Updated Stagnation Point Aeroheating Correlations for Mars Entry

The objective of this work was to develop new engineering correlations for stagnation point aeroheating for Mars entry vehicles. New convective and radiative heating relations have been formulated over a wide range of entry conditions. These relations have been formulated using information from recent experimental testing and modeling enhancements. The new correlations are compared to existing relations commonly used in engineering design and analysis. Finally the correlations are tested by applying them to the Mars Pathfinder entry trajectory to demonstrate their applicability. These new correlations are a significant improvement over existing relations in terms of the accuracy, domain of applicability, and the captured physics

How duration between trades of underlying securities affects option prices.

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of waiting-time distribution and then calibrate risk-neutral parameters from options data. We also show that the convexity commonly observed in implied volatilities may be explained by the presence of duration between trades. Furthermore, we find that, ceteris paribus, implied volatility decreases in the presence of longer durations, a result consistent with the findings of Engle (2000) and Dufour and Engle (2000) which demonstrates the relationship between levels of activity and volatility for stock prices. Finally, by directly employing information given by time-stamps of trades, our approach provides a direct link between the literature on stochastic time changes and business time (see Clark (1973)) and, at the same time, highlights the link between number and time of arrival of transactions with implied volatility and stochastic volatility modelsDuration between trades; Waiting-times; Stochastic volatility; Operational clock; Transaction time; High frequency data;

Bootstrap percolation in directed and inhomogeneous random graphs

Bootstrap percolation is a process that is used to model the spread of an infection on a given graph. In the model considered here each vertex is equipped with an individual threshold. As soon as the number of infected neighbors exceeds that threshold, the vertex gets infected as well and remains so forever. We perform a thorough analysis of bootstrap percolation on a novel model of directed and inhomogeneous random graphs, where the distribution of the edges is specified by assigning two distinct weights to each vertex, describing the tendency of it to receive edges from or to send edges to other vertices. Under the assumption that the limiting degree distribution of the graph is integrable we determine the typical fraction of infected vertices. Our model allows us to study a variety of settings, in particular the prominent case in which the degree distribution has an unbounded variance. Among other results, we quantify the notion of "systemic risk", that is, to what extent local adverse shocks can propagate to large parts of the graph through a cascade, and discover novel features that make graphs prone/resilient to initially small infections

Financial asset bubbles in banking networks

We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not direct access to the bubble, but can take initially advantage from its increase by investing on the banks in the core. Investments are modeled by the weight of the links, which is a function of the robustness of the banks. In this way, a preferential attachment mechanism towards the core takes place during the growth of the bubble. We then investigate how the bubble distort the shape of the network, both for finite and infinitely large systems, assuming a non vanishing impact of the core on the periphery. Due to the influence of the bubble, the banks are no longer independent, and the law of large numbers cannot be directly applied at the limit. This results in a term in the drift of the diffusions which does not average out, and that increases systemic risk at the moment of the burst. We test this feature of the model by numerical simulations.Comment: 33 pages, 6 table

How Duration Between Trades of Underlying Securities Affects Option Prices

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be alculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of waiting-time distribution and then calibrate risk- eutral parameters from options data. We also show that the convexity commonly observed in implied volatilities may be explained by the presence of duration between trades. Furthermore, we find that, ceteris paribus, implied olatility decreases in the presence of longer durations, a result consistent with the findings of Engle (2000) and Dufour and Engle (2000) which demonstrates the relationship between levels of activity and volatility for stock prices. Finally, by directly employing information given by time-stamps of trades, our approach provides a direct link between the literature on stochastic time changes and business time (see Clark (1973)) and, at the same time, highlights the link between number and time of arrival of transactions with implied volatility and stochastic volatility models.Duration between trades, waiting-times, stochastic volatility, operational clock, transaction time, high frequency data.

A stochastic maximum principle via Malliavin calculus

This paper considers a controlled It\^o-L\'evy process where the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed

Ricerche geografiche ed economiche sulle sorgenti di San Martino (Sassari)

L'autore, premessa una breve storia sullo sfruttamento delle acque minerali di San Martino in provincia di Sassari, passa ad esaminare le condizioni di alimentazione delle sorgenti. L'origine profonda e le caratteristiche chimico-fisiche delle rocce del serbatoio, assicurano qualità organolettiche eccellenti per le acque. Dette qualità sono confermate da diverse analisi chimiche e batteriologiche. Nelle conclusioni viene ravvisata l'opportunità di uno sfruttamento organico del prezioso liquido come acqua da tavola e per cure idropiniche. The author after a brief story on the exploitation of San Martino mineraI water in the province of Sassari examines the feeding of the springs. The deep source and the chemical-physical characteristics of the reservoir rocks assure an excellent organolectic water quality, which is confirmed by several and bacteriological analyses. The author suggests the opportunity of an organic exploitation of the precious liquid for drinking water and for hydropinic treatment

Studio e distribuzione geografica delle frane in Sardegna: 1. nota: la frana di Bessude nel Logudoro

L'autore, nel quadro dei problemi attinenti all'equilibrio ecologico del Paese, intende portare con « Lo studio e la distribuzione delle frane in Sardegna » un contributo sia pure limitato come campo di indagine e territorialmente, per quanto possibile oggettivo e valido, al risanamento del nostro patrimonio naturale. Nella presente nota egli espone i risultati degli studi di carattere geografico e soprattutto geomorfologico compiuti sui movimenti franosi che hanno interessato la zona a monte dell'abitato di Bessude in provincia di Sassari. La prima parte della nota comprende un inquadramento dell'area in esame dal punto di vista geografico, cui fa seguito una rassegna degli eventi storici più recenti riguardanti la frana. Successivamente vengono tracciati i lineamenti generali della geologia della zona per poi passare ad un più approfondito esame dei caratteri geomorfologici e climatici dell'area soggetta a franamento, con particolare riferimento all'evoluzione del bacino idrografico dell'alto Riu Mannu di Porto Torres. Infine sono elencate le cause che hanno determinato il movimento franoso e vengono richiamate le opere principali che si rendono necessarie per la sistemazione idrologica e morfologica del pendio a monte di Bessude. In the framework of the problems concerning the ecological equilibrium of the country, the Author, with this study of the distribution of landslides in Sardinia, intends to give a valid and objective contribution, though territorially limited, to the reclamation of our national patrimony. In this work he relates the results of the geographical and geomorphological studies made on the movements of the landslides that have taken place in the mountainous zone surrounding Bessude in the province of Sassari. The first part of the work includes the framing of the area from a geographical point of view, followed by the description of the more recent events regarding the landslide. The Author has then examined the general traits of the geological, geomorphological and climatic characteristics of the area subject to the landslides, with a particular reference to the evolution of the hydrographical basin of the Riu Mannu in Porto Torres. In the last part the Author has studied the causes that have determined the movements and has proposed the main works necessary to the hydrological and morphological settlement of the area