Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

Analysis of the MAP/G(a,b)/1/N queue with multiple vacations

This paper deals with a batch service queue and multiple vacations. The system consists of a single server and a waiting room of finite capacity. Arrival of customers follows a Markovian arrival process (MAP). The server is unavailable for occasional intervals of time called vacations, and when it is available, customers are served in batches of maximum size ‘b’ with a minimum threshold value ‘a’. We obtain the queue length distributions at various epochs along with some key performance measures. Finally, some numerical results have been presented.

Influence of spatial variability of permeability property on steady state seepage flow and slope stability analysis

In recent years, spatial variability modeling of soil parameters using random field theory has gained distinct importance in geotechnical analysis. In the present Study, commercially available finite difference numerical code FLAC 5.0 is used for modeling the permeability parameter as spatially correlated log-normally distributed random variable and its influence on the steady state seepage flow and on the slope stability analysis are studied. Considering the case of a 5.0 m high cohesive-frictional soil slope of 30 degrees, a range of coefficients of variation (CoV%) from 60 to 90% in the permeability Values, and taking different values of correlation distance in the range of 0.5-15 m, parametric studies, using Monte Carlo simulations, are performed to study the following three aspects, i.e., (i) effect ostochastic soil permeability on the statistics of seepage flow in comparison to the analytic (Dupuit's) solution available for the uniformly constant permeability property; (ii) strain and deformation pattern, and (iii) stability of the given slope assessed in terms of factor of safety (FS). The results obtained in this study are useful to understand the role of permeability variations in slope stability analysis under different slope conditions and material properties. (C) 2009 Elsevier B.V. All rights reserved.

A Legendre spectral element model for sloshing and acoustic analysis in nearly incompressible fluids

A new spectral finite element formulation is presented for modeling the sloshing and the acoustic waves in nearly incompressible fluids. The formulation makes use of the Legendre polynomials in deriving the finite element interpolation shape functions in the Lagrangian frame of reference. The formulated element uses Gauss-Lobatto-Legendre quadrature scheme for integrating the volumetric stiffness and the mass matrices while the conventional Gauss-Legendre quadrature scheme is used on the rotational stiffness matrix to completely eliminate the zero energy modes, which are normally associated with the Lagrangian FE formulation. The numerical performance of the spectral element formulated here is examined by doing the inf-sup test oil a standard rectangular rigid tank partially filled with liquid The eigenvalues obtained from the formulated spectral element are compared with the conventional equally spaced node locations of the h-type Lagrangian finite element and the predicted results show that these spectral elements are more accurate and give superior convergence The efficiency and robustness of the formulated elements are demonstrated by solving few standard problems involving free vibration and dynamic response analysis with undistorted and distorted spectral elements. and the obtained results are compared with available results in the published literature (C) 2009 Elsevier Inc All rights reserved

Stiff-String Basis Functions for Vibration Analysis of High Speed Rotating Beams

A new rotating beam finite element is developed in which the basis functions are obtained by the exact solution of the governing static homogenous differential equation of a stiff string, which results from an approximation in the rotating beam equation. These shape functions depend on rotation speed and element position along the beam and account for the centrifugal stiffening effect. Using this new element and the Hermite cubic finite element, a convergence study of natural frequencies is performed, and it is found that the new element converges much more rapidly than the conventional Hermite cubic element for the first two modes at higher rotation speeds. The new element is also applied for uniform and tapered rotating beams to determine the natural frequencies, and the results compare very well with the published results given in the literature.

Fracture analysis of stiffened panels under combined tensile, bending, and shear loads

The objective is to present the formulation of numerically integrated modified virtual crack closure integral technique for concentrically and eccentrically stiffened panels for computation of strain-energy release rate and stress intensity factor based on linear elastic fracture mechanics principles. Fracture analysis of cracked stiffened panels under combined tensile, bending, and shear loads has been conducted by employing the stiffened plate/shell finite element model, MQL9S2. This model can be used to analyze plates with arbitrarily located concentric/eccentric stiffeners, without increasing the total number of degrees of freedom, of the plate element. Parametric studies on fracture analysis of stiffened plates under combined tensile and moment loads have been conducted. Based on the results of parametric,studies, polynomial curve fitting has been carried out to get best-fit equations corresponding to each of the stiffener positions. These equations can be used for computation of stress intensity factor for cracked stiffened plates subjected to tensile and moment loads for a given plate size, stiffener configuration, and stiffener position without conducting finite element analysis.

