Multigrid for American option pricing with stochastic volatility

The paper describes an implicit finite difference approach to the pricing of American 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 and adaptive time-stepping.

Phase-accuracy comparisons and improved far-field estimates for 3-D edge elements on tetrahedral meshes

Edge-element methods have proved very effective for 3-D electromagnetic computations and are widely used on unstructured meshes. However, the accuracy of standard edge elements can be criticised because of their low order. This paper analyses discrete dispersion relations together with numerical propagation accuracy to determine the effect of tetrahedral shape on the phase accuracy of standard 3-D edgeelement approximations in comparison to other methods. Scattering computations for the sphere obtained with edge elements are compared with results obtained with vertex elements, and a new formulation of the far-field integral approximations for use with edge elements is shown to give improved cross sections over conventional formulations.

pKa values of aqua ligands of platinum (II) anticancer complexes: [1H, 15N] and 195Pt NMR Studies of cis- and trans- [PtCl2 (NH3) (Cyclohexylamine)]

Syntheses and NMR studies are reported of two 15N-labelled Pt(II) complexes of anticancer interest: cis-PtCl2(15NH3)(c-C6H1115NH2), a metabolite of the orally-active Pt(IV) complex cis,trans,cis-[PtCl2(acetate)2(c-C6H11NH2)(NH3), and trans-[PtCl2(15NH3)(c-C6H1115NH2), a reduction product of the active Pt(IV) complex trans,trans,trans-[PtCl2(OH)2(c-C6H11NH2). For cis-[PtCl2(15NH3)(c-C6H1115NH2), hydrolysis was faster for the chloride ligand trans to cyclohexylamine, and the pKa values determined by [1H, 15N NMR spectroscopy for the two cis monoaqua isomers were the same (6.73). The trans monoaqua complex was a stronger acid with pKa of 5.4 (determined by 195Pt NMR). For the cis diaqua complex, pKa values of 5.68 and 7.68 were determined.

The thermal desulfination of allylic sulfonyl halides

Allylic sulfonyl halides can be generated by halogenolysis of the corresponding triorganotin sulfinates. Allylic sulfonyl bromides and iodides undergo a first order, thermal desulfination with allylic rearrangement to yield the corresponding allylic halides. The desulfination of a cyclic allylic sulfonyl bromide is stereospecific, proceeding with T-syn bromine migration.

Building temporal constraints into knowledge bases for process control: an examination [Reply to author's reply]

Reply to author's reply

Conservative semi-Lagrangian finite volume schemes

Semi-Lagrangian finite volume schemes for the numerical approximation of linear advection equations are presented. These schemes are constructed so that the conservation properties are preserved by the numerical approximation. This is achieved using an interpolation procedure based on area-weighting. Numerical results are presented illustrating some of the features of these schemes.

A semi-Lagrangian finite volume method for Newtonian contraction flows

A new finite volume method for solving the incompressible Navier--Stokes equations is presented. The main features of this method are the location of the velocity components and pressure on different staggered grids and a semi-Lagrangian method for the treatment of convection. An interpolation procedure based on area-weighting is used for the convection part of the computation. The method is applied to flow through a constricted channel, and results are obtained for Reynolds numbers, based on half the flow rate, up to 1000. The behavior of the vortex in the salient corner is investigated qualitatively and quantitatively, and excellent agreement is found with the numerical results of Dennis and Smith [Proc. Roy. Soc. London A, 372 (1980), pp. 393-414] and the asymptotic theory of Smith [J. Fluid Mech., 90 (1979), pp. 725-754].

