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.

An explicit scheme for coupling temperature and concentration fields in solidification models

A numerical scheme for coupling temperature and concentration fields in a general solidification model is presented. A key feature of this scheme is an explicit time stepping used in solving the governing thermal and solute conservation equations. This explicit approach results in a local point-by-point coupling scheme for the temperature and concentration and avoids the multi-level iteration required by implicit time stepping schemes. The proposed scheme is validated by predicting the concentration field in a benchmark solidification problem. Results compare well with an available similarity solution. The simplicity of the proposed explicit scheme allows for the incorporation of complex microscale models into a general solidification model. This is demonstrated by investigating the role of dendrite coarsening on the concentration field in the solidification benchmark problem.

Traffic policing in ATM networks with multimedia traffic: the super leaky bucket

Traffic policing and bandwidth management strategies at the User Network Interface (UNI) of an ATM network are investigated by simulation. The network is assumed to transport real time (RT) traffic like voice and video as well as non-real time (non-RT) data traffic. The proposed policing function, called the super leaky bucket (S-LB), is based on the leaky bucket (LB), but handles the three types of traffic differently according to their quality of service (QoS) requirements. Separate queues are maintained for RT and non-RT traffic. They are normally served alternately, but if the number of RT cells exceeds a threshold, it gets non-pre-emptive priority. Further increase of the RT queue causes low priority cells to be discarded. Non-RT cells are buffered and the sources are throttled back during periods of congestion. The simulations clearly demonstrate the advantages of the proposed strategy in providing improved levels of service (delay, jitter and loss) for all types of traffic.

Markovian bulk-arriving queues with state-dependent control at idle time

This paper considers a Markovian bulk-arriving queue modified to allow both mass arrivals when the queue is idle and mass departures which allow for the possibility of removing the entire workload. Properties of queues which terminate when the server becomes idle are developed first, since these play a key role in later developments. Results for the case of mass arrivals, but no mass annihilation, are then constructed with specific attention being paid to recurrence properties, equilibrium queue-size structure, and waiting-time distribution. A closed-form expression for the expected queue size and its Laplace transform are also established. All of these results are then generalised to allow for the removal of the entire workload, with closed-form expressions being developed for the equilibrium size and waiting-time distributions.

Water transport in resin-modified glass-ionomer dental cement

Water uptake and water loss have been studied in a commercial resin-modified glass-ionomer cement, Fuji II LC, under a variety of conditions. Uptake was generally non-Fickian, but affected by temperature. At room temperature, the equilibrium water uptake values varied from 2.47 to 2.78% whereas at low temperature (12 degrees C), it varied from 0.85 to 1.18%. Cure time affected uptake values significantly. Water uptake was much lower than in conventional glass-ionomer restorative cements exposed to water vapor. Loss of water under desiccating conditions was found to be Fickian for the first 5 h loss at both 22 and 12 degrees C. Diffusion coefficients were between 0.45 and 0.76 x 10( -7) cm(2)/s, with low temperature diffusion coefficients slightly greater than those at room temperature. Plotting water loss as percentage versus s(-(1/2)) allowed activation energies to be determined from the Arrhenius equation and these were found to be 65.6, 79.8, and 7.7 kJ/mol respectively for 30, 20, and 10 s cure times. The overall conclusion is that the main advantage of incorporating HEMA into resin-modified-glass-ionomers is to alter water loss behavior. Rate of water loss and total amount lost are both reduced. Hence, resin-modified glass-ionomers are less sensitive to water loss than conventional glass-ionomers.