Les marchés financiers ont connu, grâce aux études réalisées durant les trois dernières décennies, une expansion considérable et ont vu l’apparition de produits dérivés divers et variés. Les plus utilisés parmi ces produits dérivés sont les options américaines / Financial markets knew, thanks to studies carried out during the last three decades, a considerable expansion and saw the appearance of diverse and varied by-products. The most used among these by-products are the American options

In this thesis we prove the genericity of the set of metrics on a manifold with boundary M^{n+1}, such that all free boundary constant mean curvature (CMC) embeddings \\varphi: \\Sigma^n \\to M^{n+1}, being \\Sigma a manifold with boundary, are non-degenerate (Bumpy Metrics), (Theorem 2.4.1). We also give sufficient conditions to obtain a free boundary CMC deformation of a CMC inmersion (Theorems 3.2.1 and 3.2.2), and a stability criterion for this type of immersions (Theorem 3.3.3 and Corollary 3.3.5). In addition, given a one-parametric family, {\\varphi _t : \\Sigma \\to M} , of free boundary CMC immersions, we give criteria for the existence of smooth bifurcated branches of free boundary CMC immersions for the family {\\varphi_t}, via the implicit function theorem when the kernel of the Jacobi operator J is non-trivial, (Theorems 4.2.3 and 4.3.2), and we study stability and instability problems for hypersurfaces in this bifurcated branches (Theorems 5.3.1 and 5.3.3). / Nesta tese, provamos a genericidade do conjunto de métricas em uma variedade com fronteira M^{n+1}, de modo que todos os mergulhos de curvatura média constante (CMC) e fronteira livre \\varphi : \\Sigma^n \\to M^{n+1}, sendo \\Sigma uma variedade com fronteira, sejam não-degenerados (Métricas Bumpy), (Teorema 2.4.1). Nós também fornecemos condições suficientes para obter uma deformação CMC e fronteira livre de uma imersão CMC (Teoremas 3.2.1 and 3.2.2), e um critério de estabilidade para este tipo de imersões (Teorema 3.3.3 and Corolario 3.3.5). Além disso, dada uma família 1-paramétrica, {\\varphi _t : \\Sigma \\to M} , de imersões de CMC e fronteira livre, damos os critérios para a existência de ramos de bifurcação suaves de imersões CMC e fronteira livre para a familia {\\varphi_t}, por meio de o teorema da função implícita quando o kernel do operador Jacobi J é não-trivial, (Teoremas 4.2.3 and 4.3.2), e estudamos o problema da estabilidade e instabilidade para hipersuperfícies em naqueles ramos de bifurcação (Teoremas 5.3.1 and 5.3.3).

In this thesis we prove the genericity of the set of metrics on a manifold with boundary M^{n+1}, such that all free boundary constant mean curvature (CMC) embeddings \\varphi: \\Sigma^n \\to M^{n+1}, being \\Sigma a manifold with boundary, are non-degenerate (Bumpy Metrics), (Theorem 2.4.1). We also give sufficient conditions to obtain a free boundary CMC deformation of a CMC inmersion (Theorems 3.2.1 and 3.2.2), and a stability criterion for this type of immersions (Theorem 3.3.3 and Corollary 3.3.5). In addition, given a one-parametric family, {\\varphi _t : \\Sigma \\to M} , of free boundary CMC immersions, we give criteria for the existence of smooth bifurcated branches of free boundary CMC immersions for the family {\\varphi_t}, via the implicit function theorem when the kernel of the Jacobi operator J is non-trivial, (Theorems 4.2.3 and 4.3.2), and we study stability and instability problems for hypersurfaces in this bifurcated branches (Theorems 5.3.1 and 5.3.3). / Nesta tese, provamos a genericidade do conjunto de métricas em uma variedade com fronteira M^{n+1}, de modo que todos os mergulhos de curvatura média constante (CMC) e fronteira livre \\varphi : \\Sigma^n \\to M^{n+1}, sendo \\Sigma uma variedade com fronteira, sejam não-degenerados (Métricas Bumpy), (Teorema 2.4.1). Nós também fornecemos condições suficientes para obter uma deformação CMC e fronteira livre de uma imersão CMC (Teoremas 3.2.1 and 3.2.2), e um critério de estabilidade para este tipo de imersões (Teorema 3.3.3 and Corolario 3.3.5). Além disso, dada uma família 1-paramétrica, {\\varphi _t : \\Sigma \\to M} , de imersões de CMC e fronteira livre, damos os critérios para a existência de ramos de bifurcação suaves de imersões CMC e fronteira livre para a familia {\\varphi_t}, por meio de o teorema da função implícita quando o kernel do operador Jacobi J é não-trivial, (Teoremas 4.2.3 and 4.3.2), e estudamos o problema da estabilidade e instabilidade para hipersuperfícies em naqueles ramos de bifurcação (Teoremas 5.3.1 and 5.3.3).

