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.

Local dynamics and bending mechanics of mesostructured materials

Die vorliegende Arbeit behandelt die Anwendung der Rasterkraftmikroskopie auf die Untersuchung mesostrukturierter Materialien. Mesostrukturierte Materialien setzen sich aus einzelnen mesoskopen Bausteinen zusammen. Diese Untereinheiten bestimmen im Wesentlichen ihr charakteristisches Verhalten auf äußere mechanische oder elektrische Reize, weshalb diesen Materialien eine besondere Rolle in der Natur sowie im täglichen Leben zukommt. Ein genaues Verständnis der Selbstorganisation dieser Materialien und der Wechselwirkung der einzelnen Bausteine untereinander ist daher von essentieller Bedeutung zur Entwicklung neuer Synthesestrategien sowie zur Optimierung ihrer Materialeigenschaften. Die Charakterisierung dieser mesostrukturierten Materialien erfolgt üblicherweise mittels makroskopischer Analysemethoden wie der dielektrischen Breitbandspektroskopie, Thermogravimetrie sowie in Biegungsexperimenten. In dieser Arbeit wird gezeigt, wie sich diese Analysemethoden mit der Rasterkraftmikroskopie verbinden lassen, um mesostrukturierte Materialien zu untersuchen. Die Rasterkraftmikroskopie bietet die Möglichkeit, die Oberfläche eines Materials abzubilden und zusätzlich dazu seine quantitativen Eigenschaften, wie die mechanische Biegefestigkeit oder die dielektrische Relaxation, zu bestimmen. Die Übertragung makroskopischer Analyseverfahren auf den Nano- bzw. Mikrometermaßstab mittels der Rasterkraftmikroskopie erlaubt die Charakterisierung von räumlich sehr begrenzten Proben bzw. von Proben, die nur in einer sehr kleinen Menge (<10 mg) vorliegen. Darüberhinaus umfasst das Auflösungsvermögen eines Rasterkraftmikroskops, welche durch die Größe seines Federbalkens (50 µm) sowie seines Spitzenradius (5 nm) definiert ist, genau den Längenskalenbereich, der einzelne Atome mit der makroskopischen Welt verbindet, nämlich die Mesoskala. In dieser Arbeit werden Polymerfilme, kolloidale Nanofasern sowie Biomineralien ausführlicher untersucht.rnIm ersten Projekt werden mittels Rasterkraftmikroskopie dielektrische Spektren von mischbaren Polymerfilmen aufgenommen und mit ihrer lokalen Oberflächenstruktur korreliert. Im zweiten Projekt wird die Rasterkraftmikroskopie eingesetzt, um Biegeexperimente an kolloidalen Nanofasern durchzuführen und so ihre Brucheigenschaften genauer zu untersuchen. Im letzten Projekt findet diese Methode Anwendung bei der Charakterisierung der Biegeeigenschaften von Biomineralien. Des Weiteren erfolgt eine Analyse der organischen Zusammensetzung dieser Biomineralien. Alle diese Projekte demonstrieren die vielseitige Einsetzbarkeit der Rasterkraftmikroskopie zur Charakterisierung mesostrukturierter Materialien. Die Korrelation ihrer mechanischen und dielektrischen Eigenschaften mit ihrer topographischen Beschaffenheit erlaubt ein tieferes Verständnis der mesoskopischen Materialien und ihres Verhaltens auf die Einwirkung äußerer Stimuli.rn

Engaging Local Communities in Low Emissions Land-Use Planning: a Case Study from Laos

Reducing Emissions from Deforestation and Forest Degradation and enhancing forest carbon stocks (REDD+) is a performance-based payment mechanism currently being debated in international and national environmental policy and planning forums. As the mechanism is based on conditionality, payments must reflect land stewards’ level of compliance with carbon-efficient management practices. However, lack of clarity in land governance and carbon rights could undermine REDD+ implementation. Strategies are needed to avoid perverse incentives resulting from the commoditization of forest carbon stocks and, importantly, to identify and secure the rights of legitimate recipients of future REDD+ payments. We propose a landscape-level approach to address potential conflicts related to carbon tenure and REDD+ benefit sharing. We explore various land-tenure scenarios and their implications for carbon ownership in the context of a research site in northern Laos. Our case study shows that a combination of relevant scientific tools, knowledge, and participatory approaches can help avoid the marginalization of rural communities during the REDD+ process. The findings demonstrate that participatory land-use planning is an important step in ensuring that local communities are engaged in negotiating REDD+ schemes and that such negotiations are transparent. Local participation and agreements on land-use plans could provide a sound basis for developing efficient measurement, reporting, and verification systems for REDD+.

