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Università della Svizzera italiana

Three essays in option pricing

Fusari, Nicola ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO002.

The present work explores the option pricing world under three different perspectives: theoretical models, numerical methods and real options. In the first chapter we develop a novel option pricing model. We define a stochastic volatility process for the underlying evolution using the realized volatility as a proxy of the true but unobservable volatility of the underlying. That reduces...

Université de Fribourg

Characterization of chrysotile, tellurium and iImogolite nanotubes

Métraux, Cédric ; Grobéty, Bernard (Dir.) ; Jenny, Titus (Codir.)

Thèse de doctorat : Université de Fribourg, 2008.

The discovery of C60 (R. Smalley et al.) and carbon nanotubes CNTs (S. Iijima) in 1985 and 1991 respectively was a milestone in the field of nanoscience. Since 1991, WS2, MoS2, BN, Se, Te nanotubes were synthesized and analyzed. These nanotubes are promising materials for many applications in the field of catalysis, electronic, polymer synthesis, etc. In this study, we characterized the...

Université de Fribourg

Interface-induced morphology transition in triblock copolymer films swollen with low-molecular-weight homopolymer

Müller-Buschbaum, P. ; Schulz, Leander ; Metwalli, E. ; Moulin, J.-F.

In: Langmuir, 2009, vol. 25, no. 7, p. 4235–4242

The morphology transition due to midblock swelling with low-molecular-weight homopolymer polystyrene of an ABA-type triblock copolymer polyparamethylstyrene-block-polystyrene-block-polyparamethylstyrene at the buried silicon substrate interface is studied as a function of different substrate surface treatments. With grazing incidence small-angle neutron scattering (GISANS), high interface...

Université de Fribourg

Morphology, molecular phylogeny, and ecology of Binucleata daphniae n. g., n. sp. (Fungi: Microsporidia), a parasite of Daphnia magna Straus, 1820 (Crustacea: Branchiopoda)

Refardt, Dominik ; Decaestecker, Ellen ; Johnson, Pieter T. J. ; Vávra, Jirí

In: Journal of Eukaryotic Microbiology, 2008, vol. 55, no. 5, p. 393 - 408

We describe a new microsporidian species Binucleata daphniae, n. g., n. sp., that infects the integument cells lining the hemocoele cavity of the carapace and the postabdomen of the cladoceran Daphnia magna Straus. Infected cells filled with spores accumulate as large clusters in the carapace cavity and heavily infected hosts are detected by their opaque appearance. Despite the parasite's...

Università della Svizzera italiana

Inequality of income and wealth in Nepal

Rajbhandari, Sunil Narsingh ; Baranzini, Mauro (Dir.) ; Bortis, Heinrich (Codir.) ; Balestra, Pietro (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO003.

This dissertation focuses on the economic inequality problem in Nepal, in particular, to integrate insights from other social aspects into the distribution problems of economic resources. It consists of five chapters on income and wealth distribution in Nepal. The first Chapter presents an overview of Nepal’s history, geography, economic development, policies and problems. The aim of Chapter...

Università della Svizzera italiana

Constrained nonparametric dependence with application in finance

Gagliardini, Patrick ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO002.

The developments of financial theory in the last decades have shown that one of the most fundamental topics in Finance is the specification of dependence between different risk variables. Empirical evidence on financial time series (such as returns, interest rates, or exchange rates) as well as recent developments in risk management (such as the analysis of dependence between default risks of...

Université de Fribourg

Molecular analysis of the arabidopsis-Phytophthora pathosystem

Si-Ammour, Azeddine ; Mauch, Felix (Dir.) ; Métraux, Jean-Pierre (Codir.)

Thèse de doctorat : Université de Fribourg, 2002 ; No 1370.

In order to better understand the Phytophthora-plant interaction, we have developed a new pathosystem: Arabidopsis thaliana-Phytophthora porri. At present, the best studied Phytophthora species is P. infestans which caused the dramatic Irish late blight epidemics 150 years ago. Studying the pathosystem Phytophthora infestans-Solanum tuberosum has certain advantages mainly because potato is an...

Università della Svizzera italiana

E2ML : Educational Environment Modeling Language

Botturi, Luca ; Colombetti, Marco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003COM001.

This study moves from the consideration of the communication dynamics within the instructional design practice. With the introduction of electronic media, the design of educational environments in Higher Education has ceased to be a craftsmanship activity, and has acquired some features proper of mass production. This makes communication a more and more critical issue in design. The original goal...

Università della Svizzera italiana

An option pricing formula for the GARCH diffusion model

Ravanelli, Claudia ; Barone-Adesi, Giovanni (Dir.) ; Chesney, Marc (Codir.) ; Vanini, Paolo (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO001.

In this thesis, we derive an analytical closed-form approximation for European option prices under the GARCH diffusion model, where the price is driven by a geometric process and the variance by an uncorrelated mean reverting geometric process. This result has several important implications. First and foremost, these conditional moments allow us to obtain an analytical closed-form approximation...