Many problems in financial world are being modeled by means of differential equation. These problems are time dependent, highly nonlinear, stochastic and heavily depend on the previous history of time. A variety of financial products exists in the market, such as forwards, futures, swaps and options. Our main focus in this thesis is to use the numerical analysis tools to solve some option pricing problems. Depending upon the inter-relationship of the financial derivatives, the dimension of the associated problem increases drastically and hence conventional methods (for example, the finite difference methods or finite element methods) for solving them do not provide satisfactory results. To resolve this issue, we use a special class of numerical methods, namely, the mesh free methods. These methods are often better suited to cope with changes in the geometry of the domain of interest than classical discretization techniques. In this thesis, we apply these methods to solve problems that price standard and non-standard options. We then extend the proposed approach to solve Heston' volatility model. The methods in each of these cases are analyzed for stability and thorough comparative numerical results are provided.

Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be exercised on or before the expiration date. American options are much harder to deal with than European ones. The reason being the optimal exercise policy of these options which led to free boundary problems. Ever since the seminal work of Black and Scholes [J. Pol. Econ. 81(3) (1973), 637-659], the differential equation approach in pricing options has attracted many researchers. Recently, numerical singular perturbation techniques have been used extensively for solving many differential equation models of sciences and engineering. In this thesis, we explore some of those methods which are based on spline approximations to solve the option pricing problems. We show a systematic construction and analysis of these methods to solve some European option problems and then extend the approach to solve problems of pricing American options as well as some exotic options. Proposed methods are analyzed for stability and convergence. Thorough numerical results are presented and compared with those seen in the literature.

We investigate stability for certain geometric and functional inequalities and address the regularity of the free boundary for a problem arising in optimal transport theory. More specifically, stability estimates are obtained for the relative isoperimetric inequality inside convex cones and the Gaussian log-Sobolev inequality for a two parameter family of functions. Thereafter, away from a ``small" singular set, local C^{1,\alpha} regularity of the free boundary is achieved in the optimal partial transport problem. Furthermore, a technique is developed and implemented for estimating the Hausdorff dimension of the singular set. We conclude with a corresponding regularity theory on Riemannian manifolds. / text

Many problems in financial world are being modeled by means of differential equation. These problems are time dependent, highly nonlinear, stochastic and heavily depend on the previous history of time. A variety of financial products exists in the market, such as forwards, futures, swaps and options. Our main focus in this thesis is to use the numerical analysis tools to solve some option pricing problems. Depending upon the inter-relationship of the financial derivatives, the dimension of the associated problem increases drastically and hence conventional methods (for example, the finite difference methods or finite element methods) for solving them do not provide satisfactory results. To resolve this issue, we use a special class of numerical methods, namely, the mesh free methods. These methods are often better suited to cope with changes in the geometry of the domain of interest than classical discretization techniques. In this thesis, we apply these methods to solve problems that price standard and non-standard options. We then extend the proposed approach to solve Heston' volatility model. The methods in each of these cases are analyzed for stability and thorough comparative numerical results are provided.

Options are a special type of derivative securities because their values are derived from the value of some underlying security. Most options can be grouped into either of the two categories: European options which can be exercised only on the expiration date, and American options which can be exercised on or before the expiration date. American options are much harder to deal with than European ones. The reason being the optimal exercise policy of these options which led to free boundary problems. Ever since the seminal work of Black and Scholes [J. Pol. Econ. 81(3) (1973), 637-659], the differential equation approach in pricing options has attracted many researchers. Recently, numerical singular perturbation techniques have been used extensively for solving many differential equation models of sciences and engineering. In this thesis, we explore some of those methods which are based on spline approximations to solve the option pricing problems. We show a systematic construction and analysis of these methods to solve some European option problems and then extend the approach to solve problems of pricing American options as well as some exotic options. Proposed methods are analyzed for stability and convergence. Thorough numerical results are presented and compared with those seen in the literature.

