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).

Limiting theorems in statistical mechanics. The mean-field case.

The Curie-Weiss model is defined by ah Hamiltonian according to spins interact. For some particular values of the parameters, the sum of the spins normalized with square-root normalization converges or not toward Gaussian distribution. In the thesis we investigate some correlations between the behaviour of the sum and the central limit for interacting random variables.

Automatic classification of stellar orbits in axisymmetric potentials

Within the classification of orbits in axisymmetric stellar systems, we present a new algorithm able to automatically classify the orbits according to their nature. The algorithm involves the application of the correlation integral method to the surface of section of the orbit; fitting the cumulative distribution function built with the consequents in the surface of section of the orbit, we can obtain the value of its logarithmic slope m which is directly related to the orbit’s nature: for slopes m ≈ 1 we expect the orbit to be regular, for slopes m ≈ 2 we expect it to be chaotic. With this method we have a fast and reliable way to classify orbits and, furthermore, we provide an analytical expression of the probability that an orbit is regular or chaotic given the logarithmic slope m of its correlation integral. Although this method works statistically well, the underlying algorithm can fail in some cases, misclassifying individual orbits under some peculiar circumstances. The performance of the algorithm benefits from a rich sampling of the traces of the SoS, which can be obtained with long numerical integration of orbits. Finally we note that the algorithm does not differentiate between the subtypes of regular orbits: resonantly trapped and untrapped orbits. Such distinction would be a useful feature, which we leave for future work. Since the result of the analysis is a probability linked to a Gaussian distribution, for the very definition of distribution, some orbits even if they have a certain nature are classified as belonging to the opposite class and create the probabilistic tails of the distribution. So while the method produces fair statistical results, it lacks in absolute classification precision.