Jarrow-Yildirim model for inflation: theory and applications

This thesis deals with inflation theory, focussing on the model of Jarrow & Yildirim, which is nowadays used when pricing inflation derivatives. After recalling main results about short and forward interest rate models, the dynamics of the main components of the market are derived. Then the most important inflation-indexed derivatives are explained (zero coupon swap, year-on-year, cap and floor), and their pricing proceeding is shown step by step. Calibration is explained and performed with a common method and an heuristic and non standard one. The model is enriched with credit risk, too, which allows to take into account the possibility of bankrupt of the counterparty of a contract. In this context, the general method of pricing is derived, with the introduction of defaultable zero-coupon bonds, and the Monte Carlo method is treated in detailed and used to price a concrete example of contract. Appendixes: A: martingale measures, Girsanov's theorem and the change of numeraire. B: some aspects of the theory of Stochastic Differential Equations; in particular, the solution for linear EDSs, and the Feynman-Kac Theorem, which shows the connection between EDSs and Partial Differential Equations. C: some useful results about normal distribution.

Transportation theory and planning

The aim of this research is to analyze the transport system and its subcomponents in order to highlight which are the design tools for physical and/or organizational projects related to transport supply systems. A characteristic of the transport systems is that the change of their structures can recoil on several entities, groups of entities, which constitute the community. The construction of a new infrastructure can modify both the transport service characteristic for all the user of the entire network; for example, the construction of a transportation infrastructure can change not only the transport service characteristics for the users of the entire network in which it is part of, but also it produces economical, social, and environmental effects. Therefore, the interventions or the improvements choices must be performed using a rational decision making approach. This approach requires that these choices are taken through the quantitative evaluation of the different effects caused by the different intervention plans. This approach becomes even more necessary when the decisions are taken in behalf of the community. Then, in order to understand how to develop a planning process in Transportation I will firstly analyze the transport system and the mathematical models used to describe it: these models provide us significant indicators which can be used to evaluate the effects of possible interventions. In conclusion, I will move on the topics related to the transport planning, analyzing the planning process, and the variables that have to be considered to perform a feasibility analysis or to compare different alternatives. In conclusion I will perform a preliminary analysis of a new transit system which is planned to be developed in New York City.

Knot theory and its applications

Nella tesi verranno presi in considerazione tre aspetti: si descriverà come la teoria dei nodi si sia sviluppata nel corso degli anni in relazione alle diverse scoperte scientifiche avvenute. Si potrà quindi subito avere una idea di come questa teoria sia estremamente connessa a diverse altre. Nel secondo capitolo ci si occuperà degli aspetti più formali di questa teoria. Si introdurrà il concetto di nodi equivalenti e di invariante dei nodi. Si definiranno diversi invarianti, dai più elementari, le mosse di Reidemeister, il numero di incroci e la tricolorabilità, fino ai polinomi invarianti, tra cui il polinomio di Alexander, il polinomio di Jones e quello di Kaufman. Infine si spiegheranno alcune applicazioni della teoria dei nodi in chimica, fisica e biologia. Sulla chimica, si definirà la chiralità molecolare e si mostrerà come la chiralità dei nodi possa essere utile nel determinare quella molecolare. In campo fisico, si mostrerà la relazione che esiste tra l'equazione di Yang-Baxter e i nodi. E in conclusione si mostrerà come modellare un importante processo biologico, la recombinazione del DNA, grazie alla teoria dei nodi.

Hybrid constraint programming and metaheuristic methods for large scale optimization problems

This work presents hybrid Constraint Programming (CP) and metaheuristic methods for the solution of Large Scale Optimization Problems; it aims at integrating concepts and mechanisms from the metaheuristic methods to a CP-based tree search environment in order to exploit the advantages of both approaches. The modeling and solution of large scale combinatorial optimization problem is a topic which has arisen the interest of many researcherers in the Operations Research field; combinatorial optimization problems are widely spread in everyday life and the need of solving difficult problems is more and more urgent. Metaheuristic techniques have been developed in the last decades to effectively handle the approximate solution of combinatorial optimization problems; we will examine metaheuristics in detail, focusing on the common aspects of different techniques. Each metaheuristic approach possesses its own peculiarities in designing and guiding the solution process; our work aims at recognizing components which can be extracted from metaheuristic methods and re-used in different contexts. In particular we focus on the possibility of porting metaheuristic elements to constraint programming based environments, as constraint programming is able to deal with feasibility issues of optimization problems in a very effective manner. Moreover, CP offers a general paradigm which allows to easily model any type of problem and solve it with a problem-independent framework, differently from local search and metaheuristic methods which are highly problem specific. In this work we describe the implementation of the Local Branching framework, originally developed for Mixed Integer Programming, in a CP-based environment. Constraint programming specific features are used to ease the search process, still mantaining an absolute generality of the approach. We also propose a search strategy called Sliced Neighborhood Search, SNS, that iteratively explores slices of large neighborhoods of an incumbent solution by performing CP-based tree search and encloses concepts from metaheuristic techniques. SNS can be used as a stand alone search strategy, but it can alternatively be embedded in existing strategies as intensification and diversification mechanism. In particular we show its integration within the CP-based local branching. We provide an extensive experimental evaluation of the proposed approaches on instances of the Asymmetric Traveling Salesman Problem and of the Asymmetric Traveling Salesman Problem with Time Windows. The proposed approaches achieve good results on practical size problem, thus demonstrating the benefit of integrating metaheuristic concepts in CP-based frameworks.

