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.

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.

Formula integrale di Poisson per le funzioni armoniche in una palla

La tesi consiste nella ricerca di un candidato ideale per la soluzione del problema di Dirichlet. Vengono affrontati gli argomenti in maniera graduale, partendo dalle funzioni armoniche e le loro relative proprietà, passando per le identità e le formule di rappresentazione di Green, per finire nell'analisi del problema sopra citato, mediante i risultati precedentemente ottenuti, per concludere trovando la formula integrale di Poisson come soluzione ma anche come formula generale per sviluppi in vari ambiti.

La formula di Eulero per i poliedri fra storia e didattica

Questa tesi riguarda la formula di Eulero per i poliedri: F - S + V = 2 dove F indica il numero di facce, S il numero di spigoli e V quello dei vertici di un poliedro. Nel primo capitolo tratteremo i risultati ottenuti da Cartesio: egli fu il primo a considerare non solo le caratteristiche geometriche ma anche metriche di un solido. Partendo dall'analogia con le figure piane, riuscì a ricavare importanti relazioni nei solidi convessi, riguardanti il numero e la misura degli angoli piani, degli angoli solidi e delle facce. Non arrivò mai alla formulazione conosciuta oggi ma ne intuì le caratteristiche topologiche, che però non dimostrò mai. Nel secondo capitolo invece ci occuperemo di ciò che scoprì Eulero. Il manoscritto contenente i risultati di Cartesio era scomparso e quindi questi non erano più conosciuti dai matematici; Eulero, in accordo con quanto avviene per i poligoni, desiderava ottenere un metodo di classificazione per i poliedri e si mise a studiare le loro proprietà. Oltre alla sua formula, in un primo articolo ricavò importanti relazioni, e in un secondo lavoro ne propose una dimostrazione. Riportiamo in breve anche un confronto tra il lavoro di Cartesio e quello di Eulero. Il terzo capitolo invece riguarda il metodo e il rigore nella formulazione di teoremi e dimostrazioni: I. Lakatos ne fa un esame critico nel libro "Dimostrazioni e Confutazioni - la logica della scoperta matematica", simulando una lezione dove a tema compaiono la Formula di Eulero e le sue dimostrazioni. Noi cercheremo di analizzare questo suo lavoro. Su questi tre autori e i loro lavori riportiamo alcune considerazioni biografiche e storiche che possono offrire interessanti spunti didattici: infatti nel quarto e ultimo capitolo ci occuperemo di alcune considerazioni didattiche a proposito della Formula. La struttura sarà quella di un'ipotetica lezione a studenti di Scuola Media Inferiore e utilizzeremo i risultati ottenuti nei precedenti capitoli e una personale esperienza di tirocinio.

Investigations on asymptotic safety of metric, tetrad and Einstein-Cartan gravity

Among the different approaches for a construction of a fundamental quantum theory of gravity the Asymptotic Safety scenario conjectures that quantum gravity can be defined within the framework of conventional quantum field theory, but only non-perturbatively. In this case its high energy behavior is controlled by a non-Gaussian fixed point of the renormalization group flow, such that its infinite cutoff limit can be taken in a well defined way. A theory of this kind is referred to as non-perturbatively renormalizable. In the last decade a considerable amount of evidence has been collected that in four dimensional metric gravity such a fixed point, suitable for the Asymptotic Safety construction, indeed exists. This thesis extends the Asymptotic Safety program of quantum gravity by three independent studies that differ in the fundamental field variables the investigated quantum theory is based on, but all exhibit a gauge group of equivalent semi-direct product structure. It allows for the first time for a direct comparison of three asymptotically safe theories of gravity constructed from different field variables. The first study investigates metric gravity coupled to SU(N) Yang-Mills theory. In particular the gravitational effects to the running of the gauge coupling are analyzed and its implications for QED and the Standard Model are discussed. The second analysis amounts to the first investigation on an asymptotically safe theory of gravity in a pure tetrad formulation. Its renormalization group flow is compared to the corresponding approximation of the metric theory and the influence of its enlarged gauge group on the UV behavior of the theory is analyzed. The third study explores Asymptotic Safety of gravity in the Einstein-Cartan setting. Here, besides the tetrad, the spin connection is considered a second fundamental field. The larger number of independent field components and the enlarged gauge group render any RG analysis of this system much more difficult than the analog metric analysis. In order to reduce the complexity of this task a novel functional renormalization group equation is proposed, that allows for an evaluation of the flow in a purely algebraic manner. As a first example of its suitability it is applied to a three dimensional truncation of the form of the Holst action, with the Newton constant, the cosmological constant and the Immirzi parameter as its running couplings. A detailed comparison of the resulting renormalization group flow to a previous study of the same system demonstrates the reliability of the new equation and suggests its use for future studies of extended truncations in this framework.

