The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

LBT AO system: tests and calibration

An Adaptive Optic (AO) system is a fundamental requirement of 8m-class telescopes. We know that in order to obtain the maximum possible resolution allowed by these telescopes we need to correct the atmospheric turbulence. Thanks to adaptive optic systems we are able to use all the effective potential of these instruments, drawing all the information from the universe sources as best as possible. In an AO system there are two main components: the wavefront sensor (WFS) that is able to measure the aberrations on the incoming wavefront in the telescope, and the deformable mirror (DM) that is able to assume a shape opposite to the one measured by the sensor. The two subsystem are connected by the reconstructor (REC). In order to do this, the REC requires a “common language" between these two main AO components. It means that it needs a mapping between the sensor-space and the mirror-space, called an interaction matrix (IM). Therefore, in order to operate correctly, an AO system has a main requirement: the measure of an IM in order to obtain a calibration of the whole AO system. The IM measurement is a 'mile stone' for an AO system and must be done regardless of the telescope size or class. Usually, this calibration step is done adding to the telescope system an auxiliary artificial source of light (i.e a fiber) that illuminates both the deformable mirror and the sensor, permitting the calibration of the AO system. For large telescope (more than 8m, like Extremely Large Telescopes, ELTs) the fiber based IM measurement requires challenging optical setups that in some cases are also impractical to build. In these cases, new techniques to measure the IM are needed. In this PhD work we want to check the possibility of a different method of calibration that can be applied directly on sky, at the telescope, without any auxiliary source. Such a technique can be used to calibrate AO system on a telescope of any size. We want to test the new calibration technique, called “sinusoidal modulation technique”, on the Large Binocular Telescope (LBT) AO system, which is already a complete AO system with the two main components: a secondary deformable mirror with by 672 actuators, and a pyramid wavefront sensor. My first phase of PhD work was helping to implement the WFS board (containing the pyramid sensor and all the auxiliary optical components) working both optical alignments and tests of some optical components. Thanks to the “solar tower” facility of the Astrophysical Observatory of Arcetri (Firenze), we have been able to reproduce an environment very similar to the telescope one, testing the main LBT AO components: the pyramid sensor and the secondary deformable mirror. Thanks to this the second phase of my PhD thesis: the measure of IM applying the sinusoidal modulation technique. At first we have measured the IM using a fiber auxiliary source to calibrate the system, without any kind of disturbance injected. After that, we have tried to use this calibration technique in order to measure the IM directly “on sky”, so adding an atmospheric disturbance to the AO system. The results obtained in this PhD work measuring the IM directly in the Arcetri solar tower system are crucial for the future development: the possibility of the acquisition of IM directly on sky means that we are able to calibrate an AO system also for extremely large telescope class where classic IM measurements technique are problematic and, sometimes, impossible. Finally we have not to forget the reason why we need this: the main aim is to observe the universe. Thanks to these new big class of telescopes and only using their full capabilities, we will be able to increase our knowledge of the universe objects observed, because we will be able to resolve more detailed characteristics, discovering, analyzing and understanding the behavior of the universe components.

Troposphere Calibration Techniques for Deep Space Probe Tracking

Ground-based Earth troposphere calibration systems play an important role in planetary exploration, especially to carry out radio science experiments aimed at the estimation of planetary gravity fields. In these experiments, the main observable is the spacecraft (S/C) range rate, measured from the Doppler shift of an electromagnetic wave transmitted from ground, received by the spacecraft and coherently retransmitted back to ground. If the solar corona and interplanetary plasma noise is already removed from Doppler data, the Earth troposphere remains one of the main error sources in tracking observables. Current Earth media calibration systems at NASA’s Deep Space Network (DSN) stations are based upon a combination of weather data and multidirectional, dual frequency GPS measurements acquired at each station complex. In order to support Cassini’s cruise radio science experiments, a new generation of media calibration systems were developed, driven by the need to achieve the goal of an end-to-end Allan deviation of the radio link in the order of 3×〖10〗^(-15) at 1000 s integration time. The future ESA’s Bepi Colombo mission to Mercury carries scientific instrumentation for radio science experiments (a Ka-band transponder and a three-axis accelerometer) which, in combination with the S/C telecommunication system (a X/X/Ka transponder) will provide the most advanced tracking system ever flown on an interplanetary probe. Current error budget for MORE (Mercury Orbiter Radioscience Experiment) allows the residual uncalibrated troposphere to contribute with a value of 8×〖10〗^(-15) to the two-way Allan deviation at 1000 s integration time. The current standard ESA/ESTRACK calibration system is based on a combination of surface meteorological measurements and mathematical algorithms, capable to reconstruct the Earth troposphere path delay, leaving an uncalibrated component of about 1-2% of the total delay. In order to satisfy the stringent MORE requirements, the short time-scale variations of the Earth troposphere water vapor content must be calibrated at ESA deep space antennas (DSA) with more precise and stable instruments (microwave radiometers). In parallel to this high performance instruments, ESA ground stations should be upgraded to media calibration systems at least capable to calibrate both troposphere path delay components (dry and wet) at sub-centimetre level, in order to reduce S/C navigation uncertainties. The natural choice is to provide a continuous troposphere calibration by processing GNSS data acquired at each complex by dual frequency receivers already installed for station location purposes. The work presented here outlines the troposphere calibration technique to support both Deep Space probe navigation and radio science experiments. After an introduction to deep space tracking techniques, observables and error sources, in Chapter 2 the troposphere path delay is widely investigated, reporting the estimation techniques and the state of the art of the ESA and NASA troposphere calibrations. Chapter 3 deals with an analysis of the status and the performances of the NASA Advanced Media Calibration (AMC) system referred to the Cassini data analysis. Chapter 4 describes the current release of a developed GNSS software (S/W) to estimate the troposphere calibration to be used for ESA S/C navigation purposes. During the development phase of the S/W a test campaign has been undertaken in order to evaluate the S/W performances. A description of the campaign and the main results are reported in Chapter 5. Chapter 6 presents a preliminary analysis of microwave radiometers to be used to support radio science experiments. The analysis has been carried out considering radiometric measurements of the ESA/ESTEC instruments installed in Cabauw (NL) and compared with the requirements of MORE. Finally, Chapter 7 summarizes the results obtained and defines some key technical aspects to be evaluated and taken into account for the development phase of future instrumentation.

