We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the… (More)
We test both the SABR model  and the shifted-lognormal mixture model  as far as the joint calibration to swaption smiles and CMS swap spreads is concerned. Such a joint calibration is essential to consistently recover implied volatilities for non-quoted strikes and CMS adjustments for any expiry-tenor pair.
We introduce a general class of analytically tractable models for the dynamics of an asset price based on the assumption that the asset-price density is given by the mixture of known basic densities. We consider the lognormal-mixture model as a fundamental example, deriving explicit dynamics, closed form formulas for option prices and analytical… (More)
BACKGROUND Because of the extreme genetic variability of hepatitis C virus (HCV), we analyzed whether specific HCV-genotypes are differently prone to develop resistance to linear and macrocyclic protease-inhibitors (PIs). METHODS The study includes 1568 NS3-protease sequences, isolated from PI-naive patients infected with HCV-genotypes 1a (N = 621), 1b (N… (More)
We price the surrender option embedded in two common types of guaranteed participating Italian life contracts and we adopt the Least Squares Monte Carlo approach following Longstaff and Schwartz (2001) giving a comparative analysis with the results obtained through a Recursive Tree Binomial approach according to Bacinello (2003). We present an application… (More)
In this article, we start by briefly reviewing the approach proposed by Jarrow and Yildirim (2003) for modelling inflation and nominal rates in a consistent way. Their methodology is applied to the pricing of general inflation-indexed swaps and options. We then introduce two different market model approaches to price inflation swaps, caps and floors.… (More)
BACKGROUND The third variable loop (V3) of the HIV-1 gp120 surface protein is a major determinant of cellular co-receptor binding. However, HIV-1 can also modulate its tropism through other regions in gp120, such as V1, V2 and C4 regions, as well as in the gp41 protein. Moreover, specific changes in gp41 are likely to be responsible for of damage in… (More)