Vanilla Option Pricing on Stochastic Volatility market models

We want to discuss the option pricing on stochastic volatility market models, in which we are going to consider a generic function β (νt ) for the drift of volatility process. It is our intention choose any equivalent martingale measure, so that the drift of volatility process, respect at the new measure, is zero. This technique is possible when the Girsanov theorem is satisfied, since the stochastic volatility models are uncomplete markets, thus one has to choice an arbitrary risk price of volatility. In all this cases we are able to compute the price of Vanilla options in a closed form. To name a few, we can think to the popular Heston’s model, in which the solution is known in literature, unless of an inverse Fourier transform.Vanilla Option pricing on Stochastic volatility market models

Pricing of the European Options by Spectral Theory

We discuss the efficiency of the spectral method for computing the value of the European Call Options, which is based upon the Fourier series expansion. We propose a simple approach for computing accurate estimates. We consider the general case, in which the volatility is time dependent, but it is immediate extend our methodology at the case of constant volatility. The advantage to write the arbitrage price of the European Call Options as Fourier series, is matter of computation complexity. Infact, the methods used to evaluate options of this kind have a high value of computation complexity, furthermore, them have not the capacity to manage it. We can define, by an easy analytical relation, the computation complexity of the problem in the framework of general theory of the ”Function Analysis”, called The Spectral Theory.Options Pricing, Computation Complexity.

Closed form solution for dynamic of sustainable tourism

The attention to environmental conditions of the planet drives many scientists to study and to analyze the externalities of the economic activities and their relapses on nature. The issue is quite complex because of the non-linear interactions between human and natural phenomena. Our intention is to study the particular case of tourist activities. Starting from the specification of the concept of sustainable development, using a simple model we characterize the conditions for which there exists an optimal equilibrium between nature and tourism. Then, trough several simulations we study which policies are able to guarantee the better synergies between economy and environmental quality.Policy, Sustainable Tourism

Entrepreneurial Overconfidence, Self-Financing and Capital Market Efficiency

We study the impact of entrepreneurial optimism on self-nancing and capital market efficiency in a setting where entrepreneurs are better informed about the quality of their projects than investors. Projects have either low- or high-quality. Entrepreneurs use self-finance to signal the perceived quality of their projects. Investors observe self-financing decisions and know the fractions of high-quality projects, realistic and optimistic entrepreneurs. We show that entrepreneurial optimism improves capital market efficiency when the returns of high-quality projects have a high variance, entrepreneurs' have high absolute risk aversion, and the gap between the mean returns of high- and low-quality projects is small.signaling; overconfidence; market efficiency; self-finance

Geometrical Considerations on Heston's Market Model

We propose to discuss a new technique to derive an good approximated solution for the price of a European call and put options, in a market model with stochastic volatility. In particular, the model that we have considered is the Heston's model. This allows arbitrary correlation between volatility and spot asset returns. We are able to write the price of European call and put, in the same form in which one can see in the Black-Scholes model. The solution technique is based upon coordinate transformations that reduce the initial PDE in a straightforward one-dimensional heat equation.Quantitative methods in Finance

A technological solution for everywhere energy supply

The hydrogen economy is still at the beginning, but society innovation, and the market push inexorably toward hydrogen, inspiring the idea to build an energy-integrated system that can satisfy, in an independent way, the energy needs of small-sized consumers. The technologies used for the system design are already available in the market and, at least for the standard Solutions, sufficiently mature. The innovation consists of an integration, optimization, and industrialization of this modular system, which is an electric zero-emissions generator giving 3.5 kW(p) as an output power This is the only system able to produce its own fuel, guaranteeing renewable and clean energy., available where and when you want. This system is constituted by a polymer membrane electrolyzer, a metal hydrides tank (which absorbs and desorbs hydrogen), and a polymer fuel cell (PEM). The system modularity can also satisfy higher energy requirements, and the low-pressure hydrogen storage system through metal hydrides guarantees the system safety. (ASME Transactions

