On a parallel time-domain method for the nonlinear Black-Scholes equation

A parallel time-domain algorithm is described for the time-dependent nonlinear Black-Scholes equation, which may be used to build financial analysis tools to help traders making rapid and systematic evaluation of buy/sell contracts. The algorithm is particularly suitable for problems that do not require fine details at each intermediate time step, and hence the method applies well for the present problem.

Coupled 3-D finite difference time domain and finite volume methods for solving microwave heating in porous media

Computational results for the microwave heating of a porous material are presented in this paper. Combined finite difference time domain and finite volume methods were used to solve equations that describe the electromagnetic field and heat and mass transfer in porous media. The coupling between the two schemes is through a change in dielectric properties which were assumed to be dependent both on temperature and moisture content. The model was able to reflect the evolution of temperature and moisture fields as the moisture in the porous medium evaporates. Moisture movement results from internal pressure gradients produced by the internal heating and phase change.

Time domain decomposition for European options in financial modelling

Finance is one of the fastest growing areas in modern applied mathematics with real world applications. The interest of this branch of applied mathematics is best described by an example involving shares. Shareholders of a company receive dividends which come from the profit made by the company. The proceeds of the company, once it is taken over or wound up, will also be distributed to shareholders. Therefore shares have a value that reflects the views of investors about the likely dividend payments and capital growth of the company. Obviously such value will be quantified by the share price on stock exchanges. Therefore financial modelling serves to understand the correlations between asset and movements of buy/sell in order to reduce risk. 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. There are other financial activities and it is not an intention of this paper to discuss all of these activities. The main concern of this paper is to propose a parallel algorithm for the numerical solution of an European option. This paper is organised as follows. First, a brief introduction is given of a simple mathematical model for European options and possible numerical schemes of solving such mathematical model. Second, Laplace transform is applied to the mathematical model which leads to a set of parametric equations where solutions of different parametric equations may be found concurrently. Numerical inverse Laplace transform is done by means of an inversion algorithm developed by Stehfast. The scalability of the algorithm in a distributed environment is demonstrated. Third, a performance analysis of the present algorithm is compared with a spatial domain decomposition developed particularly for time-dependent heat equation. Finally, a number of issues are discussed and future work suggested.

Parallel implementation of the recurrence method for computing the power-spectral density of thin avalanche photodiodes

A simulation program has been developed to calculate the power-spectral density of thin avalanche photodiodes, which are used in optical networks. The program extends the time-domain analysis of the dead-space multiplication model to compute the autocorrelation function of the APD impulse response. However, the computation requires a large amount of memory space and is very time consuming. We describe our experiences in parallelizing the code using both MPI and OpenMP. Several array partitioning schemes and scheduling policies are implemented and tested Our results show that the OpenMP code is scalable up to 64 processors on an SGI Origin 2000 machine and has small average errors.

A hybrid Laplace transform/finite difference boundary element method for diffusion problems

The solution process for diffusion problems usually involves the time development separately from the space solution. A finite difference algorithm in time requires a sequential time development in which all previous values must be determined prior to the current value. The Stehfest Laplace transform algorithm, however, allows time solutions without the knowledge of prior values. It is of interest to be able to develop a time-domain decomposition suitable for implementation in a parallel environment. One such possibility is to use the Laplace transform to develop coarse-grained solutions which act as the initial values for a set of fine-grained solutions. The independence of the Laplace transform solutions means that we do indeed have a time-domain decomposition process. Any suitable time solver can be used for the fine-grained solution. To illustrate the technique we shall use an Euler solver in time together with the dual reciprocity boundary element method for the space solution

