Dynamics of an axisymmetric electromagnetic 'crucible' melting

Different industrial induction melting processes involve free surface and melt-solid interface of the liquid metal subject to dynamic change during the technological operation. Simulation of the liquid metal dynamics requires to solve the non-linear, coupled hydrodynamic-electromagnetic-heat transfer problem accounting for the time development of the liquid metal free boundary with a suitable turbulent viscosity model. The present paper describes a numerical solution method applicable for various axisymmetric induction melting processes, such as, crucible with free top surface, levitation, semi-levitation, cold crucible and similar melting techniques. The presented results in the cases of semi-levitation and crucible with free top surface meltings demonstrate oscillating transient behaviour of the free metal surface indicating the presence of gravity-inertial-electromagnetic waves which are coupled to the internal fluid flow generated by both the rotational and potential parts of the electromagnetic force.

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian 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. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.