Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

A panchromatic view of the evolution of supermassive black holes

This PhD Thesis is devoted to the accurate analysis of the physical properties of Active Galactic Nuclei (AGN) and the AGN/host-galaxy interplay. Due to the broad-band AGN emission (from radio to hard X-rays), a multi-wavelength approach is mandatory. Our research is carried out over the COSMOS field, within the context of the XMM-Newton wide-field survey. To date, the COSMOS field is a unique area for comprehensive multi-wavelength studies, allowing us to define a large and homogeneous sample of QSOs with a well-sampled spectral coverage and to keep selection effects under control. Moreover, the broad-band information contained in the COSMOS database is well-suited for a detailed analysis of AGN SEDs, bolometric luminosities and bolometric corrections. In order to investigate the nature of both obscured (Type-2) and unobscured (Type-1) AGN, the observational approach is complemented with a theoretical modelling of the AGN/galaxy co-evolution. The X-ray to optical properties of an X-ray selected Type-1 AGN sample are discussed in the first part. The relationship between X-ray and optical/UV luminosities, parametrized by the spectral index αox, provides a first indication about the nature of the central engine powering the AGN. Since a Type-1 AGN outshines the surrounding environment, it is extremely difficult to constrain the properties of its host-galaxy. Conversely, in Type-2 AGN the host-galaxy light is the dominant component of the optical/near-IR SEDs, severely affecting the recovery of the intrinsic AGN emission. Hence a multi-component SED-fitting code is developed to disentangle the emission of the stellar populationof the galaxy from that associated with mass accretion. Bolometric corrections, luminosities, stellar masses and star-formation rates, correlated with the morphology of Type-2 AGN hosts, are presented in the second part, while the final part concerns a physically-motivated model for the evolution of spheroidal galaxies with a central SMBH. The model is able to reproduce two important stages of galaxy evolution, namely the obscured cold-phase and the subsequent quiescent hot-phase.

Quantum gravity effects in rotating black hole spacetimes

The aim of this work is to explore, within the framework of the presumably asymptotically safe Quantum Einstein Gravity, quantum corrections to black hole spacetimes, in particular in the case of rotating black holes. We have analysed this problem by exploiting the scale dependent Newton s constant implied by the renormalization group equation for the effective average action, and introducing an appropriate "cutoff identification" which relates the renormalization scale to the geometry of the spacetime manifold. We used these two ingredients in order to "renormalization group improve" the classical Kerr metric that describes the spacetime generated by a rotating black hole. We have focused our investigation on four basic subjects of black hole physics. The main results related to these topics can be summarized as follows. Concerning the critical surfaces, i.e. horizons and static limit surfaces, the improvement leads to a smooth deformation of the classical critical surfaces. Their number remains unchanged. In relation to the Penrose process for energy extraction from black holes, we have found that there exists a non-trivial correlation between regions of negative energy states in the phase space of rotating test particles and configurations of critical surfaces of the black hole. As for the vacuum energy-momentum tensor and the energy conditions we have shown that no model with "normal" matter, in the sense of matter fulfilling the usual energy conditions, can simulate the quantum fluctuations described by the improved Kerr spacetime that we have derived. Finally, in the context of black hole thermodynamics, we have performed calculations of the mass and angular momentum of the improved Kerr black hole, applying the standard Komar integrals. The results reflect the antiscreening character of the quantum fluctuations of the gravitational field. Furthermore we calculated approximations to the entropy and the temperature of the improved Kerr black hole to leading order in the angular momentum. More generally we have proven that the temperature can no longer be proportional to the surface gravity if an entropy-like state function is to exist.

A mathematical introduction to Kerr black holes

Lo scopo della tesi è descrivere i buchi neri di Kerr. Dopo aver introdotto tutti gli strumenti matematici necessari quali tensori, vettori di Killing e geodetiche, enunceremo la metrica di Kerr, il teorema no-hair e il frame-dragging. In seguito, a partire dalla metrica di Kerr, calcoleremo e descriveremo le ergosfere, gli orizzonti degli eventi e il moto dei fotoni nel piano equatoriale.

