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

Explicit finite volume modeling of aircraft anti-icing and de-icing

In this paper, a runback water and ice prediction model is extended to anti-icing and thermal de-icing situations. The resulting coupled equations that govern thin-film flow, ice accretion, and heat conduction in the multilayered system substrate-ice-water are solved using an explicit finite volume approach. The procedure is implemented in the three-dimensional icing code ICECREMO2, and both structured and unstructured grids can be considered. Numerical results are presented to compare the present code simulations to some data provided by other ice prediction codes and to show the capabilities of the present numerical tool.