This work mainly studies modeling and existence issues for martingale models of option markets with one stock and a collection of European call options for one fixed maturity and infinetely many strikes. In particular, we study Dupire's and Schweizer-Wissel's models, especially the latter one. These two types of models have two completely different pricing approachs, one of which is martingale approach (in Dupire's model), and other one is a market approach (in Schweizer-Wissel's model). After arguing that Dupire's model suffers from the several lacks comparing to Schweizer-Wissel's model, we extend the latter one to get the variations for the case of options on interest rate indexes and futures options. Our models are based on the newly introduced definitions of local implied volatilities and a price level proposed by Schweizer and Wissel. We get explicit expressions of option prices as functions of the local implied volatilities and the price levels in our variations of models. Afterwards, the absence of the dynamic arbitrage in the market for such models can be described in terms of the drift restrictions on the models' coefficients. Finally we demonstrate the application of such models by a simple example of an investment portfolio to show how Schweizer-Wissel's model works generally.

This thesis explores three different aspects of quantum gravity. First we study D3-brane black holes in Calabi-Yau compactifications of type IIB string theory. Using the OSV conjecture and a relation between topological strings and matrix models we show that some black holes have a matrix model description. This is the case if the attractor mechanism fixes the internal geometry to a conifold at the black hole horizon. We also consider black holes in a flux compactification and compare the effects of the black holes and fluxes on the internal geometry. We find that the fluxes dominate. Second, we study the scalar potential of type IIB flux compactifications. We demonstrate that monodromies of the internal geometry imply as a general feature the existence of long series of continuously connected minima. This allows for the embedding of scenarios such as chain inflation and resonance tunneling into string theory. The concept of monodromies is also extended to include geometric transitions: passing to a different Calabi-Yau topology, performing its monodromies and then returning to the original space allows for novel transformations. All constructions are performed explicitly, using both analytical and numerical techniques, in the mirror quintic Calabi-Yau. Third, we study cosmological topologically massive gravity at the chiral point, a prime candidate for quantization of gravity in three dimensions. The prospects of this scenario depend crucially of the stability of the theory. We demonstrate the presence of a negative energy bulk mode that grows logarithmically toward the AdS boundary. The AdS isometry generators have non-unitary matrix representations like in logarithmic CFT, and we propose that the CFT dual for this theory is logarithmic. In a complementing canonical analysis we also demonstrate the existence of this bulk degree of freedom, and we present consistent boundary conditions encompassing the new mode.

One of the main topics in the modern String Theory are the conjectured string/gauge (AdS/CFT) dualities. Proving such conjectures is extremely difficult since the gauge and string theory perturbative regimes do not overlap. In this perspective, the discovery of infinitely many conserved charges, i.e. the integrability, in the planar AdS/CFT has allowed us to reach immense progresses in understanding and confirming the duality.The first part of this thesis is focused on the gravity side of the AdS5/CFT4 duality: we investigate the quantum integrability of the type IIB superstring on AdS5 x S5. In the pure spinor formulation we analyze the operator algebra by computing the operator product expansion of the Maurer-Cartan currents at the leading order in perturbation theory. With the same approach at one loop order, we show the path-independence of the monodromy matrix which implies the charge conservation law, strongly supporting the quantum integrability of the string sigma-model. We also verify that the Lax pair field strength remains well-defined at one-loop order being free from UV divergences. The same string sigma-model is analyzed in the Green-Schwarz formalism in the near-flat-space (NFS) limit. Such a limit remarkably simplifies the string world-sheet action but still leaving interesting physics. We use the NFS truncation to show the factorization of the world-sheet S-matrix at one-loop order. This property defines a two-dimensional field theory as integrable: it is the manifestation of the higher conserved charges. Hence, we have explicitly checked their presence at quantum level. The second part is dedicated to the AdS4/CFT3 duality: in particular the type IIA superstring on AdS4 x CP3. We compute the leading quantum corrections to the string energies for string configurations with a large but yet finite angular momentum on CP3 and show that they match the conjectured all-loop Bethe Ansatz equations.

In this project we illustrate how queueing simulation may be used to find the optimal interval for checkpointing problems and compare results with theoretical computations for simple systems that may be treated analytically. We consider a relatively simple model for an internet banking facility. From time to time, the application server breaks down. The information at the time of the breakdown has to be passed onto the back up server before service may be resumed. To make the change over as efficient as possible, information of the state of user’s accounts is saved at regular intervals. This is known as checkpointing. Firstly, we use GPSS (a queueing simulation tool) to find, by simulation, an optimal checkpointing interval, which maximises the efficiency of the server. Two measures of efficiency are considered; the availability of the server and the average time a customer spends in the system. Secondly, we investigate how far the queueing theory can go to providing an analytic solution to the problem and see whether or not this is in line with the results obtained through simulation. The analysis shows that checkpointing is not necessary if breakdowns occur frequently and log reading after failure does not take much time. Otherwise, checkpointing is necessary and the analysis shows how GPSS may be used to obtain the optimal checkpointing interval. Relatively complicated systems may be simulated, where there are no analytic tools available. In simple cases, where theoretical methods may be used, the results from our simulations correspond with the theoretical calculations.

Functionality for efficient computation of properties of system lifetimes was developed, based on the Mathematica framework. The model of these systems consists of a system structure and the components independent lifetime distributions. The components are assumed to be non-repairable. In this work a very general implementation was created, allowing a large number of lifetime distributions from Mathematica for all the component distributions. All system structures with a monotone increasing structure function can be used. Special effort has been made to compute fast results when using the exponential distribution for component distributions. Standby systems have also been modeled in similar generality. Both warm and cold standby components are supported. During development, a large collection of examples were also used to test functionality and efficiency. A number of these examples are presented. The implementation was evaluated on large real world system examples, and was found to be efficient. New results are presented for standby systems, especially for the case of mixed warm and cold standby components.

