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.

[Book Review] A database of North American tertiary mammals

Review of: Janis, C.M., Scott, K.M., & Jacobs, L.L. (eds.) 1998. Evolution of Tertiary Mammals of North America Volume 1: Terrestrial Carnivores, Ungulates, and Ungulatelike Mammals, i-x, 1491. Cambridge University Press, Cambridge, UK. £165

Obtaining data to validate a model of an induction skull melting furnace

A casting route is often the most cost-effective means of producing engineering components. However, certain materials, particularly those based on Ti, TiAl and Zr alloy systems, are very reactive in the molten condition and must be melted in special furnaces. Induction Skull Melting (ISM) is the most widely-used process for melting these alloys prior to casting components such as turbine blades, engine valves, turbocharger rotors and medical prostheses. A major research project is underway with the specific target of developing robust techniques for casting TiAl components. The aims include increasing the superheat in the molten metal to allow thin section components to be cast, improving the quality of the cast components and increasing the energy efficiency of the process. As part of this, the University of Greenwich (UK) is developing a computer model of the ISM process in close collaboration with the University of Birmingham (UK) where extensive melting trials are being undertaken. This paper describes the experimental measurements to obtain data to feed into and to validate the model. These include measurements of the true RMS current applied to the induction coil, the heat transfer from the molten metal to the crucible cooling water, and the shape of the column of semi-levitated molten metal. Data are presented for Al, Ni and TiAl.