Black hole evaporation and stress tensor correlations

General Relativity is one of the greatest scientific achievementes of the 20th century along with quantum theory. These two theories are extremely beautiful and they are well verified by experiments, but they are apparently incompatible. Hints towards understanding these problems can be derived studying Black Holes, some the most puzzling solutions of General Relativity. The main topic of this Master Thesis is the study of Black Holes, in particular the Physics of Hawking Radiation. After a short review of General Relativity, I study in detail the Schwarzschild solution with particular emphasis on the coordinates systems used and the mathematical proof of the classical laws of Black Hole "Thermodynamics". Then I introduce the theory of Quantum Fields in Curved Spacetime, from Bogolubov transformations to the Schwinger-De Witt expansion, useful for the renormalization of the stress energy tensor. After that I introduce a 2D model of gravitational collapse to study the Hawking radiation phenomenon. Particular emphasis is given to the analysis of the quantum states, from correlations to the physical implication of this quantum effect (e.g. Information Paradox, Black Hole Thermodynamics). Then I introduce the renormalized stress energy tensor. Using the Schwinger-De Witt expansion I renormalize this object and I compute it analytically in the various quantum states of interest. Moreover, I study the correlations between these objects. They are interesting because they are linked to the Hawking radiation experimental search in acoustic Black Hole models. In particular I find that there is a characteristic peak in correlations between points inside and outside the Black Hole region, which correpsonds to entangled excitations inside and outside the Black Hole. These peaks hopefully will be measurable soon in supersonic BEC.

Volunteer-based coral reef monitoring: reliability of data, environmental education and implications for conservation

Coral reefs are the most biodiverse ecosystems of the ocean and they provide notable ecosystem services. Nowadays, they are facing a number of local anthropogenic threats and environmental change is threatening their survivorship on a global scale. Large-scale monitoring is necessary to understand environmental changes and to perform useful conservation measurements. Governmental agencies are often underfunded and are not able of sustain the necessary spatial and temporal large-scale monitoring. To overcome the economic constrains, in some cases scientists can engage volunteers in environmental monitoring. Citizen Science enables the collection and analysis of scientific data at larger spatial and temporal scales than otherwise possible, addressing issues that are otherwise logistically or financially unfeasible. “STE: Scuba Tourism for the Environment” was a volunteer-based Red Sea coral reef biodiversity monitoring program. SCUBA divers and snorkelers were involved in the collection of data for 72 taxa, by completing survey questionnaires after their dives. In my thesis, I evaluated the reliability of the data collected by volunteers, comparing their questionnaires with those completed by professional scientists. Validation trials showed a sufficient level of reliability, indicating that non-specialists performed similarly to conservation volunteer divers on accurate transects. Using the data collected by volunteers, I developed a biodiversity index that revealed spatial trends across surveyed areas. The project results provided important feedbacks to the local authorities on the current health status of Red Sea coral reefs and on the effectiveness of the environmental management. I also analysed the spatial and temporal distribution of each surveyed taxa, identifying abundance trends related with anthropogenic impacts. Finally, I evaluated the effectiveness of the project to increase the environmental education of volunteers and showed that the participation in STEproject significantly increased both the knowledge on coral reef biology and ecology and the awareness of human behavioural impacts on the environment.

La Controparte Ottica della "Black-Widow" nell'Ammasso Globulare M71

Le Millisecond Pulsar (MSP) sono stelle di neutroni magnetizzate e rapidamente rotanti, prodotte da fenomeni di accrescimento di massa e momento angolare da parte di una stella compagna. Secondo lo scenario canonico di formazione, è atteso che la stella compagna sia una nana bianca di He, privata del suo inviluppo esterno. Tuttavia, in un numero crescente di casi, la compagna della MSP è stata identificata in una stella di piccola massa, non degenere, ancora soggetta a fenomeni di perdita di massa. Queste MSP vengono comunemente chiamate ''Black-Widow'' (BW) e sono l'oggetto di studio di questa tesi. In particolare, l'obiettivo di questo lavoro è l'identificazione della controparte ottica della PSR J1953+1846A nell'ammasso globulare M71. Essa è classificata come BW, data la piccola massa della compagna (~0.032 Msun) e il segnale radio eclissato per circa il 20% dell'orbita. Tramite l'uso di osservazioni ad alta risoluzione con il telescopio spaziale Hubble, abbiamo identificato, in una posizione compatibile con la MSP, un debole oggetto, la cui variabilità mostra una periodicità coerente con quella del sistema binario, noto dalla banda radio. La struttura della curva di luce è indicativa della presenza di fenomeni di irraggiamento della superficie stellare esposta all'emissione della MSP e dalla sua analisi abbiamo stimato alcuni parametri fisici della compagna, come la temperatura superficiale ed il fattore di riempimento del lobo di Roche. Dal confronto tra le curve di luce X ed ottica, abbiamo inoltre trovato evidenze a favore della presenza di shocks nelle regioni intrabinarie. Abbiamo quindi evidenziato l'estrema similarità di questo sistema con l'unica compagna di BW attualmente nota in un ammasso globulare: PSR J1518+0204C. Infine, abbiamo effettuato uno studio preliminare delle controparti ottiche delle sorgenti X dell'ammasso. Abbiamo così identificato due AGN che, insieme ad altre due galassie, hanno permesso la determinazione del moto proprio assoluto delle stelle dell'ammasso.

