Forward implied volatility expansions in LSV models

In this work we address the problem of finding formulas for efficient and reliable analytical approximation for the calculation of forward implied volatility in LSV models, a problem which is reduced to the calculation of option prices as an expansion of the price of the same financial asset in a Black-Scholes dynamic. Our approach involves an expansion of the differential operator, whose solution represents the price in local stochastic volatility dynamics. Further calculations then allow to obtain an expansion of the implied volatility without the aid of any special function or expensive from the computational point of view, in order to obtain explicit formulas fast to calculate but also as accurate as possible.

Modelling the Halo mass number counts in modified gravity cosmological scenarios

In this Thesis work we investigate some of different cosmological background scenarios using one of the main probes used in cosmology: the halo mass function. The observed abundance of galaxy clusters (or similarly DM haloes) can indeed be compared to its theoretical predictions to derive fundamental constrains on the cosmological scenario assumed. Given the importance of exploring and constraining models degenerate with the ΛCDM one, we test the applicability of some notable halo mass function models to these scenarios. To this purpose, we made use of the DUSTGRAIN-pathfinder N-body simulations, which assume cosmological scenarios that include modified gravity in the form of f(R) models and massive neutrinos. We carried on the analysis of 3 simulation snapshots at different redshifts, z = 0, 0.5, 1, building multiple samples of dark matter haloes by applying different overdensity thresholds during the procedure of halo identification. We started our analysis by considering the halo mass function model introduced by Despali et al. (2016), who proposed a parametrization that encapsulates the effect of the different halo mass definitions and the relative evolution with the redshift. We calibrated the main parameters of this relation by using the ΛCDM halo catalogues extracted from the DUSTGRAIN-pathfinder simulations, fitting the measured halo abundances at all redshifts and density thresholds. Afterwards we tested the same model parametrization with halo catalogues extracted from the simulations implementing both modified gravity and massive neutrinos. We repeated therefore the calibration procedure on these data to search for discrepancies with respect to the ΛCDM model. Finally we focused the analysis on the cosmological models implementing modified gravity only. We took our ΛCDM calibrated halo mass function and we modified it with the additional f (R) gravity form proposed by Gupta et al. (2022).

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.

Lateral tires characterization: testing, analytical models and applications for aeronautic purpose

The lateral characteristics of tires in terms of lateral forces as a function of sideslip angle is a focal point in the prediction of ground loads and ground handling aircraft behavior. However, tests to validate such coefficients are not mandatory to obtain Aircraft Type Certification and so they are not available for ATR tires. Anyway, some analytical values are implemented in ATR calculation codes (Flight Qualities in-house numerical code and Loads in-house numerical code). Hence, the goal of my work is to further investigate and validate lateral tires characteristics by means of: exploitation and re-parameterization of existing test on NLG tires, implementation of easy-handle model based on DFDR parameters to compute sideslip angles, application of this model to compute lateral loads on existing flight tests and incident cases, analysis of results. The last part of this work is dedicated to the preliminary study of a methodology to perform a test to retrieve lateral tire loads during ground turning with minimum requirements in terms of aircraft test instrumentation. This represents the basis for future works.

Dupire's formula for exponential Lévy models

Questa tesi è incentrata sull'analisi della formula di Dupire, che permette di ottenere un'espressione della volatilità locale, nei modelli di Lévy esponenziali. Vengono studiati i modelli di mercato Merton, Kou e Variance Gamma dimostrando che quando si è off the money la volatilità locale tende ad infinito per il tempo di maturità delle opzioni che tende a zero. In particolare viene proposta una procedura di regolarizzazione tale per cui il processo di volatilità locale di Dupire ricrea i corretti prezzi delle opzioni anche quando si ha la presenza di salti. Infine tale risultato viene provato numericamente risolvendo il problema di Cauchy per i prezzi delle opzioni.

Study of a wind-wave numerical model and its integration with ocean and oil-spill numerical models

The ability to represent the transport and fate of an oil slick at the sea surface is a formidable task. By using an accurate numerical representation of oil evolution and movement in seawater, the possibility to asses and reduce the oil-spill pollution risk can be greatly improved. The blowing of the wind on the sea surface generates ocean waves, which give rise to transport of pollutants by wave-induced velocities that are known as Stokes’ Drift velocities. The Stokes’ Drift transport associated to a random gravity wave field is a function of the wave Energy Spectra that statistically fully describe it and that can be provided by a wave numerical model. Therefore, in order to perform an accurate numerical simulation of the oil motion in seawater, a coupling of the oil-spill model with a wave forecasting model is needed. In this Thesis work, the coupling of the MEDSLIK-II oil-spill numerical model with the SWAN wind-wave numerical model has been performed and tested. In order to improve the knowledge of the wind-wave model and its numerical performances, a preliminary sensitivity study to different SWAN model configuration has been carried out. The SWAN model results have been compared with the ISPRA directional buoys located at Venezia, Ancona and Monopoli and the best model settings have been detected. Then, high resolution currents provided by a relocatable model (SURF) have been used to force both the wave and the oil-spill models and its coupling with the SWAN model has been tested. The trajectories of four drifters have been simulated by using JONSWAP parametric spectra or SWAN directional-frequency energy output spectra and results have been compared with the real paths traveled by the drifters.

Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Action-based dynamical models of the Fornax dwarf spheroidal galaxy

Il lavoro presentato in questa Tesi si basa sul calcolo di modelli dinamici per Galassie Sferoidali Nane studiando il problema mediante l'utilizzo di funzioni di distribuzione. Si è trattato un tipo di funzioni di distribuzione, "Action-Based distribution functions", le quali sono funzioni delle sole variabili azione. Fornax è stata descritta con un'appropriata funzione di distribuzione e il problema della costruzione di modelli dinamici è stato affrontato assumendo sia un alone di materia oscura con distribuzione di densità costante nelle regioni interne sia un alone con cuspide. Per semplicità è stata assunta simmetria sferica e non è stato calcolato esplicitamente il potenziale gravitazionale della componente stellare (le stelle sono traccianti in un potenziale gravitazionale fissato). Tramite un diretto confronto con alcune osservabili, quali il profilo di densità stellare proiettata e il profilo di dispersione di velocità lungo la linea di vista, sono stati trovati alcuni modelli rappresentativi della dinamica di Fornax. Modelli calcolati tramite funzioni di distribuzione basati su azioni permettono di determinare in maniera autoconsistente profili di anisotropia. Tutti i modelli calcolati sono caratterizzati dal possedere un profilo di anisotropia con forte anisotropia tangenziale. Sono state poi comparate le stime di materia oscura di questi modelli con i più comuni e usati stimatori di massa in letteratura. E stato inoltre stimato il rapporto tra la massa totale del sistema (componente stellare e materia oscura) e la componente stellare di Fornax, entro 1600 pc ed entro i 3 kpc. Come esplorazione preliminare, in questo lavoro abbiamo anche presentato anche alcuni esempi di modelli sferici a due componenti in cui il campo gravitazionale è determinato dall'autogravità delle stelle e da un potenziale esterno che rappresenta l'alone di materia oscura.

Updating of Finite Element Models using static and dynamic optical strains with application to damage assessment

In the recent years, vibration-based structural damage identification has been subject of significant research in structural engineering. The basic idea of vibration-based methods is that damage induces mechanical properties changes that cause anomalies in the dynamic response of the structure, which measures allow to localize damage and its extension. Vibration measured data, such as frequencies and mode shapes, can be used in the Finite Element Model Updating in order to adjust structural parameters sensible at damage (e.g. Young’s Modulus). The novel aspect of this thesis is the introduction into the objective function of accurate measures of strains mode shapes, evaluated through FBG sensors. After a review of the relevant literature, the case of study, i.e. an irregular prestressed concrete beam destined for roofing of industrial structures, will be presented. The mathematical model was built through FE models, studying static and dynamic behaviour of the element. Another analytical model was developed, based on the ‘Ritz method’, in order to investigate the possible interaction between the RC beam and the steel supporting table used for testing. Experimental data, recorded through the contemporary use of different measurement techniques (optical fibers, accelerometers, LVDTs) were compared whit theoretical data, allowing to detect the best model, for which have been outlined the settings for the updating procedure.

Analytic models of self-gravitating rotating gaseous tori with central black hole

In this thesis project, I present stationary models of rotating fluids with toroidal distributions that can be used to represent the active galactic nuclei (AGN) central obscurers, i.e. molecular tori (Combes et al., 2019), as well as geometrically thick accretion discs, like ADAF discs (Narayan and Yi, 1995) or Polish doughnuts (Abramowicz, 2005). In particular, I study stationary rotating systems with a more general baroclinic distribution (with a vertical gradient of the angular velocity), which are often more realistic and less studied, due to their complexity, than the barotropic ones (with cylindrical rotation), which are easier to construct. In the thesis, I compute analytically the main intrinsic and projected properties of the power-law tori based on the potential-density pairs of Ciotti and Bertin (2005). I study the density distribution and the resulting gravitational potential for different values of α, in the range 2 < α < 5. For the same models, I compute the surface density of the systems when seen face-on and edge-on. I then apply the stationary Euler equations to obtain rotational velocity and temperature distributions of the self-gravitating models in the absence of an external gravitational potential. In the thesis I also consider the power-law tori with the presence of a central black hole in addition to the gas self-gravity, and solving analytically the stationary Euler equations, I compute how the properties of the system are modified by the black hole and how they vary as a function of the black hole mass. Finally, applying the Solberg-Høiland criterion, I show that these baroclinic stationary models are linearly stable in the absence of the black hole. In the presence of the black hole I derive the analytical condition for stability, which depends on α and on the black hole mass. I also study the stability of the tori in the hypothesis that they are weakly magnetized, finding that they are always unstable to this instability.