Modelling technology to predict flip-chip assembly

This paper describes modelling technology and its use in providing data governing the assembly of flip-chip components. Details are given on the reflow and curing stages as well as the prediction of solder joint shapes. The reflow process involves the attachment of a die to a board via solder joints. After a reflow process, underfill material is placed between the die and the substrate where it is heated and cured. Upon cooling the thermal mismatch between the die, underfill, solder bumps, and substrate will result in a nonuniform deformation profile across the assembly and hence stress. Shape predictions then thermal solidification and stress prediction are undertaken on solder joints during the reflow process. Both thermal and stress calculations are undertaken to predict phenomena occurring during the curing of the underfill material. These stresses may result in delamination between the underfill and its surrounding materials leading to a subsequent reduction in component performance and lifetime. Comparisons between simulations and experiments for die curvature will be given for the reflow and curing process

A non-Newtonian computational fluid dynamics study of the stencil printing process

This paper describes the application of computational fluid dynamics (CFD) to simulate the macroscopic bulk motion of solder paste ahead of a moving squeegee blade in the stencil printing process during the manufacture of electronic components. The successful outcome of the stencil printing process is dependent on the interaction of numerous process parameters. A better understanding of these parameters is required to determine their relation to print quality and improve guidelines for process optimization. Various modelling techniques have arisen to analyse the flow behaviour of solder paste, including macroscopic studies of the whole mass of paste as well as microstructural analyses of the motion of individual solder particles suspended in the carrier fluid. This work builds on the knowledge gained to date from earlier analytical models and CFD investigations by considering the important non-Newtonian rheological properties of solder pastes which have been neglected in previous macroscopic studies. Pressure and velocity distributions are obtained from both Newtonian and non-Newtonian CFD simulations and evaluated against each other as well as existing established analytical models. Significant differences between the results are observed, which demonstrate the importance of modelling non-Newtonian properties for realistic representation of the flow behaviour of solder paste.

Liquid metal turbulent flow dynamics in a cylindrical container with free surface: experiment and numerical analysis

The liquid metal flow in induction crucible models is known to be unstable, turbulent and difficult to predict in the regime of medium frequencies when the electromagnetic skin-layer is of considerable extent. We present long term turbulent flow measurements by a permanent magnet incorporated potential difference velocity probe in a cylindrical container filled with eutectic melt In-Ga-Sn. The parallel numerical simulation of the long time scale development of the turbulent average flow is presented. The numerical flow model uses an implicit pseudo-spectral code and k-w turbulence model, which was recently developed for the transitional flow modelling. The results compare reasonably to the experiment and demonstrate the time development of the turbulent flow field and the turbulence energy.

Evaluating the effectiveness of Z: The claims made about CICS and where we go from here

There have been few genuine success stories about industrial use of formal methods. Perhaps the best known and most celebrated is the use of Z by IBM (in collaboration with Oxford University's Programming Research Group) during the development of CICS/ESA (version 3.1). This work was rewarded with the prestigious Queen's Award for Technological Achievement in 1992 and is especially notable for two reasons: 1) because it is a commercial, rather than safety- or security-critical, system and 2) because the claims made about the effectiveness of Z are quantitative as well as qualitative. The most widely publicized claims are: less than half the normal number of customer-reported errors and a 9% savings in the total development costs of the release. This paper provides an independent assessment of the effectiveness of using Z on CICS based on the set of public domain documents. Using this evidence, we believe that the case study was important and valuable, but that the quantitative claims have not been substantiated. The intellectual arguments and rationale for formal methods are attractive, but their widespread commercial use is ultimately dependent upon more convincing quantitative demonstrations of effectiveness. Despite the pioneering efforts of IBM and PRG, there is still a need for rigorous, measurement-based case studies to assess when and how the methods are most effective. We describe how future similar case studies could be improved so that the results are more rigorous and conclusive.

On the coupling of Navier–Stokes and linearised Euler equations for aeroacoustic simulation

Aerodynamic generation of sound is governed by the Navier–Stokes equations while acoustic propagation in a non-uniform medium is effectively described by the linearised Euler equations. Different numerical schemes are required for the efficient solution of these two sets of equations, and therefore, coupling techniques become an essential issue. Two types of one-way coupling between the flow solver and the acoustic solver are discussed: (a) for aerodynamic sound generated at solid surfaces, and (b) in the free stream. Test results indicate how the coupling achieves the necessary accuracy so that Computational Fluid Dynamics codes can be used in aeroacoustic simulations.