis and the European debt crisis, by means of a novel modelling set-up to test for contagion versus excess interdependence. The empirical application reveals that the 2007-09 financial crisis characterized as a persistent period of financial distress, whereas the recent debt crisis has to be understood as a short-lived phenomenon, having been prompted by volatility spillovers, which do not display trend in the long-term.
Finally, we propose an empirical study to measure the reaction of the Monetary Authorities to systemic risk, and highlight important differences between Central Banks' monetary conducts during the recent period of financial turmoil.
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SESSA, Vito. "Pricing credit derivatives : beyond the market standard model." Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/62.
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TASCHINI, Luca. "Quantitative environmental economics : modeling marketable permits in discrete and continuous time." Doctoral thesis, Università degli studi di Bergamo, 2009. http://hdl.handle.net/10446/63.
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Environmental policy instruments, such as marketable permits, exist to help monitor and regulate environmental practices of organizations, i.e. companies and institutions (see [60], [77] and discussion in Chapter 2). Market-based instruments are already employed for the implementation of environmental policies on European scale (European Emission Trading Scheme - EU ETS) and on global scale (Kyoto protocol). In an effort to bridge the gap between the theoretical emission permit price and observed market-price behavior, we investigate the historical time series of the marketable permit price. More precisely, in Chapter 3 we advocate the use of a new GARCH-type structure for the analysis of inherent heteroskedastic dynamics in the returns of SO2 in the U.S. and of CO2 emission permits in the EU ETS. In Chapter 4 we show that the presence of asymmetric (or incomplete) information plays a central role. In other words, market-prices of permits are affected by the different information sets based on which market-players found their financial and investment strategies. A CO2-option pricing model comparison is developed in Chapter 4.7. The option pricing method can be used for hedging purposes and for pricing CO2-linked projects and investments.
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VITALI, Sebastiano (ORCID:0000-0002-6984-4194). "Pension Fund Management in a Stochastic Optimization Framework." Doctoral thesis, Università degli studi di Bergamo, 2015. http://hdl.handle.net/10446/61835.
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The pension system has become more and more complex and structured all over Europe in the last decades. Because of the financial and social crisis, several countries implemented strong reforms in the state welfare in order to reduce the pension costs on the state budget balance. Furthermore, they allowed and encouraged the establishment of private pension facilities. We have to consider the three pillars. The first one concerns the state pension system. The second concerns the relationship between the employer and the employee. The third pillar consists in individual investment plans typically issued by insurance companies. This thesis analyzes a pension fund from the point of view of the three main actors involved: the pension plan provider, who decides the tactical allocation of the pension funds, the fund manager who takes care of the strategic investment problem, and the individual investor who faces the problem to allocate his/her savings in a retirement perspective. All these problems involve the analysis of a long-term choice and require to take into consideration some elements of uncertainty. Therefore, it is natural to face them using the instruments provided by Stochastic Programming.
After a thorough review of the literature and a particular focus on the liability side of a pension fund, this thesis addresses the problem of a private pension plan sponsor who has to define the best pension funds for its members. This study is the first to face this problem from a quantitative point of view and proposes an innovative double step approach consisting of a cluster analysis of the pension fund population and of a portfolio optimization multistage stochastic program.
The most important contribution relies on the introduction of the stochastic dominance in a real-life problem of an individual investor in a retirement perspective. Moreover, the proposed model considers a withdraw event allowed by the Italian pension system. The objective of the model is to minimize the Average Value at Risk Deviation measure (AV@RD) and to satisfy wealth goals. Three different wealth target formulations are considered. The first is a deterministic wealth target, i.e. a comparison between the accumulated average wealth and a fixed threshold. The second and the third are two stochastic dominance relations, first-order and second-order, which need to introduce a benchmark portfolio and then require the optimal portfolio to satisfy the stochastic dominance constraints with respect to the benchmark wealth.
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Lauria, Davide. "Pricing and Hedging Pension Fund Liability via Portfolio Replication." Doctoral thesis, Università degli studi di Bergamo, 2017. http://hdl.handle.net/10446/77387.
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This thesis is composed by three works concerning multistage stochastic programming (MSP) applications for implementing optimal decisions for defined benefit pension funds into an asset and liability management framework. The first research focuses on the development of a method for generating asset returns scenario tree processes which serve as the input specification for the risky factors in the optimization MSP problem for general financial applications. In particular the proposed method produces a scenario tree for asset returns which does not contain arbitrage opportunities and which fits the first four moments of the reference probability distribution describing the uncertain nature of the risky factors. The second work deals with the problem of evaluating the liability of a defined benefit pension fund on a market based approach. The proposed methodology has been developed on a risk measure replication approach in a discrete time setting and solved with a numerical optimization approach via MSP. The approach needs the design of a statistical model for all the risky factors driving the pension fund asset and liability dynamic. The statistical model is then used to generate a discrete space and time representation of the risky factors dynamic by means of a scenario tree. The actual price of the pension fund liability will be then defined as the minimum initial capital in order to construct a self-financing trading strategy which replicates the future pensions net expenditure with a certain degree. The degree in which the replication is performed is evaluated on the basis of a risk measure. Finally we propose a methodology to price a longevity swap contract from the point of view of the pension fund manager as the third contribution. We have defined the swap price (the fixed rate) as the maximum fixed rate that allows the pension fund to enter the contract without worsening the liability present value obtained with the risk measure replication approach developed in the second work of this thesis.
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MALAVASI, Matteo. "Essays on Stochastic Orderings in Portfolio Selection." Doctoral thesis, Università degli studi di Bergamo, 2019. http://hdl.handle.net/10446/128712.
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Stochastic Orderings represent a relevant approach in portfolio selection for various reasons. Firstly, Stochastic Ordering are theoretically justified by Expected Utility theory. Typically, investors are classified according to their attitude toward risk. For each class of investors then, it is possible to define stochastic orderings coherent with investors' preference. Secondly, Stochastic Orderings are flexible enough to allow different definitions of efficiency suitable for each category of investors. This Thesis proposes several applications of Stochastic Orderings to portfolio selection problems. In the first chapter, an analysis of the relationship between Second order of Stochastic Dominance efficient set and Mean Variance Efficient Frontier is proposed. Not only the two sets differ under many aspects, but the Global Minimum Variance portfolio and other Mean Variance Efficient portfolios are dominated in the sense of Second order of Stochastic Dominance. Based on this fact, the chapter concludes proposing dominating strategies able to outperform the Global Minimum Variance portfolio. In the second chapter, starting from recent findings in the literature, that address the behavior of investors as non satiable, nor risk averting nor risk seeking, an extension of classic definition of Stochastic Dominance efficiency, linked to behavioral finance is given. In particular, investors' behavior changes according to market conditions. The last part of the chapter presents a methodology, based on estimation function theory, to test for portfolio efficiency with respect a general stochastic ordering. Both the analysis of efficiency for Second order of Stochastic Dominance and behavioral finance, questioned the validity of highly diversified choices. For this reason, this thesis concludes introducing Risk Diversification measures, a new class of functional quantifying the amount of idiosyncratic risk diversified among the assets in a portfolio. The Mean Risk Diversification Efficient Frontier is introduced, along with the concept of Mean Risk Diversification efficiency. The empirical analysis describes the relationship between risk aversion, Risk Diversification and classic diversification, and show how Risk Diversification based strategies perform under periods of financial distress.
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Boffino, Luigi. "Models and methods for electricity and gas markets in a low-carbon economy." Doctoral thesis, Università degli studi di Bergamo, 2019. http://hdl.handle.net/10446/128714.
