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.

Algorithms for network design and routing problems

In this thesis we study three combinatorial optimization problems belonging to the classes of Network Design and Vehicle Routing problems that are strongly linked in the context of the design and management of transportation networks: the Non-Bifurcated Capacitated Network Design Problem (NBP), the Period Vehicle Routing Problem (PVRP) and the Pickup and Delivery Problem with Time Windows (PDPTW). These problems are NP-hard and contain as special cases some well known difficult problems such as the Traveling Salesman Problem and the Steiner Tree Problem. Moreover, they model the core structure of many practical problems arising in logistics and telecommunications. The NBP is the problem of designing the optimum network to satisfy a given set of traffic demands. Given a set of nodes, a set of potential links and a set of point-to-point demands called commodities, the objective is to select the links to install and dimension their capacities so that all the demands can be routed between their respective endpoints, and the sum of link fixed costs and commodity routing costs is minimized. The problem is called non- bifurcated because the solution network must allow each demand to follow a single path, i.e., the flow of each demand cannot be splitted. Although this is the case in many real applications, the NBP has received significantly less attention in the literature than other capacitated network design problems that allow bifurcation. We describe an exact algorithm for the NBP that is based on solving by an integer programming solver a formulation of the problem strengthened by simple valid inequalities and four new heuristic algorithms. One of these heuristics is an adaptive memory metaheuristic, based on partial enumeration, that could be applied to a wider class of structured combinatorial optimization problems. In the PVRP a fleet of vehicles of identical capacity must be used to service a set of customers over a planning period of several days. Each customer specifies a service frequency, a set of allowable day-combinations and a quantity of product that the customer must receive every time he is visited. For example, a customer may require to be visited twice during a 5-day period imposing that these visits take place on Monday-Thursday or Monday-Friday or Tuesday-Friday. The problem consists in simultaneously assigning a day- combination to each customer and in designing the vehicle routes for each day so that each customer is visited the required number of times, the number of routes on each day does not exceed the number of vehicles available, and the total cost of the routes over the period is minimized. We also consider a tactical variant of this problem, called Tactical Planning Vehicle Routing Problem, where customers require to be visited on a specific day of the period but a penalty cost, called service cost, can be paid to postpone the visit to a later day than that required. At our knowledge all the algorithms proposed in the literature for the PVRP are heuristics. In this thesis we present for the first time an exact algorithm for the PVRP that is based on different relaxations of a set partitioning-like formulation. The effectiveness of the proposed algorithm is tested on a set of instances from the literature and on a new set of instances. Finally, the PDPTW is to service a set of transportation requests using a fleet of identical vehicles of limited capacity located at a central depot. Each request specifies a pickup location and a delivery location and requires that a given quantity of load is transported from the pickup location to the delivery location. Moreover, each location can be visited only within an associated time window. Each vehicle can perform at most one route and the problem is to satisfy all the requests using the available vehicles so that each request is serviced by a single vehicle, the load on each vehicle does not exceed the capacity, and all locations are visited according to their time window. We formulate the PDPTW as a set partitioning-like problem with additional cuts and we propose an exact algorithm based on different relaxations of the mathematical formulation and a branch-and-cut-and-price algorithm. The new algorithm is tested on two classes of problems from the literature and compared with a recent branch-and-cut-and-price algorithm from the literature.

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.

Comparative genomic sequencing analysis of a region in human chromosome 11p15.3, mouse chromosome 7 and analysis of the novel STK33, Stk33 gene

