Mimicking the one-dimensional marginal distributions of stochastic diffusions

In the large maturity limit, we compute explicitly the Local Volatility surface for Heston, through Dupire’s formula, with Fourier pricing of the respective derivatives of the call price. Than we verify that the prices of European call options produced by the Heston model, concide with those given by the local volatility model where the Local Volatility is computed as said above.

One dimensional extended Hubbard model: two-particle bound states and resonances.

In questo lavoro di tesi è stato svolto uno studio analitico sul modello di Hubbard esteso unidimensionale al fine di osservare la presenza di eventuali risonanze che possano dare origine alla formazione di stati legati di due particelle. L'esistenza di uno stato legato stabile ha suscitato grande interesse negli ultimi anni, sia in ambito teorico che sperimentale, poichè è alla base di molti fenomeni che vengono osservati nei sistemi a molti corpi a basse temperature, come il BCS-BEC crossover. Pertanto si è ritenuto utile studiare il problema a due corpi nel modello di Hubbard esteso, che in generale non è integrabile. Il modello considerato contiene interazioni a primi e secondi vicini, in aggiunta all'interazione di contatto presente nel modello di Hubbard. Il problema è stato indagato analiticamente attraverso il Bethe ansatz, che consente di trovare tutti gli autovalori e le autofunzioni dell'Hamiltoniana. L'ansatz di Bethe sulla funzione d'onda è stato generalizzato per poter tener conto dei termini di interazione a più lungo raggio rispetto all'interazione di contatto. Si trova che, in questo modello, nel limite termodinamico, possono avvenire delle risonanze (o quasi-risonanze) in cui la lunghezza di scattering diverge, contrariamente a quanto avviene nel modello di Hubbard. Tale fenomeno si verifica quando il livello energetico discreto degli stati legati “tocca” la banda di scattering. Inoltre, con l'aggiunta di nuovi termini di interazione emergono nuovi stati legati. Nel caso in esame, si osservano due famiglie di stati legati, se lo spin totale delle due particelle è 1, e tre famiglie di stati legati, se lo spin totale è 0.

Organic matter deposition/resuspension in a one-dimensional physical-biogeochemical model. A modelling study

The shallow water configuration of the gulf of Trieste allows the propagation of the stress due to wind and waves along the whole water column down to the bottom. When the stress overcomes a particular threshold it produces resuspension processes of the benthic detritus. The benthic sediments in the North Adriatic are rich of organic matter, transported here by many rivers. This biological active particulate, when remaining in the water, can be transported in all the Adriatic basin by the basin-wide circulation. In this work is presented a first implementation of a resuspension/deposition submodel in the oceanographic coupled physical-biogeochemical 1-dimensional numerical model POM-BFM. At first has been considered the only climatological wind stress forcing, next has been introduced, on the surface, an annual cycle of wave motion and finally have been imposed some exceptional wave event in different periods of the year. The results show a strong relationship between the efficiency of the resuspension process and the stratification of the water column. During summer the strong stratification can contained a great quantity of suspended matter near to the bottom, while during winter even a low concentration of particulate can reach the surface and remains into the water for several months without settling and influencing the biogeochemical system. Looking at the biologic effects, the organic particulate, injected in the water column, allow a sudden growth of the pelagic bacteria which competes with the phytoplankton for nutrients strongly inhibiting its growth. This happen especially during summer when the suspended benthic detritus concentration is greater.

Electrolyte disorders in the human ventricle. A simulation study.

Ventricular cells are immersed in a bath of electrolytes and these ions are essential for a healthy heart and a regular rhythm. Maintaining physiological concentration of them is fundamental for reducing arrhythmias and risk of sudden cardiac death, especially in haemodialysis patients and in the heart diseases treatments. Models of electrically activity of the heart based on mathematical formulation are a part of the efforts to improve the understanding and prediction of heart behaviour. Modern models incorporate the extensive and ever increasing amounts of experimental data in incorporating biophysically detailed mechanisms to allow the detailed study of molecular and subcellular mechanisms of heart disease. The goal of this project was to simulate the effects of changes in potassium and calcium concentrations in the extracellular space between experimental data and and a description incorpored into two modern biophysically detailed models (Grandi et al. Model; O’Hara Rudy Model). Moreover the task was to analyze the changes in the ventricular electrical activity, in particular by studying the modifications on the simulated electrocardiographic signal. We used the cellular information obtained by the heart models in order to build a 1D tissue description. The fibre is composed by 165 cells, it is divided in four groups to differentiate the cell types that compound human ventricular tissue. The main results are the following: Grandi et al. (GBP) model is not even able to reproduce the correct action potential profile in hyperkalemia. Data from hospitalized patients indicates that the action potential duration (APD) should be shorter than physiological state but in this model we have the opposite. From the potassium point of view the results obtained by using O’Hara model (ORD) are in agreement with experimental data for the single cell action potential in hypokalemia and hyperkalemia, most of the currents follow the data from literature. In the 1D simulations we were able to reproduce ECGs signal in most the potassium concentrations we selected for this study and we collected data that can help physician in understanding what happens in ventricular cells during electrolyte disorder. However the model fails in the conduction of the stimulus under hyperkalemic conditions. The model emphasized the ECG modifications when the K+ is slightly more than physiological value. In the calcium setting using the ORD model we found an APD shortening in hypocalcaemia and an APD lengthening in hypercalcaemia, i.e. the opposite to experimental observation. This wrong behaviour is kept in one dimensional simulations bringing a longer QT interval in the ECG under higher [Ca2+]o conditions and vice versa. In conclusion it has highlighted that the actual ventricular models present in literature, even if they are useful in the original form, they need an improvement in the sensitivity of these two important electrolytes. We suggest an use of the GBP model with modifications introduced by Carro et al. who understood that the failure of this model is related to the Shannon et al. model (a rabbit model) from which the GBP model was built. The ORD model should be modified in the Ca2+ - dependent IcaL and in the influence of the Iks in the action potential for letting it him produce a correct action potential under different calcium concentrations. In the 1D tissue maybe a heterogeneity setting of intra and extracellular conductances for the different cell types should improve a reproduction of the ECG signal.