Auto-localization algorithm for local positioning systems

This paper studies the problem of determining the position of beacon nodes in Local Positioning Systems (LPSs), for which there are no inter-beacon distance measurements available and neither the mobile node nor any of the stationary nodes have positioning or odometry information. The common solution is implemented using a mobile node capable of measuring its distance to the stationary beacon nodes within a sensing radius. Many authors have implemented heuristic methods based on optimization algorithms to solve the problem. However, such methods require a good initial estimation of the node positions in order to find the correct solution. In this paper we present a new method to calculate the inter-beacon distances, and hence the beacons positions, based in the linearization of the trilateration equations into a closed-form solution which does not require any approximate initial estimation. The simulations and field evaluations show a good estimation of the beacon node positions.

Optimal Control Using Feedback Linearization for a Generalized T-S Model

In this paper, a fuzzy feedback linearization is used to control nonlinear systems described by Takagi-Suengo (T-S) fuzzy systems. In this work, an optimal controller is designed using the linear quadratic regulator (LQR). The well known weighting parameters approach is applied to optimize local and global approximation and modelling capability of T-S fuzzy model to improve the choice of the performance index and minimize it. The approach used here can be considered as a generalized version of T-S method. Simulation results indicate the potential, simplicity and generality of the estimation method and the robustness of the proposed optimal LQR algorithm.

Exponential decay of spin-spin correlation between distant defect states produced by contour hydrogenation of polycyclic aromatic hydrocarbon molecules

The first few low-lying spin states of alternant polycyclic aromatic hydrocarbon (PAH) molecules of several shapes showing defect states induced by contour hydrogenation have been studied both by ab initio methods and by a precise numerical solution of Pariser-Parr-Pople (PPP) interacting model. In accordance with Lieb's theorem, the ground state shows a spin multiplicity equal to one for balanced molecules, and it gets larger values for imbalanced molecules (that is, when the number of π electrons on both subsets is not equal). Furthermore, we find a systematic decrease of the singlet-triplet splitting as a function of the distance between defects, regardless of whether the ground state is singlet or triplet. For example, a splitting smaller than 0.001 eV is obtained for a medium size C46H28 PAH molecule (di-hydrogenated [11]phenacene) showing a singlet ground state. We conclude that π electrons unbound by lattice defects tend to remain localized and unpaired even when long-range Coulomb interaction is taken into account. Therefore they show a biradical character (polyradical character for more than two defects) and should be studied as two or more local doublets. The implications for electron transport are potentially important since these unpaired electrons can trap traveling electrons or simply flip their spin at a very small energy cost.

On the existence of exponential polynomials with prefixed gaps

This paper shows that the conjecture of Lapidus and Van Frankenhuysen on the set of dimensions of fractality associated with a nonlattice fractal string is true in the important special case of a generic nonlattice self-similar string, but in general is false. The proof and the counterexample of this have been given by virtue of a result on exponential polynomials P(z), with real frequencies linearly independent over the rationals, that establishes a bound for the number of gaps of RP, the closure of the set of the real projections of its zeros, and the reason for which these gaps are produced.

On the Result of Invariance of the Closure Set of the Real Projections of the Zeros of an Important Class of Exponential Polynomials

In this paper we provide the proof of a practical point-wise characterization of the set RP defined by the closure set of the real projections of the zeros of an exponential polynomial P(z) = Σn j=1 cjewjz with real frequencies wj linearly independent over the rationals. As a consequence, we give a complete description of the set RP and prove its invariance with respect to the moduli of the c′ js, which allows us to determine exactly the gaps of RP and the extremes of the critical interval of P(z) by solving inequations with positive real numbers. Finally, we analyse the converse of this result of invariance.

