Numerical solutions of certain nonlinear models in European options on a distributed computing environment

Financial modelling in the area of option pricing involves the understanding of the correlations between asset and movements of buy/sell in order to reduce risk in investment. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. In turn, analysis tools rely on fast numerical algorithms for the solution of financial mathematical models. There are many different financial activities apart from shares buy/sell activities. The main aim of this chapter is to discuss a distributed algorithm for the numerical solution of a European option. Both linear and non-linear cases are considered. The algorithm is based on the concept of the Laplace transform and its numerical inverse. The scalability of the algorithm is examined. Numerical tests are used to demonstrate the effectiveness of the algorithm for financial analysis. Time dependent functions for volatility and interest rates are also discussed. Applications of the algorithm to non-linear Black-Scholes equation where the volatility and the interest rate are functions of the option value are included. Some qualitative results of the convergence behaviour of the algorithm is examined. This chapter also examines the various computational issues of the Laplace transformation method in terms of distributed computing. The idea of using a two-level temporal mesh in order to achieve distributed computation along the temporal axis is introduced. Finally, the chapter ends with some conclusions.

Comparative analysis of corporate risk management practices in Croatian and Slovenian companies

The paper explores differences as well as commonalities in corporate risk management practices and risk exposures in the large non-financial Slovenian and Croatian companies. Comparative analysis of survey results have revealed that the majority of analysed companies in both Croatia and Slovenia are using some form of risk management to manage interest-rate, foreign exchange, or commodity price risk. Regarding the intensity of influence of financial risks on the performance of the analysed companies, the results have shown that the price risk has the highest influence among the Slovenian as well as the Croatian companies. Croatian companies are more affected by currency risk than the Slovenian companies, while the interest-rate risk has been ranged as less important in comparison with commodity price and currency risks. The survey’s results have clearly indicated that Croatian and Slovenian non-financial companies manage financial risks primarily with simple risk management instruments such as natural hedging. In the case of derivatives use, forwards and swaps are by far the most important instruments in both countries, but futures as representatives of standardised derivatives and structured derivatives are more important in the Slovenian than in the Croatian companies.

Communication system model for information rate evaluation of differential detection over time-varying channels

A communication system model for mutual information performance analysis of multiple-symbol differential M-phase shift keying over time-correlated, time-varying flat-fading communication channels is developed. This model is a finite-state Markov (FSM) equivalent channel representing the cascade of the differential encoder, FSM channel model and differential decoder. A state-space approach is used to model channel phase time correlations. The equivalent model falls in a class that facilitates the use of the forward backward algorithm, enabling the important information theoretic results to be evaluated. Using such a model, one is able to calculate mutual information for differential detection over time-varying fading channels with an essentially finite time set of correlations, including the Clarke fading channel. Using the equivalent channel, it is proved and corroborated by simulations that multiple-symbol differential detection preserves the channel information capacity when the observation interval approaches infinity.

Assessment of the origin and stability of Nifedipine polymorph IV by differential scanning calorimetry (DSC)

Purpose. To examine the thermal transition(s) between different polymorphic forms of Nifedipine and to define experimental conditions that lead to the generation of polymorph IV. Methods. Experiments were performed using a DSC 823e (Mettler Toledo). Nifedipine exists in four polymorphic forms, as well as an amorphous state. Examination of Nifedipine was conducted using the following method(s): cycle 1: 25ºC to 190ºC, 190ºC to 25ºC (formation of amorphous Nifedipine); cycle 2: 25ºC to X (60,70,80...150ºC), X to 25ºC; cycle 3: 25ºC to 190ºC and holding isothermally for 5 min between cycles (heating/cooling rate of 10ºC/min). Results. The amorphous state Nifedipine can sustain heating up to 90ºC without significant changes in its composition. Cycle 2 of amorphous material heated up to 90ºC shows only the glass transition at ~44ºC. In cycle 3 of the same material, a glass transition has been recorded at ~44ºC, followed by two exotherms (~100 and ~115ºC (crystallisation of polymorph III and II, respectively) and an endotherm (169ºC (melting of polymorphs I/II)). Samples that have been heated to temperatures between 100ºC and 120ºC in the second cycle showed a glass transition at ~44ºC and an additional exotherm at ~95ºC (crystallisation of polymorph III) on cooling a exotherm was observed at ~40ºC (crystallisation of polymorph IV). The same material showed no glass transition in cycle 3 but an endotherm at around 62ºC (melting of polymorph IV) an exotherm (~98ºC) and an endotherm (169ºC) melting of polymorph I/II. Heating the sample to a temperatures greater than 130ºC in cycle two results in a glass transition at ~44ºC, and two exotherms at ~102 and 125ºC (crystallisation of polymorphs III and I, respectively). Conclusions. DSC data suggests that polymorph IV can only be produced from amorphous or polymorph III samples. The presence of polymorph I or II drives the conversion of the less stable polymorphic form IV into the most stable form, I. Although form IV of Nifedipine can easily be created, following defined experimental conditions, it may only coexist with amorphous or polymorph III states. When polymorphs I and II are present in the sample polymorph IV cannot be etected.

Assessment of the degradation of Aspirin by Differential Scanning Calorimetry (DSC)

Purpose. To study thermal stability of Aspirin and define thermal events that are associated with the thermal degradation of aspirin. Methods. Experiments were performed using a DSC 823e (Mettler Toledo, Swiss). Aspirin is prone to thermal degradation upon exposure to high temperatures. The melting point of aspirin is 140.1±0.4ºC (DSC). Aspirin has been examined by heating samples to 120ºC, 155ºC and 185ºC with subsequent cooling to -55ºC and a final heating to 155ºC. Although different heating and cooling ranges have been used, only results obtained at a rate of 10ºC/min will be presented. All runs where conducted in hermetically sealed pans. Results. Upon heating the sample to 120ºC no significant thermal event can be detected. After cooling the sample and reheating a glass transition can be observed at ~-8ºC, followed by the melting of aspirin at ~139ºC. By heating the sample to 155ºC melting of aspirin has been detected at ~139ºC. On cooling and subsequent heating a glass transition occurs at ~-32ºC, together with a broad crystallisation (onset at ~38ºC and peak maximum at ~57ºC) followed by a broad melting with an onset at 94ºC and peak maximum at ~112ºC. Finally, by heating the sample to 185ºC melting at ~ 139ºC was observed, and upon cooling and reheating a glass transition was detected at ~-26ºC and no further events could be recorded. Conclusions. This research demonstrates that the degradation steps of Aspirin depend on the thermal treatment. The main degradation products of different thermal treatments are currently unknown it is clear that acetic acid, which is one of the degradation products, acts as an antiplasticiser by lowering the glass transition temperature. In addition, due to the presence of the degradation products in liquid form (observed by hot stage microscopy), Aspirin is still present in the sample and recrystallises during the second heating step and melts at much lower temperatures.