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.

Development of a domain decomposition method for computational aeroacoustics

Abstract not available

Rational Function Interpolation of Electromagnetic Transfer Functions of High-Speed Interconnect Systems from Discrete Time-Domain and Frequency-Domain Data

We present new methodologies to generate rational function approximations of broadband electromagnetic responses of linear and passive networks of high-speed interconnects, and to construct SPICE-compatible, equivalent circuit representations of the generated rational functions. These new methodologies are driven by the desire to improve the computational efficiency of the rational function fitting process, and to ensure enhanced accuracy of the generated rational function interpolation and its equivalent circuit representation. Toward this goal, we propose two new methodologies for rational function approximation of high-speed interconnect network responses. The first one relies on the use of both time-domain and frequency-domain data, obtained either through measurement or numerical simulation, to generate a rational function representation that extrapolates the input, early-time transient response data to late-time response while at the same time providing a means to both interpolate and extrapolate the used frequency-domain data. The aforementioned hybrid methodology can be considered as a generalization of the frequency-domain rational function fitting utilizing frequency-domain response data only, and the time-domain rational function fitting utilizing transient response data only. In this context, a guideline is proposed for estimating the order of the rational function approximation from transient data. The availability of such an estimate expedites the time-domain rational function fitting process. The second approach relies on the extraction of the delay associated with causal electromagnetic responses of interconnect systems to provide for a more stable rational function process utilizing a lower-order rational function interpolation. A distinctive feature of the proposed methodology is its utilization of scattering parameters. For both methodologies, the approach of fitting the electromagnetic network matrix one element at a time is applied. It is shown that, with regard to the computational cost of the rational function fitting process, such an element-by-element rational function fitting is more advantageous than full matrix fitting for systems with a large number of ports. Despite the disadvantage that different sets of poles are used in the rational function of different elements in the network matrix, such an approach provides for improved accuracy in the fitting of network matrices of systems characterized by both strongly coupled and weakly coupled ports. Finally, in order to provide a means for enforcing passivity in the adopted element-by-element rational function fitting approach, the methodology for passivity enforcement via quadratic programming is modified appropriately for this purpose and demonstrated in the context of element-by-element rational function fitting of the admittance matrix of an electromagnetic multiport.

Design, construction, and applications of a high-resolution terahertz time-domain spectrometer

This thesis reports on the design, construction, and initial applications of a high-resolution terahertz time-domain ASOPS spectrometer. The instrument employs asynchronous optical sampling (ASOPS) between two Ti:sapphire ultrafast lasers operating at a repetition rate of approximately 80 MHz, and we thus demonstrate a THz frequency resolution approaching the limit of that repetition rate. This is an order of magnitude improvement in resolution over typical THz time-domain spectrometers. The improved resolution is important for our primary effort of collecting THz spectra for far-infrared astronomy. We report on various spectroscopic applications including the THz rotational spectrum of water, where we achieve a mean frequency error, relative to established line centers, of 27.0 MHz. We also demonstrate application of the THz system to the long-duration observation of a coherent magnon mode in a anti-ferromagnetic yttrium iron oxide (YFeO3) crystal. Furthermore, we apply the all-optical virtual delay line of ASOPS to a transient thermoreflectance experiment for quickly measuring the thermal conductivity of semiconductors.

Exploration of Ground Penetrating Radar and Time Domain Reflectometry Methods for the Determination of Pavement Dielectric Constant

