The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

Characterisation and calibration of optical counters for airborne particulate matter

Gli aerosol, sospensione colloidale in aria di particelle solide o liquide, sono parte integrante dell’atmosfera. Essi interagiscono con la radiazione solare influenzando il clima (effetto primario e secondario) e la visibilità atmosferica. Gli aerosol hanno effetti sulla salute umana con patologie degli apparati cardiovascolare e circolatorio. La presente tesi affronta alcuni aspetti critici dei contatori ottici di particelle (OPC), utilizzati per caratterizzare l’aerosol ambientale. Gli OPC si basano sullo scattering luminoso per fornire la concentrazione in numero e la distribuzione dimensionale degli aerosol in tempo reale. Gli obiettivi di questa tesi sono: 1)caratterizzare e migliorare le prestazioni di un OPC di nuova concezione (CompactOPC N1, Alphasense; in seguito COPC) rispetto a un OPC standard commerciale (Grimm 1.108; in seguito GRM); 2)realizzare un banco di prova per la calibrazione di un OPC utilizzato in camere bianche e ambienti sanitari (Laser Particle Sensor 3715-00, Kanomax; in seguito LPS). Per questa attività ha mostrato interesse un’azienda locale (Pollution Clean Air Systems S.p.A.; Budrio, BO). Le prove sperimentali sono state effettuate con aerosol indoor e con particelle monodisperse di latex polistirene (PSL) di dimensioni differenti campionando in parallelo con i diversi OPC e su filtro per osservazioni al microscopio elettronico a scansione (SEM). In questo modo si è ottenuto un valore assoluto di riferimento per la concentrazione di aerosol. I risultati ottenuti indicano un buon accordo tra le concentrazioni di particelle fornite dal GRM e quelle ottenute al SEM. Il lavoro ha inoltre permesso di migliorare le prestazioni del COPC modificando la versione di base. Inoltre, è stata effettuata la calibrazione del LPS tramite il banco di prova realizzato nella tesi. Il lavoro sperimentale è stato svolto presso il Laboratorio di Aerosol e Fisica delle Nubi dell’Istituto di Scienze dell’Atmosfera e del Clima (ISAC) del Consiglio Nazionale delle Ricerche (CNR) a Bologna.

Studio e implementazione di tecniche di Hand Eye Calibration di un Braccio Robotico

La tesi indaga il problema di calibrazione Hand Eye, ovvero la trasformazione geometrica fra i diversi sistemi di riferimento della camera e dell'attuatore del robot, presentando il problema ed analizzando le varie soluzioni proposte in letteratura. Viene infine presentata una implementazione realizzata in collaborazione con l'azienda SpecialVideo, implementata utilizzando l'algoritmo proposto da Konstantinos Daniilidis, il quale propone una formulazione del problema sfruttando l'utilizzo di quaternioni duali, risolvendo simultaneamente la parte rotatoria e traslatoria della trasformazione. Si conclude il lavoro con una analisi dell'efficacia del metodo implementato su dati simulati e proponendo eventuali estensioni, allo scopo di poter riutilizzare in futuro il lavoro svolto nel software aziendale, con dati reali e con diversi tipi di telecamere, principalmente camere lineari o laser.

Study of the calibration method of pressure-velocity probes and its application in a field of progressive plane waves

This dissertation presents a calibration procedure for a pressure velocity probe. The dissertation is divided into four main chapters. The first chapter is divided into six main sections. In the firsts two, the wave equation in fluids and the velocity of sound in gases are calculated, the third section contains a general solution of the wave equation in the case of plane acoustic waves. Section four and five report the definition of the acoustic impedance and admittance, and the practical units the sound level is measured with, i.e. the decibel scale. Finally, the last section of the chapter is about the theory linked to the frequency analysis of a sound wave and includes the analysis of sound in bands and the discrete Fourier analysis, with the definition of some important functions. The second chapter describes different reference field calibration procedures that are used to calibrate the P-V probes, between them the progressive plane wave method, which is that has been used in this work. Finally, the last section of the chapter contains a description of the working principles of the two transducers that have been used, with a focus on the velocity one. The third chapter of the dissertation is devoted to the explanation of the calibration set up and the instruments used for the data acquisition and analysis. Since software routines were extremely important, this chapter includes a dedicated section on them and the proprietary routines most used are thoroughly explained. Finally, there is the description of the work that has been done, which is identified with three different phases, where the data acquired and the results obtained are presented. All the graphs and data reported were obtained through the Matlab® routine. As for the last chapter, it briefly presents all the work that has been done as well as an excursus on a new probe and on the way the procedure implemented in this dissertation could be applied in the case of a general field.