Performance Analysis of Guidance Laws Based on Timescale Gap

An analytical treatment of performance analysis of guidance laws is possible only in simplistic scenarios. As the complexity of the guidance system increases, a search for analytical solutions becomes quite impractical. In this paper, a new performance measure, based upon the notion of a timescale gap that can be computed through numerical simulations, is developed for performance analysis of guidance laws. Finite time Lyapunov exponents are used to define the timescale gap. It is shown that the timescale gap can be used for quantification of the rate of convergence of trajectories to the collision course. Comparisonbetween several guidance laws, based on the timescale gap, is presented. Realistic simulations to study the effect of aerodynamicsand atmospheric variations on the timescale gap of these guidance laws are also presented.

Nonlinear vibration analysis of composite laminated and sandwich plates with random material properties

Nonlinear vibration analysis is performed using a C-0 assumed strain interpolated finite element plate model based on Reddy's third order theory. An earlier model is modified to include the effect of transverse shear variation along the plate thickness and Von-Karman nonlinear strain terms. Monte Carlo Simulation with Latin Hypercube Sampling technique is used to obtain the variance of linear and nonlinear natural frequencies of the plate due to randomness in its material properties. Numerical results are obtained for composite plates with different aspect ratio, stacking sequence and oscillation amplitude ratio. The numerical results are validated with the available literature. It is found that the nonlinear frequencies show increasing non-Gaussian probability density function with increasing amplitude of vibration and show dual peaks at high amplitude ratios. This chaotic nature of the dispersion of nonlinear eigenvalues is also r

Analysis of Flux Fringing for High-Frequency AC Inductor Design

Design of high-frequency inductors for purposes like Active Front End (AFE) converter filters involves analytical calculations based on methods like area product approach and accurate graphical methods. Once a core with an area product is selected the subsequent calculations of inductance and peak operating flux requires the estimation of reluctance of the magnetic circuit. This in turn demands an estimate of the fringing that will happen in the air gap of the inductor. In this paper we have looked at analytical methods for evaluating fringing flux and compared it with results from finite element method. Different levels of details of modelling the inductor is first considered for this purpose. The end results are compared with experimental measurements of inductance. It is shown that simple fringing flux model can provide accurate models for the inductor design.

Analysis of Dynamic Heterogeneity in a Glass Former from the Spatial Correlations of Mobility

The growth of characteristic length scales associated with dynamic heterogeneity in glass-forming liquids is investigated in an extensive computational study of a four-point, time-dependent structure factor defined from spatial correlations of mobility, for a model liquid for system sizes extending up to 351 232 particles, in constant-energy and constant-temperature ensembles. Our estimates for dynamic correlation lengths and susceptibilities are consistent with previous results from finite size scaling. We find scaling exponents that are inconsistent with predictions from inhomogeneous mode coupling theory and a recent simulation confirmation of these predictions.

Elasto-plastic Cracking Analysis of Reinforced Concrete

A new elasto-plastic cracking constitutive model for reinforced concrete is presented. The nonlinear effects considered cover almost all the nonlinearities exhibited by reinforced concrete under short term monotonic loading. They include concrete cracking in tension, plasticity in compression, aggregate interlock, tension softening, elasto-plastic behavior of steel, bond-slip between concrete, and steel reinforcement and tension stiffening. A new procedure for incorporating bondslip in smeared steel elements is described. A modified Huber-Hencky-Mises failure criterion for plastic deformation of concrete, which fits the experimental results under biaxial stresses better, is proposed. Multiple cracking at Gauss points and their opening and closing are considered. Matrix expressions are developed and are incorporated in a nonlinear finite element program. After the objectivity of the model is demonstrated, the model is used to analyze two different types of problems: one, a set of four shear panels, and the other, a reinforced concrete beam without shear reinforcement. The results of the analysis agree favorably with the experimental results.