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Human activity is overloading the atmosphere with carbon dioxide and other greenhouse gas emissions, which trap heat and drive up the planet temperature, resulting in a negative impact on our health, environment, and climate. Governments are considering actions to curb climate change that will significantly change both electricity and gas markets. This thesis detects these issues and proposes models and methods to analyze how electricity and gas markets can contribute to the achievement of the decarbonization targets. Among the actions carried out to reduce carbon emissions, renewable energy penetration is the most effective one. However, the integration of wind and solar power plants in electric energy systems is extremely challenging because of the uncertainty and variability that characterize their electricity production. To accommodate the stochasticity of the renewable energy production, power systems need to be more flexible. This flexibility is provided by backup capacity in the form of reserves, which are provided by dispatchable units such as thermal plants, or batteries and storage devices, which represent an environmentally friendly solution. Considering this framework, in the first part of this thesis, two expansion planning models to efficiently integrate renewable power plants, storage units, and electric vehicles in electric energy systems are proposed. We first want to detect which are the investment choices that have to be taken by a Market Operator to deeply decarbonize electric power system. To this aim, we propose a two-stage stochastic programming model to determine the optimal mix of generation and transmission capacity to build, taking into account both technical constraints and climate-related considerations. The model uses a mix of ac and high-voltage dc transmission lines, conventional and renewable generation, and energy-storage units to meet these objectives. Short- and long-term uncertainties are modeled using operating conditions and scenarios, respectively. Secondly, we take the view of a Distribution System Operator and we propose a stochastic adaptive robust optimization approach for the expansion of a small size electricity system problem. This involves the construction of candidate renewable generating
units, storage units, and charging stations for electric vehicles. In this case, long-term uncertainty is modeled using confidence bounds, while short-term uncertainty is represented through a number of operating conditions. Gas-fired power plants represent the energy choice that can help to achieve a secure, competitive, and decarbonized power systems since they can significantly contribute to emissions reduction by replacing high carbon fuels in electricity generation. In addition,
these units are the ideal partner for variable renewable energy, providing backup to wind and solar. In the last years, Europe has taken the lead in the decarbonization policies and has imposed a strict carbon reduction target that has to be achieved by 2050. For all these reasons, in the second part of the thesis, we focus our attention on the European gas market and we detect two important issues that can affect its stability. The first one regards the re-negotiation of the long-term gas contracts invoked by European mid-streamers and the second one concerns the security of external supply. The need of re-negotiation arises from the fact that, in Europe, gas is sold according to two main methods: oil-indexed long-term contract and hub pricing. The fall of the European gas demand combined with the increase of the US shale gas exports and the rise of liquefied natural gas availability on international markets have led to a reduction of the European gas hub prices. Since oil-indexed long-term contracts have failed to promptly adjust their positions, European gas mid-streamers asked for a re-negotiation of their existing contracts to obtain new contracts linked to hub spot prices. In this thesis, we tackle this problem by estimating the dependence risk and the optimal resource allocation of the underlying assets of a gas long-term contract through pair-vine copulas and portfolio optimization methods, using different risk
measures. We also investigate the risk of external supply because Europe mainly relies on imports from economically or politically unstable countries to cover it gas demand since the local production is very limited. The analysis of the external supply risk is focused on the Italian gas market whose demand is covered by 90% by imports from foreign countries. An optimization problem that describes the equilibrium state of a gas supply chain, where producers, mid-streamers, and final consumers exchange natural gas and liquefied natural gas both with long-term contracts and on spot markets is developed for this purpose.
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HOSSEINZADEH, Mohammad Mehdi. "Optimal Asset-Liability Management for Defned Beneft Pension Fund Under Stochastic Correlation." Doctoral thesis, Università degli studi di Bergamo, 2017. http://hdl.handle.net/10446/89513.
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We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-liability management (ALM) model which is specified with an asset universe including money-market, fixed-income, inflation-linked bond as well as equity and commodity. The current value of liability is determined under the assumptions of constant pension fund future pension payments and their current market value (current fund obligation) under assumption of constant pension fund population by discounting all future pension payments. Pension payments are random and determined by the evolution of the population and by inflation. Over a long-term horizon discount rates will also fluctuate and derive the evaluation of the fund liabilities. The pension manager will seek an optimal investment strategy to fund all liabilities and generate the surplus. We present an extension of a scenario tree generation procedure to include stochastic correlations among asset classes and test whether, as claimed by several authors, such extension is effective during crises periods, when correlation clustering is commonly claimed to affect the markets and reduce significantly the effectiveness of portfolio diversification. We test the sensitivity of the first-stage implementable decision to alternative assumptions on the returns’ correlations and their impact on the portfolio terminal distribution during a crisis period. The funding ratio (FR) is the ratio of the portfolio assets to the liabilities. A pension funds, primary aim is to assess the FR at every decision stage over time. The pension fund’s manager wishes to have sufficient liquidity and to control interest and inflation rate risks with a minimum return guarantee. Asset returns are defined with respect to a risk exposure captured by the concept of risk capital, recently introduced in modern pension systems and which is becoming a standard in Institutional ALM and in particular in pension fund ALM. In this thesis the elements of a real-world case problem are discuss and results presented over a 10-year horizon with the pension fund economic and financial constraints.
Focusing on a period, between 2009-2011, of increasing markets’ volatility, we analyze the effectiveness of a long-term, discrete dynamic investment strategy under an assumption of stochastic correlation. The method relies on the definition of a probability space generated through Monte Carlo simulation and the implementation of a scenario generation scheme with a Dynamic Conditional Correlation (DCC) model. We consider a defied benefit (DB) pension fund problem: under a DB scheme benefits are defined in terms of percentage of last year salaries. The liability of pension fund is also called defined benefit obligation (DBO) under such assumption. stressed funding condition will arises when assets value decreases and liability value increase. The analysis of pension funds market perspectives is strictly related with evolution of the funding ratio. The collected evidence supports the inclusion of stochastic correlation between asset returns during the recent European financial crisis. Over a three year backtesting period which includes the 2009-2011 sovereign crisis, the introduced extension is shown to generate an effective hedge to positive risk premium.
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BISCEGLIA, Michele (ORCID:0000-0001-7321-2360). "Three Essays in Industrial Organization." Doctoral thesis, Università degli studi di Bergamo, 2020. http://hdl.handle.net/10446/181482.
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BONOMELLI, Marco. "Models and methods for portfolio selection." Doctoral thesis, Università degli studi di Bergamo, 2020. http://hdl.handle.net/10446/181483.
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RUJIRARANGSAN, Kamonchai. "Modelli Finanziari per il Rischio di Credito e l'Ottimizzazione di Portafoglio." Doctoral thesis, Università degli studi di Bergamo, 2022. http://hdl.handle.net/10446/207568.
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GALLIANI, CLARA. "Essays in banking and public finance." Doctoral thesis, Università Bocconi, 2012. https://hdl.handle.net/11565/4054221.
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TOSCANO, Giacomo. "Non-parametric estimation of stochastic volatility models: spot volatility, leverage and vol-of-vol. Four essays on asymptotic error distributions, finite-sample properties and empirical applications." Doctoral thesis, Scuola Normale Superiore, 2021. http://hdl.handle.net/11384/106264.
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This thesis contains four essays on non-parametric estimators of the spot volatility,
the leverage and the volatility-of-volatility. In particular, the focus of this thesis
is on the study of the asymptotic properties of the estimators, the optimization of
their finite-sample performance and the use of the resulting estimates in empirical
applications.
Specifically, in Chapter 2 we prove a central limit theorem for the estimator
of the integrated leverage based on the Fourier method of Malliavin and Mancino
(2009), showing that it reaches the optimal rate of convergence and a smaller
variance with respect to different estimators based on a pre-estimation of the instantaneous
volatility. Then, we exploit the availability of efficient Fourier-based
estimates of the integrated leverage to show, using S&P500 prices over the period
2006-2018, that adding an extra term which accounts for the leverage effect to the
Heterogeneous Auto-Regressive (HAR) volatility model by Corsi (2009) increases
the explanatory power of the latter.
