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.

Magnetization dynamics in spin valves

Key technology applications like magnetoresistive sensors or the Magnetic Random Access Memory (MRAM) require reproducible magnetic switching mechanisms. i.e. predefined remanent states. At the same time advanced magnetic recording schemes push the magnetic switching time into the gyromagnetic regime. According to the Landau-Lifschitz-Gilbert formalism, relevant questions herein are associated with magnetic excitations (eigenmodes) and damping processes in confined magnetic thin film structures.rnObjects of study in this thesis are antiparallel pinned synthetic spin valves as they are extensively used as read heads in today’s magnetic storage devices. In such devices a ferromagnetic layer of high coercivity is stabilized via an exchange bias field by an antiferromagnet. A second hard magnetic layer, separated by a non-magnetic spacer of defined thickness, aligns antiparallel to the first. The orientation of the magnetization vector in the third ferromagnetic NiFe layer of low coercivity - the freelayer - is then sensed by the Giant MagnetoResistance (GMR) effect. This thesis reports results of element specific Time Resolved Photo-Emission Electron Microscopy (TR-PEEM) to image the magnetization dynamics of the free layer alone via X-ray Circular Dichroism (XMCD) at the Ni-L3 X-ray absorption edge.rnThe ferromagnetic systems, i.e. micron-sized spin valve stacks of typically deltaR/R = 15% and Permalloy single layers, were deposited onto the pulse leading centre stripe of coplanar wave guides, built in thin film wafer technology. The ferromagnetic platelets have been applied with varying geometry (rectangles, ellipses and squares), lateral dimension (in the range of several micrometers) and orientation to the magnetic field pulse to study the magnetization behaviour in dependence of these magnitudes. The observation of magnetic switching processes in the gigahertz range became only possible due to the joined effort of producing ultra-short X-ray pulses at the synchrotron source BESSY II (operated in the so-called low-alpha mode) and optimizing the wave guide design of the samples for high frequency electromagnetic excitation (FWHM typically several 100 ps). Space and time resolution of the experiment could be reduced to d = 100 nm and deltat = 15 ps, respectively.rnIn conclusion, it could be shown that the magnetization dynamics of the free layer of a synthetic GMR spin valve stack deviates significantly from a simple phase coherent rotation. In fact, the dynamic response of the free layer is a superposition of an averaged critically damped precessional motion and localized higher order spin wave modes. In a square platelet a standing spin wave with a period of 600 ps (1.7 GHz) was observed. At a first glance, the damping coefficient was found to be independent of the shape of the spin-valve element, thus favouring the model of homogeneous rotation and damping. Only by building the difference in the magnetic rotation between the central region and the outer rim of the platelet, the spin wave becomes visible. As they provide an additional efficient channel for energy dissipation, spin waves contribute to a higher effective damping coefficient (alpha = 0.01). Damping and magnetic switching behaviour in spin valves thus depend on the geometry of the element. Micromagnetic simulations reproduce the observed higher-order spin wave mode.rnBesides the short-run behaviour of the magnetization of spin valves Permalloy single layers with thicknesses ranging from 3 to 40 nm have been studied. The phase velocity of a spin wave in a 3 nm thick ellipse could be determined to 8.100 m/s. In a rectangular structure exhibiting a Landau-Lifschitz like domain pattern, the speed of the field pulse induced displacement of a 90°-Néel wall has been determined to 15.000 m/s.rn

Advanced schemes for surface plasmon resonance and plasmon-enhanced fluorescence biosensors