Traditionally, densities of newly built roadways are checked by direct sampling (cores) or by nuclear density gauge measurements. For roadway engineers, density of asphalt pavement surfaces is essential to determine pavement quality. Unfortunately, field measurements of density by direct sampling or by nuclear measurement are slow processes. Therefore, I have explored the use of rapidly-deployed ground penetrating radar (GPR) as an alternative means of determining pavement quality. The dielectric constant of pavement surface may be a substructure parameter that correlates with pavement density, and can be used as a proxy when density of asphalt is not known from nuclear or destructive methods. The dielectric constant of the asphalt can be determined using ground penetrating radar (GPR). In order to use GPR for evaluation of road surface quality, the relationship between dielectric constants of asphalt and their densities must be established. Field measurements of GPR were taken at four highway sites in Houghton and Keweenaw Counties, Michigan, where density values were also obtained using nuclear methods in the field. Laboratory studies involved asphalt samples taken from the field sites and samples created in the laboratory. These were tested in various ways, including, density, thickness, and time domain reflectometry (TDR). In the field, GPR data was acquired using a 1000 MHz air-launched unit and a ground-coupled unit at 200 and 500 MHz. The equipment used was owned and operated by the Michigan Department of Transportation (MDOT) and available for this study for a total of four days during summer 2005 and spring 2006. The analysis of the reflected waveforms included “routine” processing for velocity using commercial software and direct evaluation of reflection coefficients to determine a dielectric constant. The dielectric constants computed from velocities do not agree well with those obtained from reflection coefficients. Perhaps due to the limited range of asphalt types studied, no correlation between density and dielectric constant was evident. Laboratory measurements were taken with samples removed from the field and samples created for this study. Samples from the field were studied using TDR, in order to obtain dielectric constant directly, and these correlated well with the estimates made from reflection coefficients. Samples created in the laboratory were measured using 1000 MHz air-launched GPR, and 400 MHz ground-coupled GPR, each under both wet and dry conditions. On the basis of these observations, I conclude that dielectric constant of asphalt can be reliably measured from waveform amplitude analysis of GJPR data, based on the consistent agreement with that obtained in the laboratory using TDR. Because of the uniformity of asphalts studied here, any correlation between dielectric constant and density is not yet apparent.

Dynamic Imaging in Electrical Impedance Tomography of the Human Chest With Online Transition Matrix Identification

One of the electrical impedance tomography objectives is to estimate the electrical resistivity distribution in a domain based only on electrical potential measurements at its boundary generated by an imposed electrical current distribution into the boundary. One of the methods used in dynamic estimation is the Kalman filter. In biomedical applications, the random walk model is frequently used as evolution model and, under this conditions, poor tracking ability of the extended Kalman filter (EKF) is achieved. An analytically developed evolution model is not feasible at this moment. The paper investigates the identification of the evolution model in parallel to the EKF and updating the evolution model with certain periodicity. The evolution model transition matrix is identified using the history of the estimated resistivity distribution obtained by a sensitivity matrix based algorithm and a Newton-Raphson algorithm. To numerically identify the linear evolution model, the Ibrahim time-domain method is used. The investigation is performed by numerical simulations of a domain with time-varying resistivity and by experimental data collected from the boundary of a human chest during normal breathing. The obtained dynamic resistivity values lie within the expected values for the tissues of a human chest. The EKF results suggest that the tracking ability is significantly improved with this approach.

On the diurnal soil water content dynamics during evaporation using dielectric methods

The water content dynamics in the upper soil surface during evaporation is a key element in land-atmosphere exchanges. Previous experimental studies have suggested that the soil water content increases at the depth of 5 to 15 cm below the soil surface during evapo- ration, while the layer in the immediate vicinity of the soil surface is drying. In this study, the dynamics of water content profiles exposed to solar radiative forcing was monitored at a high temporal resolution using dielectric methods both in the presence and absence of evaporation. A 4-d comparison of reported moisture content in coarse sand in covered and uncovered buckets using a commercial dielectric-based probe (70 MHz ECH2O-5TE, Decagon Devices, Pullman, WA) and the standard 1-GHz time domain reflectometry method. Both sensors reported a positive correlation between temperature and water content in the 5- to 10-cm depth, most pronounced in the morning during heating and in the afternoon during cooling. Such positive correlation might have a physical origin induced by evaporation at the surface and redistribution due to liquid water fluxes resulting from the temperature- gradient dynamics within the sand profile at those depths. Our experimental data suggest that the combined effect of surface evaporation and temperature-gradient dynamics should be considered to analyze experimental soil water profiles. Additional effects related to the frequency of operation and to protocols for temperature compensation of the dielectric sensors may also affect the probes' response during large temperature changes.