In Chapter 3 we study the sensitivity of the leverage process to changes of the
price and the volatility. In particular, under the Constant Elasticity of Variance
(CEV) model by Beckers (1980), which is explicitly designed to capture leverage
effects, we find that the derivatives of the leverage with respect to the log-price and
the volatility can be expressed as the ratio of quantities that can be consistently
estimated from sample prices, that is, as the ratio of the price-leverage covariation
and, respectively, the volatility and the leverage. From the financial standpoint,
this suggests that the price-leverage covariation may be interpreted as a gauge of
the responsiveness of the leverage to the arrival of new information that causes
changes in the price or the volatility. Additionally, we also find that the priceleverage
covariation is equal to twice the vol-of-vol under the CEV model, thereby
suggesting that the responsiveness of the leverage (i.e., the price-leverage covariation)
is proportional to the amount of uncertainty about risk (i.e., the vol-of-vol).
After reconstructing the trajectories of the volatility, the leverage, the vol-of-vol
and the price-leverage covariation through the Fourier methodology by Malliavin
and Mancino (2009), we provide empirical evidence supporting this financial interpretation
of the price-leverage covariation in a model-free setting, using 1-second
S&P500 prices over the period March, 2018-April, 2018. In Chapter 4, we perform an analytical study to identify the sources of the
finite-sample bias that typically plagues the simplest and most natural vol-of-vol
estimator, the Pre-estimated Spot-variance based Realized Variance (PSRV) by
Barndorff-Nielsen and Veraart (2009). Based on the full knowledge of its analytical
expression, we show that the finite-sample bias of the PSRV may be substantially
reduced by allowing for the overlap of consecutive local windows to pre-estimate
the spot variance. In particular, we provide a feasible analytical rule for the biasoptimal
selection of the length of local windows when the volatility is a process in
the Chan, Karolyi, Longstaff and Sanders (CKLS) class (see Chan et al. (1992))
and show that selections based on this analytical rule match some selections prescribed
in the literature, based on simulations.
In Chapter 5, we exploit efficient Fourier estimates of the path of the volatility
to empirically investigate the functional link between the latter and the variance
swap rate. Specifically, using S&P500 data over the period 2006-2018, we find
overwhelming empirical evidence supporting the affine link analytically found by
Kallsen et al. (2011) in the context of exponentially affine stochastic volatility models.
Additionally, based on tests performed on yearly subsamples, we find that exponentially
mean-reverting variance models provide a good fit during periods of
extreme volatility, while polynomial models, introduced in Cuchiero (2011), are
suited for years characterized by more frequent price jumps. These empirical results are confirmed when replacing Fourier estimates of the spot volatility with realized local estimates.
Chapter 6 concludes, summarizing the main findings of the thesis.
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VASSALLO, Danilo. "Dynamic models for financial and sentiment time series." Doctoral thesis, Scuola Normale Superiore, 2022. http://hdl.handle.net/11384/109584.
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DI, GANGI Domenico. "Models of dynamical networks with applications to finance." Doctoral thesis, Scuola Normale Superiore, 2022. http://hdl.handle.net/11384/112204.
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NERI, PAOLO. "TOPICS IN DEPENDENCE MODELLING IN FINANCE." Doctoral thesis, Università degli studi di Brescia, 2021. http://hdl.handle.net/11379/547058.
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RIZZINI, GIORGIO. "LOW CARBON ECONOMY AND ENERGY FINANCE: STOCHASTIC MODELS AND METHODS." Doctoral thesis, Università degli studi di Brescia, 2021. http://hdl.handle.net/11379/550303.
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LAI, NGUYEN THANH CONG. "An analysis of equilibria for Nash problems, Radner problems and Multi-leader-follower games." Doctoral thesis, Università degli studi di Brescia, 2021. http://hdl.handle.net/11379/551778.
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ABATE, AREGA GETANEH. "Models and Methods in Electricity Market: Stochastic Programming." Doctoral thesis, Università degli studi di Brescia, 2021. http://hdl.handle.net/11379/554940.
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ULKHAQ, MUHAMMAD MUJIYA. "THE ROLE OF ICT IN EDUCATION: AN EFFICIENCY ANALYSIS." Doctoral thesis, Università degli studi di Brescia, 2023. https://hdl.handle.net/11379/568944.
Full textAbstract:
Nell’ambito dell’educazione, l’utilizzo delle tecnologie dell’informazione e della comunicazione (TCI) si è notevolmente intensificato negli ultimi decenni grazie agli investimenti effettuati. Il concetto di TCI è molto ampio. In questo lavoro di tesi, TCI non si riferisce solo alle infrastrutture fisiche (ad esempio radio, telefono, video, televisione, computer), ma include anche l’uso e l’intensità di utilizzo (ad esempio l’impiego giornaliero, settimanale, ecc.), la qualità e l’ubicazione dell’infrastruttura (ad esempio, a scuola oppure a casa), il motivo del suo utilizzo (ad esempio, per svago o per motivi di studio) e la spesa relativa alle TIC. Questa dissertazione discute il ruolo delle TIC nell’istruzione concentrandosi sull’analisi dell’efficienza. La tesi comprende quattro lavori ripartiti in diversi capitoli. Il Capitolo II propone una sistematica literature review sull’argomento. Il Capitolo III esegue un’analisi transnazionale dell’efficienza dell’istruzione a livello scolastico in sei Paesi del sud-est asiatico, ossia in Brunei Darussalam, in Malesia, in Indonesia, nelle Filippine, a Singapore ed in Tailandia. L’analisi viene effettuata mediate l’approccio della stochastic frontier analysis (SFA) che consente di considerare l'eteroschedasticità. Da questo studio risulta che Singapore è comparativamente il Paese con la migliore performance. Nell’analisi condotta, le variabili TIC, ovvero (1) il rapporto tra computer a scuola e (2) il numero totale di studenti ed il rapporto tra computer connessi a Internet, sono assunte essere determinanti dell’inefficienza ed entrano come input nella funzione di produzione (istruzione). Dall’analisi condotta, emerge che il primo rapporto non influenza in modo significativo gli esiti scolastici mentre il secondo ha un significativo impatto. Come determinanti dell’inefficienza, il primo rapporto influisce sull’inefficienza della scuola in nelle aree di matematica e scienze, mentre il secondo non ha alcuna influenza. Il Capitolo IV utilizza l'approccio DEA (non-parametric data envelopment analysis) del modello di super-efficienza che consente alle scuole efficienti di avere punteggi di efficienza superiori a uno (nell’approccio DEA tradizionale, il punteggio di efficienza è limitato da zero a uno). Per studiare i fattori che potenzialmente influenzano l’efficienza, questo studio include anche una seconda analisi basata sull’approccio bootstrapped quantile regression. I risultati suggeriscono una serie di implicazioni politiche per le scuole del sud-est asiatico, indicando diverse linee d’azione per le scuole sia con livelli di efficienza più alti sia per quelle con efficienza minore. Il Capitolo V estende l'analisi condotta nel Capitolo III sia dal punto di vista metodologico che empirico. L’analisi, basata sull’approccio SFA, non include solo le infrastrutture TCI nel modello, ma aggiunge anche l’uso delle TCI (compreso l’indice del tempo trascorso dagli studenti nell’uso delle TCI a scuola, fuori dalla scuola per scopi di intrattenimento e a casa per compiti scolastici). Ciò viene fatto utilizzando il “modello di frontiera stocastica a quattro componenti” in cui le TCI sono modellate sia come input che come determinanti di inefficienza variabile nel tempo. Inoltre, questo modello viene testato utilizzando un set di dati di 24 Paesi OCSE. I risultati mostrano che tutte e tre le variabili che appartengono all’uso delle TIC influenzano i risultati sul livello di istruzione degli studenti, mentre come determinanti di inefficienza, queste variabili hanno solo un effetto marginale. Questo studio dovrebbe quindi fornire una visione più olistica del ruolo delle TIC nell’efficienza dei processi educativi.In education sector, the application of information and communication technology (ICT) has increased substantially over the last decades as many countries have been investing their resources in ICT for educational purposes. The ICT is a broad concept. In this dissertation, ICT does not only refer to physical infrastructure (e.g., radio, telephone, video, television, computer), but it also includes the use and the intensity of use (e.g., every day, one a week, twice a week), the quality and location of the infrastructure (e.g., at school, at home), the reason for using it (e.g., for entertainment or for study purposes), and the expenditure related to the ICT. This dissertation then discusses the role of ICT in education focusing on the efficiency analysis. It comprises four studies starting with a systematic literature review presented in Chapter II, which offers a clear overview of what has and has not been done in the literature towards this particular topic. Chapter III performs cross-country analysis of efficiency