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.