Classical and quantum aspects of black hole dynamics

Il contenuto fisico della Relatività Generale è espresso dal Principio di Equivalenza, che sancisce l'equivalenza di geometria e gravitazione. La teoria predice l'esistenza dei buchi neri, i più semplici oggetti macroscopici esistenti in natura: essi sono infatti descritti da pochi parametri, le cui variazioni obbediscono a leggi analoghe a quelle della termodinamica. La termodinamica dei buchi neri è posta su basi solide dalla meccanica quantistica, mediante il fenomeno noto come radiazione di Hawking. Questi risultati gettano una luce su una possibile teoria quantistica della gravitazione, ma ad oggi una simile teoria è ancora lontana. In questa tesi ci proponiamo di studiare i buchi neri nei loro aspetti sia classici che quantistici. I primi due capitoli sono dedicati all'esposizione dei principali risultati raggiunti in ambito teorico: in particolare ci soffermeremo sui singularity theorems, le leggi della meccanica dei buchi neri e la radiazione di Hawking. Il terzo capitolo, che estende la discussione sulle singolarità, espone la teoria dei buchi neri non singolari, pensati come un modello effettivo di rimozione delle singolarità. Infine il quarto capitolo esplora le ulteriori conseguenze della meccanica quantistica sulla dinamica dei buchi neri, mediante l'uso della nozione di entropia di entanglement.

Black Hole and Galaxy Growth over Cosmic Time: the Chandra COSMOS Legacy Survey

The study of supermassive black hole (SMBH) accretion during their phase of activity (hence becoming active galactic nuclei, AGN), and its relation to the host-galaxy growth, requires large datasets of AGN, including a significant fraction of obscured sources. X-ray data are strategic in AGN selection, because at X-ray energies the contamination from non-active galaxies is far less significant than in optical/infrared surveys, and the selection of obscured AGN, including also a fraction of heavily obscured AGN, is much more effective. In this thesis, I present the results of the Chandra COSMOS Legacy survey, a 4.6 Ms X-ray survey covering the equatorial COSMOS area. The COSMOS Legacy depth (flux limit f=2x10^(-16) erg/s/cm^(-2) in the 0.5-2 keV band) is significantly better than that of other X-ray surveys on similar area, and represents the path for surveys with future facilities, like Athena and X-ray Surveyor. The final Chandra COSMOS Legacy catalog contains 4016 point-like sources, 97% of which with redshift. 65% of the sources are optically obscured and potentially caught in the phase of main BH growth. We used the sample of 174 Chandra COSMOS Legacy at z>3 to place constraints on the BH formation scenario. We found a significant disagreement between our space density and the predictions of a physical model of AGN activation through major-merger. This suggests that in our luminosity range the BH triggering through secular accretion is likely preferred to a major-merger triggering scenario. Thanks to its large statistics, the Chandra COSMOS Legacy dataset, combined with the other multiwavelength COSMOS catalogs, will be used to answer questions related to a large number of astrophysical topics, with particular focus on the SMBH accretion in different luminosity and redshift regimes.

The Importance of Quality LGBT Representation in Popular Television Shows: Orange Is the New Black and Orphan Black

Il seguente elaborato analizza l'importanza di un'adeguata rappresentazione di personaggi appartenenti allo spettro LGBT all'interno di programmi televisivi nordamericani, in particolare Orange Is The New Black e Orphan Black. Lo scopo della tesi è quello di provare l'importanza della rappresentazione nella costruzione dell'identità personale di ognuno, e nella lotta contro le discriminazioni di genere e orientamento sessuale. Le tesi si apre con un excursus teorico sul termine e il concetto di rappresentazione, soprattutto relativo all'ambito della televisione. Successivamente, vengono analizzati i vari tipi di rappresentazione all'interno nei due programmi televisivi presi in esame. La ricerca si conclude con una valutazione degli effetti e delle reazioni del pubblico a entrambi i telefilm e, infine, con alcune considerazioni personali.