Virtual Calibration of CO2 and Pollutant Emissions of a High-Performance PHEV using Model-in-the-Loop Methodology

The study analyses the calibration process of a newly developed high-performance plug-in hybrid electric passenger car powertrain. The complexity of modern powertrains and the more and more restrictive regulations regarding pollutant emissions are the primary challenges for the calibration of a vehicle’s powertrain. In addition, the managers of OEM need to know as earlier as possible if the vehicle under development will meet the target technical features (emission included). This leads to the necessity for advanced calibration methodologies, in order to keep the development of the powertrain robust, time and cost effective. The suggested solution is the virtual calibration, that allows the tuning of control functions of a powertrain before having it built. The aim of this study is to calibrate virtually the hybrid control unit functions in order to optimize the pollutant emissions and the fuel consumption. Starting from the model of the conventional vehicle, the powertrain is then hybridized and integrated with emissions and aftertreatments models. After its validation, the hybrid control unit strategies are optimized using the Model-in-the-Loop testing methodology. The calibration activities will proceed thanks to the implementation of a Hardware-in-the-Loop environment, that will allow to test and calibrate the Engine and Transmission control units effectively, besides in a time and cost saving manner.

Optimal pose selection for the calibration of an overconstrained Cable-Driven Parallel Robot

In this project an optimal pose selection method for the calibration of an overconstrained Cable-Driven Parallel robot is presented. This manipulator belongs to a subcategory of parallel robots, where the classic rigid "legs" are replaced by cables. Cables are flexible elements that bring advantages and disadvantages to the robot modeling. For this reason, there are many open research issues, and the calibration of geometric parameters is one of them. The identification of the geometry of a robot, in particular, is usually called Kinematic Calibration. Many methods have been proposed in the past years for the solution of the latter problem. Although these methods are based on calibration using different kinematic models, when the robot’s geometry becomes more complex, their robustness and reliability decrease. This fact makes the selection of the calibration poses more complicated. The position and the orientation of the endeffector in the workspace become important in terms of selection. Thus, in general, it is necessary to evaluate the robustness of the chosen calibration method, by means, for example, of a parameter such as the observability index. In fact, it is known from the theory, that the maximization of the above mentioned index identifies the best choice of calibration poses, and consequently, using this pose set may improve the calibration process. The objective of this thesis is to analyze optimization algorithms which aim to calculate an optimal choice of poses both in quantitative and qualitative terms. Quantitatively, because it is of fundamental importance to understand how many poses are needed. Not necessarily a greater number of poses leads to a better result. Qualitatively, because it is useful to understand if the selected combination of poses actually gives additional information in the process of the identification of the parameters.

Nonlinear modelling of non-structural masonry walls under a low-intensity earthquake motion: calibration through a parametric study

This thesis aims to understand the behavior of a low-rise unreinforced masonry building (URM), the typical residential house in the Netherlands, when subjected to low-intensity earthquakes. In fact, in the last decades, the Groningen region was hit by several shallow earthquakes caused by the extraction of natural gas. In particular, the focus is addressed to the internal non-structural walls and to their interaction with the structural parts of the building. A simple and cost-efficient 2D FEM model is developed, focused on the interfaces representing mortar layers that are present between the non-structural walls and the rest of the structure. As a reference for geometries and materials, it has been taken into consideration a prototype that was built in full-scale at the EUCENTRE laboratory of Pavia (Italy). Firstly, a quasi-static analysis is performed by gradually applying a prescribed displacement on the roof floor of the structure. Sensitivity analyses are conducted on some key parameters characterizing mortar. This analysis allows for the calibration of their values and the evaluation of the reliability of the model. Successively, a transient analysis is performed to effectively subject the model to a seismic action and hence also evaluate the mechanical response of the building over time. Moreover, it was possible to compare the results of this analysis with the displacements recorded in the experimental tests by creating a model representing the entire considered structure. As a result, some conditions for the model calibration are defined. The reliability of the model is then confirmed by both the reasonable results obtained from the sensitivity analysis and the compatibility of the values obtained for the top displacement of the roof floor of the experimental test, and the same value acquired from the structural model.