The comparative genomic sequence analysis of a region in human chromosome 11p15.3 and its homologous segment in mouse chromosome 7 between ST5 and LMO1 genes has been performed. 158,201 bases were sequenced in the mouse and compared with the syntenic region in human, partially available in the public databases. The analysed region exhibits the typical eukaryotic genomic structure and compared with the close neighbouring regions, strikingly reflexes the mosaic pattern distribution of (G+C) and repeats content despites its relative short size. Within this region the novel gene STK33 was discovered (Stk33 in the mouse), that codes for a serine/threonine kinase. The finding of this gene constitutes an excellent example of the strength of the comparative sequencing approach. Poor gene-predictions in the mouse genomic sequence were corrected and improved by the comparison with the unordered data from the human genomic sequence publicly available. Phylogenetical analysis suggests that STK33 belongs to the calcium/calmodulin-dependent protein kinases group and seems to be a novelty in the chordate lineage. The gene, as a whole, seems to evolve under purifying selection whereas some regions appear to be under strong positive selection. Both human and mouse versions of serine/threonine kinase 33, consists of seventeen exons highly conserved in the coding regions, particularly in those coding for the core protein kinase domain. Also the exon/intron structure in the coding regions of the gene is conserved between human and mouse. The existence and functionality of the gene is supported by the presence of entries in the EST databases and was in vivo fully confirmed by isolating specific transcripts from human uterus total RNA and from several mouse tissues. Strong evidence for alternative splicing was found, which may result in tissue-specific starting points of transcription and in some extent, different protein N-termini. RT-PCR and hybridisation experiments suggest that STK33/Stk33 is differentially expressed in a few tissues and in relative low levels. STK33 has been shown to be reproducibly down-regulated in tumor tissues, particularly in ovarian tumors. RNA in-situ hybridisation experiments using mouse Stk33-specific probes showed expression in dividing cells from lung and germinal epithelium and possibly also in macrophages from kidney and lungs. Preliminary experimentation with antibodies designed in this work, performed in parallel to the preparation of this manuscript, seems to confirm this expression pattern. The fact that the chromosomal region 11p15 in which STK33 is located may be associated with several human diseases including tumor development, suggest further investigation is necessary to establish the role of STK33 in human health.

Modelling and analysis of internally BFRP reinforced beams at elevated temperatures

The aim of the work is to conduct a finite element model analysis on a small – size concrete beam and on a full size concrete beam internally reinforced with BFRP exposed at elevated temperatures. Experimental tests performed at Kingston University have been used to compare the results from the numerical analysis for the small – size concrete beam. Once the behavior of the small – size beam at room temperature is investigated and switching to the heating phase reinforced beams are tested at 100°C, 200°C and 300°C in loaded condition. The aim of the finite element analysis is to reflect the three – point bending test adopted into the oven during the exposure of the beam at room temperature and at elevated temperatures. Performance and deformability of reinforced beams are straightly correlated to the material properties and a wide analysis on elastic modulus and coefficient of thermal expansion is given in this work. Develop a good correlation between the numerical model and the experimental test is the main objective of the analysis on the small – size concrete beam, for both modelling the aim is also to estimate which is the deterioration of the material properties due to the heating process and the influence of different parameters on the final result. The focus of the full – size modelling which involved the last part of this work is to evaluate the effect of elevated temperatures, the material deterioration and the deflection trend on a reinforced beam characterized by a different size. A comparison between the results from different modelling has been developed.

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.

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.

Topological aspects of the human protein interaction network

It is currently widely accepted that the understanding of complex cell functions depends on an integrated network theoretical approach and not on an isolated view of the different molecular agents. Aim of this thesis was the examination of topological properties that mirror known biological aspects by depicting the human protein network with methods from graph- and network theory. The presented network is a partial human interactome of 9222 proteins and 36324 interactions, consisting of single interactions reliably extracted from peer-reviewed scientific publications. In general, one can focus on intra- or intermodular characteristics, where a functional module is defined as "a discrete entity whose function is separable from those of other modules". It is found that the presented human network is also scale-free and hierarchically organised, as shown for yeast networks before. The interactome also exhibits proteins with high betweenness and low connectivity which are biologically analyzed and interpreted here as shuttling proteins between organelles (e.g. ER to Golgi, internal ER protein translocation, peroxisomal import, nuclear pores import/export) for the first time. As an optimisation for finding proteins that connect modules, a new method is developed here based on proteins located between highly clustered regions, rather than regarding highly connected regions. As a proof of principle, the Mediator complex is found in first place, the prime example for a connector complex. Focusing on intramodular aspects, the measurement of k-clique communities discriminates overlapping modules very well. Twenty of the largest identified modules are analysed in detail and annotated to known biological structures (e.g. proteasome, the NFκB-, TGF-β complex). Additionally, two large and highly interconnected modules for signal transducer and transcription factor proteins are revealed, separated by known shuttling proteins. These proteins yield also the highest number of redundant shortcuts (by calculating the skeleton), exhibit the highest numbers of interactions and might constitute highly interconnected but spatially separated rich-clubs either for signal transduction or for transcription factors. This design principle allows manifold regulatory events for signal transduction and enables a high diversity of transcription events in the nucleus by a limited set of proteins. Altogether, biological aspects are mirrored by pure topological features, leading to a new view and to new methods that assist the annotation of proteins to biological functions, structures and subcellular localisations. As the human protein network is one of the most complex networks at all, these results will be fruitful for other fields of network theory and will help understanding complex network functions in general.

