Finite volume methods for multiphysics problems

Abstract not available

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.

Airframe sound simulation based on staggered-grid higher order schemes and finite volume CFD methods

Abstract not available

Dynamic fluid-structure interactions using finite volume unstructured mesh procedures

A three-dimensional finite volume, unstructured mesh (FV-UM) method for dynamic fluid–structure interaction (DFSI) is described. Fluid structure interaction, as applied to flexible structures, has wide application in diverse areas such as flutter in aircraft, wind response of buildings, flows in elastic pipes and blood vessels. It involves the coupling of fluid flow and structural mechanics, two fields that are conventionally modelled using two dissimilar methods, thus a single comprehensive computational model of both phenomena is a considerable challenge. Until recently work in this area focused on one phenomenon and represented the behaviour of the other more simply. More recently, strategies for solving the full coupling between the fluid and solid mechanics behaviour have been developed. A key contribution has been made by Farhat et al. [Int. J. Numer. Meth. Fluids 21 (1995) 807] employing FV-UM methods for solving the Euler flow equations and a conventional finite element method for the elastic solid mechanics and the spring based mesh procedure of Batina [AIAA paper 0115, 1989] for mesh movement. In this paper, we describe an approach which broadly exploits the three field strategy described by Farhat for fluid flow, structural dynamics and mesh movement but, in the context of DFSI, contains a number of novel features: a single mesh covering the entire domain, a Navier–Stokes flow, a single FV-UM discretisation approach for both the flow and solid mechanics procedures, an implicit predictor–corrector version of the Newmark algorithm, a single code embedding the whole strategy.

A three dimensional finite volume approach to the thermo-mechanical modelling of the shape casting of metals

This paper presents a three dimensional, thermos-mechanical modelling approach to the cooling and solidification phases associated with the shape casting of metals ei. Die, sand and investment casting. Novel vortex-based Finite Volume (FV) methods are described and employed with regard to the small strain, non-linear Computational Solid Mechanics (CSM) capabilities required to model shape casting. The CSM capabilities include the non-linear material phenomena of creep and thermo-elasto-visco-plasticity at high temperatures and thermo-elasto-visco-plasticity at low temperatures and also multi body deformable contact with which can occur between the metal casting of the mould. The vortex-based FV methods, which can be readily applied to unstructured meshes, are included within a comprehensive FV modelling framework, PHYSICA. The additional heat transfer, by conduction and convection, filling, porosity and solidification algorithms existing within PHYSICA for the complete modelling of all shape casting process employ cell-centred FV methods. The termo-mechanical coupling is performed in a staggered incremental fashion, which addresses the possible gap formation between the component and the mould, and is ultimately validated against a variety of shape casting benchmarks.

Computational solid mechanics using a vertex-based finite volume method

A number of research groups are now developing and using finite volume (FV) methods for computational solid mechanics (CSM). These methods are proving to be equivalent and in some cases superior to their finite element (FE) counterparts. In this paper we will describe a vertex-based FV method with arbitrarily structured meshes, for modelling the elasto-plastic deformation of solid materials undergoing small strains in complex geometries. Comparisons with rational FE methods will be given.

A semi-Lagrangian finite volume method for solving viscoelastic flow problems

Recently, there has been considerable interest in solving viscoelastic problems in 3D particularly with the improvement in modern computing power. In many applications the emphasis has been on economical algorithms which can cope with the extra complexity that the third dimension brings. Storage and computer time are of the essence. The advantage of the finite volume formulation is that a large amount of memory space is not required. Iterative methods rather than direct methods can be used to solve the resulting linear systems efficiently.

Load balancing for aspect ratio in adaptive finite element simulations

In parallel adaptive finite element simulations the work load on the individual processors may change frequently. To (re)distribute the load evenly over the processors a load balancing heuristic is needed. Common strategies try to minimise subdomain dependencies by optimising the cutsize of the partitioning. However for certain solvers cutsize only plays a minor role, and their convergence is highly dependent on the subdomain shapes. Degenerated subdomain shapes cause them to need significantly more iterations to converge. In this work a new parallel load balancing strategy is introduced which directly addresses the problem of generating and conserving reasonably good subdomain shapes in a dynamically changing Finite Element Simulation. Geometric data is used to formulate several cost functions to rate elements in terms of their suitability to be migrated. The well known diffusive method which calculates the necessary load flow is enhanced by weighting the subdomain edges with the help of these cost functions. The proposed methods have been tested and results are presented.