Local home bias: Theory and new empirical evidence from Italy

This thesis examines the literature on local home bias, i.e. investor preference towards geographically nearby stocks, and investigates the role of firm’s visibility, profitability, and opacity in explaining such behavior. While firm’s visibility is expected to proxy for the behavioral root originating such a preference, firm’s profitability and opacity are expected to capture the informational one. I find that less visible, and more profitable and opaque firms, conditionally to the demand, benefit from being headquartered in regions characterized by a scarcity of listed firms (local supply of stocks). Specifically, research estimates suggest that firms headquartered in regions with a poor supply of stocks would be worth i) 11 percent more if non-visible, non-profitable and non-opaque; ii) 16 percent more if profitable; and iii) 28 percent more if both profitable and opaque. Overall, as these features are able to explain most, albeit not all, of the local home bias effect, I reasonably argue and then assess that most of the preference for local is determined by a successful attempt to exploit local information advantage (60 percent), while the rest is determined by a mere (irrational) feeling of familiarity with the local firm (40 percent). Several and significant methodological, theoretical, and practical implications come out.

Comparison between analytical and numerical methods for the assessment of masonry arch bridges: Case study of Clemente Bridge on Savio river

This research has focused on the study of the behavior and of the collapse of masonry arch bridges. The latest decades have seen an increasing interest in this structural type, that is still present and in use, despite the passage of time and the variation of the transport means. Several strategies have been developed during the time to simulate the response of this type of structures, although even today there is no generally accepted standard one for assessment of masonry arch bridges. The aim of this thesis is to compare the principal analytical and numerical methods existing in literature on case studies, trying to highlight values and weaknesses. The methods taken in exam are mainly three: i) the Thrust Line Analysis Method; ii) the Mechanism Method; iii) the Finite Element Methods. The Thrust Line Analysis Method and the Mechanism Method are analytical methods and derived from two of the fundamental theorems of the Plastic Analysis, while the Finite Element Method is a numerical method, that uses different strategies of discretization to analyze the structure. Every method is applied to the case study through computer-based representations, that allow a friendly-use application of the principles explained. A particular closed-form approach based on an elasto-plastic material model and developed by some Belgian researchers is also studied. To compare the three methods, two different case study have been analyzed: i) a generic masonry arch bridge with a single span; ii) a real masonry arch bridge, the Clemente Bridge, built on Savio River in Cesena. In the analyses performed, all the models are two-dimensional in order to have results comparable between the different methods taken in exam. The different methods have been compared with each other in terms of collapse load and of hinge positions.

An interdisciplinary analysis of obesity: theory and empirical evidence

The dissertation is structured in three parts. The first part compares US and EU agricultural policies since the end of WWII. There is not enough evidence for claiming that agricultural support has a negative impact on obesity trends. I discuss the possibility of an exchange in best practices to fight obesity. There are relevant economic, societal and legal differences between the US and the EU. However, partnerships against obesity are welcomed. The second part presents a socio-ecological model of the determinants of obesity. I employ an interdisciplinary model because it captures the simultaneous influence of several variables. Obesity is an interaction of pre-birth, primary and secondary socialization factors. To test the significance of each factor, I use data from the National Longitudinal Survey of Adolescent Health. I compare the average body mass index across different populations. Differences in means are statistically significant. In the last part I use the National Survey of Children Health. I analyze the effect that family characteristics, built environment, cultural norms and individual factors have on the body mass index (BMI). I use Ordered Probit models and I calculate the marginal effects. I use State and ethnicity fixed effects to control for unobserved heterogeneity. I find that southern US States tend have on average a higher probability of being obese. On the ethnicity side, White Americans have a lower BMI respect to Black Americans, Hispanics and American Indians Native Islanders; being Asian is associated with a lower probability of being obese. In neighborhoods where trust level and safety perception are higher, children are less overweight and obese. Similar results are shown for higher level of parental income and education. Breastfeeding has a negative impact. Higher values of measures of behavioral disorders have a positive and significant impact on obesity, as predicted by the theory.

