Jarrow-Yildirim model for inflation: theory and applications

This thesis deals with inflation theory, focussing on the model of Jarrow & Yildirim, which is nowadays used when pricing inflation derivatives. After recalling main results about short and forward interest rate models, the dynamics of the main components of the market are derived. Then the most important inflation-indexed derivatives are explained (zero coupon swap, year-on-year, cap and floor), and their pricing proceeding is shown step by step. Calibration is explained and performed with a common method and an heuristic and non standard one. The model is enriched with credit risk, too, which allows to take into account the possibility of bankrupt of the counterparty of a contract. In this context, the general method of pricing is derived, with the introduction of defaultable zero-coupon bonds, and the Monte Carlo method is treated in detailed and used to price a concrete example of contract. Appendixes: A: martingale measures, Girsanov's theorem and the change of numeraire. B: some aspects of the theory of Stochastic Differential Equations; in particular, the solution for linear EDSs, and the Feynman-Kac Theorem, which shows the connection between EDSs and Partial Differential Equations. C: some useful results about normal distribution.

Efficiency limits for silicon/perovskite tandem solar cells: a theoretical model

The primary goal of this work is related to the extension of an analytic electro-optical model. It will be used to describe single-junction crystalline silicon solar cells and a silicon/perovskite tandem solar cell in the presence of light-trapping in order to calculate efficiency limits for such a device. In particular, our tandem system is composed by crystalline silicon and a perovskite structure material: metilammoniumleadtriiodide (MALI). Perovskite are among the most convenient materials for photovoltaics thanks to their reduced cost and increasing efficiencies. Solar cell efficiencies of devices using these materials increased from 3.8% in 2009 to a certified 20.1% in 2014 making this the fastest-advancing solar technology to date. Moreover, texturization increases the amount of light which can be absorbed through an active layer. Using Green’s formalism it is possible to calculate the photogeneration rate of a single-layer structure with Lambertian light trapping analytically. In this work we go further: we study the optical coupling between the two cells in our tandem system in order to calculate the photogeneration rate of the whole structure. We also model the electronic part of such a device by considering the perovskite top cell as an ideal diode and solving the drift-diffusion equation with appropriate boundary conditions for the silicon bottom cell. We have a four terminal structure, so our tandem system is totally unconstrained. Then we calculate the efficiency limits of our tandem including several recombination mechanisms such as Auger, SRH and surface recombination. We focus also on the dependence of the results on the band gap of the perovskite and we calculare an optimal band gap to optimize the tandem efficiency. The whole work has been continuously supported by a numerical validation of out analytic model against Silvaco ATLAS which solves drift-diffusion equations using a finite elements method. Our goal is to develop a simpler and cheaper, but accurate model to study such devices.

Analysis of Lead-Acid batteries with a third-order dynamical model

Electrical energy storage is a really important issue nowadays. As electricity is not easy to be directly stored, it can be stored in other forms and converted back to electricity when needed. As a consequence, storage technologies for electricity can be classified by the form of storage, and in particular we focus on electrochemical energy storage systems, better known as electrochemical batteries. Largely the more widespread batteries are the Lead-Acid ones, in the two main types known as flooded and valve-regulated. Batteries need to be present in many important applications such as in renewable energy systems and in motor vehicles. Consequently, in order to simulate these complex electrical systems, reliable battery models are needed. Although there exist some models developed by experts of chemistry, they are too complex and not expressed in terms of electrical networks. Thus, they are not convenient for a practical use by electrical engineers, who need to interface these models with other electrical systems models, usually described by means of electrical circuits. There are many techniques available in literature by which a battery can be modeled. Starting from the Thevenin based electrical model, it can be adapted to be more reliable for Lead-Acid battery type, with the addition of a parasitic reaction branch and a parallel network. The third-order formulation of this model can be chosen, being a trustworthy general-purpose model, characterized by a good ratio between accuracy and complexity. Considering the equivalent circuit network, all the useful equations describing the battery model are discussed, and then implemented one by one in Matlab/Simulink. The model has been finally validated, and then used to simulate the battery behaviour in different typical conditions.

A mathematical model of the early visual system and border completion via subriemannian Hamiltonian geodesics

In this thesis, we aim to discuss a simple mathematical model for the edge detection mechanism and the boundary completion problem in the human brain in a differential geometry framework. We describe the columnar structure of the primary visual cortex as the fiber bundle R2 × S1, the orientation bundle, and by introducing a first vector field on it, explain the edge detection process. Edges are detected through a lift from the domain in R2 into the manifold R2 × S1 and are horizontal to a completely non-integrable distribution. Therefore, we can construct a subriemannian structure on the manifold R2 × S1, through which we retrieve perceived smooth contours as subriemannian geodesics, solutions to Hamilton’s equations. To do so, in the first chapter, we illustrate the functioning of the most fundamental structures of the early visual system in the brain, from the retina to the primary visual cortex. We proceed with introducing the necessary concepts of differential and subriemannian geometry in chapters two and three. We finally implement our model in chapter four, where we conclude, comparing our results with the experimental findings of Heyes, Fields, and Hess on the existence of an association field.