Dupire's formula for exponential Lévy models

Questa tesi è incentrata sull'analisi della formula di Dupire, che permette di ottenere un'espressione della volatilità locale, nei modelli di Lévy esponenziali. Vengono studiati i modelli di mercato Merton, Kou e Variance Gamma dimostrando che quando si è off the money la volatilità locale tende ad infinito per il tempo di maturità delle opzioni che tende a zero. In particolare viene proposta una procedura di regolarizzazione tale per cui il processo di volatilità locale di Dupire ricrea i corretti prezzi delle opzioni anche quando si ha la presenza di salti. Infine tale risultato viene provato numericamente risolvendo il problema di Cauchy per i prezzi delle opzioni.

Local and nonlocal integro-differential reaction-diffusion models for protein dynamics in Alzheimer's disease

In this work, integro-differential reaction-diffusion models are presented for the description of the temporal and spatial evolution of the concentrations of Abeta and tau proteins involved in Alzheimer's disease. Initially, a local model is analysed: this is obtained by coupling with an interaction term two heterodimer models, modified by adding diffusion and Holling functional terms of the second type. We then move on to the presentation of three nonlocal models, which differ according to the type of the growth (exponential, logistic or Gompertzian) considered for healthy proteins. In these models integral terms are introduced to consider the interaction between proteins that are located at different spatial points possibly far apart. For each of the models introduced, the determination of equilibrium points with their stability and a study of the clearance inequalities are carried out. In addition, since the integrals introduced imply a spatial nonlocality in the models exhibited, some general features of nonlocal models are presented. Afterwards, with the aim of developing simulations, it is decided to transfer the nonlocal models to a brain graph called connectome. Therefore, after setting out the construction of such a graph, we move on to the description of Laplacian and convolution operations on a graph. Taking advantage of all these elements, we finally move on to the translation of the continuous models described above into discrete models on the connectome. To conclude, the results of some simulations concerning the discrete models just derived are presented.