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

Decision support systems for eco-friendly electronic products

This paper discusses an optimisation based decision support system and methodology for electronic packaging and product design and development which is capable of addressing in efficient manner specified environmental, reliability and cost requirements. A study which focuses on the design of a flip-chip package is presented. Different alternatives for the design of the flip-chip package are considered based on existing options for the applied underfill and volume of solder material used to form the interconnects. Variations in these design input parameters have simultaneous effect on package aspects such as cost, environmental impact and reliability. A decision system for the design of the flip-chip that uses numerical optimisation approach is used to identify the package optimal specification which satisfies the imposed requirements. The reliability aspect of interest is the fatigue of solder joints under thermal cycling. Transient nonlinear finite element analysis (FEA) is used to simulate the thermal fatigue damage in solder joints subject to thermal cycling. Simulation results are manipulated within design of experiments and response surface modelling framework to provide numerical model for reliability which can be used to quantify the package reliability. Assessment of the environmental impact of the package materials is performed by using so called Toxic Index (TI). In this paper we demonstrate the evaluation of the environmental impact only for underfill and lead-free solder materials. This evaluation is based on the amount of material per flip-chip package. Cost is the dominant factor in contemporary flip-chip packaging industry. In the optimisation based decision support system for the design of the flip-chip package, cost of materials which varies as a result of variations in the design parameters is considered.

Modelling the reliability of components on flexible substrates

The use of flexible substrates is growing in many applications such as computer peripherals, hand held devices, telecommunications, automotive, aerospace, etc. The drive to adopt flexible circuits is due to their ability to reduce size, weight, assembly time and cost of final product. they also accommodate flexibility by allowing relative movement between component parts and provide a route for three dimensional packaging. This paper will describe some of the current research results from the Flex-No-Lead project, European Commission sponsored programme. The principle aim of this project is to investigate the processing, performance and reliability of flexible substrates when subjected to new environmentally friendly, lead-free soldering technologies. This paper will discuss the impact of specific design variables on performance and reliability. In particular the paper will focus on copper track designs, substrate material, dielectric material and solder mask defined joints