Calibration of the detector flight models for the HERMES and SPIRIT nanosatellite missions

The High Energy Rapid Modular Ensemble of Satellites (HERMES) is a new mission concept involving the development of a constellation of six CubeSats in low Earth orbit with new miniaturized instruments that host a hybrid Silicon Drift Detector/GAGG:Ce based system for X-ray and γ-ray detection, aiming to monitor high-energy cosmic transients, such as Gamma Ray Bursts and the electromagnetic counterparts of gravitational wave events. The HERMES constellation will also operate together with the Australian-Italian SpIRIT mission, which will house a HERMES-like detector. The HERMES pathfinder mini-constellation, consisting of six satellites plus SpIRIT, is likely to be launched in 2023. The HERMES detectors are based on the heritage of the Italian ReDSoX collaboration, with joint design and production by INFN-Trieste and Fondazione Bruno Kessler, and the involvement of several Italian research institutes and universities. An application-specific, low-noise, low-power integrated circuit (ASIC) called LYRA was conceived and designed for the HERMES readout electronics. My thesis project focuses on the ground calibrations of the first HERMES and SpIRIT flight detectors, with a performance assessment and characterization of the detectors. The first part of this work addresses measurements and experimental tests on laboratory prototypes of the HERMES detectors and their front-end electronics, while the second part is based on the design of the experimental setup for flight detector calibrations and related functional tests for data acquisition, as well as the development of the calibration software. In more detail, the calibration parameters (such as the gain of each detector channel) are determined using measurements with radioactive sources, performed at different operating temperatures between -20°C and +20°C by placing the detector in a suitable climate chamber. The final part of the thesis involves the analysis of the calibration data and a discussion of the results.

Development and Automatization of a Planar Jet Wind Tunnel for the X-wire Calibration

The scope of this study is to design an automatic control system and create an automatic x-wire calibrator for a facility named Plane Air Tunnel; whose exit creates planar jet flow. The controlling power state as well as automatic speed adjustment of the inverter has been achieved. Thus, the wind tunnel can be run with respect to any desired speed and the x-wire can automatically be calibrated at that speed. To achieve that, VI programming using the LabView environment was learned, to acquire the pressure and temperature, and to calculate the velocity based on the acquisition data thanks to a pitot-static tube. Furthermore, communication with the inverter to give the commands for power on/off and speed control was also done using the LabView VI coding environment. The connection of the computer to the inverter was achieved by the proper cabling using DAQmx Analog/Digital (A/D) input/output (I/O). Moreover, the pressure profile along the streamwise direction of the plane air tunnel was studied. Pressure tappings and a multichannel pressure scanner were used to acquire the pressure values at different locations. Thanks to that, the aerodynamic efficiency of the contraction ratio was observed, and the pressure behavior was related to the velocity at the exit section. Furthermore, the control of the speed was accomplished by implementing a closed-loop PI controller on the LabView environment with and without using a pitot-static tube thanks to the pressure behavior information. The responses of the two controllers were analyzed and commented on by giving suggestions. In addition, hot wire experiments were performed to calibrate automatically and investigate the velocity profile of a turbulent planar jet. To be able to analyze the results, the physics of turbulent planar jet flow was studied. The fundamental terms, the methods used in the derivation of the equations, velocity profile, shear stress behavior, and the effect of vorticity were reviewed.

Calibration of design strength values of Wire and Arc Additive Manufacturing inclined bars and intersections

Although being studied only for few years, Wire and Arc Additive Manufacturing (WAAM) will become the predominant way of producing stainless-steel elements in a near-like future. The analysis and study of such elements has yet to be defined in a proper way, but the projects regarding this subject are innovating more and more thanks to the findings discovered by the latter. This thesis is focused on an initial stage on the analysis of mechanical and geometrical properties of such stainless-steel elements produced by MX3D laboratories in Amsterdam, and to perform a calibration of the design strength values by means of Annex D of Eurocode 0, which talks about the analysis of the semi-probabilistic safety factors, hence the definition of characteristic values. Moreover, after testing the stainless-steel specimens by means of strain gauges and after obtaining mechanical and geometrical properties, a statistical analysis of such properties and an evaluation of characteristic values is performed. After this, there is to execute the calibration of design strength values of WAAM inclined bars and intersections.