L-strip-fed Wideband Rectangular Dielectric Resonator Antenna

In this paper, the advantages of using L-shaped microviij) feed to e.tcite a rectangular dielectric resonator cuuenna (DRA) by elemanagnetic coupling are presented. This feeding technique enhances the hardsvidth and gain of the antenna without affecting its size. The experimental re srdts are validated using Fidelity software based on the finitedifference tine-domain (FDTD) method

Comparação do desempenho dos métodos eletroresistivo e transiente eletromagnético num caso específico de prospecção de águas subterrâneas

O método eletroresistivo é um dos métodos de prospecção geofísica mais empregados na exploração de água subterrânea. Todavia, ele apresenta a desvantagem de ser de difícil uso em locais habitados. De fato, para realizar sondagens elétricas é necessário, muitas vezes, expandir cabos elétricos até um quilômetro ou mais, dependendo da profundidade que se deseja investigar, o que nem sempre é possível em áreas urbanas. O método transiente eletromagnético no domínio do tempo, é usado também para a exploração de água subterrânea e não apresenta as mesmas desvantagens, porque este método indutivo emprega uma bobina quadrada cujo tamanho não é um impedimento para ser utilizado em locais habitados. Por outro lado, o método eletromagnético é mais sensível a ruídos devido a instalações elétricas. Para comparar as vantagens e desvantagens dos dois métodos em áreas urbanas foram utilizados programas para a modelagem sintética das sondagens elétricas verticais e das sondagens transientes eletromagnéticas, ambos desenvolvidos por RIJO (1994ab, 1996). Para tal propósito foram considerados dois casos: no primeiro, foram definidos quatro tipos de modelos (H, K, A e Q) com base nos horizontes geoelétricos em Palestina do Pará. No segundo caso, se considerou os modelos obtidos pelas 21 sondagens elétricas verticais tipo Schlumberger da mesma área. Com base nestes modelos, se utilizou um programa de transientes electromagnéticas para gerar as curvas sintéticas das resistividades aparentes. Como resultado, os valores de resistividades aparentes dados em função do espaçamento de eletrodos (método eletroresistivo) e em função do tempo (método eletromagnético), permitiu obter nos dois casos mencionados uma relação linear em escala bilogaritmica entre o espaçamento (metros) e o tempo (milisegundos). Deste modo é possível inferir a profundidade de investigação desejada em áreas urbanas usando o método eletromagnético, quando a aplicação do método eletroresistivo ficar limitada pela acessibilidade.

Avaliação do consumo de água no sistema de irrigação por inundação com distribuição de múltiplas entradas na cultura de arroz (Oryza sativa L.)

Pós-graduação em Agronomia (Irrigação e Drenagem) - FCA

Finite element modelling of temperature gradient driven rock alteration and mineralization in porous rock masses

We present finite element simulations of temperature gradient driven rock alteration and mineralization in fluid saturated porous rock masses. In particular, we explore the significance of production/annihilation terms in the mass balance equations and the dependence of the spatial patterns of rock alteration upon the ratio of the roll over time of large scale convection cells to the relaxation time of the chemical reactions. Special concepts such as the gradient reaction criterion or rock alteration index (RAI) are discussed in light of the present, more general theory. In order to validate the finite element simulation, we derive an analytical solution for the rock alteration index of a benchmark problem on a two-dimensional rectangular domain. Since the geometry and boundary conditions of the benchmark problem can be easily and exactly modelled, the analytical solution is also useful for validating other numerical methods, such as the finite difference method and the boundary element method, when they are used to dear with this kind of problem. Finally, the potential of the theory is illustrated by means of finite element studies related to coupled flow problems in materially homogeneous and inhomogeneous porous rock masses. (C) 1998 Elsevier Science S.A. All rights reserved.