Progettazione del sistema di controllo di una vettura di formula sae

Il seguente lavoro di tesi è finalizzato alla realizzazione dell’elettronica di controllo per una vettura prototipo, Nel Capitolo 1 della tesi viene descritto più nel dettaglio il progetto Formula SAE, introducendo gli aspetti peculiari della competizione; successivamente segue una breve descrizione del team UniBo Motorsport. Il Capitolo 2 descrive l’elettronica implementata nella stagione 2013 evidenziandone i punti di forza e le debolezze al fine di poter trarre delle conclusioni per comprendere la direzione intrapresa con questo lavoro di tesi. Nel Capitolo 3 viene presentata la soluzione proposta,motivandone le scelte e la necessità di suddividere il lavoro in più unità distinte, mantenendo le peculiarità tecniche del già eccellente lavoro effettuato nel corso degli anni da chi mi ha preceduto ed aggiungendo quelle funzionalità che permettono di mantenere la soluzione in una posizione dominante nel panorama della Formula Student. La progettazione dell’hardware che compone la soluzione proposta è descritta nel Capitolo 4, introducendo dapprima la metodologia adottata per la progettazione partendo dalle specifiche fino ad arrivare al prodotto finito ed in seguito ne viene descritta l’applicazione ad ogni unità oggetto del lavoro. Sono state progettate da zero tre unità: una centralina di controllo motore (ECU), una di controllo veicolo (VCU) ed un controller lambda per la gestione di sonde UEGO. Un aiuto fondamentale nella progettazione di queste tre unità è stato dato da Alma Automotive, azienda che fin dal principio ha supportato, anche economicamente, le varie evoluzioni dell’hardware e del software della vettura. Infine viene descritto nel capitolo 5 il software che verrà eseguito sulle unità di controllo, ponendo particolare risalto al lavoro di adattamento che si è reso necessario per riutilizzare il software in uso negli anni precedenti.

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.

The Feynman-Kac formula and applications to PDEs

The thesis presents a probabilistic approach to the theory of semigroups of operators, with particular attention to the Markov and Feller semigroups. The first goal of this work is the proof of the fundamental Feynman-Kac formula, which gives the solution of certain parabolic Cauchy problems, in terms of the expected value of the initial condition computed at the associated stochastic diffusion processes. The second target is the characterization of the principal eigenvalue of the generator of a semigroup with Markov transition probability function and of second order elliptic operators with real coefficients not necessarily self-adjoint. The thesis is divided into three chapters. In the first chapter we study the Brownian motion and some of its main properties, the stochastic processes, the stochastic integral and the Itô formula in order to finally arrive, in the last section, at the proof of the Feynman-Kac formula. The second chapter is devoted to the probabilistic approach to the semigroups theory and it is here that we introduce Markov and Feller semigroups. Special emphasis is given to the Feller semigroup associated with the Brownian motion. The third and last chapter is divided into two sections. In the first one we present the abstract characterization of the principal eigenvalue of the infinitesimal generator of a semigroup of operators acting on continuous functions over a compact metric space. In the second section this approach is used to study the principal eigenvalue of elliptic partial differential operators with real coefficients. At the end, in the appendix, we gather some of the technical results used in the thesis in more details. Appendix A is devoted to the Sion minimax theorem, while in appendix B we prove the Chernoff product formula for not necessarily self-adjoint operators.

Interpretazione per i media: il caso particolare delle interviste sul podio della Formula 1

This dissertation analyses the live simultaneous interpretation from English into Italian of six 2013 Formula 1 World Championship podium interviews and focuses on four main aspects: how the interpreter handled the décalage at the end of the interview and during the turn-taking; if he used any marker to indicate that he was starting to translate a new turn of the source text; what he did when overlapped speech in the source texts occurred; what happened when the Italian commentators talked during the interpreter’s translation. In the first chapter a description mainly of what a Formula 1 podium interview is and what an interpreter translates during the Formula 1 weekends is present. In the second chapter a literature review on media interpreting, with particular attention put on Straniero Sergio’s paper on translating Formula 1 press-conferences (2003), and turn-taking is provided. In the third chapter the methodology used to obtain and process the video and audio files of source and target texts and to transcribe them is described. We concentrated primarily on Thibault’s multimodal text transcription techniques (2000) and on how they were used and adapted to fit the purposes of this dissertation. In the fourth chapter the results obtained through the analysis of the source and target texts are shown and described, focusing only on the objectives of the dissertation, without aiming to provide a qualitative evaluation of the interpretations. In the fifth and last chapter the conclusions and some final remarks are made, based on the results obtained during the analysis and the hope for a more in depth knowledge of Italian Formula 1 interpreter’s working conditions.

