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.

Analysis of Lead-Acid batteries with a third-order dynamical model

Electrical energy storage is a really important issue nowadays. As electricity is not easy to be directly stored, it can be stored in other forms and converted back to electricity when needed. As a consequence, storage technologies for electricity can be classified by the form of storage, and in particular we focus on electrochemical energy storage systems, better known as electrochemical batteries. Largely the more widespread batteries are the Lead-Acid ones, in the two main types known as flooded and valve-regulated. Batteries need to be present in many important applications such as in renewable energy systems and in motor vehicles. Consequently, in order to simulate these complex electrical systems, reliable battery models are needed. Although there exist some models developed by experts of chemistry, they are too complex and not expressed in terms of electrical networks. Thus, they are not convenient for a practical use by electrical engineers, who need to interface these models with other electrical systems models, usually described by means of electrical circuits. There are many techniques available in literature by which a battery can be modeled. Starting from the Thevenin based electrical model, it can be adapted to be more reliable for Lead-Acid battery type, with the addition of a parasitic reaction branch and a parallel network. The third-order formulation of this model can be chosen, being a trustworthy general-purpose model, characterized by a good ratio between accuracy and complexity. Considering the equivalent circuit network, all the useful equations describing the battery model are discussed, and then implemented one by one in Matlab/Simulink. The model has been finally validated, and then used to simulate the battery behaviour in different typical conditions.

Problems in physics and mathematics contexts with middle and high school classes: vertical and horizontal comparison

My thesis falls within the framework of physics education and teaching of mathematics. The objective of this report was made possible by using geometrical (in mathematics) and qualitative (in physics) problems. We have prepared four (resp. three) open answer exercises for mathematics (resp. physics). The test batch has been selected across two different school phases: end of the middle school (third year, 8\textsuperscript{th} grade) and beginning of high school (second and third year, 10\textsuperscript{th} and 11\textsuperscript{th} grades respectively). High school students achieved the best results in almost every problem, but 10\textsuperscript{th} grade students got the best overall results. Moreover, a clear tendency to not even try qualitative problems resolution has emerged from the first collection of graphs, regardless of subject and grade. In order to improve students' problem-solving skills, it is worth to invest on vertical learning and spiral curricula. It would make sense to establish a stronger and clearer connection between physics and mathematical knowledge through an interdisciplinary approach.

Generic wind estimation and compensation based on residual generators and higher-order sliding mode schemes

This master thesis proposes a solution to the approach problem in case of unknown severe microburst wind shear for a fixed-wing aircraft, accounting for both longitudinal and lateral dynamics. The adaptive controller design for wind rejection is also addressed, exploiting the wind estimation provided by suitable estimators. It is able to successfully complete the final approach phase even in presence of wind shear, and at the same time aerodynamic envelope protection is retained. The adaptive controller for wind compensation has been designed by a backstepping approach and feedback linearization for time-varying systems. The wind shear components have been estimated by higher-order sliding mode schemes. At the end of this work the results are provided, an autonomous final approach in presence of microburst is discussed, performances are analyzed, and estimation of the microburst characteristics from telemetry data is examined.