The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian 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. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

Stochastic monotonicity and duality for continuous time Markov chains with general q-Matrix

The key problems in discussing stochastic monotonicity and duality for continuous time Markov chains are to give the criteria for existence and uniqueness and to construct the associated monotone processes in terms of their infinitesimal q -matrices. In their recent paper, Chen and Zhang [6] discussed these problems under the condition that the given q-matrix Q is conservative. The aim of this paper is to generalize their results to a more general case, i.e., the given q-matrix Q is not necessarily conservative. New problems arise 'in removing the conservative assumption. The existence and uniqueness criteria for this general case are given in this paper. Another important problem, the construction of all stochastically monotone Q-processes, is also considered.

Three-phase computations of the continuous casting process

In this paper, the continuous casting process for steel slab production is modelled using a mult-physics approach. For this purpose, a Finite Volume (FV) numerical model was constructed in 3D, with the following characteristics: Time dependent, turbulent fluid flow and heat transfer in the molten steel and flux regions, solidification of the skin layer, under prescribed heat loss boundary conditions, particle tracking simulation of argon bubbles injected with the metal into the mould, full coupling between bubbles and liquid through buoyancy and interfacial forces using a novel gas accumulation technique, and a full transient simulation of flux-metal interface behaviour under the influence of gravity and fluid inertial forces and bubble plume buoyancy. The unstructure mesh FV code PHYSICA developed at Greenwich was used for carry out the simulations with physical process data and properties supplied by IRSID SA.

Uniqueness criteria for continuous-time Markov chains with general transition structures

We derive necessary and sufficient conditions for the existence of bounded or summable solutions to systems of linear equations associated with Markov chains. This substantially extends a famous result of G. E. H. Reuter, which provides a convenient means of checking various uniqueness criteria for birth-death processes. Our result allows chains with much more general transition structures to be accommodated. One application is to give a new proof of an important result of M. F. Chen concerning upwardly skip-free processes. We then use our generalization of Reuter's lemma to prove new results for downwardly skip-free chains, such as the Markov branching process and several of its many generalizations. This permits us to establish uniqueness criteria for several models, including the general birth, death, and catastrophe process, extended branching processes, and asymptotic birth-death processes, the latter being neither upwardly skip-free nor downwardly skip-free.

Turbulence model performance in continuous casting simulations

This paper concerns the development and validation (using an oil/water system) of a finite volume computer model of the continuous casting process for steel flat products. The emphasis is on hydrodynamic aspects and in particular the dynamic behaviour of the metal/slag interface. Instability and wave action encourage the entrainment of inclusions into the melt affecting product quality. To track the interface between oil and water a new implicit algorithm was developed, called the Counter Diffusion Method. To prevent excessive damping, a time-filtered version of the k-e model, was found necessary, with appropriate density stratification terms representing interface turbulence damping.

Time-dependent modelling and experimental validation of the metal/flux interface in a continuous casting mould

A finite volume computer model of the continuous casting process for steel flat products has been developed. In this first stage, the model concentrates on the hydrodynamic aspects of the process and in particular the dynamic behavior of the metal/slag interface. The model was validated against experimental measurements obtained in a water model apparatus.

Salivary antimicrobial peptides (LL-37 and alpha-defensins HNP1-3), antimicrobial and IgA responses to prolonged exercise

There are many factors in mucosal secretions that contribute to innate immunity and the 'first line of defence' at mucosal surfaces. Few studies, however, have investigated the effects of exercise on many of these 'defence' factors. The aim of the present study was to determine the acute effects of prolonged exercise on salivary levels of selected antimicrobial peptides (AMP) that have not yet been studied in response to exercise (HNP1-3 and LL-37) in addition to immunoglobulin A (IgA). A secondary objective was to assess the effects of exercise on saliva antibacterial capacity. Twelve active men exercised on a cycle ergometer for 2.5 h at approximately 60% of maximal oxygen uptake. Unstimulated whole saliva samples were obtained before and after exercise. There was a significant decrease (P < 0.05) in salivary IgA:osmolality ratio, following exercise, but IgA concentration and secretion rate were unaltered. Salivary HNP1-3 and LL-37 concentrations (P < 0.01 and P < 0.05, respectively), concentration:osmolality ratios (P < 0.01) and secretion rates (P < 0.01) all increased following exercise. Salivary antibacterial capacity (against E. coli) did not change. The increased concentration of AMPs in saliva may confer some benefit to the 'first line of defence' and could result from synergistic compensation within the mucosal immune system and/or airway inflammation and epithelial damage. Further study is required to determine the significance of such changes on the overall 'defence' capacity of saliva and how this influences the overall risk for infection.