The importance of considering social issues in reforestation schemes

This paper reports the results of a survey of north Queensland landholder attitudes with respect to a number of issues relating to participation in forestry. The survey explored the reasons why landholders plant trees, perceived obstacles to greater farm forestry, and attitudes to tree planting programs such as the Community Rainforest Reforestation Program (CRRP) and Private Joint Venture Scheme (PJVS). The results of the survey are discussed in the context of possible policy prescriptions that can be made at local, state and federal government levels to facilitate greater tree planting in the region. Many of the problems faced by local landholders are shared by landholders in other parts of Australia and throughout the world. This survey can thus serve as a case study, providing information on a number of issues concerning small-scale forestry policies that are of general relevance to the development of farm forestry programs.

Mach edges: local features predicted by 3rd derivative spatial filtering

Edges are key points of information in visual scenes. One important class of models supposes that edges correspond to the steepest parts of the luminance profile, implying that they can be found as peaks and troughs in the response of a gradient (1st derivative) filter, or as zero-crossings in the 2nd derivative (ZCs). We tested those ideas using a stimulus that has no local peaks of gradient and no ZCs, at any scale. The stimulus profile is analogous to the Mach ramp, but it is the luminance gradient (not the absolute luminance) that increases as a linear ramp between two plateaux; the luminance profile is a blurred triangle-wave. For all image-blurs tested, observers marked edges at or close to the corner points in the gradient profile, even though these were not gradient maxima. These Mach edges correspond to peaks and troughs in the 3rd derivative. Thus Mach edges are inconsistent with many standard edge-detection schemes, but are nicely predicted by a recent model that finds edge points with a 2-stage sequence of 1st then 2nd derivative operators, each followed by a half-wave rectifier.

Packet voice/data in local broadcast networks

A local area network that can support both voice and data packets offers economic advantages due to the use of only a single network for both types of traffic, greater flexibility to changing user demands, and it also enables efficient use to be made of the transmission capacity. The latter aspect is very important in local broadcast networks where the capacity is a scarce resource, for example mobile radio. This research has examined two types of local broadcast network, these being the Ethernet-type bus local area network and a mobile radio network with a central base station. With such contention networks, medium access control (MAC) protocols are required to gain access to the channel. MAC protocols must provide efficient scheduling on the channel between the distributed population of stations who want to transmit. No access scheme can exceed the performance of a single server queue, due to the spatial distribution of the stations. Stations cannot in general form a queue without using part of the channel capacity to exchange protocol information. In this research, several medium access protocols have been examined and developed in order to increase the channel throughput compared to existing protocols. However, the established performance measures of average packet time delay and throughput cannot adequately characterise protocol performance for packet voice. Rather, the percentage of bits delivered within a given time bound becomes the relevant performance measure. Performance evaluation of the protocols has been examined using discrete event simulation and in some cases also by mathematical modelling. All the protocols use either implicit or explicit reservation schemes, with their efficiency dependent on the fact that many voice packets are generated periodically within a talkspurt. Two of the protocols are based on the existing 'Reservation Virtual Time CSMA/CD' protocol, which forms a distributed queue through implicit reservations. This protocol has been improved firstly by utilising two channels, a packet transmission channel and a packet contention channel. Packet contention is then performed in parallel with a packet transmission to increase throughput. The second protocol uses variable length packets to reduce the contention time between transmissions on a single channel. A third protocol developed, is based on contention for explicit reservations. Once a station has achieved a reservation, it maintains this effective queue position for the remainder of the talkspurt and transmits after it has sensed the transmission from the preceeding station within the queue. In the mobile radio environment, adaptions to the protocols were necessary in order that their operation was robust to signal fading. This was achieved through centralised control at a base station, unlike the local area network versions where the control was distributed at the stations. The results show an improvement in throughput compared to some previous protocols. Further work includes subjective testing to validate the protocols' effectiveness.

