Search results for "metodi"
showing 10 items of 940 documents
The impact of systemic and illiquidity risk on financing with risky collateral
2015
Abstract Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss of value of the collateral contingent on the borrower׳s default. For this reason, the haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the risk associated to volatility. However, other risk factors should be included in th…
The Structure of Financial Networks
2010
We present here an overview of the use of networks in Finance and Economics. We show how this approach enables us to address important questions as, for example, the structure of control chains in financial systems, the systemic risk associated with them and the evolution of trade between nations. All these results are new in the field and allow for a better understanding and modelling of different economic systems.
A Stochastic Programming Model for the Optimal Issuance of Government Bonds
2010
Sovereign states issue fixed and floating securities to fund their public debt. The value of such portfolios strongly depends on the fluctuations of the term structure of interest rates. This is a typical example of planning under uncertainty, where decisions has to be drawn on the base of the key stochastic economic factors underneath the model.We propose a multistage stochastic programming model to select portfolios of bonds, where the aim of the decision maker is that of minimizing the cost of the decision process. At the same time, we bound the conditional Value-at-Risk, a measure of risk which accounts for the losses of the tail distribution. We build an efficient frontier to trade-off…
DESIGN OPTIMIZATION AND ANALYSIS OF A NEW REAR UNDERRUN PROTECTIVE DEVICE FOR TRUCK
2010
In this paper the optimization process of a new High Energy Absorption Rear Underrun Protective Device called HEARUPD is discussed. The main objectives of the HEARUPD design optimization process have been related to the reduction in car decelerations (high crashworthiness) and avoiding the car underrun (high structure stability). In the implemented optimization process, the crash between an economy car (GEO Metro) and the rear part of a truck has been simulated by numerical models. A linear function of the decelerations measured on the car has been used as objective to minimize, the main dimensional values of the rear underrun protective device, instead, have been chosen as design variables…
Fluid–structure interaction of downwind sails: a new computational method
2018
The spreading of high computational resources at very low costs led, over the years, to develop new numerical approaches to simulate the fluid surrounding a sail and to investigate the fluidâstructure interaction. Most methods have concentrated on upwind sails, due to the difficulty of implementing downwind sailing configurations that present, usually, the problem of massive flow separation and large displacements of the sail under wind load. For these reasons, the problem of simulating the fluidâstructure interaction (FSI) on downwind sails is still subject of intensive investigation. In this paper, a new weak coupled procedure between a RANS solver and a FEM one has been implemented t…
Virtual simulation of an osseointegrated trans-humeral prosthesis: A falling scenario
2018
Abstract Introduction Traditional prosthetic solutions expose the amputee to numerous problems that limit his ability to safely perform the normal activities of daily life. In order to eliminate the problems related to the use of the traditional prosthesis with socket, a new technique was developed for fixing the prosthesis to the amputees based on the principle of osseointegration. The aim of this paper is to study and analyze the stress distribution on the interface between a trans-humeral osseointegrated prosthetic implant and the residual bone, identifying the most stressed areas and thus foreseeing possible failure phenomena of the entire prosthetic system and, after, to compare the st…
A New Systematic Series of Foil Sections with Parallel Sides
2020
Parallel-sided foil sections are used for centerboards and rudders in sailing dinghy classes and also for struts placed in a fluid flow. The objective of this work is to create a systematic series of parallel-sided sections to be used under different conditions, with an emphasis on the sailing dinghies 470, 420 and Optimist. The loss, and surprisingly the gain, in performance relative to 4-digit NACA sections are also investigated. A 2D Reynolds-averaged Navier&ndash
Asymptotic regime in N random interacting species
2005
The asymptotic regime of a complex ecosystem with \emph{N}random interacting species and in the presence of an external multiplicative noise is analyzed. We find the role of the external noise on the long time probability distribution of the i-th density species, the extinction of species and the local field acting on the i-th population. We analyze in detail the transient dynamics of this field and the cavity field, which is the field acting on the $i^{th}$ species when this is absent. We find that the presence or the absence of some population give different asymptotic distributions of these fields.
Two competing species in super-diffusive dynamical regimes
2010
The dynamics of two competing species within the framework of the generalized Lotka-Volterra equations, in the presence of multiplicative alpha-stable Lévy noise sources and a random time dependent interaction parameter, is studied. The species dynamics is characterized by two different dynamical regimes, exclusion of one species and coexistence of both, depending on the values of the interaction parameter, which obeys a Langevin equation with a periodically fluctuating bistable potential and an additive alpha-stable Lévy noise. The stochastic resonance phenomenon is analyzed for noise sources asymmetrically distributed. Finally, the effects of statistical dependence between multiplicative …
Stochastic resonance in a trapping overdamped monostable system.
2009
The response of a trapping overdamped monostable system to a harmonic perturbation is analyzed, in the context of stochastic resonance phenomenon. We consider the dynamics of a Brownian particle moving in a piecewise linear potential with a white Gaussian noise source. Based on linear-response theory and Laplace transform technique, analytical expressions of signal-to-noise ratio (SNR) and signal power amplification (SPA) are obtained. We find that the SNR is a nonmonotonic function of the noise intensity, while the SPA is monotonic. Theoretical results are compared with numerical simulations.