Microwave modelling and validation in food thawing applications

Developing temperature fields in frozen cheese sauce undergoing microwave heating were simulated and measured. Two scenarios were investigated: a centric and offset placement on the rotating turntable. Numerical modeling was performed using a dedicated electromagnetic Finite Difference Time Domain (FDTD) module that was two-way coupled to the PHYSICA multiphysics package. Two meshes were used: the food material and container were meshed for the heat transfer and the microwave oven cavity and waveguide were meshed for the microwave field. Power densities obtained on the structured FDTD mesh were mapped onto the unstructured finite volume method mesh for each time-step/turntable position. On heating for each specified time-step the temperature field was mapped back onto the FDTD mesh and the electromagnetic properties were updated accordingly. Changes in thermal/electric properties associated with the phase transition were fully accounted for as well as heat losses from product to cavity. Detailed comparisons were carried out for the centric and offset placements, comparing experimental temperature profiles during microwave thawing with those obtained by numerical simulation.

Multiphysics simulation of microwave curing in micro-electronics packaging applications

Purpose – This paper aims to present an open-ended microwave curing system for microelectronics components and a numerical analysis framework for virtual testing and prototyping of the system, enabling design of physical prototypes to be optimized, expediting the development process. Design/methodology/approach – An open-ended microwave oven system able to enhance the cure process for thermosetting polymer materials utilised in microelectronics applications is presented. The system is designed to be mounted on a precision placement machine enabling curing of individual components on a circuit board. The design of the system allows the heating pattern and heating rate to be carefully controlled optimising cure rate and cure quality. A multi-physics analysis approach has been adopted to form a numerical model capable of capturing the complex coupling that exists between physical processes. Electromagnetic analysis has been performed using a Yee finite-difference time-domain scheme, while an unstructured finite volume method has been utilized to perform thermophysical analysis. The two solvers are coupled using a sampling-based cross-mapping algorithm. Findings – The numerical results obtained demonstrate that the numerical model is able to obtain solutions for distribution of temperature, rate of cure, degree of cure and thermally induced stresses within an idealised polymer load heated by the proposed microwave system. Research limitations/implications – The work is limited by the absence of experimentally derived material property data and comparative experimental results. However, the model demonstrates that the proposed microwave system would seem to be a feasible method of expediting the cure rate of polymer materials. Originality/value – The findings of this paper will help to provide an understanding of the behaviour of thermosetting polymer materials during microwave cure processing.

Open ended microwave oven for packaging

A novel open waveguide cavity resonator is presented for the combined variable frequency microwave curing of bumps, underfills and encapsulants, as well as the alignment of devices for fast flip-chip assembly, direct chip attach (DCA) or wafer-scale level packaging (WSLP). This technology achieves radio frequency (RF) curing of adhesives used in microelectronics, optoelectronics and medical devices with potential simultaneous micron-scale alignment accuracy and bonding of devices. In principle, the open oven cavity can be fitted directly onto a flip-chip or wafer scale bonder and, as such, will allow for the bonding of devices through localised heating thus reducing the risk to thermally sensitive devices. Variable frequency microwave (VFM) heating and curing of an idealised polymer load is numerically simulated using a multi-physics approach. Electro-magnetic fields within a novel open ended microwave oven developed for use in micro-electronics manufacturing applications are solved using a dedicated Yee scheme finite-difference time-domain (FDTD) solver. Temperature distribution, degree of cure and thermal stresses are analysed using an Unstructured Finite Volume method (UFVM) multi-physics package. The polymer load was meshed for thermophysical analysis, whilst the microwave cavity - encompassing the polymer load - was meshed for microwave irradiation. The two solution domains are linked using a cross mapping routine. The principle of heating using the evanescent fringing fields within the open-end of the cavity is demonstrated. A closed loop feedback routine is established allowing the temperature within a lossy sample to be controlled. A distribution of the temperature within the lossy sample is obtained by using a thermal imaging camera.

