Adiabatic and local approximations for the kohn-sham potential in the hubbard model

We obtain the exact time-dependent Kohn-Sham potentials Vks for 1D Hubbard chains, driven by a d.c. external field, using the time-dependent electron density and current density obtained from exact many-body time-evolution. The exact Vxc is compared to the adiabatically-exact Vad-xc and the “instantaneous ground state” Vigs-xc. The effectiveness of these two approximations is analyzed. Approximations for the exchange-correlation potential Vxc and its gradient, based on the local density and on the local current density, are also considered and both physical quantities are observed to be far outside the reach of any possible local approximation. Insight into the respective roles of ground-state and excited-state correlation in the time-dependent system, as reflected in the potentials, is provided by the pair correlation function.

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Computing primal solutions with exact arithmetics in SCIP.

The research for exact solutions of mixed integer problems is an active topic in the scientific community. State-of-the-art MIP solvers exploit a floating- point numerical representation, therefore introducing small approximations. Although such MIP solvers yield reliable results for the majority of problems, there are cases in which a higher accuracy is required. Indeed, it is known that for some applications floating-point solvers provide falsely feasible solutions, i.e. solutions marked as feasible because of approximations that would not pass a check with exact arithmetic and cannot be practically implemented. The framework of the current dissertation is SCIP, a mixed integer programs solver mainly developed at Zuse Institute Berlin. In the same site we considered a new approach for exactly solving MIPs. Specifically, we developed a constraint handler to plug into SCIP, with the aim to analyze the accuracy of provided floating-point solutions and compute exact primal solutions starting from floating-point ones. We conducted a few computational experiments to test the exact primal constraint handler through the adoption of two main settings. Analysis mode allowed to collect statistics about current SCIP solutions' reliability. Our results confirm that floating-point solutions are accurate enough with respect to many instances. However, our analysis highlighted the presence of numerical errors of variable entity. By using the enforce mode, our constraint handler is able to suggest exact solutions starting from the integer part of a floating-point solution. With the latter setting, results show a general improvement of the quality of provided final solutions, without a significant loss of performances.

Alternative derivative expansion in Functional RG and application

We give a brief review of the Functional Renormalization method in quantum field theory, which is intrinsically non perturbative, in terms of both the Polchinski equation for the Wilsonian action and the Wetterich equation for the generator of the proper verteces. For the latter case we show a simple application for a theory with one real scalar field within the LPA and LPA' approximations. For the first case, instead, we give a covariant "Hamiltonian" version of the Polchinski equation which consists in doing a Legendre transform of the flow for the corresponding effective Lagrangian replacing arbitrary high order derivative of fields with momenta fields. This approach is suitable for studying new truncations in the derivative expansion. We apply this formulation for a theory with one real scalar field and, as a novel result, derive the flow equations for a theory with N real scalar fields with the O(N) internal symmetry. Within this new approach we analyze numerically the scaling solutions for N=1 in d=3 (critical Ising model), at the leading order in the derivative expansion with an infinite number of couplings, encoded in two functions V(phi) and Z(phi), obtaining an estimate for the quantum anomalous dimension with a 10% accuracy (confronting with Monte Carlo results).