A hybrid approach for the implementation of the Heston model

We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the convergence of European and American option prices. We finally provide numerical experiments that give accurate option prices in the Heston model, showing the reliability and the efficiency of the algorithm

On the dynamics of capital accumulation across space

We solve an optimal growth model in continuous space, continuous and bounded time. The optimizer chooses the optimal trajectories of capital and consumption across space and time by maximizing an objective function with both space and time discounting. We extract the corresponding Pontryagin conditions and prove their sufficiency. We end up with a system of two parabolic differential equations with the corresponding boundary conditions. Then, we study the roles of initial capital and technology distributions over space in various scenarios.economics, economic geography, parabolic differential equations, optimal control

Understanding Human Mobility Flows from Aggregated Mobile Phone Data

In this paper we deal with the study of travel flows and patterns of people in large populated areas. Information about the movements of people is extracted from coarse-grained aggregated cellular network data without tracking mobile devices individually. Mobile phone data are provided by the Italian telecommunication company TIM and consist of density profiles (i.e. the spatial distribution) of people in a given area at various instants of time. By computing a suitable approximation of the Wasserstein distance between two consecutive density profiles, we are able to extract the main directions followed by people, i.e. to understand how the mass of people distribute in space and time. The main applications of the proposed technique are the monitoring of daily flows of commuters, the organization of large events, and, more in general, the traffic management and control.Comment: 6 pages, 14 figure

Understanding Mass Transfer Directions via Data-Driven Models with Application to Mobile Phone Data

The aim of this paper is to solve an inverse problem which regards a mass moving in a bounded domain. We assume that the mass moves following an unknown velocity field and that the evolution of the mass density can be described by partial differential equations (PDEs), which is also unknown. The input data of the problems are given by some snapshots of the mass distribution at certain times, while the sought output is the velocity field that drives the mass along its displacement. To this aim, we put in place an algorithm based on the combination of two methods: first, we use the Dynamic Mode Decomposition to create a mathematical model describing the mass transfer; second, we use the notion of Wasserstein distance (also known as earth mover's distance) to reconstruct the underlying velocity field that is responsible for the displacement. Finally, we consider a real-life application: the algorithm is employed to study the travel flows of people in large populated areas using, as input data, density profiles (i.e. the spatial distribution) of people in given areas at different time instances. This kind of data are provided by the Italian telecommunication company TIM and are derived by mobile phone usage.Comment: 19 pages, 10 figure

Forecasting Visitors’ behaviour in Crowded Museums

In this paper, we tackle the issue of measuring and understanding the visitors’ dynamics in a crowded museum in order to create and calibrate a predictive mathematical model. The model is then used as a tool to manage, control and optimize the fruition of the museum. Our contribution comes with one successful use case, the Galleria Borghese in Rome, Italy