Jarrow-Yildirim model for inflation: theory and applications

This thesis deals with inflation theory, focussing on the model of Jarrow & Yildirim, which is nowadays used when pricing inflation derivatives. After recalling main results about short and forward interest rate models, the dynamics of the main components of the market are derived. Then the most important inflation-indexed derivatives are explained (zero coupon swap, year-on-year, cap and floor), and their pricing proceeding is shown step by step. Calibration is explained and performed with a common method and an heuristic and non standard one. The model is enriched with credit risk, too, which allows to take into account the possibility of bankrupt of the counterparty of a contract. In this context, the general method of pricing is derived, with the introduction of defaultable zero-coupon bonds, and the Monte Carlo method is treated in detailed and used to price a concrete example of contract. Appendixes: A: martingale measures, Girsanov's theorem and the change of numeraire. B: some aspects of the theory of Stochastic Differential Equations; in particular, the solution for linear EDSs, and the Feynman-Kac Theorem, which shows the connection between EDSs and Partial Differential Equations. C: some useful results about normal distribution.

Modelling the size distribution of cosmic voids

The Standard Cosmological Model is generally accepted by the scientific community, there are still an amount of unresolved issues. From the observable characteristics of the structures in the Universe,it should be possible to impose constraints on the cosmological parameters. Cosmic Voids (CV) are a major component of the LSS and have been shown to possess great potential for constraining DE and testing theories of gravity. But a gap between CV observations and theory still persists. A theoretical model for void statistical distribution as a function of size exists (SvdW) However, the SvdW model has been unsuccesful in reproducing the results obtained from cosmological simulations. This undermines the possibility of using voids as cosmological probes. The goal of our thesis work is to cover the gap between theoretical predictions and measured distributions of cosmic voids. We develop an algorithm to identify voids in simulations,consistently with theory. We inspecting the possibilities offered by a recently proposed refinement of the SvdW (the Vdn model, Jennings et al., 2013). Comparing void catalogues to theory, we validate the Vdn model, finding that it is reliable over a large range of radii, at all the redshifts considered and for all the cosmological models inspected. We have then searched for a size function model for voids identified in a distribution of biased tracers. We find that, naively applying the same procedure used for the unbiased tracers to a halo mock distribution does not provide success- full results, suggesting that the Vdn model requires to be reconsidered when dealing with biased samples. Thus, we test two alternative exten- sions of the model and find that two scaling relations exist: both the Dark Matter void radii and the underlying Dark Matter density contrast scale with the halo-defined void radii. We use these findings to develop a semi-analytical model which gives promising results.