Effect of caffeine ingestion during prolonged exhaustive exercise on salivary immunoglobulin A, alpha-amylase and cortisol

Exercise can have deleterious effects on the secretion of salivary immunoglobulin A (s-IgA), which appears to be related to perturbations in sympatheticoadrenal activation (Teeuw et al., 2004). Caffeine, commonly used for its ergogenic properties is associated with increased sympathetic nervous system activity, and it has been previously shown that caffeine ingestion before intensive cycling enhances s-IgA responses during exercise (Bishop et al., 2006). Therefore, the aim of the present study was to examine the effect of a performance cereal bar, containing caffeine, before and during prolonged exhaustive cycling on exercise performance and the salivary secretion of IgA, alpha-amylase activity and cortisol. Using a randomised cross-over design and following a 10 – 12 hour overnight fast, 12 trained cyclists, mean (SEM) age: 21(1) yr; height: 179(2) cm; body mass: 73.6(2.5) kg; maximal oxygen uptake, VO2max: 57.9(1.2) completed 2.5 h of cycling at 60%VO2max (with regular water ingestion) on a stationary ergometer, which was followed by a ride to exhaustion at 75% VO2max. Immediately before exercise, and after 55 min and 115 min of exercise participants ingested a 0.9 MJ cereal bar containing 45 g carbohydrate, 5 g protein, 3 g fat and 100 mg of caffeine (CAF) or an isocaloric noncaffeine bar (PLA). Unstimulated timed saliva samples were collected immediately before exercise, after 70 min and 130 min of exercise, and immediately after the exhaustive exercise bout. Saliva was analysed for s-IgA, alpha-amylase activity and cortisol concentration. Saliva flow rates were determined to calculate the s-IgA secretion rate. Data were analysed using a 2-way repeated measures ANOVA and post-hoc t-tests with Holm Bonferroni adjustments applied where appropriate. Time to exhaustion was 35% longer in CAF compared with PLA ((2177 (0.2) vs 1615 (0.16) s; P < 0.05)). Saliva flow rate did not change significantly during the exercise protocol. Exercise was associated with elevations in s-IgA concentration (9% increase), s-IgA secretion rate (24% increase) and alpha-amylase activity (224% increase) post-exhaustion (P < 0.01), but there was no effect of CAF on these responses. Salivary cortisol concentration increased by 64% post-exhaustion in the CAF trial only (P < 0.05), indicating an increase in adrenal activity following caffeine ingestion. Values were 35.7 (5.5) and 19.6 (3.4) nmol/L post-exhaustion for CAF and PLA, respectively. These findings show that ingestion of a caffeine containing cereal bar during prolonged exhaustive cycling enhances endurance performance, increases salivary cortisol secretion post-exhaustion, but does not affect the exercise-induced increases in s-IgA or alpha-amylase activity.

Using EMGs and kinematics data to study the take-off technique of experts and novices for a pole vaulting short run-up educational exercise

This study attempts to characterise the electromyographic activity and kinematics exhibited during the performance of take-off for a pole vaulting short run-up educational exercise, for different expertise levels. Two groups (experts and novices) participated in this study. Both groups were asked to execute their take-off technique for that specific exercise. Among the kinematics variables studied, the knee, hip and ankle angles and the hip and knee angular velocities were significantly different. There were also significant differences in the EMG variables, especially in terms of (i) biceps femoris and gastrocnemius lateralis activity at touchdown and (ii) vastus lateralis and gastrocnemius lateralis activity during take-off. During touchdown, the experts tended to increase the stiffness of the take-off leg to decrease braking. Novices exhibited less stiffness in the take-off leg due to their tendency to maintain a tighter knee angle. Novices also transferred less energy forward during take-off due to lack of contraction in the vastus lateralis, which is known to contribute to forward energy transfers. This study highlights the differences in both groups in terms of muscular and angular control according to the studied variables. Such studies of pole vaulting could be useful to help novices to learn expert's technique.

Effects of exercise intensity on salivary antimicrobial proteins and markers of stress in active men

In the present study, we assessed the effects of exercise intensity on salivary immunoglobulin A (s-IgA) and salivary lysozyme (s-Lys) and examined how these responses were associated with salivary markers of adrenal activation. Using a randomized design, 10 healthy active men participated in three experimental cycling trials: 50% maximal oxygen uptake (VO2max), 75%VO2max, and an incremental test to exhaustion. The durations of the trials were the same as for a preliminary incremental test to exhaustion (22.3 min, sx = 0.8). Timed, unstimulated saliva samples were collected before exercise, immediately after exercise, and 1 h after exercise. In the incremental exhaustion trial, the secretion rates of both s-IgA and s-Lys were increased. An increase in s-Lys secretion rate was also observed at 75%VO2max. No significant changes in saliva flow rate were observed in any trial. Cycling at 75%VOmax and to exhaustion increased the secretion of alpha-amylase and chromogranin A immediately after exercise; higher cortisol values at 75%VO2max and in the incremental exhaustion trial compared with 50%VO2max were observed 1 h immediately after exercise only. These findings suggest that short-duration, high-intensity exercise increases the secretion rate of s-IgA and s-Lys despite no change in the saliva flow rate. These effects appear to be associated with changes in sympathetic activity and not the hypothalamic - pituitary - adrenal axis.