Principi di funzionemento e architettura del robot chirurgico Da Vinci S e sue applicazioni in ambito otorinolaringoiatrico.

La tesi descrive il funzionamento del robot chirurgico Da Vinci S ed illustra la sua architettura. Si analizza poi il suo impiego in ambito otorinolaringoiatrico mostrando vantaggi e limiti di questa innovativa tecnologia.

On the Design of a Boolean-network Robot Swarm: Collective Recognition of Ground Patterns.

Uno dei principali ambiti di ricerca dell’intelligenza artificiale concerne la realizzazione di agenti (in particolare, robot) in grado di aiutare o sostituire l’uomo nell’esecuzione di determinate attività. A tal fine, è possibile procedere seguendo due diversi metodi di progettazione: la progettazione manuale e la progettazione automatica. Quest’ultima può essere preferita alla prima nei contesti in cui occorra tenere in considerazione requisiti quali flessibilità e adattamento, spesso essenziali per lo svolgimento di compiti non banali in contesti reali. La progettazione automatica prende in considerazione un modello col quale rappresentare il comportamento dell’agente e una tecnica di ricerca (oppure di apprendimento) che iterativamente modifica il modello al fine di renderlo il più adatto possibile al compito in esame. In questo lavoro, il modello utilizzato per la rappresentazione del comportamento del robot è una rete booleana (Boolean network o Kauffman network). La scelta di tale modello deriva dal fatto che possiede una semplice struttura che rende agevolmente studiabili le dinamiche tuttavia complesse che si manifestano al suo interno. Inoltre, la letteratura recente mostra che i modelli a rete, quali ad esempio le reti neuronali artificiali, si sono dimostrati efficaci nella programmazione di robot. La metodologia per l’evoluzione di tale modello riguarda l’uso di tecniche di ricerca meta-euristiche in grado di trovare buone soluzioni in tempi contenuti, nonostante i grandi spazi di ricerca. Lavori precedenti hanno gia dimostrato l’applicabilità e investigato la metodologia su un singolo robot. Lo scopo di questo lavoro è quello di fornire prova di principio relativa a un insieme di robot, aprendo nuove strade per la progettazione in swarm robotics. In questo scenario, semplici agenti autonomi, interagendo fra loro, portano all’emergere di un comportamento coordinato adempiendo a task impossibili per la singola unità. Questo lavoro fornisce utili ed interessanti opportunità anche per lo studio delle interazioni fra reti booleane. Infatti, ogni robot è controllato da una rete booleana che determina l’output in funzione della propria configurazione interna ma anche dagli input ricevuti dai robot vicini. In questo lavoro definiamo un task in cui lo swarm deve discriminare due diversi pattern sul pavimento dell’arena utilizzando solo informazioni scambiate localmente. Dopo una prima serie di esperimenti preliminari che hanno permesso di identificare i parametri e il migliore algoritmo di ricerca, abbiamo semplificato l’istanza del problema per meglio investigare i criteri che possono influire sulle prestazioni. E’ stata così identificata una particolare combinazione di informazione che, scambiata localmente fra robot, porta al miglioramento delle prestazioni. L’ipotesi è stata confermata applicando successivamente questo risultato ad un’istanza più difficile del problema. Il lavoro si conclude suggerendo nuovi strumenti per lo studio dei fenomeni emergenti in contesti in cui le reti booleane interagiscono fra loro.