Jump diffusion models are being used more and more often in financial applications. Consisting of a Brownian motion (with drift) and a jump component, such models have a number of parameters that have to be set at some level. Maximum Likelihood Estimation (MLE) turns out to be suitable for this task, however it is computationally demanding. For a complicated likelihood function it is seldom possible to find derivatives. The global maximum of a likelihood function defined for a jump diffusion model can however, be obtained by numerical methods. I chose to use the Bound Optimization BY Quadratic Approximation (BOBYQA) method which happened to be effective in this case. However, results of Maximum Likelihood Estimation (MLE) proved to be hard to interpret.

The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. The methods of the paper are based on the results for optimal stopping problem and standard mean-square criterion. The solution of the problem, considered in the paper, let us interpret how and - that is more important for us -when investor should rebalance the portfolio, if he wants to hedge it in the best way.

This thesis deals with a model of nonlinearly perturbed continuous-time renewal equation with nonpolynomial perturbations. The characteristics, namely the defect and moments, of the distribution function generating the renewal equation are assumed to have expansions with respect to a non-polynomial asymptotic scale: $\{\varphi_{\nn} (\varepsilon) =\varepsilon^{\nn \cdot \w}, \nn \in \mathbf{N}_0^k\}$  as $\varepsilon \to 0$, where $\mathbf{N}_0$ is the set of non-negative integers, $\mathbf{N}_0^k \equiv \mathbf{N}_0 \times \cdots \times \mathbf{N}_0, 1\leq k <\infty$ with the product being taken $k$ times and $\w$ is a $k$ dimensional parameter vector that satisfies certain properties. For the one-dimensional case, i.e., $k=1$, this model reduces to the model of nonlinearly perturbed renewal equation with polynomial perturbations which is well studied in the literature.  The goal of the present study is to obtain the exponential asymptotics for the solution to the perturbed renewal equation in the form of exponential asymptotic expansions and present possible applications. The thesis is based on three papers which study successively the model stated above. Paper A investigates the two-dimensional case, i.e. where $k=2$. The corresponding asymptotic exponential expansion for the solution to the perturbed renewal equation is given. The asymptotic results are applied to an example of the perturbed risk process, which leads to diffusion approximation type asymptotics for the ruin probability.  Numerical experimental studies on this example of perturbed risk process are conducted in paper B, where Monte Carlo simulation are used to study the accuracy and properties of the asymptotic formulas. Paper C presents the asymptotic results for the more general case where the dimension $k$ satisfies $1\leq k <\infty$, which are applied to the asymptotic analysis of the ruin probability in an example of perturbed risk processes with this general type of non-polynomial perturbations.  All the proofs of the theorems stated in paper C are collected in its supplement: paper D.

In Part I we are dealing with effective description of Yang-Mills theories based on gauge-invarint variables. For pure Yang-Mills we study the spin-charge separation varibles. The dynamics in these variables resembles the Skyrme-Faddeev model. Thus the spin-charge separation is an important intermediate step between the fundamental Yang-Mills theory and the low-energy effective models, used to model the low-energy dynamics of gluons. Similar methods may be useful for describing the Electroweak sector of the Standard Model in terms of gauge-invariant field variables called supercurrents. We study the geometric structure of spin-charge separation in 4D Euclidean space (paper III) and elaborate onconnection with gravity toy model. Such reinterpretation gives a way to see how effective flat background metric is created in toy gravity model by studying the appearance of dimension-2 condensate in the Yang-Mills (paper IV). For Electroweak theory we derive the effective gauge-invariant Lagrangian by doing the Kaluza-Klein reduction of higher-dimensional gravity with 3-brane, thus making explicit the geometric interpretation for gauge-invariant supercurrents. The analogy is then made more precise in the framework of exact supergravity solutions. Thus, we interpret the Higgs effect as spontaneous breaking of Kaluza-Klein gauge symmetry and this leads to interpretation of Higgs field as a dilaton (papers I and II). In Part II of the thesis we study rather simple field theories, called “geometric” or “instantonic”. Their defining property is exact localization on finite-dimensional spaces – the moduli spaces of instantons. These theories allow to account exactly for non-linearity of space of fields, in this respect they go beyond the standard Gaussian perturbation theory. In paper V we show how to construct a geometric theory of chiral boson by embedding it into the geometric field theory. In Paper VI we elaborate on the simplest geometric field theory – the supersymmetric Quantum Mechanics and construct new non-perturbative topological observables that have a transparent meaning both in geometric and in the Hamiltonian formalisms. In Paper VII we are motivated by making perturbations away from the simple instantonic limit. For that we need to carefully define the observables that are quadratic in momenta and develop the way to compute them in geometric framework. These correspond geometrically to bivector fields (or, in general, the polyvector fields). We investigate the local limit of polyvector fields and compare the geometric calculation with free-field approach.

This PhD thesis consists of a summary and four papers which deal with stochastic approximation algorithms and first-passage percolation. Paper I deals with the a.s. limiting properties of bounded stochastic approximation algorithms in relation to the equilibrium points of the drift function. Applications are given to some generalized Pólya urn processes. Paper II continues the work of Paper I and investigates under what circumstances one gets asymptotic normality from a properly scaled algorithm. The algorithms are shown to converge in some other circumstances, although the limiting distribution is not identified. Paper III deals with the asymptotic speed of first-passage percolation on a graph called the ladder when the times associated to the edges are independent, exponentially distributed with the same intensity. Paper IV generalizes the work of Paper III in allowing more edges in the graph as well as not having all intensities equal.