Quantum Correlations in Field Theory and Integrable Systems

In this thesis we will investigate some properties of one-dimensional quantum systems. From a theoretical point of view quantum models in one dimension are particularly interesting because they are strongly interacting, since particles cannot avoid each other in their motion, and you we can never ignore collisions. Yet, integrable models often generate new and non-trivial solutions, which could not be found perturbatively. In this dissertation we shall focus on two important aspects of integrable one- dimensional models: Their entanglement properties at equilibrium and their dynamical correlators after a quantum quench. The first part of the thesis will be therefore devoted to the study of the entanglement entropy in one- dimensional integrable systems, with a special focus on the XYZ spin-1/2 chain, which, in addition to being integrable, is also an interacting model. We will derive its Renyi entropies in the thermodynamic limit and its behaviour in different phases and for different values of the mass-gap will be analysed. In the second part of the thesis we will instead study the dynamics of correlators after a quantum quench , which represent a powerful tool to measure how perturbations and signals propagate through a quantum chain. The emphasis will be on the Transverse Field Ising Chain and the O(3) non-linear sigma model, which will be both studied by means of a semi-classical approach. Moreover in the last chapter we will demonstrate a general result about the dynamics of correlation functions of local observables after a quantum quench in integrable systems. In particular we will show that if there are not long-range interactions in the final Hamiltonian, then the dynamics of the model (non equal- time correlations) is described by the same statistical ensemble that describes its statical properties (equal-time correlations).

On the renormalization flow representation of field theory and some applications

In this thesis we discuss a representation of quantum mechanics and quantum and statistical field theory based on a functional renormalization flow equation for the one-particle-irreducible average effective action, and we employ it to get information on some specific systems.

Effect of training systems and pruning methods on fruit quality in apple

The introduction of dwarfed rootstocks in apple crop has led to a new concept of intensive planting systems with the aim of producing early high yield and with returns of the initial high investment. Although yield is an important aspect to the grower, the consumer has become demanding regards fruit quality and is generally attracted by appearance. To fulfil the consumer’s expectations the grower may need to choose a proper training system along with an ideal pruning technique, which ensure a good light distribution in different parts of the canopy and a marketable fruit quality in terms of size and skin colour. Although these aspects are important, these fruits might not reach the proper ripening stage within the canopy because they are often heterogeneous. To describe the variability present in a tree, a software (PlantToon®), was used to recreate the tree architecture in 3D in the two training systems. The ripening stage of each of the fruits was determined using a non-destructive device (DA-Meter), thus allowing to estimate the fruit ripening variability. This study deals with some of the main parameters that can influence fruit quality and ripening stage within the canopy and orchard management techniques that can ameliorate a ripening fruit homogeneity. Significant differences in fruit quality were found within the canopies due to their position, flowering time and bud wood age. Bi-axis appeared to be suitable for high density planting, even though the fruit quality traits resulted often similar to those obtained with a Slender Spindle, suggesting similar fruit light availability within the canopies. Crop load confirmed to be an important factor that influenced fruit quality as much as the interesting innovative pruning method “Click”, in intensive planting systems.

Total internal reflection fluorescence cross-correlation spectroscopy: theory and application for studying boundary slip phenomenon

I present a new experimental method called Total Internal Reflection Fluorescence Cross-Correlation Spectroscopy (TIR-FCCS). It is a method that can probe hydrodynamic flows near solid surfaces, on length scales of tens of nanometres. Fluorescent tracers flowing with the liquid are excited by evanescent light, produced by epi-illumination through the periphery of a high NA oil-immersion objective. Due to the fast decay of the evanescent wave, fluorescence only occurs for tracers in the ~100 nm proximity of the surface, thus resulting in very high normal resolution. The time-resolved fluorescence intensity signals from two laterally shifted (in flow direction) observation volumes, created by two confocal pinholes are independently measured and recorded. The cross-correlation of these signals provides important information for the tracers’ motion and thus their flow velocity. Due to the high sensitivity of the method, fluorescent species with different size, down to single dye molecules can be used as tracers. The aim of my work was to build an experimental setup for TIR-FCCS and use it to experimentally measure the shear rate and slip length of water flowing on hydrophilic and hydrophobic surfaces. However, in order to extract these parameters from the measured correlation curves a quantitative data analysis is needed. This is not straightforward task due to the complexity of the problem, which makes the derivation of analytical expressions for the correlation functions needed to fit the experimental data, impossible. Therefore in order to process and interpret the experimental results I also describe a new numerical method of data analysis of the acquired auto- and cross-correlation curves – Brownian Dynamics techniques are used to produce simulated auto- and cross-correlation functions and to fit the corresponding experimental data. I show how to combine detailed and fairly realistic theoretical modelling of the phenomena with accurate measurements of the correlation functions, in order to establish a fully quantitative method to retrieve the flow properties from the experiments. An importance-sampling Monte Carlo procedure is employed in order to fit the experiments. This provides the optimum parameter values together with their statistical error bars. The approach is well suited for both modern desktop PC machines and massively parallel computers. The latter allows making the data analysis within short computing times. I applied this method to study flow of aqueous electrolyte solution near smooth hydrophilic and hydrophobic surfaces. Generally on hydrophilic surface slip is not expected, while on hydrophobic surface some slippage may exists. Our results show that on both hydrophilic and moderately hydrophobic (contact angle ~85°) surfaces the slip length is ~10-15nm or lower, and within the limitations of the experiments and the model, indistinguishable from zero.