Taylor formula for Kolmogorov equations

After briefly discuss the natural homogeneous Lie group structure induced by Kolmogorov equations in chapter one, we define an intrinsic version of Taylor polynomials and Holder spaces in chapter two. We also compare our definition with others yet known in literature. In chapter three we prove an analogue of Taylor formula, that is an estimate of the remainder in terms of the homogeneous metric.

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).

Multi-scalar critical theories: first steps for a non perturbative functional renormalization group analysis

In this work the fundamental ideas to study properties of QFTs with the functional Renormalization Group are presented and some examples illustrated. First the Wetterich equation for the effective average action and its flow in the local potential approximation (LPA) for a single scalar field is derived. This case is considered to illustrate some techniques used to solve the RG fixed point equation and study the properties of the critical theories in D dimensions. In particular the shooting methods for the ODE equation for the fixed point potential as well as the approach which studies a polynomial truncation with a finite number of couplings, which is convenient to study the critical exponents. We then study novel cases related to multi field scalar theories, deriving the flow equations for the LPA truncation, both without assuming any global symmetry and also specialising to cases with a given symmetry, using truncations based on polynomials of the symmetry invariants. This is used to study possible non perturbative solutions of critical theories which are extensions of known perturbative results, obtained in the epsilon expansion below the upper critical dimension.