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.

Experimental study on Carbon FRP-confined elliptical concrete columns

It is well recognized that the technique of strengthening reinforced concrete (RC) using fiber-reinforced polymer (FRP) jackets is more effective for circular sections, but less effective for rectangular sections. Indeed the presence of angular corners does not permit a uniform confinement to be provided by the FRP jackets to the columns. While rounded corners can enhance the effectiveness of FRP confinement, it will be more efficient to modify the rectangular section into an elliptical section. In addition to the better confinement effectiveness, from an aesthetical point of view, the shape modification would be a surprise to the built environment. This paper presents an experimental study on the behavior of FRP-confined concrete columns with elliptical section. Thirty-two short columns, divided in eight batches, were tested under axial compression. Each batch presents four specimens with different elliptical sections, determined by the aspect ratio a/b, that is the ratio between the minor and mayor axis. By varying this value from 1.0 to 2.0 (1.0, 1.3., 1.7, 2.0), the section becomes more and more elliptical starting from a circular shape. In this way it is possible to study the trend of effectiveness of FRP confinement for different section geometries. It is also interesting to study how the confinement effectiveness may vary by changing the cylinder strength of concrete and the number of the layers of CFRP. For this reason, a cylinder strength of concrete of 25 and 45 MPa have been used for the present research work, and half of the specimens were wrapped by one layer of CFRP, while the remaining specimens were wrapped with two layers. A simple analysis of the results has been carried out for evaluating the experimental work described in the present document. Further studies and analysis on this work should help to achieve a new and more accurate stress-strain model for CFRP-confined concrete columns with an elliptical section.

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.