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.

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.