Metodi di Fourier per la valutazione dei derivati finanziari

Questa tesi affronta uno dei principali argomenti trattati dalla finanza matematica: la determinazione del prezzo dei derivati finanziari. Esistono diversi metodi per trattare questo tema, ma in particolare vengono illustrati i metodi che usano la trasformata di Fourier. Questi ultimi infatti ci permettono di sostituire il calcolo dell'attesa condizionata scontata, con il calcolo dell'integrale della trasformata di Fourier, in quanto la funzione caratteristica, cioè la trasformata di Fourier della funzione densità, è più trattabile rispetto alla funzione densità stessa. Vengono in primo luogo analizzate alcune importanti formule di valutazione e successivamente implementate, attraverso il software Mathematica. I modelli di riferimento utilizzati per l'implementazione sono il modello di Black-Scholes e il modello di Merton.

Trasformata di Fourier e trasformata Wavelet

Questo elaborato si concentra sullo studio della trasformata di Fourier e della trasformata Wavelet. Nella prima parte della tesi si analizzano gli aspetti fondamentali della trasformata di Fourier. Si definisce poi la trasformata di Fourier su gruppi abeliani finiti, richiamando opportunamente la struttura di tali gruppi. Si mostra che calcolare la trasformata di Fourier nel quoziente richiede un minor numero di operazioni rispetto a calcolarla direttamente nel gruppo di partenza. L'ultima parte dell'elaborato si occupa dello studio delle Wavelet, dette ondine. Viene presentato quindi il sistema di Haar che permette di definire una funzione come serie di funzioni di Haar in alternativa alla serie di Fourier. Si propone poi un vero e proprio metodo per la costruzione delle ondine e si osserva che tale costruzione è strettamente legata all'analisi multirisoluzione. Un ruolo cruciale viene svolto dall'identità di scala, un'identità algebrica che permette di definire certi coefficienti che determinano completamente le ondine. Interviene poi la trasformata di Fourier che riduce la ricerca dei coefficienti sopra citati, alla ricerca di certe funzioni opportune che determinano esplicitamente le Wavelet. Non tutte le scelte di queste funzioni sono accettabili. Ci sono vari approcci, qui viene presentato l'approccio di Ingrid Daubechies. Le Wavelet costituiscono basi per lo spazio di funzioni a quadrato sommabile e sono particolarmente interessanti per la decomposizione dei segnali. Sono quindi in relazione con l'analisi armonica e sono adottate in un gran numero di applicazioni. Spesso sostituiscono la trasformata di Fourier convenzionale.

Reproducibility of retinal thickness measurements in patients with age-related macular degeneration using 3D Fourier-domain optical coherence tomography (OCT) (Topcon 3D-OCT 1000)

Conventional time-domain optical coherence tomography (OCT) has become an important tool for following dry or exudative age-related macular degeneration (AMD). Fourier-domain three-dimensional (3D) OCT was recently introduced. This study tested the reproducibility of 3D-OCT retinal thickness measurements in patients with dry and exudative AMD.

Use of intraoperative fourier-domain anterior segment optical coherence tomography during descemet stripping endothelial keratoplasty

To evaluate the intraoperative use of handheld Fourier-domain optical coherence tomography (OCT) during Descemet stripping automated endothelial keratoplasty (DSAEK) to assess the donor-host interface.

Broadband Fourier transform rotational spectroscopy for structure determination: The water heptamer

Over the recent years chirped-pulse, Fourier-transform microwave (CP-FTMW) spectrometers have chan- ged the scope of rotational spectroscopy. The broad frequency and large dynamic range make possible structural determinations in molecular systems of increasingly larger size from measurements of heavy atom (13C, 15N, 18O) isotopes recorded in natural abundance in the same spectrum as that of the parent isotopic species. The design of a broadband spectrometer operating in the 2–8 GHz frequency range with further improvements in sensitivity is presented. The current CP-FTMW spectrometer performance is benchmarked in the analyses of the rotational spectrum of the water heptamer, (H2O)7, in both 2– 8 GHz and 6–18 GHz frequency ranges. Two isomers of the water heptamer have been observed in a pulsed supersonic molecular expansion. High level ab initio structural searches were performed to pro- vide plausible low-energy candidates which were directly compared with accurate structures provided from broadband rotational spectra. The full substitution structure of the most stable species has been obtained through the analysis of all possible singly-substituted isotopologues (H218O and HDO), and a least-squares rm(1) geometry of the oxygen framework determined from 16 different isotopic species compares with the calculated O–O equilibrium distances at the 0.01 Å level.

