19 resultados para Options (Finance) -- Mathematical models


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Computer based mathematical models describing aircraft fire have a role to play in the design and development of safer aircraft, in the implementation of safer and more rigorous certification criteria and in post mortuum accident investigation. As the cost involved in performing large-scale fire experiments for the next generation 'Ultra High Capacity Aircraft' (UHCA) are expected to be prohibitively high, the development and use of these modelling tools may become essential if these aircraft are to prove a safe and viable reality. By describing the present capabilities and limitations of aircraft fire models, this paper will examine the future development of these models in the areas of large scale applications through parallel computing, combustion modelling and extinguishment modelling.

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In the present study, a 3D full cell quarter thermo-electric model of a 500kA demonstration cell has been developed and solved. In parallel, a non-linear wave MHD model of the same 500 kA demonstration cell has been developed and solved. A preliminary study of the impact of the interactions between the cell thermo-electric and MHD models will be presented.

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Financial modelling in the area of option pricing involves the understanding of the correlations between asset and movements of buy/sell in order to reduce risk in investment. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. In turn, analysis tools rely on fast numerical algorithms for the solution of financial mathematical models. There are many different financial activities apart from shares buy/sell activities. The main aim of this chapter is to discuss a distributed algorithm for the numerical solution of a European option. Both linear and non-linear cases are considered. The algorithm is based on the concept of the Laplace transform and its numerical inverse. The scalability of the algorithm is examined. Numerical tests are used to demonstrate the effectiveness of the algorithm for financial analysis. Time dependent functions for volatility and interest rates are also discussed. Applications of the algorithm to non-linear Black-Scholes equation where the volatility and the interest rate are functions of the option value are included. Some qualitative results of the convergence behaviour of the algorithm is examined. This chapter also examines the various computational issues of the Laplace transformation method in terms of distributed computing. The idea of using a two-level temporal mesh in order to achieve distributed computation along the temporal axis is introduced. Finally, the chapter ends with some conclusions.

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Mathematical models of straight-grate pellet induration processes have been developed and carefully validated by a number of workers over the past two decades. However, the subsequent exploitation of these models in process optimization is less clear, but obviously requires a sound understanding of how the key factors control the operation. In this article, we show how a thermokinetic model of pellet induration, validated against operating data from one of the Iron Ore Company of Canada (IOCC) lines in Canada, can be exploited in process optimization from the perspective of fuel efficiency, production rate, and product quality. Most existing processes are restricted in the options available for process optimization. Here, we review the role of each of the drying (D), preheating (PH), firing (F), after-firing (AF), and cooling (C) phases of the induration process. We then use the induration process model to evaluate whether the first drying zone is best to use on the up- or down-draft gas-flow stream, and we optimize the on-gas temperature profile in the hood of the PH, F, and AF zones, to reduce the burner fuel by at least 10 pct over the long term. Finally, we consider how efficient and flexible the process could be if some of the structural constraints were removed (i.e., addressed at the design stage). The analysis suggests it should be possible to reduce the burner fuel lead by 35 pct, easily increase production by 5+ pct, and improve pellet quality.

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Fire is a form of uncontrolled combustion which generates heat, smoke, toxic and irritant gases. All of these products are harmful to man and account for the heavy annual cost of 800 lives and £1,000,000,000 worth of property damage in Britain alone. The new discipline of Fire Safety Engineering has developed as a means of reducing these unacceptable losses. One of the main tools of Fire Safety Engineering is the mathematical model and over the past 15 years a number of mathematical models have emerged to cater for the needs of this discipline. Part of the difficulty faced by the Fire Safety Engineer is the selection of the most appropriate modelling tool to use for the job. To make an informed choice it is essential to have a good understanding of the various modelling approaches, their capabilities and limitations. In this paper some of the fundamental modelling tools used to predict fire and evacuation are investigated as are the issues associated with their use and recent developments in modelling technology.

