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.

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.

The dependence of power consumption of pneumatic conveying systems upon bulk material properties, pipeline bore and routing, and mode of flow

In this paper the dependence of the power consumption of pneumatic conveyors upon conveyed materials, pipeline route and bore, and mode of flow has been examined. The findings are that, with different materials and modes of flow, not only is the amount of power consumed very different but it varies in different ways with pipe bore and routing. Additionally it has been found that, for any given conveying system, the choice of air mover also has a strong influence on the power requirement.