3 resultados para Heston Local Volatility Gyongy call prices evaluations Monte Carlo method asymptotic formulae for Local Volatility Analytic characteristic function
em Greenwich Academic Literature Archive - UK
Neutron quasi-elastic scattering in disordered solids: a Monte Carlo study of metal-hydrogen systems
Resumo:
The dynamic structure factor of neutron quasi-elastic scattering has been calculated by Monte Carlo methods for atoms diffusing on a disordered lattice. The disorder includes not only variation in the distances between neighbouring atomic sites but also variation in the hopping rate associated with each site. The presence of the disorder, particularly the hopping rate disorder, causes changes in the time-dependent intermediate scattering function which translate into a significant increase in the intensity in the wings of the quasi-elastic spectrum as compared with the Lorentzian form. The effect is particularly marked at high values of the momentum transfer and at site occupancies of the order of unity. The MC calculations demonstrate how the degree of disorder may be derived from experimental measurements of the quasi-elastic scattering. The model structure factors are compared with the experimental quasi-elastic spectrum of an amorphous metal-hydrogen alloy.
Resumo:
The rotating-frame nuclear magnetic relaxation rate of spins diffusing on a disordered lattice has been calculated by Monte Carlo methods. The disorder includes not only variation in the distances between neighbouring spin sites but also variation in the hopping rate associated with each site. The presence of the disorder, particularly the hopping rate disorder, causes changes in the time-dependent spin correlation functions which translate into asymmetry in the characteristic peak in the temperature dependence of the dipolar relaxation rate. The results may be used to deduce the average hopping rate from the relaxation but the effect is not sufficiently marked to enable the distribution of the hopping rates to be evaluated. The distribution, which is a measure of the degree of disorder, is the more interesting feature and it has been possible to show from the calculation that measurements of the relaxation rate as a function of the strength of the radiofrequency spin-locking magnetic field can lead to an evaluation of its width. Some experimental data on an amorphous metal - hydrogen alloy are reported which demonstrate the feasibility of this novel approach to rotating-frame relaxation in disordered materials.
Resumo:
This paper discusses the reliability of power electronics modules. The approach taken combines numerical modeling techniques with experimentation and accelerated testing to identify failure modes and mechanisms for the power module structure and most importantly the root cause of a potential failure. The paper details results for two types of failure (i) wire bond fatigue and (ii) substrate delamination. Finite element method modeling techniques have been used to predict the stress distribution within the module structures. A response surface optimisation approach has been employed to enable the optimal design and parameter sensitivity to be determined. The response surface is used by a Monte Carlo method to determine the effects of uncertainty in the design.