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In the analysis of industrial processes, there is an increasing emphasis on systems governed by interacting continuum phenomena. Mathematical models of such multi-physics processes can only be achieved for practical simulations through computational solution procedures—computational mechanics. Examples of such multi-physics systems in the context of metals processing are used to explore some of the key issues. Finite-volume methods on unstructured meshes are proposed as a means to achieve efficient rapid solutions to such systems. Issues associated with the software design, the exploitation of high performance computers, and the concept of the virtual computational-mechanics modelling laboratory are also addressed in this context.

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Computer based mathematical models describing the aircraft evacuation process and aircraft fire have a role to play in the design and development of safer aircraft, in the implementaion of safer and more rigorous certification criteria and in post mortuum accident investigation. As the cost and risk involved in performing large-scale fire/evacuation experiments for the next generation 'Very Large Aircraft' (VLA) are expected to be high, the development and use of these modelling tools may become essential if these aircraft are to prove a viable reality. By describing the present capabililties and limitations of the EXODUS evacuation model and associated fire models, this paper will examine the future development and data requirements of these models.

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Computer based mathematical models describing the aircraft evacuation process have a vital role to play in the design and development of safer aircraft, in the implementation of safer and more rigorous certification criteria, cabin crew training and in post mortuum accident investigation. As the risk of personal injury and costs involved in performing large-scale evacuation experiments for the next generation 'Ultra High Capacity Aircraft' (UHCA) are expected to be high, the development and use of these evacuation modelling tools may become essential if these aircraft are to prove a viable reality. In this paper the capabilities and limitations of the airEXODUS evacuation model are described. Its successful application to the prediction of a recent certification trial, prior to the actual trial taking place, is described. Also described is a newly defined parameter known as OPS which can be used as a measure of evacuation trial optimality. In addition, sample evacuation simulations in the presence of fire atmospheres are described. Finally, the data requiremnets of the airEXODUS evacuation model is discussed along with several projects currently underway at the the Univesity of Greenwich designed to obtain this data. Included in this discussion is a description of the AASK - Aircraft Accident Statistics and Knowledge - data base which contains detailed information from aircraft accident survivors.

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Computer based mathematical models describing the aircraft evacuation process have a vital role to play in the design and development of safer aircraft, in the implementation of safer and more rigorous certification criteria and in cabin crew training and post mortuum accident investigation. As the risk of personal injury and costs involved in performing large-scale evacuation experiments for the next generation `Ultra High Capacity Aircraft' (UHCA) are expected to be high, the development and use of these evacuation modelling tools may become essential if these aircraft are to prove a viable reality. This paper describes the capabilities and limitations of the airEXODUS evacuation model and some attempts at validation, including its successful application to the prediction of a recent certification trial, prior to the actual trial taking place, is described. Also described is a newly defined parameter known as OPS which can be used as a measure of evacuation trial optimality. In addition, sample evacuation simulations in the presence of fire atmospheres are described.

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Computer based mathematical models describing the aircraft evacuation process have a vital role to play in the design and development of safer aircraft, the implementation of safer and more rigorous certification criteria, in cabin crew training and post-mortem accident investigation. As the risk of personal injury and the costs involved in performing large-scale evacuation experiments for the next generation ultra high capacity aircraft (UHCA) are expected to be high, the development and use of these evacuation modelling tools may become essential if these aircraft are to prove a viable reality. This paper describes the capabilities and limitations of the airEXODUS evacuation model and some attempts at validation, including its successful application to the prediction of a recent certification trial, prior to the actual trial taking place. Also described is a newly defined performance parameter known as OPS that can be used as a measure of evacuation trial optimality. In addition, sample evacuation simulations in the presence of fire atmospheres are described.