Broadband Fourier transform rotational spectroscopy for structure determination: The water heptamer

Over the recent years chirped-pulse, Fourier-transform microwave (CP-FTMW) spectrometers have changed the scope of rotational spectroscopy. The broad frequency and large dynamic range make possible structural determinations in molecular systems of increasingly larger size from measurements of heavy atom (C-13, N-15, O-18) isotopes recorded in natural abundance in the same spectrum as that of the parent isotopic species. The design of a broadband spectrometer operating in the 2-8 GHz frequency range with further improvements in sensitivity is presented. The current CP-FTMW spectrometer performance is benchmarked in the analyses of the rotational spectrum of the water heptamer, (H2O)(7), in both 2-8 GHz and 6-18 GHz frequency ranges. Two isomers of the water heptamer have been observed in a pulsed supersonic molecular expansion. High level ab initio structural searches were performed to provide plausible low-energy candidates which were directly compared with accurate structures provided from broadband rotational spectra. The full substitution structure of the most stable species has been obtained through the analysis of all possible singly-substituted isotopologues ((H2O)-O-18 and HDO), and a least-squares r(m)((1)) geometry of the oxygen framework determined from 16 different isotopic species compares with the calculated O-O equilibrium distances at the 0.01 angstrom level. (C) 2013 Elsevier B.V. All rights reserved.

Enhanced (1)G(4) emission in NaLaF4: Pr3+, Yb3+ and charge transfer in NaLaF4: Ce3+, Yb3+ studied by fourier transform luminescence spectroscopy

A high resolution luminescence study of NaLaF4: 1%Pr3+, 5%Yb3+ and NaLaF4: 1%Ce3+, 5%Yb3+ in the UV to NIR spectral range using a InGaAs detector and a fourier transform interferometer is reported. Although the Pr3+(P-3(0) -> (1)G(4), Yb3+(F-2(7/2) -> F-2(5/2)) energy transfer step takes place, significant Pr3+ (1)G(4) emission around 993, 1330 and 1850 nm is observed. No experimental proof for the second energy transfer step in the down-conversion process between Pr3+ and Yb3+ can be given. In the case of NaLaF4: Ce3+, Yb3+ it is concluded that the observed Yb3+ emission upon Ce3+ 5d excitation is the result of a charge transfer process instead of down-conversion. (C) 2010 Elsevier B.V. All rights reserved.

Application of Discrete Fourier Inter-Coefficient Difference for Assessing Genetic Sequence Similarity

Digital signal processing (DSP) techniques for biological sequence analysis continue to grow in popularity due to the inherent digital nature of these sequences. DSP methods have demonstrated early success for detection of coding regions in a gene. Recently, these methods are being used to establish DNA gene similarity. We present the inter-coefficient difference (ICD) transformation, a novel extension of the discrete Fourier transformation, which can be applied to any DNA sequence. The ICD method is a mathematical, alignment-free DNA comparison method that generates a genetic signature for any DNA sequence that is used to generate relative measures of similarity among DNA sequences. We demonstrate our method on a set of insulin genes obtained from an evolutionarily wide range of species, and on a set of avian influenza viral sequences, which represents a set of highly similar sequences. We compare phylogenetic trees generated using our technique against trees generated using traditional alignment techniques for similarity and demonstrate that the ICD method produces a highly accurate tree without requiring an alignment prior to establishing sequence similarity.

Microwave remote sensing of stratospheric trace gases using digital Fast Fourier Transform spectrometers

The Institute of Applied Physics observes middle atmospheric trace gases, such as ozone and water vapour, by microwave radiometry. We report on the comparison of measurements using a novel digital Fast Fourier Transform and accousto optical spectrometers. First tests made on ground are presented as well as first experience about the use of such spectrometers under aircraft conditions.

Characterization of water-soluble organic compounds in ambient aerosol using ultrahigh-resolution elctrospray ionization fourier transform ion cyclotron resonance mass spectrometry.