Advanced optical biosensor platforms exploiting long range surface plasmons (LRSPs) and responsive N-isopropylacrylamide (NIPAAm) hydrogel binding matrix for the detection of protein and bacterial pathogen analytes were carried out. LRSPs are optical waves that originate from coupling of surface plasmons on the opposite sites of a thin metallic film embedded between two dielectrics with similar refractive indices. LRSPs exhibit orders of magnitude lower damping and more extended profile of field compared to regular surface plasmons (SPs). Their excitation is accompanied with narrow resonance and provides stronger enhancement of electromagnetic field intensity that can advance the sensitivity of surface plasmon resonance (SPR) and surface plasmon-enhanced fluorescence spectroscopy (SPFS) biosensors. Firstly, we investigated thin gold layers deposited on fluoropolymer surface for the excitation of LRSPs. The study indicates that the morphological, optical and electrical properties of gold film can be changed by the surface energy of fluoropolymer and affect the performance of a SPFS biosensor. A photo-crosslinkable NIPAAm hydrogel was grafted to the sensor surface in order to serve as a binding matrix. It was modified with bio-recognition elements (BREs) via amine coupling chemistry and offered the advantage of large binding capacity, stimuli responsive properties and good biocompatibility. Through experimental observations supported by numerical simulations describing diffusion mass transfer and affinity binding of target molecules in the hydrogel, the hydrogel binding matrix thickness, concentration of BREs and the profile of the probing evanescent field was optimized. Hydrogel with a up to micrometer thickness was shown to support additional hydrogel optical waveguide (HOW) mode which was employed for probing affinity binding events in the gel by means of refractometric and fluorescence measurements. These schemes allow to reach limits of detection (LODs) at picomolar and femtomolar levels, respectively. Besides hydrogel based experiments for detection of molecular analytes, long range surface plasmon-enhanced fluorescence spectroscopy (LRSP-FS) was employed for detection of bacterial pathogens. The influence of capture efficiency of bacteria on surfaces and the profile of the probing field on sensor response were investigated. The potential of LRSP-FS with extended evanescent field is demonstrated for detection of pathogenic E. coli O157:H7 on sandwich immunoassays . LOD as low as 6 cfu mL-1 with a detection time of 40 minutes was achieved.rn