Combining a Similar Coefficient Identification Algorithm with the Boundary Element Method

The boundary element method (BEM) has been applied successfully to many engineering problems during the last decades. Compared with domain type methods like the finite element method (FEM) or the finite difference method (FDM) the BEM can handle problems where the medium extends to infinity much easier than domain type methods as there is no need to develop special boundary conditions (quiet or absorbing boundaries) or infinite elements at the boundaries introduced to limit the domain studied. The determination of the dynamic stiffness of arbitrarily shaped footings is just one of these fields where the BEM has been the method of choice, especially in the 1980s. With the continuous development of computer technology and the available hardware equipment the size of the problems under study grew and, as the flop count for solving the resulting linear system of equations grows with the third power of the number of equations, there was a need for the development of iterative methods with better performance. In [1] the GMRES algorithm was presented which is now widely used for implementations of the collocation BEM. While the FEM results in sparsely populated coefficient matrices, the BEM leads, in general, to fully or densely populated ones, depending on the number of subregions, posing a serious memory problem even for todays computers. If the geometry of the problem permits the surface of the domain to be meshed with equally shaped elements a lot of the resulting coefficients will be calculated and stored repeatedly. The present paper shows how these unnecessary operations can be avoided reducing the calculation time as well as the storage requirement. To this end a similar coefficient identification algorithm (SCIA), has been developed and implemented in a program written in Fortran 90. The vertical dynamic stiffness of a single pile in layered soil has been chosen to test the performance of the implementation. The results obtained with the 3-d model may be compared with those obtained with an axisymmetric formulation which are considered to be the reference values as the mesh quality is much better. The entire 3D model comprises more than 35000 dofs being a soil region with 21168 dofs the biggest single region. Note that the memory necessary to store all coefficients of this single region is about 6.8 GB, an amount which is usually not available with personal computers. In the problem under study the interface zone between the two adjacent soil regions as well as the surface of the top layer may be meshed with equally sized elements. In this case the application of the SCIA leads to an important reduction in memory requirements. The maximum memory used during the calculation has been reduced to 1.2 GB. The application of the SCIA thus permits problems to be solved on personal computers which otherwise would require much more powerful hardware.

An Eulerian Immersed Boundary Method for flow simulations over stationary and moving rigid bodies

The fluid flow over bodies with complex geometry has been the subject of research of many scientists and widely explored experimentally and numerically. The present study proposes an Eulerian Immersed Boundary Method for flows simulations over stationary or moving rigid bodies. The proposed method allows the use of Cartesians Meshes. Here, two-dimensional simulations of fluid flow over stationary and oscillating circular cylinders were used for verification and validation. Four different cases were explored: the flow over a stationary cylinder, the flow over a cylinder oscillating in the flow direction, the flow over a cylinder oscillating in the normal flow direction, and a cylinder with angular oscillation. The time integration was carried out by a classical 4th order Runge-Kutta scheme, with a time step of the same order of distance between two consecutive points in x direction. High-order compact finite difference schemes were used to calculate spatial derivatives. The drag and lift coefficients, the lock-in phenomenon and vorticity contour plots were used for the verification and validation of the proposed method. The extension of the current method allowing the study of a body with different geometry and three-dimensional simulations is straightforward. The results obtained show a good agreement with both numerical and experimental results, encouraging the use of the proposed method.

Solution of a heterogeneous modeling of a horizontal-flow anaerobic immobilized biomass (HAIB) reactor by the sequencing method

A modeling study was completed to develop a methodology that combines the sequencing and finite difference methods for the simulation of a heterogeneous model of a tubular reactor applied in the treatment of wastewater. The system included a liquid phase (convection diffusion transport) and a solid phase (diffusion reaction) that was obtained by completing a mass balance in the reactor and in the particle, respectively. The model was solved using a pilot-scale horizontal-flow anaerobic immobilized biomass (HAIB) reactor to treat domestic sewage, with the concentration results compared with the experimental data. A comparison of the behavior of the liquid phase concentration profile and the experimental results indicated that both the numerical methods offer a good description of the behavior of the concentration along the reactor. The advantage of the sequencing method over the finite difference method is that it is easier to apply and requires less computational time to model the dynamic simulation of outlet response of HAIB.