A distributed algorithm for European options with nonlinear volatility

A distributed algorithm is developed to solve nonlinear Black-Scholes equations in the hedging of portfolios. The algorithm is based on an approximate inverse Laplace transform and is particularly suitable for problems that do not require detailed knowledge of each intermediate time steps.

On approximate calculations

The ability to undertake approximate calcutations and to get a “rough feel” for data is an important skill which must not be overlooked.

Performance evaluation of a distributed algorithm for an inverse heat conduction problem

Numerical solutions of realistic 2-D and 3-D inverse problems may require a very large amount of computation. A two-level concept on parallelism is often used to solve such problems. The primary level uses the problem partitioning concept which is a decomposition based on the mathematical/physical problem. The secondary level utilizes the widely used data partitioning concept. A theoretical performance model is built based on the two-level parallelism. The observed performance results obtained from a network of general purpose Sun Sparc stations are compared with the theoretical values. Restrictions of the theoretical model are also discussed.

A domain decomposition algorithm for inverse welding problems

A mathematical model and a numerical scheme for the inverse determination of heat sources generated by means of a welding process is presented in this paper. The accuracy of the heat source retrieval is discussed.

Forward and inverse transport of particulate matter and gaseous pollutants affecting the region bordering the English Channel

The ATTMA "Aerosol Transport in the Trans-Manche Atmosphere" project investigates the transportation and dispersion of air pollutants across the English Channel, in collaboration with local authorities and other Universities in Southern England and Northern France. The research is concerned with both forward and inverse (receptor based) tracking. Two alternative dispersion simulation methods are used: (a) Lagrangian Particle Dispersion (LPD) models, (b) Eulerian Finite Volume type models. This paper is concerned with part (a), the simulations based on LPD models. Two widely applied LPD models are used and compared. Since in many observed episodes the source of pollution is traced outside the region of interest, long range, trans-continental transport is also investigated.

Parallel genetic algorithms for the solution of inverse heat conduction problems

A parallel genetic algorithm (PGA) is proposed for the solution of two-dimensional inverse heat conduction problems involving unknown thermophysical material properties. Experimental results show that the proposed PGA is a feasible and effective optimization tool for inverse heat conduction problems

A domain decomposition based algorithm for non-linear 2D inverse heat conduction problems

Inverse heat conduction problems (IHCPs) appear in many important scientific and technological fields. Hence analysis, design, implementation and testing of inverse algorithms are also of great scientific and technological interest. The numerical simulation of 2-D and –D inverse (or even direct) problems involves a considerable amount of computation. Therefore, the investigation and exploitation of parallel properties of such algorithms are equally becoming very important. Domain decomposition (DD) methods are widely used to solve large scale engineering problems and to exploit their inherent ability for the solution of such problems.