Stochastic local volatility model for fx markets

Questa tesi verte sullo studio di un modello a volatilità stocastica e locale, utilizzato per valutare opzioni esotiche nei mercati dei cambio. La difficoltà nell'implementare un modello di tal tipo risiede nella calibrazione della leverage surface e uno degli scopi principali di questo lavoro è quello di mostrarne la procedura.

脉冲激光晶化非晶硅薄膜的有限差分模拟

根据热传导原理，建立了脉冲激光晶化非晶硅薄膜的理论模型。运用有限差分方法研究了不同激光波长、能量密度等因素对薄膜温度变化及相变过程的影响。计算了不同波长激光器对厚度500nm非晶硅晶化的阈值能量密度。结果发现，准分子晶化的阈值能量密度最低，但是在同样的能量密度下，熔融深度却不及使用更长波长的激光器。计算并分析了升高衬底温度对结晶速度和晶粒尺寸的影响，模拟结果较好地验证了实验结论和规律。

Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Stochastic lattice gas model describing the dynamics of the SIRS epidemic process

We study a stochastic process describing the onset of spreading dynamics of an epidemic in a population composed of individuals of three classes: susceptible (S), infected (I), and recovered (R). The stochastic process is defined by local rules and involves the following cyclic process: S -> I -> R -> S (SIRS). The open process S -> I -> R (SIR) is studied as a particular case of the SIRS process. The epidemic process is analyzed at different levels of description: by a stochastic lattice gas model and by a birth and death process. By means of Monte Carlo simulations and dynamical mean-field approximations we show that the SIRS stochastic lattice gas model exhibit a line of critical points separating the two phases: an absorbing phase where the lattice is completely full of S individuals and an active phase where S, I and R individuals coexist, which may or may not present population cycles. The critical line, that corresponds to the onset of epidemic spreading, is shown to belong in the directed percolation universality class. By considering the birth and death process we analyze the role of noise in stabilizing the oscillations. (C) 2009 Elsevier B.V. All rights reserved.

Stochastic output feedback model predictive control

This paper addresses the issue of output feedback model predictive control for linear systems with input constraints and stochastic disturbances. We show that the optimal policy uses the Kalman filter for state estimation, but the resultant state estimates are not utilized in a certainty equivalence control law

Non-Newtonian mixed convection flow from a horizontal circular cylinder with uniform surface heat flux

Mixed convection laminar two-dimensional boundary-layer flow of non-Newtonian pseudo-plastic fluids is investigated from a horizontal circular cylinder with uniform surface heat flux using a modified power-law viscosity model, that contains no unrealistic limits of zero or infinite viscosity; consequently, no irremovable singularities are introduced into boundary-layer formulations for such fluids. The governing boundary layer equations are transformed into a non-dimensional form and the resulting nonlinear systems of partial differential equations are solved numerically applying marching order implicit finite difference method with double sweep technique. Numerical results are presented for the case of shear-thinning fluids in terms of the fluid temperature distributions, rate of heat transfer in terms of the local Nusselt number.

Improved retrieval of aerosol size-resolved properties from moderate resolution imaging spectroradiometer over India: Role of aerosol model and surface reflectance

We have compared the total as well as fine mode aerosol optical depth (tau and tau(fine)) retrieved by Moderate Resolution Imaging Spectroradiometer (MODIS) onboard Terra and Aqua (2001-2005) with the equivalent parameters derived by Aerosol Robotic Network (AERONET) at Kanpur (26.45 degrees N, 80.35 degrees E), northern India. MODIS Collection 005 (C005)-derived tau(0.55) was found to be in good agreement with the AERONET measurements. The tau(fine) and eta (tau(fine)/tau) were, however, biased low significantly in most matched cases. A new set of retrieval with the use of absorbing aerosol model (SSA similar to 0.87) with increased visible surface reflectance provided improved tau and tau(fine) at Kanpur. The new derivation of eta also compares well qualitatively with an independent set of in situ measurements of accumulation mass fraction over much of the southern India. This suggests that though MODIS land algorithm has limited information to derive size properties of aerosols over land, more accurate parameterization of aerosol and surface properties within the existing C005 algorithm may improve the accuracy of size-resolved aerosol optical properties. The results presented in this paper indicate that there is a need to reconsider the surface parameterization and assumed aerosol properties in MODIS C005 algorithm over the Indian region in order to retrieve more accurate aerosol optical and size properties, which are essential to quantify the impact of human-made aerosols on climate.

Simulation of Free-Surface Flow in a Tank Using the Navier-Stokes Model and Unstructured Finite Volume Method

Modelling free-surface flow has very important applications in many engineering areas such as oil transportation and offshore structures. Current research focuses on the modelling of free surface flow in a tank by solving the Navier-Stokes equation. An unstructured finite volume method is used to discretize the governing equations. The free surface is tracked by dynamically adapting the mesh and making it always surface conforming. A mesh-smoothing scheme based on the spring analogy is also implemented to ensure mesh quality throughout the computaiton. Studies are performed on the sloshing response of a liquid in an elastic container subjected to various excitation frequencies. Further investigations are also carried out on the critical frequency that leads to large deformation of the tank walls. Another numerical simulation involves the free-surface flow past as submerged obstacle placed in the tank to show the flow separation and vortices. All these cases demonstrate the capability of this numerical method in modelling complicated practical problems.

A Neural Model of Surface Perception: Lightness, Anchoring, and Filling-in

This article develops a neural model of how the visual system processes natural images under variable illumination conditions to generate surface lightness percepts. Previous models have clarified how the brain can compute the relative contrast of images from variably illuminate scenes. How the brain determines an absolute lightness scale that "anchors" percepts of surface lightness to us the full dynamic range of neurons remains an unsolved problem. Lightness anchoring properties include articulation, insulation, configuration, and are effects. The model quantatively simulates these and other lightness data such as discounting the illuminant, the double brilliant illusion, lightness constancy and contrast, Mondrian contrast constancy, and the Craik-O'Brien-Cornsweet illusion. The model also clarifies the functional significance for lightness perception of anatomical and neurophysiological data, including gain control at retinal photoreceptors, and spatioal contrast adaptation at the negative feedback circuit between the inner segment of photoreceptors and interacting horizontal cells. The model retina can hereby adjust its sensitivity to input intensities ranging from dim moonlight to dazzling sunlight. A later model cortical processing stages, boundary representations gate the filling-in of surface lightness via long-range horizontal connections. Variants of this filling-in mechanism run 100-1000 times faster than diffusion mechanisms of previous biological filling-in models, and shows how filling-in can occur at realistic speeds. A new anchoring mechanism called the Blurred-Highest-Luminance-As-White (BHLAW) rule helps simulate how surface lightness becomes sensitive to the spatial scale of objects in a scene. The model is also able to process natural images under variable lighting conditions.