Atmospheric aerosol water-soluble organic compounds (WSOC) exist in a complex mixture of thousands of organic compounds which may have a significant influence on the climate-relevant properties of the atmospheric aerosol. To understand the potential influences, the ambient aerosol was collected at a nonurban mountainous site near Steamboat Springs, CO. The WSOC fraction was analyzed using positive and negative electrospray ionization Fourier transform ion cyclotron resonance mass spectrometry. Approximately 2400 and 4000 molecular formulas were identified from the detected positive and negative ions, respectively. The formulas contained carbon (C), hydrogen (H), oxygen (O), nitrogen (N), and sulfur (S) atoms over the mass range of 100-800 Da in both ionization modes. The number range of double bond equivalents (DBE), the mean O:C, H:C, and oxidation state of carbon for the positive ions were 0 – 18, 0.25 ± 0.15, 1.39 ± 0.29, and -0.89 ± 0.23, respectively. Comparatively, the negative ion values were 0 – 14, 0.53 ± 0.20, 1.48 ± 0.30, and -0.41 ± 0.45, respectively. Overall, the positive ion molecular formulas were less oxygenated than negative ions as seen with the lower O:C and OSc values. Molecular formulas of the positive ions classified as aliphatic, olefinic, and aromatic compound classes based on the aromaticity index values. Aliphatic compounds were the CHNO and CHO formulas that had mean DBE values of about 5 and 3, respectively. However, a majority of the CHOS, CHNOS, and CHS formulas were defined as olefinic compounds and had mean DBE values of about 12, 13, and 10, respectively. Overall, more than half of the assigned molecular formulas contained sulfur and were olefinic to aromatic compounds with a DBE range of 7-18. Source of the unsaturated sulfur containing compounds is currently unknown. Several nitrogen containing compounds were in common with the field and laboratory studies of the biomass burning aerosol and aged secondary organic aerosol products of the limonene ozonolysis.

RAPID SPACE TRAJECTORY GENERATION USING A FOURIER SERIES SHAPE-BASED APPROACH

With the insatiable curiosity of human beings to explore the universe and our solar system, it is essential to benefit from larger propulsion capabilities to execute efficient transfers and carry more scientific equipment. In the field of space trajectory optimization the fundamental advances in using low-thrust propulsion and exploiting the multi-body dynamics has played pivotal role in designing efficient space mission trajectories. The former provides larger cumulative momentum change in comparison with the conventional chemical propulsion whereas the latter results in almost ballistic trajectories with negligible amount of propellant. However, the problem of space trajectory design translates into an optimal control problem which is, in general, time-consuming and very difficult to solve. Therefore, the goal of the thesis is to address the above problem by developing a methodology to simplify and facilitate the process of finding initial low-thrust trajectories in both two-body and multi-body environments. This initial solution will not only provide mission designers with a better understanding of the problem and solution but also serves as a good initial guess for high-fidelity optimal control solvers and increases their convergence rate. Almost all of the high-fidelity solvers enjoy the existence of an initial guess that already satisfies the equations of motion and some of the most important constraints. Despite the nonlinear nature of the problem, it is sought to find a robust technique for a wide range of typical low-thrust transfers with reduced computational intensity. Another important aspect of our developed methodology is the representation of low-thrust trajectories by Fourier series with which the number of design variables reduces significantly. Emphasis is given on simplifying the equations of motion to the possible extent and avoid approximating the controls. These facts contribute to speeding up the solution finding procedure. Several example applications of two and three-dimensional two-body low-thrust transfers are considered. In addition, in the multi-body dynamic, and in particular the restricted-three-body dynamic, several Earth-to-Moon low-thrust transfers are investigated.

Universally Applicable Model for the Quantitative Determination of Lake Sediment Composition Using Fourier Transform Infrared Spectroscopy

ABSTRACT: Fourier transform infrared spectroscopy (FTIRS) can provide detailed information on organic and minerogenic constituents of sediment records. Based on a large number of sediment samples of varying age (0�340 000 yrs) and from very diverse lake settings in Antarctica, Argentina, Canada, Macedonia/Albania, Siberia, and Sweden, we have developed universally applicable calibration models for the quantitative determination of biogenic silica (BSi; n = 816), total inorganic carbon (TIC; n = 879), and total organic carbon (TOC; n = 3164) using FTIRS. These models are based on the differential absorbance of infrared radiation at specific wavelengths with varying concentrations of individual parameters, due to molecular vibrations associated with each parameter. The calibration models have low prediction errors and the predicted values are highly correlated with conventionally measured values (R = 0.94�0.99). Robustness tests indicate the accuracy of the newly developed FTIRS calibration models is similar to that of conventional geochemical analyses. Consequently FTIRS offers a useful and rapid alternative to conventional analyses for the quantitative determination of BSi, TIC, and TOC. The rapidity, cost-effectiveness, and small sample size required enables FTIRS determination of geochemical properties to be undertaken at higher resolutions than would otherwise be possible with the same resource allocation, thus providing crucial sedimentological information for climatic and environmental reconstructions.