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).

Aggregate Programming in Scala: a Core Library and Actor-Based Platform for Distributed Computational Fields

La programmazione aggregata è un paradigma che supporta la programmazione di sistemi di dispositivi, adattativi ed eventualmente a larga scala, nel loro insieme -- come aggregati. L'approccio prevalente in questo contesto è basato sul field calculus, un calcolo formale che consente di definire programmi aggregati attraverso la composizione funzionale di campi computazionali, creando i presupposti per la specifica di pattern di auto-organizzazione robusti. La programmazione aggregata è attualmente supportata, in modo più o meno parziale e principalmente per la simulazione, da DSL dedicati (cf., Protelis), ma non esistono framework per linguaggi mainstream finalizzati allo sviluppo di applicazioni. Eppure, un simile supporto sarebbe auspicabile per ridurre tempi e sforzi d'adozione e per semplificare l'accesso al paradigma nella costruzione di sistemi reali, nonché per favorire la ricerca stessa nel campo. Il presente lavoro consiste nello sviluppo, a partire da un prototipo della semantica operazionale del field calculus, di un framework per la programmazione aggregata in Scala. La scelta di Scala come linguaggio host nasce da motivi tecnici e pratici. Scala è un linguaggio moderno, interoperabile con Java, che ben integra i paradigmi ad oggetti e funzionale, ha un sistema di tipi espressivo, e fornisce funzionalità avanzate per lo sviluppo di librerie e DSL. Inoltre, la possibilità di appoggiarsi, su Scala, ad un framework ad attori solido come Akka, costituisce un altro fattore trainante, data la necessità di colmare l'abstraction gap inerente allo sviluppo di un middleware distribuito. Nell'elaborato di tesi si presenta un framework che raggiunge il triplice obiettivo: la costruzione di una libreria Scala che realizza la semantica del field calculus in modo corretto e completo, la realizzazione di una piattaforma distribuita Akka-based su cui sviluppare applicazioni, e l'esposizione di un'API generale e flessibile in grado di supportare diversi scenari.

Integrazione di piattaforme d'esecuzione e simulazione in una toolchain Scala per aggregate programming

La tesi è calata nell'ambito dell'Aggregate Programming e costituita da una prima parte introduttiva su questo ambito, per poi concentrarsi sulla descrizione degli elaborati prodotti e infine qualche nota conclusiva unitamente a qualche possibile sviluppo futuro. La parte progettuale consiste nell'integrazione del framework Scafi con il simulatore Alchemist e con una piattaforma di creazione e di esecuzione di sistemi in ambito Spatial Computin, con lo scopo di potenziare la toolchain esistente per Aggregate Programming. Inoltre si riporta anche un breve capitolo per l'esecuzione del framework scafi sviluppato in scala sulla piattaforma Android.

Clinical results with two different methods of root-end preparation and filling in apical surgery: mineral trioxide aggregate and adhesive resin composite

INTRODUCTION: The aim of apical surgery is to hermetically seal the root canal system after root-end resection, thereby enabling periradicular healing. The objective of this nonrandomized prospective clinical study was to report results of 2 different root-end preparation and filling methods, ie, mineral trioxide aggregate (MTA) and an adhesive resin composite (Retroplast). METHODS: The study included 353 consecutive cases with endodontic lesions limited to the periapical area. Root-end cavities were prepared with sonic microtips and filled with MTA (n = 178), or alternatively, a shallow concavity was prepared in the cut root face, with subsequent placement of an adhesive resin composite (Retroplast) (n = 175). Patients were recalled after 1 year. Cases were defined as healed when no clinical signs or symptoms were present and radiographs demonstrated complete or incomplete (scar tissue) healing of previous radiolucencies. RESULTS: The overall rate of healed cases was 85.5%. MTA-treated teeth demonstrated a significantly (P = .003) higher rate of healed cases (91.3%) compared with Retroplast-treated teeth (79.5%). Within the MTA group, 89.5%-100% of cases were classified as healed, depending on the type of treated tooth. In contrast, more variable rates ranging from 66.7%-100% were found in the Retroplast group. In particular, mandibular premolars and molars demonstrated considerably lower rates of healed cases when treated with Retroplast. CONCLUSIONS: MTA can be recommended for root-end filling in apical surgery, irrespective of the type of treated tooth. Retroplast should be used with caution for root-end sealing in apical surgery of mandibular premolars and molars.