of education at school level in six countries in South-East Asia (i.e., Brunei Darussalam, Malaysia, Indonesia, the Philippines, Singapore, and Thailand). The stochastic frontier analysis (SFA) allowing for heteroscedasticity is used. The result reveals that Singapore has the (relatively) best performance among other countries. The ICT infrastructure variables, i.e., the ratio of computers at school to the total number of students and the ratio of computers connected to the internet, are modeled as inputs in the (education) production function and determinants of inefficiency. The first ratio is found to be not significant influencing education outcomes while the second one does influence. As determinants of inefficiency, the first ratio affects school’s inefficiency in terms of mathematics and science, while the second one has no influence. Relying the finding of Chapter III that there are many higher efficiency level schools, Chapter IV uses the non-parametric data envelopment analysis (DEA) approach of the super-efficiency model which has the ability to differentiate among the higher efficiency level schools. This model allows the efficient schools to have efficiency scores of more than one (in the traditional DEA approach, the efficiency score is bounded from zero to one). To investigate factors that potentially influence efficiency, this study performs the “second-stage” analysis by using bootstrapped quantile regression. The results suggest a number of policy implications for South-East Asian schools, indicating different courses of action for schools with higher and lower efficiency levels. Chapter V extends the analysis conducted in Chapter III both from methodological and empirical point of views. The analysis, based on the SFA approach, not only includes the ICT infrastructure in the model, but it also adds the ICT use (including the index of time spent by students in using ICT at school, outside school for entertainment purposes, and at home for school-related tasks). This is done by using the “four-component stochastic frontier model” where ICT is modeled both as inputs and determinants of time-varying inefficiency. In addition, this model is tested using a dataset of 24 OECD countries. Results show that all three variables belong to ICT use influence education outcomes, while as the determinants of time-varying inefficiency, these variables have only marginal effect on inefficiency. This study is then expected to provide a more holistic view of the role of ICT in the efficiency of education measurement as the previous studies only addressed the ICT infrastructure.
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CASULA, LAURA. "Some contributions on Energy Finance: the new challenge of renewable energy production." Doctoral thesis, Università degli Studi di Cagliari, 2022. http://hdl.handle.net/11584/326212.
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The expansion of renewable energy sources is destined to increase and requires the development of theoretical models to correctly estimate both the production of electricity and its economic convenience. We consider the Italian futures traded on the IDEX market, examining the possible interrelation between futures and spot prices, drawing on the ex post risk premium and the net convenience yield. To understand this process we analyze the variables that influence these parameters through different regression techniques obtaining promising results. Innovative aspects of the work are: the application to a market not yet explored from this point of view, the improvement of the regression techniques best suited to the phenomenon in question and the use of a wider set of explanatory variables.
The issue of renewable energy is addressed starting from wind energy and the consideration that those who want to invest in the construction of a wind farm are faced with a sector full of uncertainties, mainly linked to variations in wind intensity and the price of electric energy.
The expected gain generated by a wind turbine is given by three stochastic variables: wind intensity, energy price and quantity of energy produced, all measured on an hourly basis. Once these three variables have been modeled, it is possible to determine profit as the sum of the discounted values of the product between the price of energy and the amount of energy produced each hour.
A new stochastic model is proposed to simulate the expected income of a wind turbine, a multivariate model for wind speed and the price of electricity. Through Monte Carlo simulations (MC) it is verified that the model obtained approximates the expected income better than the one that simulates both marginals independently.
We then move on to the analysis of a photovoltaic system through the modeling of the stochastic factors that determine it: quantity of incident solar radiation and some climatic variables that modify the efficiency of the solar panels (temperature and wind speed).
Finally, to evaluate the income deriving from the production of electricity, we applied a solar radiation/electricity price bivariate model to address the correlation between these two variables, noting how the simulated values faithfully replicate the empirical ones. The VAR models used to estimate photovoltaic production and the price of electricity have proved to be sufficiently flexible and applicable to different climatic conditions. A fundamental aspect of our model is having considered the observed dependence structure between the price of electricity and solar radiation. This particularity is also valid outside the local context used for our numerical simulations so we can hypothesize that the type of model used here may cover a wider field of application. Finally, we have developed options as to address both volumetric and price risks. These options were then priced with the MC method.
We conclude with the analysis of hybrid plants that exploit different climatic sources to generate electricity. To obtain a reliable estimate of the total energy produced and the expected income, we apply a multivariate model that links the climatic variables (solar radiation and wind speed) and the price of electricity, allowing us to reproduce the dependency structure with the same opportunity. between these variables. We validated the model by verifying that the results obtained are better than the situation in which the individual stochastic variables are modeled independently.
In addition, we apply Markowitz's portfolio selection theory to determine the optimal mix that maximizes the overall income of our portfolio. We also calculate the loss of load hours (LoLH) for efficient portfolios. Finally, we manage volumetric/market risk with quantum options and make an optimal choice between the two technologies. Models are validated through MC simulations using real data.
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CAFFERATA, ALESSIA. "Quantitative Analyses on Non-Linearities in Financial Markets." Doctoral thesis, Università degli studi di Genova, 2019. http://hdl.handle.net/11567/945795.
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"The brief market plunge was just a small indicator of how
complex and chaotic, in the formal sense, these systems
have become. Our nancial system is so complicated and so
interactive [...]. What happened in the stock market is just
a little example of how things can cascade or how technology
can interact with market panic" (Ben Bernanke, IHT, May
17, 2010)
One of the most important issues in economics is modeling and fore-
casting the
uctuations that characterize both nancial and real mar-
kets, such as interest rates, commodities and stock prices, output
growth, unemployment, or exchange rate. There are mainly two op-
posite views concerning these economic
uctuations. According to
the rst one, which was the predominant thought in the 1930s, the
economic system is mainly linear and stable, only randomly hit by
exogenous shocks. Ragnar Frisch, Eugen Slutsky and Jan Tinbergen,
to cite a few, are important exponents of this view, and they demon-
strated that the
uctuations observed in the real business cycle may
be produced in a stable linear system subject to an external sequence
of random shocks. This view has been criticized starting from the
1940s and the 1950s, since it was not able to provide a strong eco-
nomic explanation of observed
uctuations. Richard Goodwin,John
Hicks and Nicholas Kaldor introduced a nonlinear view of the econ-
omy, showing that even in absence of external shocks,
uctuations
might arise. The economists then suggested an alternative within
the exogenous approach, at rst by using the stochastic real busi-
ness cycle models (Finn E. Kidland and Edward C. Prescott, 1982)
and, more recently, by the adoption of the New Keynesian Dynamic
Stochastic General Equilibrium (DSGE) models, very adopted from
the most important institutions and central banks. These models,
however, have also been criticized for the assumption of the rational-
ity of agents' behaviour, since rational expectations have been found
to be systematically wrong in the business cycle. Expectations are of
fundamental importance in economics and nance, since the agents'
decisions about the future depends upon their expectations and their
beliefs. It is in fact very unlikely that agents are perfect foresighters
with rational expectations in a complex world, characterized by an
irregular pattern of prices and quantities dealt in nancial markets,
in which sophisticated nancial instruments are widespread.