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Computer based mathematical models describing the aircraft evacuation process have a vital role to play in aviation safety. However such models have a heavy dependency on real evacuation data in order to (a) identify the key processes and factors associated with evacuation, (b) quantify variables and parameters associated with the identified factors/processes and finally (c) validate the models. The Fire Safety Engineering Group of the University of Greenwich is undertaking a large data extraction exercise from three major data sources in order to address these issues. This paper describes the extraction and application of data from one of these sources - aviation accident reports. To aid in the storage and analysis of the raw data, a computer database known as AASK (aircraft accident statistics and knowledge) is under development. AASK is being developed to store human observational and anecdotal data contained in accident reports and interview transcripts. AASK comprises four component sub-databases. These consist of the ACCIDENT (crash details), FLIGHT ATTENDANT (observations and actions of the flight attendants), FATALS (details concerning passenger fatalities) and PAX (observations and accounts from individual passengers) databases. AASK currently contains information from 25 survivable aviation accidents covering the period 4 April 1977 to 6 August 1995, involving some 2415 passengers, 2210 survivors, 205 fatalities and accounts from 669 people. In addition to aiding the development of aircraft evacuation models, AASK is also being used to challenge some of the myths which proliferate in the aviation safety industry such as, passenger exit selection during evacuation, nature and frequency of seat jumping, speed of passenger response and group dynamics. AASK can also be used to aid in the development of a more comprehensive approach to conducting post accident interviews, and will eventually be used to store the data directly.

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Computer based mathematical models describing the aircraft evacuation process have a vital role to play in the design and development of safer aircraft, in the implementation of safer and more rigorous certification criteria and in post mortuuum accident investigation. As the risk of personal injury and costs involved in performing large-scale evacuation experiments for the next generation 'Ultra High Capacity Aircraft' (UHCA) are expected to be high, the development and use of these evacuation modelling tools may become essential if these aircraft are to prove a viable reality. In this paper the capabilities and limitation of the air-EXODUS evacuation model are described. Its successful application to the prediction of a recent certificaiton trial, prior to the actual trial taking place, is described. Also described is a newly defined parameter known as OPS which can be used as a measure of evacuation trial optimality. Finally, the data requirements of aircraft evacuation models is discussed along with several projects currently underway at the University of Greenwich designed to obtain this data. Included in this discussion is a description of the AASK - Aircraft Accident Statistics and Knowledge - data base which contains detailed information from aircraft accident survivors.

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Computer based mathematical models describing the aircraft evacuation process have a vital role to play in aviation safety. However, such models have a heavy dependency on real evacuation data. The Fire Safety Engineering Group of the University of Greenwich is undertaking a large data extraction exercise in order to address this issue. This paper describes the extraction and application of data from aviation accident reports. To aid in the storage and analysis of the raw data, a computer database known as AASK (Aircraft Accident Statistics and Knowledge) is under development. AASK is being developed to store human observational and anecdotal data contained in accident reports and interview transcripts. AASK currently contains information from 25 survivable aviation accidents covering the period 04/04/77 to 06/08/95, involving some 2415 passengers, 2210 survivors, 205 fatalities and accounts from 669 people. Copyright © 1999 John Wiley & Sons, Ltd.

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High pollution levels have been often observed in urban street canyons due to the increased traffic emissions and reduced natural ventilation. Microscale dispersion models with different levels of complexity may be used to assess urban air qualityand support decision-making for pollution control strategies and traffic planning. Mathematical models calculate pollutant concentrations by solving either analytically a simplified set of parametric equations or numerically a set of differential equations that describe in detail wind flow and pollutant dispersion. Street canyon models, which might also include simplified photochemistry and particle deposition–resuspension algorithms, are often nested within larger-scale urban dispersion codes. Reduced-scale physical models in wind tunnels may also be used for investigating atmospheric processes within urban canyons and validating mathematical models. A range of monitoring techniques is used to measure pollutant concentrations in urban streets. Point measurement methods (continuous monitoring, passive and active pre-concentration sampling, grab sampling) are available for gaseous pollutants. A number of sampling techniques (mainlybased on filtration and impaction) can be used to obtain mass concentration, size distribution and chemical composition of particles. A combination of different sampling/monitoring techniques is often adopted in experimental studies. Relativelysimple mathematical models have usually been used in association with field measurements to obtain and interpret time series of pollutant concentrations at a limited number of receptor locations in street canyons. On the other hand, advanced numerical codes have often been applied in combination with wind tunnel and/or field data to simulate small-scale dispersion within the urban canopy.