Treatment of knee articular cartilage defects: surgical strategies, results and analysis of factors determining the clinical outcome

Articular cartilage lesions, with their inherent limited healing potential, are hard to treat and remain a challenging problem for orthopedic surgeons. Despite the development of several treatment strategies, the real potential of each procedure in terms of clinical benefit and effects on the joint degeneration processes is not clear. Aim of this PhD project was to evaluate the results, both in terms of clinical and imaging improvement, of new promising procedures developed to address the challenging cartilage pathology. Several studies have been followed in parallel and completed over the 3-year PhD, and are reported in detail in the following pages. In particular, the studies have been focused on the evaluation of the treatment indications of a scaffold based autologous chondrocyte implantation procedure, documenting its results for the classic indication of focal traumatic lesions, as well as its use for the treatment of more challenging patients, older, with degenerative lesions, or even as salvage procedure for more advanced stages of articular degeneration. The second field of study involved the analysis of the results obtained treating lesions of the articular surface with a new biomimetic osteochondral scaffold, which showed promise for the treatment of defects where the entire osteochondral unit is involved. Finally, a new minimally invasive procedure based on the use of growth factors derived from autologous platelets has been explored, showing results and underlining indicatios for the treatment of cartilage lesions and different stages of joint degeneration. These studies shed some light on the potential of the evaluated procedures, underlining good results as well as limits, they give some indications on the most appropriate candidates for their application, and document the current knowledge on cartilage treatment procedures suggesting the limitations that need to be addressed by future studies to improve the management of cartilage lesions.

User testing and analysis di interfacce web e mobile per un merge di sistemi

Testing e Analisi di problemi di usabilità che potrebbero sorgere se due sistemi venissero integrati in un unico nuovo sistema.

"Offshore tower or platform foundations: numerical analysis of a laterally loaded single pile or pile group in soft clay and analysis of actions on a jacket structure"

Laterally loaded piles are a typical situation for a large number of cases in which deep foundations are used. Dissertation herein reported, is a focus upon the numerical simulation of laterally loaded piles. In the first chapter the best model settings are largely discussed, so a clear idea about the effects of interface adoption, model dimension, refinement cluster and mesh coarseness is reached. At a second stage, there are three distinct parametric analyses, in which the model response sensibility is studied for variation of interface reduction factor, Eps50 and tensile cut-off. In addition, the adoption of an advanced soil model is analysed (NGI-ADP). This was done in order to use the complex behaviour (different undrained shear strengths are involved) that governs the resisting process of clay under short time static loads. Once set a definitive model, a series of analyses has been carried out with the objective of defining the resistance-deflection (P-y) curves for Plaxis3D (2013) data. Major results of a large number of comparisons made with curves from API (America Petroleum Institute) recommendation are that the empirical curves have almost the same ultimate resistance but a bigger initial stiffness. In the second part of the thesis a simplified structural preliminary design of a jacket structure has been carried out to evaluate the environmental forces that act on it and on its piles foundation. Finally, pile lateral response is studied using the empirical curves.

Probabilistic Recursion Theory and Implicit Computational Complexity

In this thesis we provide a characterization of probabilistic computation in itself, from a recursion-theoretical perspective, without reducing it to deterministic computation. More specifically, we show that probabilistic computable functions, i.e., those functions which are computed by Probabilistic Turing Machines (PTM), can be characterized by a natural generalization of Kleene's partial recursive functions which includes, among initial functions, one that returns identity or successor with probability 1/2. We then prove the equi-expressivity of the obtained algebra and the class of functions computed by PTMs. In the the second part of the thesis we investigate the relations existing between our recursion-theoretical framework and sub-recursive classes, in the spirit of Implicit Computational Complexity. More precisely, endowing predicative recurrence with a random base function is proved to lead to a characterization of polynomial-time computable probabilistic functions.