Portability, predictability and performance for parallel computing: BSP in practice

We report on practical experience using the Oxford BSP Library to parallelize a large electromagnetic code, the British Aerospace finite-difference time-domain code EMMA T:FD3D. The Oxford BS Library is one of the first realizations of the Bulk Synchronous Parallel computational model to be targeted at numerically intensive scientific (typically Fortran) computing. The BAe EMMA code is one of the first large-scale applications to be parallelized using this library, and it is an important demonstration of the cost effectiveness of the BSP approach. We illustrate how BSP cost-modelling techniques can be used to predict and optimize performance for single-source programs across different parallel platforms. We provide predicted and observed performance figures for an industrial-strength, single-source parallel code for a variety of real parallel architectures: shared memory multiprocessors, workstation clusters and massively parallel platforms.

Heat and mass transfer in two-phase porous materials under intensive microwave heating

Computational results for the intensive microwave heating of porous materials are presented in this work. A multi-phase porous media model has been developed to predict the heating mechanism. Combined finite difference time-domain and finite volume methods were used to solve equations that describe the electromagnetic field and heat and mass transfer in porous media. The coupling between the two schemes is through a change in dielectric properties which were assumed to be dependent both on temperature and moisture content. The model was able to reflect the evolution of both temperature and moisture fields as well as energy penetration as the moisture in the porous medium evaporates. Moisture movement results from internal pressure gradients produced by the internal heating and phase change.

A new computational approach to microwave heating of two-phase porous materials

Computational results for the microwave heating of a porous material are presented in this paper. Combined finite difference time domain and finite volume methods were used to solve equations that describe the electromagnetic field and heat and mass transfer in porous media. The coupling between the two schemes is through a change in dielectric properties which were assumed to be dependent on both temperature and moisture content. The model was able to reflect the evolution of both temperature and moisture fields as well as energy penetration as the moisture in the porous medium evaporates. Moisture movement results from internal pressure gradients produced by the internal heating and phase change.

Parallel bandwidth characteristics calculations for thin avalanche photodiodes on a SGI Origin 2000 supercomputer

An important factor for high-speed optical communication is the availability of ultrafast and low-noise photodetectors. Among the semiconductor photodetectors that are commonly used in today’s long-haul and metro-area fiber-optic systems, avalanche photodiodes (APDs) are often preferred over p-i-n photodiodes due to their internal gain, which significantly improves the receiver sensitivity and alleviates the need for optical pre-amplification. Unfortunately, the random nature of the very process of carrier impact ionization, which generates the gain, is inherently noisy and results in fluctuations not only in the gain but also in the time response. Recently, a theory characterizing the autocorrelation function of APDs has been developed by us which incorporates the dead-space effect, an effect that is very significant in thin, high-performance APDs. The research extends the time-domain analysis of the dead-space multiplication model to compute the autocorrelation function of the APD impulse response. However, the computation requires a large amount of memory space and is very time consuming. In this research, we describe our experiences in parallelizing the code in MPI and OpenMP using CAPTools. Several array partitioning schemes and scheduling policies are implemented and tested. Our results show that the code is scalable up to 64 processors on a SGI Origin 2000 machine and has small average errors.

Cooperative communications in ultra-wideband wireless body area networks: Channel modeling and system diversity analysis

In this paper, we explore the application of cooperative communications in ultra-wideband (UWB) wireless body area networks (BANs), where a group of on-body devices may collaborate together to communicate with other groups of on-body equipment. Firstly, time-domain UWB channel measurements are presented to characterize the body-centric multipath channel and to facilitate the diversity analysis in a cooperative BAN (CoBAN). We focus on the system deployment scenario when the human subject is in the sitting posture. Important channel parameters such as the pathloss, power variation, power delay profile (PDP), and effective received power (ERP) crosscorrelation are investigated and statistically analyzed. Provided with the model preliminaries, a detailed analysis on the diversity level in a CoBAN is provided. Specifically, an intuitive measure is proposed to quantify the diversity gains in a single-hop cooperative network, which is defined as the number of independent multipaths that can be averaged over to detect symbols. As this measure provides the largest number of redundant copies of transmitted information through the body-centric channel, it can be used as a benchmark to access the performance bound of various diversity-based cooperative schemes in futuristic body sensor systems.