CoordenaÃÃo de AperfeÃoamento de Pessoal de NÃvel Superior / Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico / Nesta tese, provamos estimativas para o volume e Ãrea do bordo de hipersuperficies estÃveis ∑n-1 com invariante de Yamabe nÃo positivo satisfazendo à condiÃÃo de bordo livre em uma variedade Riemanniana de dimensÃo n com limitaÃÃo na curvatura escalar e curvatura mÃdia do bordo. Supondo ainda que ∑ à localmente minimizante de volume em uma variedade M com curvatura escalar limitada inferiormente por uma constante nÃo positiva, concluÃmos que localmente M divide-se ao longo ∑ como (-Є, Є)x ∑, para algum Є > 0. No caso em que ∑ localmente minimiza um funcional adequado inspirado pelo trabalho de Yau (2001), uma vizinhanÃa de ∑ em M à isomÃtrica a ((-Є, Є) x ∑, dt2 +e2tg), onde g à Ricci plana. Na segunda parte, estudamos outro fenÃmeno de rigidez pela curvatura escalar adaptando a tÃcnica desenvolvida por MÃximo e Nunes (2013) para mostrar um resultado local de rigidez para uma variedade Riemanniana tridimensional M3 cuja curvatura escalar à limitada inferiormente por um constante negativa. Provamos o seguinte resultado: Seja ∑2 ⊂ M3 uma superfÃcie mÃnima estritamente estÃvel que localmente maximiza a massa Hawking em M. EntÃo M perto de ∑ à um pedaÃo de um dos espaÃos de Kottler. / In this thesis, we prove estimates for the volume and boundary area of stable hypersurfaces ∑n-1 with nonpositive Yamabe invariant satisfying the free boundary condition in a Riemannian manifold Mn with bounds for the scalar curvature and the mean curvature of the boundary. Assuming further that ∑ is locally volume-minimizing in a manifold M with scalar curvature bounded below by a nonpositive constant, we conclude that locally M splits along ∑ as (-Є, Є)x ∑, for some Є > 0. In the case that ∑ locally minimizes a certain functional inspired by the work of Yau (2001), a neighborhood of ∑ in M is isometric to ((-Є, Є) x ∑, dt2 + e2tg), where g is Ricci at. In the second part, we study other scalar curvature rigidity phenomena adapting a technique developed by MÃximo e Nunes (2013) to show a local rigidity result for three-dimensional Riemannian manifold M3 whose scalar curvature is bounded from below by a negative constant. We prove the following result: Let ∑2 ⊂ M3 be a stable minimal surface which locally maximizes the Hawking mass on M. Then M near ∑ is a piece of one the Kottler space.

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / A hypersurface in a manifold, both with nonempty boundary, is called free boundary hypersurface if it is a critical point of the area functional restricted to all admissible variations which preserve volume. A variation is admissible if the boundary and the interior of the manifold contains the boundary and the interior of the hypersurfaces of the variation, respectively. It is well known that free boundary hypersurface has constant mean curvature. In this work we study free boundary hypersurfaces in bounded convex domains in the euclidean space. More precisely, we prove the results obtained by A. Ros and E. Vergasta [18] and I. nunes [15]. As the main result we prove that a stable free boundary surface in the unit ball of the three-dimensional euclidian space has to be either the totally geodesic disc or a spherical cap. / Uma hipersupefície de uma variedade, ambas com fronteira não vazia, é chamada de hipersupefície com fronteira livre se é ponto crítico do funcional área restrito a todas as variações admissíveis que preservam volume. Uma variação é dita admissível se a fronteira e o interior da variedade contém as fronteiras e os inteiores das hipersupefícies da variação, respectivamente. É bem conhecido que hipersupefícies com fronteira livre possuem curvatura média constante. Neste trabalho estudamos hipersuperfíce com fronteira livre em domínios convexos limitados do espaço euclidiano. Mais especificamente, expomos com detalhes os resultados obtidos por A. Ros-E. Vergasta e I. Nunes. Provamos como resultado principal que toda superfícies de fronteira livre estável na bola unitária do espaço euclidiano tridimensional é um disco totalmente geodésico ou uma calota esférica. / São Cristóvão, SE