Aerosol-cloud interactions studied with a chemistry-climate model

This study aims at a comprehensive understanding of the effects of aerosol-cloud interactions and their effects on cloud properties and climate using the chemistry-climate model EMAC. In this study, CCN activation is regarded as the dominant driver in aerosol-cloud feedback loops in warm clouds. The CCN activation is calculated prognostically using two different cloud droplet nucleation parameterizations, the STN and HYB CDN schemes. Both CDN schemes account for size and chemistry effects on the droplet formation based on the same aerosol properties. The calculation of the solute effect (hygroscopicity) is the main difference between the CDN schemes. The kappa-method is for the first time incorporated into Abdul-Razzak and Ghan activation scheme (ARG) to calculate hygroscopicity and critical supersaturation of aerosols (HYB), and the performance of the modied scheme is compared with the osmotic coefficient model (STN), which is the standard in the ARG scheme. Reference simulations (REF) with the prescribed cloud droplet number concentration have also been carried out in order to understand the effects of aerosol-cloud feedbacks. In addition, since the calculated cloud coverage is an important determinant of cloud radiative effects and is influencing the nucleation process two cloud cover parameterizations (i.e., a relative humidity threshold; RH-CLC and a statistical cloud cover scheme; ST-CLC) have been examined together with the CDN schemes, and their effects on the simulated cloud properties and relevant climate parameters have been investigated. The distinct cloud droplet spectra show strong sensitivity to aerosol composition effects on cloud droplet formation in all particle sizes, especially for the Aitken mode. As Aitken particles are the major component of the total aerosol number concentration and CCN, and are most sensitive to aerosol chemical composition effect (solute effect) on droplet formation, the activation of Aitken particles strongly contribute to total cloud droplet formation and thereby providing different cloud droplet spectra. These different spectra influence cloud structure, cloud properties, and climate, and show regionally varying sensitivity to meteorological and geographical condition as well as the spatiotemporal aerosol properties (i.e., particle size, number, and composition). The changes responding to different CDN schemes are more pronounced at lower altitudes than higher altitudes. Among regions, the subarctic regions show the strongest changes, as the lower surface temperature amplifies the effects of the activated aerosols; in contrast, the Sahara desert, where is an extremely dry area, is less influenced by changes in CCN number concentration. The aerosol-cloud coupling effects have been examined by comparing the prognostic CDN simulations (STN, HYB) with the reference simulation (REF). Most pronounced effects are found in the cloud droplet number concentration, cloud water distribution, and cloud radiative effect. The aerosol-cloud coupling generally increases cloud droplet number concentration; this decreases the efficiency of the formation of weak stratiform precipitation, and increases the cloud water loading. These large-scale changes lead to larger cloud cover and longer cloud lifetime, and contribute to high optical thickness and strong cloud cooling effects. This cools the Earth's surface, increases atmospheric stability, and reduces convective activity. These changes corresponding to aerosol-cloud feedbacks are also differently simulated depending on the cloud cover scheme. The ST-CLC scheme is more sensitive to aerosol-cloud coupling, since this scheme uses a tighter linkage of local dynamics and cloud water distributions in cloud formation process than the RH-CLC scheme. For the calculated total cloud cover, the RH-CLC scheme simulates relatively similar pattern to observations than the ST-CLC scheme does, but the overall properties (e.g., total cloud cover, cloud water content) in the RH simulations are overestimated, particularly over ocean. This is mainly originated from the difference in simulated skewness in each scheme: the RH simulations calculate negatively skewed distributions of cloud cover and relevant cloud water, which is similar to that of the observations, while the ST simulations yield positively skewed distributions resulting in lower mean values than the RH-CLC scheme does. The underestimation of total cloud cover over ocean, particularly over the intertropical convergence zone (ITCZ) relates to systematic defficiency of the prognostic calculation of skewness in the current set-ups of the ST-CLC scheme.rnOverall, the current EMAC model set-ups perform better over continents for all combinations of the cloud droplet nucleation and cloud cover schemes. To consider aerosol-cloud feedbacks, the HYB scheme is a better method for predicting cloud and climate parameters for both cloud cover schemes than the STN scheme. The RH-CLC scheme offers a better simulation of total cloud cover and the relevant parameters with the HYB scheme and single-moment microphysics (REF) than the ST-CLC does, but is not very sensitive to aerosol-cloud interactions.

Numerical simulation of some viscoelastic fluids

Numerical simulation of the Oldroyd-B type viscoelastic fluids is a very challenging problem. rnThe well-known High Weissenberg Number Problem" has haunted the mathematicians, computer scientists, and rnengineers for more than 40 years. rnWhen the Weissenberg number, which represents the ratio of elasticity to viscosity, rnexceeds some limits, simulations done by standard methods break down exponentially fast in time. rnHowever, some approaches, such as the logarithm transformation technique can significantly improve rnthe limits of the Weissenberg number until which the simulations stay stable. rnrnWe should point out that the global existence of weak solutions for the Oldroyd-B model is still open. rnLet us note that in the evolution equation of the elastic stress tensor the terms describing diffusive rneffects are typically neglected in the modelling due to their smallness. However, when keeping rnthese diffusive terms in the constitutive law the global existence of weak solutions in two-space dimension rncan been shown. rnrnThis main part of the thesis is devoted to the stability study of the Oldroyd-B viscoelastic model. rnFirstly, we show that the free energy of the diffusive Oldroyd-B model as well as its rnlogarithm transformation are dissipative in time. rnFurther, we have developed free energy dissipative schemes based on the characteristic finite element and finite difference framework. rnIn addition, the global linear stability analysis of the diffusive Oldroyd-B model has also be discussed. rnThe next part of the thesis deals with the error estimates of the combined finite element rnand finite volume discretization of a special Oldroyd-B model which covers the limiting rncase of Weissenberg number going to infinity. Theoretical results are confirmed by a series of numerical rnexperiments, which are presented in the thesis, too.