Critical issues of double-metal layer coating on FBG for applications at high temperatures

Use of fiber Bragg gratings (FBGs) to monitor high temperature (HT) applications is of great interest to the research community. Standard commercial FBGs can operate up to 600 ∘ C. For applications beyond that value, specific processing of the FBGs must be adopted to allow the grating not to deteriorate. The most common technique used to process FBGs for HT applications is the regeneration procedure (RP), which typically extends their use up to 1000 ∘ C. RP involves a long-term annealing of the FBGs, to be done at a temperature ranging from 550 to 950 ∘ C. As at that temperature, the original coating of the FBGs would burn out, they shall stay uncoated, and their brittleness is a serious concern to deal with. Depositing a metal coating on the FBGs prior to process them for RP offers an effective solution to provide them with the necessary mechanical strengthening. In this paper, a procedure to provide the FBG with a bimetallic coating made by copper and nickel electrodeposition (ED) is proposed, discussing issues related to the coating morphology, adherence to the fiber, and effects on the grating spectral response. To define the processing parameters of the proposed procedure, production tests were performed on dummy samples which were used for destructive SEM-EDS analysis. As a critical step, the proposed procedure was shown to necessitate a heat treatment after the nickel ED, to remove the absorbed hydrogen. The spectral response of the FBG samples was monitored along the various steps of the proposed procedure and, as a final proof test for adherence stability of the bimetallic coating, along a heating/cooling cycle from room temperature to 1010 ∘ C. The results suggest that, given the emergence of Kirkendall voids at the copper-nickel interface, occurring at the highest temperatures (700-1010 ∘ C), the bimetallic layer could be employed as FBG coating up to 700 ∘ C

Thermal behavior and structural study of SiO2/Poly(ε-caprolactone) hybrids synthesized via sol-gel method

SiO2-based organic-inorganic hybrids (OIHs) are versatile materials whose properties may change significantly because of their thermal treatment. In fact, after their preparation at low temperature by the sol-gel method, they still have reactive silanol groups due to incomplete condensation reactions that can be removed by accelerating these processes upon heating them in controlled experimental conditions. In this study, the thermal behavior of pure SiO2 and four SiO2-based OIHs containing increasing amount (6, 12, 24 and 50 wt %) of poly(ε-caprolactone) (PCL) has been studied by simultaneous thermogravimetry (TG) and differential scanning calorimetry (DSC). The FTIR analysis of the gas mixture evolved at defined temperatures from the samples submitted to the TG experiments identified the mechanisms of thermally activated processes occurring upon heating. In particular, all samples already release ethanol at low temperature. Moreover, thermal degradation of PCL takes place in the richest-PCL sample, leading to 5-hexenoic acid, H2O, CO2, CO and ε-caprolactone. After the samples’ treatment at 450, 600 and 1000 °C, the X-ray diffraction (XRD) spectra revealed that they were still amorphous, while the presence of cristobalite is found in the richest-PCL material

Phage displayed peptides/antibodies recognizing growth factors and their tyrosine kinase receptors as tools for anti-cancer therapeutics.

The basic idea of displaying peptides on a phage, introduced by George P. Smith in 1985, was greatly developed and improved by McCafferty and colleagues at the MRC Laboratory of Molecular Biology and, later, by Barbas and colleagues at the Scripps Research Institute. Their approach was dedicated to building a system for the production of antibodies, similar to a naïve B cell repertoire, in order to by-pass the standard hybridoma technology that requires animal immunization. Both groups merged the phage display technology with an antibody library to obtain a huge number of phage variants, each of them carrying a specific antibody ready to bind its target molecule, allowing, later on, rare phage (one in a million) to be isolated by affinity chromatography. Here, we will briefly review the basis of the technology and the therapeutic application of phage-derived bioactive molecules when addressed against key players in tumor development and progression: growth factors and their tyrosine kinase receptors