In the rst chapter of this dissertation, I will face the machine learn-
ing technique, which is a nonlinear tool used for a better tting, fore-
casting and clustering of dierent nancial time series and existing
information in nancial markets. In particular, I will present a collec-
tion of three dierent applications of these techniques, adapted from
three dierent joint works:
"Yield curve estimation under extreme conditions: do RBF net-
works perform better?, joint with Pier Giuseppe Giribone, Marco
Neelli, Marina Resta, published Anna Esposito, Marcos Faundez-
Zanuy, Carlo Francesco Morabito, Eros Pasero Edrs, Multidisci-
plinary Approaches to Neural Computing/Vol. 69/ WIRN 2017
and Chapter 22 in book "Neural Advances in Processing Non-
linear Dynamic Signals", Springer;
Interest rates term structure models and their impact on actuarial
forecasting, joint with Pier Giuseppe Giribone and Marina Resta,
presented at XVIII Quantitative Finance Workshop, University
of Roma 3, January 2018;
Applications of Kohonen Maps in financial markets: design of
an automatic system for the detection of pricing anomalies, joint
with Pier Giuseppe Giribone and published on Risk Management
Magazine, 3-2017.
In the second chapter, I will present the study A nancial market
model with conrmation bias, in which nonlinearity is present as a
result of the formation of heterogeneous expectations. This work is
joint with Fabio Tramontana and it has been presented during the
X MDEF (Dynamic Models in Economics and Finance) Workshop at
University of Urbino Carlo Bo.
Finally, the third chapter is a rielaboration of another joint paper,
"The eects of negative nominal risk rates on the pricing of American
Calls: some theoretical and numerical insights", with Pier Giuseppe
Giribone and Marina Resta, published on Modern Economy 8(7), July
2017, pp 878-887. The problem of quantifying the value of early ex-
ercise in an option written on equity is a complex mathematical issue
that deals with continuous optimal control. In order to solve the con-
tinuous dynamic optimization problem that involves high non linearity
in the state variables, we have adopted a discretization scheme based
on a stochastic trinomial tree. This methodology reveals a higher
reliability and
exibility than the traditional approaches based on approximated quasi-closed formulas in a context where financial markets
are characterized by strong anomalies such as negative interest rates.
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NEFFELLI, MARCO. "COVARIANCE MATRIX CONSTRUCTION AND ESTIMATION: CRITICAL ANALYSES AND EMPIRICAL CASES FOR PORTFOLIO APPLICATIONS." Doctoral thesis, Università degli studi di Genova, 2019. http://hdl.handle.net/11567/945803.
Full textAbstract:
The thesis contributes to the financial econometrics literature by improving
the estimation of the covariance matrix among financial time series. To such
aim, existing econometrics tools have been investigated and improved, while
new ones have been introduced in the field. The main goal is to improve
portfolio construction for financial hedging, asset allocation and interest rates
risk management. The empirical applicability of the proposed innovations has
been tested trough several case studies, involving real and simulated datasets.
The thesis is organised in three main chapters, each of those dealing with a specific
financial challenge where the covariance matrix plays a central role. Chapter 2
tackles on the problem of hedging portfolios composed by energy commodities.
Here, the underlying multivariate volatility among spot and futures securities
is modelled with multivariate GARCH models. Under this specific framework,
we propose two novel approaches to construct the covariance matrix among
commodities, and hence the resulting long-short hedging portfolios. On the one
hand, we propose to calculate the hedge ratio of each portfolio constituent to
combine them later on in a unique hedged position. On the other hand, we propose
to directly hedge the spot portfolio, incorporating in such way investor’s risk
and return preferences. Trough a comprehensive numerical case study, we assess
the sensitivity of both approaches to volatility and correlation misspecification.
Moreover, we empirically show how the two approaches should be implemented
to hedge a crude oil portfolio.
Chapter 3 focuses on the covariance matrix estimation when the underlying data
show non–Normality and High–Dimensionality. To this extent, we introduce
a novel estimator for the covariance matrix and its inverse – the Minimum
Regularised Covariance Determinant estimator (MRCD) – from chemistry and
criminology into our field. The aim is twofold: first, we improve the estimation
of the Global Minimum Variance Portfolio by exploiting the MRCD closed
form solution for the covariance matrix inverse. Trough an extensive Monte
Carlo simulation study we check the effectiveness of the proposed approach in
comparison to the sample estimator. Furthermore, we take on an empirical case
study featuring five real investment universes characterised by different stylised
facts and dimensions. Both simulation and empirical analysis clearly demonstrate
the out–of–sample performance improvement while using the MRCD. Second, we
turn our attention on modelling the relationships among interest rates, comparing
five covariance matrix estimators. Here, we extract the principal components
driving the yield curve volatility to give important insights on fixed income
portfolio construction and risk management. An empirical application involving
the US term structure illustrates the inferiority of the sample covariance matrix
to deal with interest rates.
In chapter 4, we improve the shrinkage estimator for four risk-based portfolios. In
particular, we focus on the target matrix, investigating six different estimators.
By the mean of an extensive numerical example, we check the sensitivity of each
risk-based portfolio to volatility and correlation misspecification in the target
matrix. Furthermore, trough a comprehensive Monte Carlo experiment, we offer
a comparative study of the target estimators, testing their ability in reproducing
the true portfolio weights. Controlling for the dataset dimensionality and the
shrinkage intensity, we find out that the Identity and Variance Identity target
estimators are the best targets towards which to shrink, always holding good
statistical properties.
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DINDO, Pietro Dino Enrico. "Bounded rationality and heterogeneity in economic dynamic models." Doctoral thesis, THELA THESIS, 2007. http://hdl.handle.net/10278/3673678.
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Fano, Shira. "Essays on Labor Economics and Education." Doctoral thesis, Università Commerciale Luigi Bocconi, Milano, 2016. http://hdl.handle.net/10278/3731599.
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OTTAVIANI, Matteo. "Financial market dynamics: essay in agent-based exploration." Doctoral thesis, Scuola Normale Superiore, 2022. http://hdl.handle.net/11384/110568.
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Prezioso, Luca. "Financial risk sources and optimal strategies in jump-diffusion frameworks." Doctoral thesis, Università degli studi di Trento, 2020. http://hdl.handle.net/11572/254880.
Full textAbstract:
An optimal dividend problem with investment opportunities, taking into consideration a source of strategic risk is being considered, as well as the effect of market frictions on the decision process of the financial entities.
It concerns the problem of determining an optimal control of the dividend under debt constraints and investment opportunities in an economy with business cycles. It is assumed that the company is to be allowed to accept or reject investment opportunities arriving at random times with random sizes, by changing its outstanding indebtedness, which would impact its capital structure and risk profile. This work mainly focuses on the strategic risk faced by the companies; and, in particular, it focuses on the manager's problem of setting appropriate priorities to deploy the limited resources available. This component is taken into account by introducing frictions in the capital structure modification process.
The problem is formulated as a bi-dimensional singular control problem under regime switching in presence of jumps. An explicit condition is obtained in order to ensure that the value function is finite. A viscosity solution approach is used to get qualitative descriptions of the solution.
