Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Studio e ricostruzione delle distribuzioni granulometriche interne al grano in motori a propellente solido

The main purposes of this essay were to investigate in detail the burning rate anomaly phenomenon, also known as "Hump Effect", in solid rocket motors casted in mandrel and the mechanisms at the base of it, as well as the developing of a numeric code, in Matlab environment, in order to obtain a forecasting tool to generate concentration and orientation maps of the particles within the grain. The importance of these analysis is due to the fact that the forecasts of ballistics curves in new motors have to be improved in order to reduce the amount of experimental tests needed for the characterization of their ballistic behavior. This graduate work is divided into two parts. The first one is about bidimensional and tridimensional simulations on z9 motor casting process. The simulations have been carried out respectively with Fluent and Flow 3D. The second one is about the analysis of fluid dynamic data and the developing of numeric codes which give information about the concentration and orientation of particles within the grain based on fluid strain rate information which are extrapolated from CFD software.

Study of Co-based hydrotalcite-derived mixed metal oxides partially modified with silver as potential catalysts for N2O decomposition

Co-Al-Ox mixed metal oxides partially modified with Cu or Mg, as well as Ag were successfully prepared, characterized and evaluated as potential catalysts for the N2O decomposition. The materials were characterized by the following techniques: X-Ray Diffraction, Thermogravimetric Analysis (TGA), N2 Physisorption, Hydrogen Temperature-Programmed Reduction (H2-TPR), and X-ray photoelectron spectroscopy (XPS). Ag-modified HT-derived mixed oxides showed enhanced activity compared to the undoped materials, the optimum composition was found for (1 wt.% Ag)CHT-Co3Al. The catalyst characterization studies suggested that the improved catalytic activity of Ag-promoted catalysts were mainly because of the altered redox properties of the materials.