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.

Models for magnetohydrodynamics of aluminium electrolysis cells

The electric current and the associated magnetic field in aluminium electrolysis cells create effects limiting the cell productivity and possibly cause instabilities: surface waving, ‘anode effects’, erosion of pot lining, feed material sedimentation, etc. The instructive analysis is presented via a step by step inclusion of different physical coupling factors affecting the magnetic field, electric current, velocity and wave development in the electrolysis cells. The full time dependent model couples the nonlinear turbulent fluid dynamics and the extended electromagnetic field in the cell, and the whole bus bar circuit with the ferromagnetic effects. Animated examples for the high amperage cells are presented. The theory and numerical model of the electrolysis cell is extended to the cases of variable cell bottom of aluminium layer and the variable thickness of the electrolyte due to the anode non-uniform burn-out process and the presence of the anode channels. The problem of the channel importance is well known Moreau-Evans model) for the stationary interface and the velocity field, and was validated against measurements in commercial cells, particularly with the recently published ‘benchmark’ test for the MHD models of aluminium cells [1]. The presence of electrolyte channels requires also to reconsider the previous magnetohydrodynamic instability theories and the dynamic wave development models. The results indicate the importance of a ‘sloshing’ parametrically excited MHD wave development in the aluminium production cells.

Hydrocarbon field size distributions: a case study in mixed integer nonlinear programming

Of key importance to oil and gas companies is the size distribution of fields in the areas that they are drilling. Recent arguments suggest that there are many more fields yet to be discovered in mature provinces than had previously been thought because the underlying distribution is monotonic not peaked. According to this view the peaked nature of the distribution for discovered fields reflects not the underlying distribution but the effect of economic truncation. This paper contributes to the discussion by analysing up-to-date exploration and discovery data for two mature provinces using the discovery-process model, based on sampling without replacement and implicitly including economic truncation effects. The maximum likelihood estimation involved generates a high-dimensional mixed-integer nonlinear optimization problem. A highly efficient solution strategy is tested, exploiting the separable structure and handling the integer constraints by treating the problem as a masked allocation problem in dynamic programming.

Nonlinear MHD stability of aluminium reduction cells

An industrial electrolysis cell used to produce primary aluminium is sensitive to waves at the interface of liquid aluminium and electrolyte. The interface waves are similar to stratified sea layers [1], but the penetrating electric current and the associated magnetic field are intricately involved in the oscillation process, and the observed wave frequencies are shifted from the purely hydrodynamic ones [2]. The interface stability problem is of great practical importance because the electrolytic aluminium production is a major electrical energy consumer, and it is related to environmental pollution rate. The stability analysis was started in [3] and a short summary of the main developments is given in [2]. Important aspects of the multiple mode interaction have been introduced in [4], and a widely used linear friction law first applied in [5]. In [6] a systematic perturbation expansion is developed for the fluid dynamics and electric current problems permitting reduction of the three-dimensional problem to a two dimensional one. The procedure is more generally known as “shallow water approximation” which can be extended for the case of weakly non-linear and dispersive waves. The Boussinesq formulation permits to generalise the problem for non-unidirectionally propagating waves accounting for side walls and for a two fluid layer interface [1]. Attempts to extend the electrolytic cell wave modelling to the weakly nonlinear case have started in [7] where the basic equations are derived, including the nonlinearity and linear dispersion terms. An alternative approach for the nonlinear numerical simulation for an electrolysis cell wave evolution is attempted in [8 and references there], yet, omitting the dispersion terms and without a proper account for the dissipation, the model can predict unstable waves growth only. The present paper contains a generalisation of the previous non linear wave equations [7] by accounting for the turbulent horizontal circulation flows in the two fluid layers. The inclusion of the turbulence model is essential in order to explain the small amplitude self-sustained oscillations of the liquid metal surface observed in real cells, known as “MHD noise”. The fluid dynamic model is coupled to the extended electromagnetic simulation including not only the fluid layers, but the whole bus bar circuit and the ferromagnetic effects [9].

Dynamic analysis of Flip-Chip Self-Alignment

Self-alignment of soldered electronic components such as flip-chips (FC), ball grid arrays (BGA) and optoelectronic devices during solder reflow is important as it ensures good alignment between components and substrates. Two uncoupled analytical models are presented which provide estimates of the dynamic time scales of both the chip and the solder in the self-alignment process. These predicted time scales can be used to decide whether a coupled dynamic analysis is required for the analysis of the chip motion. In this paper, we will show that for flip-chips, the alignment dynamics can be described accurately only when the chip motion is coupled with the solder motion because the two have similar time-scale values. To study this coupled phenomenon, a dynamic modeling method has been developed. The modeling results show that the uncoupled and coupled calculations result in significantly different predictions. The calculations based on the coupled model predict much faster rates of alignment than those predicted using the uncoupled approach.