Economic and socio-economic evaluation of bioenergy schemes fueled with energy crops in Greece

The main aim of this thesis is to evaluate the economic and socio-economic viability of energy crops as raw material for bioenergy schemes at the local level. The case examined is Greece, a southern Mediterranean country. Based on the current state, on foreseen trends and on the information presented in the literature review (conducted at the beginning of the study), the main goal was defined as follows: To examine the evidence supporting a strong role for dedicated energy crops local bioenergy developments in Greece, a sector that is forecasted to be increasingly important in the short to medium term.' Two perennial energy crops, cardoon (Cynara cardunculus L.) and giant reed (Arundo donax L.) were evaluated. The thesis analysed their possible introduction in the agricultural system of Rhodope, northern Greece, as alternative land use, through comparative financial appraisal with the main conventional crops. Based on the output of this comparative analysis, the breakeven for the two selected energy crops was defined along with a sensitivity analysis for the risk of the potential implementation. Following, the author performed an economic and socio-economic evaluation of a district heating system fuelled with energy crops in the selected region. Finally, the author, acknowledging that bioenergy deployment should be studied in the context of innovations proceeded in examining the different perceptions of the key groups involved, farmers and potential end users. Results indicated that biomass exploitation for energy purposes is more likely to be accepted when it is seen clearly as one strand in a national energy, environmental and agricultural policy which embraces several sources of renewable energy, and which also encourages energy efficiency and conservation.

Obstacles and solutions to maximising biodiversity in major urban development schemes

The current rate of global biodiversity loss led many governments to sign the international agreement ‘Halting Biodiversity Loss by 2010 and beyond’ in 2001. The UK government was one of these and has a number of methods to tackle this, such as: commissioning specific technical guidance and supporting the UK Biodiversity Acton Plan (BAP) targets. However, by far the most effective influence the government has upon current biodiversity levels is through the town planning system. This is due to the control it has over all phases of a new development scheme’s lifecycle.There is an increasing myriad of regulations, policies and legislation, which deal with biodiversity protection and enhancement across the hierarchical spectrum: from the global and European level, down to regional and local levels. With these drivers in place, coupled with the promotion of benefits and incentives, increasing biodiversity value ought to be an achievable goal on most, if not all development sites. However, in the professional world, this is not the case due to a number of obstructions. Many of these tend to be ‘process’ barriers, which are particularly prevalent with ‘urban’ and ‘major’ development schemes, and is where the focus of this research paper lies.The paper summarises and discusses the results of a questionnaire survey, regarding obstacles to maximising biodiversity enhancements on major urban development schemes. The questionnaire was completed by Local Government Ecologists in England. The paper additionally refers to insights from previous action research, specialist interviews, and case studies, to reveal the key process obstacles.Solutions to these obstacles are then alluded to and recommendations are made within the discussion.

Low-emission vehicle adoption in a UK local authority fleet:economic barriers and air quality benefits

Local air quality was one of the main stimulants for low carbon vehicle development during the 1990s. Issues of national fuel security and global air quality (climate change) have added pressure for their development, stimulating schemes to facilitate their deployment in the UK. In this case study, Coventry City Council aimed to adopt an in-house fleet of electric and hybrid-electric vehicles to replace business mileage paid for in employee's private vehicles. This study made comparisons between the proposed vehicle technologies, in terms of costs and air quality, over projected scenarios of typical use. The study found that under 2009 conditions, the electric and hybrid fleet could not compete on cost with the current business model because of untested assumptions, but certain emissions were significantly reduced >50%. Climate change gas emissions were most drastically reduced where electric vehicles were adopted because the electricity supply was generated by renewable energy sources. The study identified the key cost barriers and benefits to adoption of low-emission vehicles in current conditions in the Coventry fleet. Low-emission vehicles achieved significant air pollution-associated health cost and atmospheric emission reductions per vehicle, and widespread adoption in cities could deliver significant change. © The Author 2011. Published by Oxford University Press. All rights reserved.

Investigating NEST schemes around the world:supporting NEST/LET collaborative practices

This report presents findings from a research project which investigates NEST schemes, how they operate and the experiences of the native English speaker teachers (NESTs) and local English teachers (LETs) taking part. The paper provides useful recommendations for how NESTs and LETs can be best supported to make the most out of their collaborations.