Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

Finite-element discretization of 3D energy-transport equations for semiconductors

In this thesis a mathematical model was derived that describes the charge and energy transport in semiconductor devices like transistors. Moreover, numerical simulations of these physical processes are performed. In order to accomplish this, methods of theoretical physics, functional analysis, numerical mathematics and computer programming are applied. After an introduction to the status quo of semiconductor device simulation methods and a brief review of historical facts up to now, the attention is shifted to the construction of a model, which serves as the basis of the subsequent derivations in the thesis. Thereby the starting point is an important equation of the theory of dilute gases. From this equation the model equations are derived and specified by means of a series expansion method. This is done in a multi-stage derivation process, which is mainly taken from a scientific paper and which does not constitute the focus of this thesis. In the following phase we specify the mathematical setting and make precise the model assumptions. Thereby we make use of methods of functional analysis. Since the equations we deal with are coupled, we are concerned with a nonstandard problem. In contrary, the theory of scalar elliptic equations is established meanwhile. Subsequently, we are preoccupied with the numerical discretization of the equations. A special finite-element method is used for the discretization. This special approach has to be done in order to make the numerical results appropriate for practical application. By a series of transformations from the discrete model we derive a system of algebraic equations that are eligible for numerical evaluation. Using self-made computer programs we solve the equations to get approximate solutions. These programs are based on new and specialized iteration procedures that are developed and thoroughly tested within the frame of this research work. Due to their importance and their novel status, they are explained and demonstrated in detail. We compare these new iterations with a standard method that is complemented by a feature to fit in the current context. A further innovation is the computation of solutions in three-dimensional domains, which are still rare. Special attention is paid to applicability of the 3D simulation tools. The programs are designed to have justifiable working complexity. The simulation results of some models of contemporary semiconductor devices are shown and detailed comments on the results are given. Eventually, we make a prospect on future development and enhancements of the models and of the algorithms that we used.

Structure formation as studied by EPR spectroscopy: From simple solutions to nanoparticles

In this thesis, three nitroxide based ionic systems were used to investigate structure and dynamics of their respective solutions in mixed solvents by means of electron paramagnetic resonance (EPR) and electron nuclear double resonance (ENDOR) spectroscopy at X- and W-band (9.5 and 94.5 GHz, respectively). rnFirst, the solvation of the inorganic radical Fremy’s salt (K2ON(SO3)2) in isotope substituted binary solvent mixtures (methanol/water) was investigated by means of high-field (W-band) pulse ENDOR spectroscopy and molecular dynamics (MD) simulations. From the analysis of orientation-selective 1H and 2H ENDOR spectra the principal components of the hyperfine coupling (hfc) tensor for chemically different protons (alcoholic methyl vs. exchangeable protons) were obtained. The methyl protons of the organic solvent approach with a mean distance of 3.5 Å perpendicular to the approximate plane spanned by ON(S)2 of the probe molecule. Exchangeable protons were found to be distributed isotropically, approaching closest to Fremy’s salt from the hydrogen-bonded network around the sulfonate groups. The distribution of exchangeable and methyl protons as found in MD simulations is in full agreement with the ENDOR results. The solvation was found to be similar for the studied solvent ratios between 1:2.3 and 2.3:1 and dominated by an interplay of H-bond (electrostatic) interactions and steric considerations with the NO group merely involved into H-bonds.rnFurther, the conformation of spin labeled poly(diallyldimethylammonium chloride) (PDADMAC) solutions in aqueous alcohol (methanol, ethanol, n-propanol, ethylene glycol, glycerol) mixtures in dependence of divalent sodium sulfate was investigated with double electron-electron resonance (DEER) spectroscopy. The DEER data was analyzed using the worm-like chain model which suggests that in organic-water solvent mixtures the polymer backbones are preferentially solvated by the organic solvent. We found a less serve impact on conformational changes due to salt than usually predicted in polyelectrolyte theory which stresses the importance of a delicate balance of hydrophobic and electrostatic interactions, in particular in the presence of organic solvents.rnFinally, the structure and dynamics of miniemulsions and polymerdispersions prepared with anionic surfactants, that were partially replaced by a spin labeled fatty acid in presence and absence of a lanthanide beta-diketonate complex was characterized by CW EPR spectroscopy. Such miniemulsions form multilayers with the surfactant head group bound to the lanthanide ion. Beta-diketonates were formerly used as NMR shift reagents and nowadays find application as luminescent materials in OLEDs and LCDs and as contrast agent in MRT. The embedding of the complex into a polymer matrix results in an easy processable material. It was found that the structure formation takes place in miniemulsion and is preserved during polymerization. For surfactants with carboxyl-head group a higher order of the alkyl chains and less lateral diffusion is found than for sulfat-head groups, suggesting a more uniform and stronger coordination to the metal ion. The stability of these bilayers depends on the temperature and the used surfactant which should be considered for the used polymerization temperature if a maximum output of the structured regions is wished.