Formula Zero: Traduzione trilingue inglese-italiano-spagnolo di un policy statement sulla sicurezza stradale della Federazione Internazionale dell'Automobile (FIA)

The aim of this dissertation is to provide a trilingual translation from English into Italian and from Italian into Spanish of a policy statement from the Fédération Internationale de l’Automobile (FIA) regarding road safety. The document, named “Formula Zero: a strategy for reducing fatalities and injuries on track and road”, was published in June 2000 and involves an approach about road safety inspired by another approach introduced in Sweden called ‘Vision Zero’. This work consists of six sections. The first chapter introduces the main purposes and activities of the Federation, as well as the institutions related to it and Vision Zero. The second chapter presents the main lexical, morphosyntactic and stylistic features of the institutional texts and special languages. In particular, the text contains technical nomenclature of transports and elements of sport language, especially regarding motor sport and Formula One. In the third chapter, the methodology is explained, with all the resources used during the preliminary phase and the translation, including corpora, glossaries, expert consultancy and specialised sites. The fourth chapter focuses on the morphosyntactic and terminology features contained in the text, while the fifth chapter presents the source text and the target texts. The final chapter deals with all the translation strategies that are applied, alongside with all the challenging elements detected. Therefore, the dissertation concludes with some theoretical and practical considerations about the role of inverse translation and English as Lingua Franca (ELF), by comparing the text translated into Spanish to the original in English, using Italian as a lingua franca.

Formula integrale di Poisson

Il tema centrale di questa tesi è lo studio del problema di Dirichlet per il Laplaciano in R^2 usando le serie di Fourier. Il problema di Dirichlet per il Laplaciano consiste nel determinare una funzione f armonica e regolare in un dominio limitato D quando sono noti i valori che f assume sul suo bordo. Ammette una sola soluzione, ma non esistono criteri generali per ricavarla. In questa tesi si mostra come la formula integrale di Poisson, sotto determinate condizioni, risolva il problema di Dirichlet in R^2 e in R^n.

Computation of discrete cosine transform using Clenshaw's recurence formula

Clenshaw’s recurrenee formula is used to derive recursive algorithms for the discrete cosine transform @CT) and the inverse discrete cosine transform (IDCT). The recursive DCT algorithm presented here requires one fewer delay element per coefficient and one fewer multiply operation per coeflident compared with two recently proposed methods. Clenshaw’s recurrence formula provides a unified development for the recursive DCT and IDCT algorithms. The M v e al gorithms apply to arbitrary lengtb algorithms and are appropriate for VLSI implementation.

Intestinal glucose absorption but not endogenous glucose production differs between colostrum- and formula-fed neonatal calves

Glucose supply markedly changes during the transition to extrauterine life. In this study, we investigated diet effects on glucose metabolism in neonatal calves. Calves were fed colostrum (C; n = 7) or milk-based formula (F; n = 7) with similar nutrient content up to d 4 of life. Blood plasma samples were taken daily before feeding and 2 h after feeding on d 4 to measure glucose, lactate, nonesterified fatty acids, protein, urea, insulin, glucagon, and cortisol concentrations. On d 2, additional blood samples were taken to measure glucose first-pass uptake (FPU) and turnover by oral [U-(13)C]-glucose and i.v. [6,6-(2)H(2)]-glucose infusion. On d 3, endogenous glucose production and gluconeogenesis were determined by i.v. [U-(13)C]-glucose and oral deuterated water administration after overnight feed deprivation. Liver tissue was obtained 2 h after feeding on d 4 and glycogen concentration and activities and mRNA abundance of gluconeogenic enzymes were measured. Plasma glucose and protein concentrations and hepatic glycogen concentration were higher (P < 0.05), whereas plasma urea, glucagon, and cortisol (d 2) concentrations as well as hepatic pyruvate carboxylase mRNA level and activity were lower (P < 0.05) in group C than in group F. Orally administered [U-(13)C]-glucose in blood was higher (P < 0.05) but FPU tended to be lower (P < 0.1) in group C than in group F. The improved glucose status in group C resulted from enhanced oral glucose absorption. Metabolic and endocrine changes pointed to elevated amino acid degradation in group F, presumably to provide substrates to meet energy requirements and to compensate for impaired oral glucose uptake.