Elastic analysis of pin joints

The advent of large and fast digital computers and development of numerical techniques suited to these have made it possible to review the analysis of important fundamental and practical problems and phenomena of engineering which have remained intractable for a long time. The understanding of the load transfer between pin and plate is one such. Inspite of continuous attack on these problems for over half a century, classical solutions have remained limited in their approach and value to the understanding of the phenomena and the generation of design data. On the other hand, the finite element methods that have grown simultaneously with the recent development of computers have been helpful in analysing specific problems and answering specific questions, but are yet to be harnessed to assist in obtaining with economy a clearer understanding of the phenomena of partial separation and contact, friction and slip, and fretting and fatigue in pin joints. Against this background, it is useful to explore the application of the classical simple differential equation methods with the aid of computer power to open up this very important area. In this paper we describe some of the recent and current work at the Indian Institute of Science in this last direction.

Analysis of edge delaminations in laminates through combined use of quasi-three-dimensional, eight-noded, two-noded and transition elements

The use of appropriate finite elements in different regions of a stressed solid can be expected to be economical in computing its stress response. This concept is exploited here in studying stresses near free edges in laminated coupons. The well known free edge problem of [0/90], symmetric laminate is considered to illustrate the application of the concept. The laminate is modelled as a combination of three distinct regions. Quasi-three-dimensional eight-noded quadrilateral isoparametric elements (Q3D8) are used at and near the free edge of the laminate and two-noded line elements (Q3D2) are used in the region away from the free edge. A transition element (Q3DT) provides a smooth inter-phase zone between the two regions. Significant reduction in the problem size and hence in the computational time and cost have been achieved at almost no loss of accuracy.

Elasto-Electrostatic Analysis of Circular Microplates Used in Capacitive Micromachined Ultrasonic Transducers

The active structural component of a capacitive micromachined ultrasonic transducer (CMUT) is the top plate which vibrates under the influence of a time-varying electrostatic force thereby producing ultrasound waves of the desired frequency in the surrounding medium. Analysis of MEMS devices which rely on electrostatic actuation is complicated due to the fact that the structural deformations alter the electrostatic forces, which redistribute and modify the applied loads. Hence, it becomes imperative to consider the electrostatics-structure coupling aspect in the design of these devices. This paper presents an approximate analytical solution for the static deflection of a thin, clamped circular plate caused by electrostatic forces which are inherently nonlinear. Traditionally, finite element simulations using some commercial software such as ANSYS are employed to determine the structural deflections caused by electrostatic forces. Since the structural deformation alters the electrostatic field, a coupled-field simulation is required wherein the electrostatic mesh is continuously updated to coincide with the deflection of the structure. Such simulations are extremely time consuming, in addition to being nontransparent and somewhat hard to implement. We employ the classical thin-plate theory which is adequate when the ratio of the diameter to thickness of the plate is very large, a situation commonly prevalent in many MEMS devices, especially the CMUTs. We solve the thin-plate electrostatic-elastic equation using the Galerkin-weighted residual technique, under the assumption that the deflections are small in comparison to the thickness of the plate. The evaluation of the electrostatic force between the two plates is simplified due to the fact that the electrostatic gap is much smaller than the lateral dimensions of the device. The results obtained are compared to those found from ANSYS simulations and an excellent agreement is observed between the two. The pull-in voltage predicted by our model is close to the value predicted by ANSYS simulations.

Stress and strength analysis of pin joints in laminated anisotropic plates

Mechanical joints in composites can be tailored to achieve improved performance and better life by appropriately selecting the laminate parameters. In order to gain the best advantage of this possibility of tailoring the laminate, it is necessary to understand the influence of laminate parameters on the behaviour of joints in composites. Most of the earlier studies in this direction were based on simplified assumptions regarding load transfer at the pin-plate interface and such studies were only carried out on orthotropic and quasi-isotropic laminates. In the present study, a more rigorous analysis is carried out to study pin joints in laminates with anisotropic properties. Two types of laminates with (0/ + ?4/90)s and (0/ ± ?2/90)s layups made out of graphite epoxy T300/5208 material system are considered. The analysis mainly concentrates on clearance fit in which the pin is of smaller diameter compared to the hole. The main aspect of the analysis of pin joints is the changing contact between the pin and the plate with increasing load levels. The analysis is carried out by an iterative finite element technique and a computationally efficient routine is developed for this purpose. Numerical studies indicate that the location and magnitude of the peak stresses along the hole boundary are functions of fibre angle and the overall anisotropic properties. It is also shown that the conventional assumption of cosine distribution for the contact pressure between pin and the plate in the analysis lead to underestimation of bearing failure load and overestimation of shear and tensile failure loads in typical (0/905)s cross-ply laminates.