This contribution studies the effects of credit contagion on the credit risk of a portfolio of bank loans. To this aim we introduce a model that takes into account the counterparty risk in a network of interdependent firms that describes the presence of business relations among different firms....

We analyze a class of binary dynamic models inspired by [4] on agents’ choices and social interaction. The main feature of our analysis is that agents are heterogeneous, in particular their attitude to interact with the choices of the other agents changes over time endogenously. Although...

This paper deals with non-monotonic Choquet integral, a generalization of the regular Choquet integral. The discrete non-monotonic Choquet integral is considered under the viewpoint of aggregation. In particular we give an axiomatic characterization of the class of non-monotonic Choquet...

In this paper we analyze the stochastic model proposed by Galam in [2], for information spreading in a `word-of-mouth' process among agents, based on a majority rule. Using the communications rules among agents defined in [2], we first perform simulations of the `word-of-mouth' process and...

This contribution deals with Monte Carlo simulation of generalized Gaussian random variables. Such a parametric family of distributions has been proposed in many applications in science to describe physical phenomena and in engineering, and it seems also useful in modeling economic and financial...

Consider a vertex-reinforced jump process defined on a regular tree, where each vertex has exactly b children, with b = 3. We prove the strong law of large numbers and the central limit theorem for the distance of the process from the root. Notice that it is still unknown if vertex-reinforced...

Richardson extrapolation (RE) is a commonly used technique in financial applications for accelerating the convergence of numerical methods. Particularly in option pricing, it is possible to refine the results of several approaches by applying RE, in order to avoid the difficulties of employing...

In a previous paper, we proposed two heuristic algorithms for the euclidean 2-period Balanced Travelling Salesman Problem (2B-TSP). In this problem, which arises from a similar one introduced by Butler et al., a certain number of customers must be visited at minimum total cost over a period of...

In this contribution we carried out a wide simulation analysis in order to study the contagion mechanism induced in a portfolio of bank loans by the presence of business relationships among the positions. To this aim we jointly apply a structural model based on a factor approach extended in...

We study the performance of four market protocols that lead to allocative efficiency: batch auction, continuous double auction, specialist dealership, and a hybrid of these last two. In a former study, we compared them with respect to several additional performance criteria under the assumption...