We devise a theoretical model for the optimal dynamical control of an infectious disease whose diffusion is described by the SVIR compartmental model. The control is realized through implementing social rules to reduce the disease’s spread, which often implies substantial economic and social...

In this paper we prove that the price of a defaultable bond, under a Vasicek short rate dynamic coupled with a Cox-Ingersoll-Ross default intensity model, is a real analytic function, in a neighborhood of the origin, of the correlation parameter between the Brownian motions driving the...

We consider the problem of computing the Value Adjustment of European contingent claims when default of either party is considered, possibly including also funding and collateralization requirements. As shown in Brigo et al. ({BLPS}, BFP}), this leads to a more articulate variety of Value...

In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black & Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment matching technique applied to a conditional Black & Scholes formula, is...