Bouncing black holes in loop quantum gravity

In questo lavoro viene presentato un recente modello di buco nero che implementa le proprietà quantistiche di quelle regioni dello spaziotempo dove non possono essere ignorate, pena l'implicazione di paradossi concettuali e fenomenologici. In suddetto modello, la regione di spaziotempo dominata da comportamenti quantistici si estende oltre l'orizzonte del buco nero e suscita un'inversione, o più precisamente un effetto tunnel, della traiettoria di collasso della stella in una traiettoria di espansione simmetrica nel tempo. L'inversione impiega un tempo molto lungo per chi assiste al fenomeno a grandi distanze, ma inferiore al tempo di evaporazione del buco nero tramite radiazione di Hawking, trascurata e considerata come un effetto dissipativo da studiarsi in un secondo tempo. Il resto dello spaziotempo, fuori dalla regione quantistica, soddisfa le equazioni di Einstein. Successivamente viene presentata la teoria della Gravità Quantistica a Loop (LQG) che permetterebbe di studiare la dinamica della regione quantistica senza far riferimento a una metrica classica, ma facendo leva sul contenuto relazionale del tessuto spaziotemporale. Il campo gravitazionale viene riformulato in termini di variabili hamiltoniane in uno spazio delle fasi vincolato e con simmetria di gauge, successivamente promosse a operatori su uno spazio di Hilbert legato a una vantaggiosa discretizzazione dello spaziotempo. La teoria permette la definizione di un'ampiezza di transizione fra stati quantistici di geometria spaziotemporale, applicabile allo studio della regione quantistica nel modello di buco nero proposto. Infine vengono poste le basi per un calcolo in LQG dell'ampiezza di transizione del fenomeno di rimbalzo quantistico all'interno del buco nero, e di conseguenza per un calcolo quantistico del tempo di rimbalzo nel riferimento di osservatori statici a grande distanza da esso, utile per trattare a posteriori un modello che tenga conto della radiazione di Hawking e, auspicatamente, fornisca una possibile risoluzione dei problemi legati alla sua esistenza.

Gene expression responses to acute and chronic heat stress in the common reef-building coral Pocillopora verrucosa

Global climate change is impacting coral reefs worldwide, with approximately 19% of reefs being permanently degraded, 15% showing symptoms of imminent collapse, and 20% at risk of becoming critically affected in the next few decades. This alarming level of reef degradation is mainly due to an increase in frequency and intensity of natural and anthropogenic disturbances. Recent evidence has called into question whether corals have the capacity to acclimatize or adapt to climate changes and some groups of corals showed inherent physiological tolerance to environmental stressors. The aim of the present study was to evaluate mRNA expression patterns underlying differences in thermal tolerance in specimen of the common reef-building coral Pocillopora verrucosa collected at different locations in Bangka Island waters (North Sulawesi, Indonesia). Part of the experimental work was carried out at the CoralEye Reef Research Outpost (Bangka Island). This includes sampling of corals at selected sites and at different depths (3 and 12 m) as well as their experimental exposure to an increased water temperature under controlled conditions for 3 and 7 days. Levels of mRNAs encoding ATP synthase (ATPs) NADH dehydrogenase (NDH) and a 70kDa Heat Shock Protein (HSP70) were evaluated by quantitative real time PCR. Transcriptional profiles evaluated under field conditions suggested an adaptation to peculiar local environmental conditions in corals collected at different sites and at the low depth. Nevertheless, high–depth collected corals showed a less pronounced site-to-site separation suggesting more homogenous environmental conditions. Exposure to an elevated temperature under controlled conditions pointed out that corals adapted to the high depth are more sensitive to the effects of thermal stress, so that reacted to thermal challenge by significantly over-expressing the selected gene products. Being continuously exposed to fluctuating environmental conditions, low-depth adapted corals are more resilient to the stress stimulus, and indeed showed unaffected or down-regulated mRNA expression profiles. Overall these results highlight that transcriptional profiles of selected genes involved in cellular stress response are modulated by natural seasonal temperature changes in P. verrucosa. Moreover, specimens living in more variable habitats (low-depth) exhibit higher basal HSP70 mRNA levels, possibly enhancing physiological tolerance to environmental stressors.