Moreover, a lending scheme for a system of interconnected banks with probabilistic constraints of failure is being considered. The problem arises from the fact that financial institutions cannot possibly carry enough capital to withstand counterparty failures or systemic risk. In such situations, the central bank or the government becomes effectively the risk manager of last resort or, in extreme cases, the lender of last resort.
If, on the one hand, the health of the whole financial system depends on government intervention, on the other hand, guaranteeing a high probability of salvage may result in increasing the moral hazard of the banks in the financial network. A closed form solution for an optimal control problem related to interbank lending schemes has been derived, subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived solution applies to real bank networks by obtaining a general solution when the aforementioned probability constraints are assumed for all the banks. We also present a direct method to compute the systemic relevance parameter for each bank within the network.
Finally, a possible computation technique for the Default Risk Charge under to regulatory risk measurement processes is being considered. We focus on the Default Risk Charge measure as an effective alternative to the Incremental Risk Charge one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets emitted by several financial agents.
While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible, because of both new regulation and the high speed - low cost technology available nowadays.
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Franceschi, Daniele. "Selezione e stima di dipendenze multivariate: il caso della pair-copula construction con una sua applicazione in campo assicurativo." Doctoral thesis, Università degli studi di Padova, 2012. http://hdl.handle.net/11577/3425811.
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The subject of this thesis is the analysis of a recent technique, the pair-copula construction (PCC), for modeling dependence between variables of a random vector.
The main property of this technique is that it allows us to build even very complex multivariate structures only using bivariate copulas with conditional cumulative distribution functions as arguments. There is a large number of such decompositions, so we use particular graphical structures (made by a sequence of trees and called regular vines) to organize them. In particular, this work has favored the use and the study of drawable vines (D-vine), that have path structure. We discuss theoretical aspects related to the simplified form of the PCC, as well as the implementation of algorithms for estimating these models.
The developed models are applied to a practical problem in the insurance field. The determination of the risk capital through an internal model can be an alternative to the standard formula proposed by the new EU Directive Solvency II. We construct a multivariate dataset of real data, on which we test different structures of dependence, including several possible models of D-vine. Finally, we compare the risk based capital obtained with these models.L'oggetto di questa tesi è l'analisi di una recente tecnica di modellizzazione della dipendenza tra le variabili di un vettore aleatorio che va sotto il nome di pair-copula construction (PCC). La peculiarità di questa tecnica è che permette di costruire strutture multivariate anche molto complesse con l'impiego esclusivo di copule bivariate semplici oppure condizionate. Per organizzare le varie decomposizioni si ricorre a delle particolari strutture grafiche dette Regular vine (R-vine), composte da una successione di alberi. In particolare in questo lavoro si è privilegiato l'impiego e lo studio dei Drawable vine (D-vine) i cui alberi hanno la particolare struttura di cammino. Sono stati discussi sia aspetti teorici legati alla forma semplificata della PCC, sia aspetti pratici come l'implementazione di algoritmi per la stima di tali modelli. I modelli studiati sono quindi stati applicati ad un problema pratico in campo assicurativo, la determinazione del capitale di rischio attraverso un possibile modello interno alternativo alla formula standard proposta dalla nuova Direttiva comunitaria Solvency II. E' stato quindi costruito un dataset di dati reali multivariati, su cui sono state testate diverse strutture di dipendenza, tra le quali diversi possibili modelli di D-vine. Sono infine stati posti a confronto i requisiti di capitale relativi così ottenuti.
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GIRIBONE, PIER GIUSEPPE. "Mathematical modeling in Quantitative Finance and Computational Economics." Doctoral thesis, Università degli studi di Genova, 2021. http://hdl.handle.net/11567/1046108.
Full textAbstract:
The first part of my PhD Thesis deals with different Machine Learning techniques mainly applied to solve financial engineering and risk management issues. After a short literary review, every chapter analyzes a particular topic linked to the implementation of these models, showing the most suitable methodologies able to solve it efficiently.
The following topics are therefore covered:
*) Data Fitting and Regression
*) Forecasting
*) Classification
*) Outlier Detection and Data Quality
*) Pricing
Every chapter provides the theoretical explanation of the model, the description of the implementation in a numerical computing environment and the solution for real case-studies.
Among others, the main technologies discussed in this work are the following:
*) Shallow Multi-Layers networks
*) Feed-forward and static networks
*) Radial Basis Functions (RBF) networks
*) Recurrent and Dynamic Neural Networks
*) Nonlinear Autoregressive (NAR) networks and Nonlinear Autoregressive networks with exogenous variables (NARX)
*) Deep Neural networks
*) Convolutional Networks (Conv Net)
*) Fuzzy C-Means (FCM) clustering
*) Self-Organizing Maps (SOM) and Kohonen networks
*) Neural Networks with Circular Neurons
*) Auto-Associative Neural Networks (AANN) and Auto-encoders for Nonlinear Principal Component Analysis (NLPCA)
The second part of my PhD Thesis deals with the problem of Optimal Control in Quantitative Finance and Labour Economics. Even if the fields of application are hugely different, they share the same mathematical instrument for their solution: the Bellman principle of optimality. After a short literary review that introduces the financial and economic problems solved in this part, the following four chapters show the most popular pricing techniques used to evaluate an option: closed formulas, Partial Differential Equations (PDE), Lattice methods and Stochastic Differential Equations (SDE). Chapter 6 faces the problem of early-exercise in option pricing and shows how to apply the principle of optimality in the models presented in the previous chapters.
The following pricing methodologies are covered:
*) Stochastic Trees and Lattice models (Cox-Ross-Rubinstein, Tian, Jarrow-Rudd, Drifted CRR, Leisen-Reimer, CRR Trinomial, Adaptive Mesh Method (AMM), Pentanomial and Heptanomial Trees)
*) PDE numerical schemes (Finite Difference Method - FDM, Finite Elements Method - FEM and Radial Basis Function - RBF)
*) SDE numerical solution (Longstaff-Schwartz Monte Carlo)
*) Quasi-closed formulas (Roll-Geske-Whaley, Barone-Adesi-Whaley, Bjerksund- Stensland model)
The last two chapters examine two important Labour Economics dynamic problems in the field of Optimal Control Theory: Implicit Contracts and Wage Bargaining. They share the same procedure for the solution which can be synthesized in these steps:
*) Infinite-horizon deterministic optimal control problem formulation. The solution for this kind of problem can be found applying the Hamilton – Jacobi – Bellman (HJB) Equation.
*) Design of a Markov Decision Chain for the numerical solution of the previous problem.
*) Infinite-horizon stochastic optimal control problem formulation. After the validation of the discretization scheme in the deterministic context, the Markov Decision Chain can be extended in order to solve the stochastic version of the problem. In particular, an Ornstein-Uhlenbeck process has been introduced in the model.
The third part of my PhD Thesis deals with Forecasting and Risk Management in Energy Markets.
The first chapter introduces the two studies presented in this field through a short literary review and the Regulatory framework.
The second chapter suggests some quantitative methods with the aim of managing the main risks of Guarantees of Origin (Gos). Given that Gos trading is rather recent, it implements an innovative integrated control system in order to handle market and counterparty risks.
The following techniques are covered:
*) Market Risk: Historical, parametric and Monte Carlo VaR with a special focus on volatility modeling (historical, implied, GARCH, SABR).
*) Liquidity Risk: Bid-Ask spread analysis.
*) Counterparty Risk: Probability of Default estimation starting from: listed CDS premium, traded bond prices and statement analysis (KMV model).
The third chapter deals with the energy spot prices forecasting problem. The aim of the study is to establish a time-horizon within which it is reasonable to predict prices. The state-of-the-art architectures based on Deep Learning methods are implemented in order to solve this econometric issue.
The analyzed techniques are:
*) A multi-layered Nonlinear Autoregressive (NAR) network (Endogenous variable: prices).
