Semi-Lagrange time integration for PDE models of asian options

Semi-Lagrange time integration is used with the finite difference method to provide accurate stable prices for Asian options, with or without early exercise. These are combined with coordinate transformations for computational efficiency and compared with published results

On the modelling of fire atmosphere/sprinkler spray interacting using an Euler-Lagrange framework

An Euler-Lagrange particle tracking model, developed for simulating fire atmosphere/sprinkler spray interactions, is described. Full details of the model along with the approximations made and restrictions applying are presented. Errors commonly found in previous formulations of the source terms used in this two-phase approach are described and corrected. In order to demonstrate the capabilities of the model it is applied to the simulation of a fire in a long corridor containing a sprinkler. The simulation presented is three-dimensional and transient and considers mass, momentum and energy transfer between the gaseous atmosphere and injected liquid droplets.