Three-dimensional simulation of the influence of convection on dendritic solidification

Bulk and interdendritic flow during solidification alters the microstructure development, potentially leading to the formation of defects. In this paper, a 3D numerical model is presented for the simulation of dendritic growth in the presence of fluid flow in both liquid and semi-solid zones during solidification. The dendritic growth was solved by the combination of a stochastic nucleation approach with a finite difference solution of the solute diffusion equation and. a projection method solution of the Navier-Stokes equations. The technique was applied first to simulate the growth of a single dendrite in 2D and 3D in an isothermal environment with forced fluid flow. Significant differences were found in the evolution of dendritic morphology when comparing the 2D and 3D results. In 3D the upstream arm has a faster growth velocity due to easier flow around the perpendicular arms. This also promotes secondary arm formation on the upstream arm. The effect of fluid flow on columnar dendritic growth and micro-segregation in constrained solidification conditions is then simulated. For constrained growth, 2D simulations lead to even greater inaccuracies as compared to 3D.

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.