*) A multi-layered Nonlinear Autoregressive with an exogenous variable (NARX) network (Endogenous variable: prices - Exogenous variable: demand).
*) A Long Short-Term Memory (LSTM) network with one feature (prices).
*) A Long Short-Term Memory (LSTM) network with two features (prices and demand).
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PAPALIA, Melania. "On well-posedness in vector optimization." Doctoral thesis, Università degli studi di Bergamo, 2010. http://hdl.handle.net/10446/490.
Full textAbstract:
The purpose of this work is to give an overview on the world of the vector well-posed optimization problems, according to the scalar notion by Tykhonov, in a finite dimensional setting, mainly under convexity or generalized convexity assumptions and focusing on scalarization procedures.
Two characterizations of well-posedness properties are presented: the first involving all global notions compared, under generalized convexity assumption, the second involving all pointwise concepts and employing a vector version of Ekeland's variational principle due to Araya . Focusing on the strongest pointwise notion presented, Dentcheva-Helbig well-posedness with respect to an efficient point, we consider the idea of “how many” convex problems will have solutions and also enjoy the property of being well-posed. On this topic, we present a density result, that is the possibility to approximate a well-posed problem with a sequence of well-posed problems considering the same constraints and the same features for the objective functions.
An overview of the application of the previous theoretical results to game theory is presented.
Studying well-posedness one is naturally led to consider perturbations of functions and sets, that is a notion of well-posedness in the extended sense. We propose a notion for which sufficient conditions under convexity requirements are established.
We consider several approaches and following the classification proposed by Miglierina et al., we stress the geometrical features of the image set of each property thanks to some illustrative examples. Thus we are able to establish the hierchical structure characterizing pointwise and global concepts.
Finally, we turn our attention on scalarization technique, linear and nonlinear, to say that a vector problem is well-posed if and only if an associate, or more then one, scalar problem satisfies a scalar stability requirement.
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FARINA, Gianluca. "Systemic risk measures and contagion models." Doctoral thesis, Università degli studi di Bergamo, 2014. http://hdl.handle.net/10446/30380.
Full textAbstract:
The main theme of the thesis is systemic risk measurement. This extremely young field of research has gained a lot of attention in recent times from academics and practioners alike because of global financial crises. The main contributions of the thesis can be grouped in four broad items.
Firstly, we propose a novel categorization of the risk measures advanced in recent years based on the modeling assumptions they rely upon. We identified four categories: measures based on portfolio theory, econometric indicators, network analysis and measures based on multivariate default distribution.
The second set of contributions regards the CIMDO framework, a methodology heavily used in systemic risk studies. We proved a new theoretical independence result that significantly extended previous ones. We also performed a comprehensive stability study where every input of the methodology was considered and whose conclusions should serve as guidance for future CIMDO users.
The third contribution is a new contagion model that is both tractable and flexible enough to be used with heterogeneous portfolios. We provided several theoretical results with respect to both marginal and joint default distribution. We also detailed a recursive algorithm to calculate the portfolio loss distribution in an efficient way. An application to the problem of pricing and hedging CDO products is hence shown.
Lastly, we introduced a new systemic risk measure in the context of contagion models called contagion loss ratio (CLR). It is based on attributing losses to either idiosyncratic or infection-driven events and represents the percentage of the total portfolio losses due to contagion. We showed how to calculate it in a variety of models and presented an application to the problem of banking stability.
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Andreoli, Alessandro. "Scaling and Multiscaling in Financial Indexes: A Simple Model." Doctoral thesis, Università degli studi di Padova, 2011. http://hdl.handle.net/11577/3423340.
Full textAbstract:
In this Ph.D Thesis we propose a simple stochastic model for time series which is analytically tractable, easy to simulate and which captures some relevant stylized facts of financial indexes, including scaling properties.
We show that the model fits the Dow Jones Industrial Average time series in the period 1935-2009 with a remarkable accuracy and finally we derive some results on option pricingIn questa tesi di Dottorato proponiamo un semplice modello stocastico per serie storiche, che presenta le seguenti caratteristiche: è analiticamente trattabile, facile da simulare e cattura alcuni importanti fatti stilizzati degli indici finanziari, fra cui proprietà di scaling. Inoltre, mostriamo che il modello ha un ottimo fit con la serie storica del Dow Jones Industrial Average fra il 1935-2009, e infine deriviamo alcuni risultati di option pricing per tale modello
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SANTANTONIO, Marco. "Household partecipation in the supplementary pension schemes : determinants and the role of housing in Italy." Doctoral thesis, Università degli studi di Bergamo, 2015. http://hdl.handle.net/10446/31882.
Full text
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Bertolini, Marina. "Smart grids, energy production and private investments: a real option approach." Doctoral thesis, Università degli studi di Padova, 2015. http://hdl.handle.net/11577/3423871.
Full textAbstract:
In Italy – and in the countries working for GHG emissions reduction - the last decade was characterized by a large development of distributed generation power plant. Private investment in the sector have been heavily boosted with monetary incentives, like guaranteed feed-in tariffs, especially for the photovoltaic sector. These incentives, on one hand, allowed for developing photovoltaic technology faster, guaranteeing payoffs for huge initial investments, but on the other hand they cause an increase in public costs, regarding both monetary disbursement to pay incentives and system costs connected to the management of a number of energy sources not efficiently integrated. To allow the development of photovoltaic energy production in a sustainable way, it’s necessary to find how to design economic payoff for private investors and to ask them to collaborate for system balancing and management: this objective shall be reached implementing a Smart Grid.
Methods
In our work, we consider a private energy consumer that have the possibility to invest in a photovoltaic power plant, from which it’s possible to directly consume electricity for private use, or to sell it to the market: in this way, the consumer becomes a potential prosumer, whose plant dimension (power) will be a result of the investment evaluation. To evaluate the investment decision, the consumer shall compare if the new condition allows for savings on energy expenditure: in order to do this, we perform a real option analysis of the private cost function, considering as possibilities for the prosumer 1) buy all the energy from the main grid and sell energy privately produced outside; 2) consume all the energy produced with the photovoltaic plant and buy outside only what exceeds the private production; 3) a mix of the two. Decision depends on prices: external energy price is fixed with a contract; selling price to the grid is uncertain and it depends on instantaneous technical grid necessities – Smart Grid tools allow for instantaneous information exchange on grid status and immediate agent reaction to the signals.
Results
The analysis shows that external energy price (national grid price) is not affecting decisions on plant dimension, but is relevant while deciding when to invest. Selling price, indeed, influences investment decisions on plant size: if the investor is given the possibility to sell energy to the grid, it could be convenient to choose a higher level of plant power. Since the selling price is the expression of grid technical needs (such as balancing), we can deduce that investments will take place preferably where 1) the possibility for the prosumer to participate to grid management through decisions on production and consumption is present – with Smart Grid tools and 2) where technical characteristics of the grid ask for more support from the local agents (higher energy selling prices).
Conclusions
The development of distributed power plant, in the future, shall be managed through a system that allow for a better integration of renewable energy plants, calling for private actions helping grid management.