Procedures of quality control and data analysis of multi-site ground-based observations for the absolute flux calibration of Gaia

The Gaia space mission is a major project for the European astronomical community. As challenging as it is, the processing and analysis of the huge data-flow incoming from Gaia is the subject of thorough study and preparatory work by the DPAC (Data Processing and Analysis Consortium), in charge of all aspects of the Gaia data reduction. This PhD Thesis was carried out in the framework of the DPAC, within the team based in Bologna. The task of the Bologna team is to define the calibration model and to build a grid of spectro-photometric standard stars (SPSS) suitable for the absolute flux calibration of the Gaia G-band photometry and the BP/RP spectrophotometry. Such a flux calibration can be performed by repeatedly observing each SPSS during the life-time of the Gaia mission and by comparing the observed Gaia spectra to the spectra obtained by our ground-based observations. Due to both the different observing sites involved and the huge amount of frames expected (≃100000), it is essential to maintain the maximum homogeneity in data quality, acquisition and treatment, and a particular care has to be used to test the capabilities of each telescope/instrument combination (through the “instrument familiarization plan”), to devise methods to keep under control, and eventually to correct for, the typical instrumental effects that can affect the high precision required for the Gaia SPSS grid (a few % with respect to Vega). I contributed to the ground-based survey of Gaia SPSS in many respects: with the observations, the instrument familiarization plan, the data reduction and analysis activities (both photometry and spectroscopy), and to the maintenance of the data archives. However, the field I was personally responsible for was photometry and in particular relative photometry for the production of short-term light curves. In this context I defined and tested a semi-automated pipeline which allows for the pre-reduction of imaging SPSS data and the production of aperture photometry catalogues ready to be used for further analysis. A series of semi-automated quality control criteria are included in the pipeline at various levels, from pre-reduction, to aperture photometry, to light curves production and analysis.

Nonlinear Control Strategies for Cooperative Control of Multi-Robot Systems

This thesis deals with distributed control strategies for cooperative control of multi-robot systems. Specifically, distributed coordination strategies are presented for groups of mobile robots. The formation control problem is initially solved exploiting artificial potential fields. The purpose of the presented formation control algorithm is to drive a group of mobile robots to create a completely arbitrarily shaped formation. Robots are initially controlled to create a regular polygon formation. A bijective coordinate transformation is then exploited to extend the scope of this strategy, to obtain arbitrarily shaped formations. For this purpose, artificial potential fields are specifically designed, and robots are driven to follow their negative gradient. Artificial potential fields are then subsequently exploited to solve the coordinated path tracking problem, thus making the robots autonomously spread along predefined paths, and move along them in a coordinated way. Formation control problem is then solved exploiting a consensus based approach. Specifically, weighted graphs are used both to define the desired formation, and to implement collision avoidance. As expected for consensus based algorithms, this control strategy is experimentally shown to be robust to the presence of communication delays. The global connectivity maintenance issue is then considered. Specifically, an estimation procedure is introduced to allow each agent to compute its own estimate of the algebraic connectivity of the communication graph, in a distributed manner. This estimate is then exploited to develop a gradient based control strategy that ensures that the communication graph remains connected, as the system evolves. The proposed control strategy is developed initially for single-integrator kinematic agents, and is then extended to Lagrangian dynamical systems.

An Integrated Transmission-Media Noise Calibration Software For Deep-Space Radio Science Experiments

The thesis describes the implementation of a calibration, format-translation and data conditioning software for radiometric tracking data of deep-space spacecraft. All of the available propagation-media noise rejection techniques available as features in the code are covered in their mathematical formulations, performance and software implementations. Some techniques are retrieved from literature and current state of the art, while other algorithms have been conceived ex novo. All of the three typical deep-space refractive environments (solar plasma, ionosphere, troposphere) are dealt with by employing specific subroutines. Specific attention has been reserved to the GNSS-based tropospheric path delay calibration subroutine, since it is the most bulky module of the software suite, in terms of both the sheer number of lines of code, and development time. The software is currently in its final stage of development and once completed will serve as a pre-processing stage for orbit determination codes. Calibration of transmission-media noise sources in radiometric observables proved to be an essential operation to be performed of radiometric data in order to meet the more and more demanding error budget requirements of modern deep-space missions. A completely autonomous and all-around propagation-media calibration software is a novelty in orbit determination, although standalone codes are currently employed by ESA and NASA. The described S/W is planned to be compatible with the current standards for tropospheric noise calibration used by both these agencies like the AMC, TSAC and ESA IFMS weather data, and it natively works with the Tracking Data Message file format (TDM) adopted by CCSDS as standard aimed to promote and simplify inter-agency collaboration.