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.

Fluctuation properties in random walks on networks and simple integrate and fire models

In questa tesi si è studiato l’insorgere di eventi critici in un semplice modello neurale del tipo Integrate and Fire, basato su processi dinamici stocastici markoviani definiti su una rete. Il segnale neurale elettrico è stato modellato da un flusso di particelle. Si è concentrata l’attenzione sulla fase transiente del sistema, cercando di identificare fenomeni simili alla sincronizzazione neurale, la quale può essere considerata un evento critico. Sono state studiate reti particolarmente semplici, trovando che il modello proposto ha la capacità di produrre effetti "a cascata" nell’attività neurale, dovuti a Self Organized Criticality (auto organizzazione del sistema in stati instabili); questi effetti non vengono invece osservati in Random Walks sulle stesse reti. Si è visto che un piccolo stimolo random è capace di generare nell’attività della rete delle fluttuazioni notevoli, in particolar modo se il sistema si trova in una fase al limite dell’equilibrio. I picchi di attività così rilevati sono stati interpretati come valanghe di segnale neurale, fenomeno riconducibile alla sincronizzazione.

Statistical Mechanics of Monomer-Dimer Models on Complete and Erdös-Rényi Graphs

Nella tesi sono trattate due famiglie di modelli meccanico statistici su vari grafi: i modelli di spin ferromagnetici (o di Ising) e i modelli di monomero-dimero. Il primo capitolo è dedicato principalmente allo studio del lavoro di Dembo e Montanari, in cui viene risolto il modello di Ising su grafi aleatori. Nel secondo capitolo vengono studiati i modelli di monomero-dimero, a partire dal lavoro di Heilemann e Lieb,con l'intento di dare contributi nuovi alla teoria. I principali temi trattati sono disuguaglianze di correlazione, soluzioni esatte su alcuni grafi ad albero e sul grafo completo, la concentrazione dell'energia libera intorno al proprio valor medio sul grafo aleatorio diluito di Erdös-Rényi.

Parametric Sensitivity Analysis of the Most Recent Computational Models of Rabbit Cardiac Pacemaking

The cellular basis of cardiac pacemaking activity, and specifically the quantitative contributions of particular mechanisms, is still debated. Reliable computational models of sinoatrial nodal (SAN) cells may provide mechanistic insights, but competing models are built from different data sets and with different underlying assumptions. To understand quantitative differences between alternative models, we performed thorough parameter sensitivity analyses of the SAN models of Maltsev & Lakatta (2009) and Severi et al (2012). Model parameters were randomized to generate a population of cell models with different properties, simulations performed with each set of random parameters generated 14 quantitative outputs that characterized cellular activity, and regression methods were used to analyze the population behavior. Clear differences between the two models were observed at every step of the analysis. Specifically: (1) SR Ca2+ pump activity had a greater effect on SAN cell cycle length (CL) in the Maltsev model; (2) conversely, parameters describing the funny current (If) had a greater effect on CL in the Severi model; (3) changes in rapid delayed rectifier conductance (GKr) had opposite effects on action potential amplitude in the two models; (4) within the population, a greater percentage of model cells failed to exhibit action potentials in the Maltsev model (27%) compared with the Severi model (7%), implying greater robustness in the latter; (5) confirming this initial impression, bifurcation analyses indicated that smaller relative changes in GKr or Na+-K+ pump activity led to failed action potentials in the Maltsev model. Overall, the results suggest experimental tests that can distinguish between models and alternative hypotheses, and the analysis offers strategies for developing anti-arrhythmic pharmaceuticals by predicting their effect on the pacemaking activity.

Study of a wind-wave numerical model and its integration with ocean and oil-spill numerical models

The ability to represent the transport and fate of an oil slick at the sea surface is a formidable task. By using an accurate numerical representation of oil evolution and movement in seawater, the possibility to asses and reduce the oil-spill pollution risk can be greatly improved. The blowing of the wind on the sea surface generates ocean waves, which give rise to transport of pollutants by wave-induced velocities that are known as Stokes’ Drift velocities. The Stokes’ Drift transport associated to a random gravity wave field is a function of the wave Energy Spectra that statistically fully describe it and that can be provided by a wave numerical model. Therefore, in order to perform an accurate numerical simulation of the oil motion in seawater, a coupling of the oil-spill model with a wave forecasting model is needed. In this Thesis work, the coupling of the MEDSLIK-II oil-spill numerical model with the SWAN wind-wave numerical model has been performed and tested. In order to improve the knowledge of the wind-wave model and its numerical performances, a preliminary sensitivity study to different SWAN model configuration has been carried out. The SWAN model results have been compared with the ISPRA directional buoys located at Venezia, Ancona and Monopoli and the best model settings have been detected. Then, high resolution currents provided by a relocatable model (SURF) have been used to force both the wave and the oil-spill models and its coupling with the SWAN model has been tested. The trajectories of four drifters have been simulated by using JONSWAP parametric spectra or SWAN directional-frequency energy output spectra and results have been compared with the real paths traveled by the drifters.

Statistical mechanics of polymer models: rigorous results and applications

Monomer-dimer models are amongst the models in statistical mechanics which found application in many areas of science, ranging from biology to social sciences. This model describes a many-body system in which monoatomic and diatomic particles subject to hard-core interactions get deposited on a graph. In our work we provide an extension of this model to higher-order particles. The aim of our work is threefold: first we study the thermodynamic properties of the newly introduced model. We solve analytically some regular cases and find that, differently from the original, our extension admits phase transitions. Then we tackle the inverse problem, both from an analytical and numerical perspective. Finally we propose an application to aggregation phenomena in virtual messaging services.