First assessment on genetic structure and phylogeography of Mediterranean blue shark (prionace glauca, L. 1758) population using mitochondrial gene variation: a comparison with the Atlantic.

The blue shark, Prionace glauca, is one of the most vagile shark species worldwide distributed. The particular body shape allows blue sharks make transoceanic movements, leading to a circumglobal distribution. Due to its reproductive cycle, an extraordinarily high number of specimens is globally registered but, even if it is still a major bycatch of longline fishery rather than a commercial target, it is characterized by a high vulnerability. In this perspective it is important to increase the amount of informations regarding its population extent in the different worldwide areas, evaluating the possible phylogeographic patterns between different locations. This study, included in the "MedBlueSGen" European project, aims exactly at filling a gap in knowledges regarding the genetic population structure of the Mediterranean blue sharks, which has never been investigated before, with a comparison with the North-Eastern Atlantic blue shark population. To reach this objective, we used a dataset of samples from different Mediterranean areas implementing it with some samples from North-Eastern Atlantic. Analyzing the variability of the two mitochondrial markers control region and cytochrome b, with the design of new species-specific primer pairs, we assessed the mitochondrial genetic structure of Mediterranean and North-Eastern Atlantic samples, focusing on the analysis of their possible connectivity, and we tried to reconstruct their demographic history and population size. Data analyses highlighted the absence of a genetic structuring within the Mediterranean and among it and North-Eastern Atlantic, suggesting that the Strait of Gibraltar doesn't represent a phylogeographic barrier. These results are coherent to what has been found in similar investigations on other worldwide blue shark populations. Analysis of the historical demographic trend revealed a general stable pattern for the cytochrome-b and a slightly population expansion for the control region marker.

Reversal of established lupus nephritis and prolonged survival of New Zealand black x New Zealand white mice treated with the topoisomerase I inhibitor irinotecan

Systemic lupus erythematosus is a chronic autoimmune disorder that predominantly affects women of childbearing age. Lupus-associated glomerulonephritis is a major cause of mortality in these patients. Current treatment protocols for systemic lupus erythematosus include cyclophosphamide, prednisolone, azathioprine, and mycophenolate mofetil. However, in mice none of these agents alone or in combination were shown to reverse established proteinuria. Using New Zealand Black x New Zealand White F1 mice, we report that administration of the topoisomerase I inhibitor irinotecan from week 13 completely prevented the onset of proteinuria and prolonged survival up to at least 90 wk without detectable side effects. Furthermore, application of irinotecan to mice with established lupus nephritis, as indicated by grade 3+ (> or =300 mg/dl) and grade 4+ (> or =2000 mg/dl) proteinuria and, according to a median age of 35 wk, resulted in remission rates of 75% and 55%, respectively. Survival was significantly prolonged with 73 wk (grade 3+ and 4+ combined) versus 40 wk for control animals. Although total IgG and anti-dsDNA Abs in the serum and mesangial IgG deposits in the kidneys were not reduced in irinotecan-treated mice, subendothelial immune deposits were considerably diminished, suggesting a prevention of glomerular basement membrane disruption. This effect was accompanied by increased rates of ssDNA breaks and inhibition of renal cell apoptosis being different to what is known about irinotecan in anticancer therapy. In conclusion, our data provide evidence that irinotecan might represent an entirely new strategy for the treatment of systemic lupus erythematosus.

Disclosure, discrimination and desire: experiences of Black and South Asian gay men in Britain

Using findings from a qualitative investigation based on in-depth email interviews with 47 Black and South Asian gay men in Britain, this paper explores the cross-cutting identities and discourses in relation to being both gay and from an ethnic minority background. Taking an intersectional approach, detailed accounts of identity negotiation, cultural pressures, experiences of discrimination and exclusion and the relationship between minority ethnic gay men and mainstream White gay culture are presented and explored. The major findings common to both groups were: cultural barriers limiting disclosure of sexuality to family and wider social networks; experiences of discrimination by White gay men that included exclusion as well as objectification; a lack of positive gay role models and imagery relating to men from minority ethnic backgrounds. Among South Asian gay men, a major theme was regret at being unable to fulfil family expectations regarding marriage and children, while among Black gay men, there was a strong belief that same-sex behaviour subverted cultural notions related to how masculinity is configured. The paper concludes by highlighting the importance of social location, particularly education and income, when examining the intersection of ethnicity and sexuality in future research.