Assessing the Relevance of Anomie Theory for Explaining Spatial Variation in Lethal Criminal Violence: An Aggregate-Level Analysis of Homicide within the United States

One of the most influential statements in the anomie theory tradition has been Merton’s argument that the volume of instrumental property crime should be higher where there is a greater imbalance between the degree of commitment to monetary success goals and the degree of commitment to legitimate means of pursing such goals. Contemporary anomie theories stimulated by Merton’s perspective, most notably Messner and Rosenfeld’s institutional anomie theory, have expanded the scope conditions by emphasizing lethal criminal violence as an outcome to which anomie theory is highly relevant, and virtually all contemporary empirical studies have focused on applying the perspective to explaining spatial variation in homicide rates. In the present paper, we argue that current explications of Merton’s theory and IAT have not adequately conveyed the relevance of the core features of the anomie perspective to lethal violence. We propose an expanded anomie model in which an unbalanced pecuniary value system – the core causal variable in Merton’s theory and IAT – translates into higher levels of homicide primarily in indirect ways by increasing levels of firearm prevalence, drug market activity, and property crime, and by enhancing the degree to which these factors stimulate lethal outcomes. Using aggregate-level data collected during the mid-to-late 1970s for a sample of relatively large social aggregates within the U.S., we find a significant effect on homicide rates of an interaction term reflecting high levels of commitment to monetary success goals and low levels of commitment to legitimate means. Virtually all of this effect is accounted for by higher levels of property crime and drug market activity that occur in areas with an unbalanced pecuniary value system. Our analysis also reveals that property crime is more apt to lead to homicide under conditions of high levels of structural disadvantage. These and other findings underscore the potential value of elaborating the anomie perspective to explicitly account for lethal violence.

Phylogeography of silver pheasant (Lophura nycthemera L.) across China: aggregate effects of refugia, introgression, and riverine barriers

The role of Pleistocene glacial cycles in forming the contemporary genetic structure of organisms has been well studied in China with a particular focus on the Tibetan Plateau. However, China has a complex topography and diversity of local climates, and how glacial cycles may have shaped the subtropical and tropical biota of the region remains mostly unaddressed. To investigate the factors that affected the phylogeography and population history of a widely distributed and nondeciduous forest species, we analysed morphological characters, mitochondrial DNA sequences and nuclear microsatellite loci in the Silver Pheasant (Lophura nycthemera). In a pattern generally consistent with phenotypic clusters, but not nominal subspecies, deeply divergent mitochondrial lineages restricted to different geographic regions were detected. Coalescent simulations indicated that the time of main divergence events corresponded to major glacial periods in the Pleistocene and gene flow was only partially lowered by drainage barriers between some populations. Intraspecific cytonuclear discordance was revealed in mitochondrial lineages from Hainan Island and the Sichuan Basin with evidence of nuclear gene flow from neighbouring populations into the latter. Unexpectedly, hybridization was revealed in Yingjiang between the Silver Pheasant and Kalij Pheasant (Lophura leucomelanos) with wide genetic introgression at both the mtDNA and nuclear levels. Our results highlight a novel phylogeographic pattern in a subtropical area generated from the combined effects of climate oscillation, partial drainage barriers and interspecific hybridization. Cytonuclear discordance combined with morphological differentiation implies that complex historical factors shaped the divergence process in this biodiversity hot spot area of southern China.

5-year results comparing mineral trioxide aggregate and adhesive resin composite for root-end sealing in apical surgery

INTRODUCTION Recent meta-analyses of the outcome of apical surgery using modern techniques including microsurgical principles and high-power magnification have yielded higher rates of healing. However, the information is mainly based on 1- to 2-year follow-up data. The present prospective study was designed to re-examine a large sample of teeth treated with apical surgery after 5 years. METHODS Patients were recalled 5 years after apical surgery, and treated teeth were classified as healed or not healed based on clinical and radiographic examination. (The latter was performed independently by 3 observers). Two different methods of root-end preparation and filling (primary study parameters) were to be compared (mineral trioxide aggregate [MTA] vs adhesive resin composite [COMP]) without randomization. RESULTS A total of 271 patients and teeth from a 1-year follow-up sample of 339 could be re-examined after 5 years (dropout rate = 20.1%). The overall rate of healed cases was 84.5% with a significant difference (P = .0003) when comparing MTA (92.5%) and COMP (76.6%). The evaluation of secondary study parameters yielded no significant difference for healing outcome when comparing subcategories (ie, sex, age, type of tooth treated, post/screw, type of surgery). CONCLUSIONS The results from this prospective nonrandomized clinical study with a 5-year follow-up of 271 teeth indicate that MTA exhibited a higher healing rate than COMP in the longitudinal prognosis of root-end sealing.