The Smart Grid environment allows for an instantaneous interaction between the agent and the grid: depending on its needs, the grid can send signals (through prices) to the agents, and the agents have the possibility to respond to the signals having a monetary gain. In this way, the system can allow for better integration of the renewable – that collaborate in keeping the grid stable – and for a photovoltaic development without costly monetary incentives. What is relevant, indeed, is that this value is created by a Smart Grid, on which we shall invest.Il lavoro di Tesi del dott. Marina Bertolini comprende argomenti di attualità nell’ambito dello studio della valutazione degli investimenti nel settore delle energie rinnovabili. Il lavoro di tesi si articola in tre parti: - La prima parte della tesi è incentrata sulla review della letteratura relativa alle smart grid, con particolare focus sui temi economici rilevanti. In particolare, i problemi di policy che sono emersi dall’analisi sono: 1. Necessità di gestione sicura dei dati, garanzie di privacy per gli utenti e sistemi di difesa da attacchi informatici (es. manipolazione di prezzi, manipolazione delle informazioni sullo stato della rete), aspetto che incide sia sulla sicurezza del sistema, sia sull’accettazione sociale delle nuove regole; 2. Definizione di nuovi mercati e nuove regole, che consentano l’interazione tra i diversi agenti; 3. Gestione e controllo delle forze di mercato, soprattutto in conseguenza all’elevata mole di informazioni sensibili gestite dagli operatori; 4. Redistribuzione degli oneri e dei benefici dell’implementazione della smart grid (ad esempio, gestione delle utenze con domanda rigida). - La seconda parte della tesi presenta un modello di valutazione per l’investimento privato in un impianto fotovoltaico inserito in una smart grid. L’agente economico, decidendo di investire nell’impianto per minimizzare i propri costi energetici, diventa un produttore-consumatore (prosumer). Il valore dell’investimento per il privato deriva anche dalle flessibilità di gestione determinate dalla opportunità di interagire in modo attivo con la rete. Il modello è stato sviluppato secondo la teoria della valutazione degli investimenti con il metodo delle opzioni reali: il calcolo proposto è stato applicato, utilizzando dati provenienti dal mercato elettrico italiano, in una serie di simulazioni. I risultati degli scenari hanno portato ad identificare quali sono i casi in cui l’investitore decide di entrare nel mercato come prosumer. - La terza parte della tesi riguarda il problema del recupero delle aree produttive: l’argomento è affrontato considerando le incertezze sui costi di recupero posti in capo al privato e – per contro – i possibili vantaggi e le opportunità che si presentano per il soggetto che si insedia in un’area caratterizzata dalla presenza di infrastrutture.
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Miglietta, Giulio. "Topics in Interest Rate Modeling." Doctoral thesis, Università degli studi di Padova, 2015. http://hdl.handle.net/11577/3423897.
Full textAbstract:
In this thesis, we address some issues in the mathematical modeling of the term structure of interest rates. In Chapter 1, we set the notation, recall some fundamental results and analyze the problems which will be tackled in the thesis, in particular the distinction between instantaneous and discrete rates and the so-called multiple curve framework. In
Chapter 2, we propose a multiple-curve model for the instantaneous spot rate and give a fundamental condition to automatically calibrate it to the initial term structure, whereas in Chapter 3 we put forward an HJM multiple-curve model for the instantaneous forward rates and study its freedom from arbitrage opportunities. Finally, in Chapter 4, we introduce the concept of an instantaneous swap rate and build arbitrage-free coterminal and coinitial models around it.In questa tesi affrontiamo alcuni problemi relativi alla modellizzazione matematica della struttura a termine dei tassi di interesse. Nel Capitolo 1, impostiamo la notazione, ricordiamo alcuni risultati fondamentali e analizziamo i problemi che verranno affrontati nella tesi, in particolare la distinzione tra tassi istantanei e tassi discreti e il cosiddetto framework multicurva. Nel Capitolo 2, proponiamo un modello a multicurva per il tasso spot istantaneo e diamo una condizione fondamentale affinchè esso sia automaticamente calibrato alla struttura iniziale, mentre nel Capitolo 3 proponiamo un modello multicurva per i tassi forward istantanei di tipo HJM e studiamo la relativa assenza di opportunita di arbitraggio. Inne, nel Capitolo 4, introduciamo il concetto di tasso swap istantaneo e vi costruiamo attorno dei modelli privi di arbitraggio di tipo coterminal e coinitial.
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NDOCI, Alda. "First passage times with Markov processes in porfolio selection problems." Doctoral thesis, Università degli studi di Bergamo, 2015. http://hdl.handle.net/10446/31899.
Full textAbstract:
This thesis analyses the impact of parametric timing portfolio strategies on the U.S. stock market.
In particular, we assume that the log-returns follow a given parametric Lévy process and we describe a methodology to approximate the distributions of stopping times using the underlying Markov transition matrix. We extend the analysis to non-Lévy processes, considering Markov Regime switching model and the log-Student-t model.
Therefore, we propose the use of portfolio strategies based on the maximization of the ratio between the expected first passage time to reach a low level of wealth and the expected first passage time to reach a high level of wealth.
Finally, we compare the ex-post wealth obtained maximizing the ratio of proper expected stopping times under different distributional assumptions.
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CORTESI, Maurizio. "Essays on trust." Doctoral thesis, Università degli studi di Bergamo, 2010. http://hdl.handle.net/10446/523.
Full textAbstract:
This Doctoral Thesis is built around these insights and the main objective is to define a theoretical framework for the analysis of trust dynamics. It is constituted of three papers. The first one is a broad and deep overview of the research on the topic of trust. The objective is to demonstrate how pervasive the concept is in academic research, independent of disciplines. In the other two papers, two models are presented, one dealing with a dyadic interaction setting, and another dealing with a social setting. Both models investigate trust dynamics with a particular focus on its primitives. The aim is to demonstrate how beliefs and preferences play a fundamental role in shaping trust and its consequences. Attention is also given to the social and cultural dimensions of trust.
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PETRONIO, Filomena. "A stochastic model for a small producer with termal units, wind power plants and storage technologies." Doctoral thesis, Università degli studi di Bergamo, 2012. http://hdl.handle.net/10446/26714.
Full textAbstract:
Renewable energy plays an important role in the world. Especially wind is considered one of the most important renewable resources and is probably the fastest growing renewable energy source in the world. However, renewable energy has been exploited only to a small fraction of its potential. This is due to the existence of several types of barriers to the penetration of this kind of resources. For this reason, in recent years, is considered increasingly important the development of storage technologies, that seems to have the potential to play key role in providing renewable energy.
We develop a stochastic optimization model whereby a small energy producer aims at meeting a part of the market demand, in order to maximize his own profits. In our formulation, the producer can use both traditional energy sources and wind energy, and some specific kind of storage technology. The stochastic model represents a decision support tool, on a short time horizon, that allows to evaluate the variability of both wind resource and energy prices, and the impact of using innovative storage technologies. We focus also on the role of spinning reserve, that is requested when the producer uses an intermittent energy source.
An overview, of both renewable energy and storage technologies, is presented. Some results are shown, concerning the use of some types of storage technologies and both thermal and wind energy. In particular, it highlights how the model is proposed as a tool to evaluate the effectiveness of a storage technology.
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CANNAS, GIUSEPPINA. "A quantitative model for the asset liability management of a Pension Fund." Doctoral thesis, Università degli Studi di Cagliari, 2011. http://hdl.handle.net/11584/265933.
Full textAbstract:
The key objective of pension plans is the delivery of retirement benefits, typically payable for life or a set period of time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets.
This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks.
The thesis unfolds as follows: Chapter 1 includes a basic introduction to pension systems. The topics addressed here are: how to classify pension systems, the main characteristics of each kind of system, examples of major systems and the important reforms that have been implemented in Italy; the chapter ends with a description of Italian professional order pension funds. Chapter
2 describes asset liability management techniques in pension schemes; it contains a review on major literature on asset liability management and a discussion on interested parties in this topic and on policies and instruments which can be adopted. Chapter 3 contains an original model to determine the optimal financial investment policy in a pension fund, considering both financialand actuarial risk. Moreover, the model takes care of the pension plan’s sustainability, i.e. of the balance between the active and retired members.
Chapter 4 is a numerical application of the model described in the previous chapter to a real Italian pension fund. Finally, in Chapter 5 conclusions are drawn related to the question asked.