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.

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.

Coarse-grid higher order finite-difference time-domain algorithm with low dispersion errors

Higher order (2,4) FDTD schemes used for numerical solutions of Maxwell`s equations are focused on diminishing the truncation errors caused by the Taylor series expansion of the spatial derivatives. These schemes use a larger computational stencil, which generally makes use of the two constant coefficients, C-1 and C-2, for the four-point central-difference operators. In this paper we propose a novel way to diminish these truncation errors, in order to obtain more accurate numerical solutions of Maxwell`s equations. For such purpose, we present a method to individually optimize the pair of coefficients, C-1 and C-2, based on any desired grid size resolution and size of time step. Particularly, we are interested in using coarser grid discretizations to be able to simulate electrically large domains. The results of our optimization algorithm show a significant reduction in dispersion error and numerical anisotropy for all modeled grid size resolutions. Numerical simulations of free-space propagation verifies the very promising theoretical results. The model is also shown to perform well in more complex, realistic scenarios.

Finite-difference time-domain-based studies of MRI pulsed field gradient-induced eddy currents inside the human body

In modern magnetic resonance imaging (MRI), patients are exposed to strong, rapidly switching magnetic gradient fields that, in extreme cases, may be able to elicit nerve stimulation. This paper presents theoretical investigations into the spatial distribution of induced current inside human tissues caused by pulsed z-gradient fields. A variety of gradient waveforms have been studied. The simulations are based on a new, high-definition, finite-difference time-domain method and a realistic inhomogeneous 10-mm resolution human body model with appropriate tissue parameters. it was found that the eddy current densities are affected not only by the pulse sequences but by many parameters such as the position of the body inside the gradient set, the local biological material properties and the geometry of the body. The discussion contains a comparison of these results with previous results found in the literature. This study and the new methods presented herein will help to further investigate the biological effects caused by the switched gradient fields in a MRI scan. (C) 2002 Wiley Periodicals, Inc.

Comparison of Fourier-Domain and Time-Domain Optical Coherence Tomography in the Detection of Band Atrophy of the Optic Nerve

PURPOSE: To compare the ability of Fourier-domain (FD) optical coherence tomography (3D OCT-1000; Top, con, Tokyo, Japan) and time domain (TD) OCT (Stratus; Carl Zeiss Meditec Inc, Dublin, California, USA) to detect axonal loss in eyes with band atrophy (BA) of the optic nerve. DESIGN: Cross-sectional study. METHODS: Thirty-six eyes from 36 patients with BA and temporal visual field (VF) defect from chiasmal compression and 36 normal eyes were studied. Subjects were submitted to standard automated perimetry and macular and retinal nerve fiber layer (RNFL) measurements were taken using 3D OCT-1000 and Stratus OCT. Receiver operating characteristic (ROC) curves were calculated for each parameter. Spearman correlation coefficients were obtained to evaluate the relationship between RNFL and macular thickness parameters and severity of VF loss. Measurements from the two devices were compared. RESULTS: Regardless of OCT device, all RNFL and macular thickness parameters were significantly lower in eyes with BA compared with normal eyes, but no statistically significant difference was found with regard to the area under the ROC curve. Structure-function relationships were also similar for the two devices. In both groups, RNFL and macular thickness measurements were generally and in some cases significantly smaller with 3D OCT-1000 than with Stratus OCT. CONCLUSIONS: The introduction of FD technology did not lead to better discrimination ability for detecting BA of the optic nerve compared with TD technology when using the software currently provided by the manufacturer. 3D OCT-1000 FD OCT RNFL and macular measurements were generally smaller than TD Stratus OCT measurements. Investigators should be aware of this fact when comparing measurements obtained with these two devices. (Am J Oplathalmol 2009;147: 56-63. (c) 2009 by Elsevier Inc. All rights reserved.)

A high definition, finite difference time domain method

A high definition, finite difference time domain (HD-FDTD) method is presented in this paper. This new method allows the FDTD method to be efficiently applied over a very large frequency range including low frequencies, which are problematic for conventional FDTD methods. In the method, no alterations to the properties of either the source or the transmission media are required. The method is essentially frequency independent and has been verified against analytical solutions within the frequency range 50 Hz-1 GHz. As an example of the lower frequency range, the method has been applied to the problem of induced eddy currents in the human body resulting from the pulsed magnetic field gradients of an MRI system. The new method only requires approximately 0.3% of the source period to obtain an accurate solution. (C) 2003 Elsevier Science Inc. All rights reserved.

Review of time-domain polarization measurements for assessing insulation condition in aged transformers

This paper presents a review of the time-domain polarization measurement techniques for the condition assessment of aged transformer insulation. The polarization process is first described with appropriate dielectric response theories and then commonly used polarization methods are described with special emphasis on the most widely used return voltage(rv) measurement. Most recent emphasis has been directed to techniques of determining moisture content of insulation indirectly by measuring rv parameters. The major difficulty still lies with the accurate interpretation of return voltage results. This paper investigates different thoughts regarding the interpretation of rv results for different moisture and ageing conditions. Other time domain polarization measurement techniques and their results are also presented in this paper.

Time domain design of fractional differintegrators using least-squares

In this paper we propose the use of the least-squares based methods for obtaining digital rational approximations (IIR filters) to fractional-order integrators and differentiators of type sα, α∈R. Adoption of the Padé, Prony and Shanks techniques is suggested. These techniques are usually applied in the signal modeling of deterministic signals. These methods yield suboptimal solutions to the problem which only requires finding the solution of a set of linear equations. The results reveal that the least-squares approach gives similar or superior approximations in comparison with other widely used methods. Their effectiveness is illustrated, both in the time and frequency domains, as well in the fractional differintegration of some standard time domain functions.

Time-domain optimization of amplifiers based on distributed genetic algorithms

Thesis presented in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the subject of Electrical and Computer Engineering

What is what?: A simple time-domain test of long-memory vs. structural breaks

This paper proposes a new time-domain test of a process being I(d), 0 < d = 1, under the null, against the alternative of being I(0) with deterministic components subject to structural breaks at known or unknown dates, with the goal of disentangling the existing identification issue between long-memory and structural breaks. Denoting by AB(t) the different types of structural breaks in the deterministic components of a time series considered by Perron (1989), the test statistic proposed here is based on the t-ratio (or the infimum of a sequence of t-ratios) of the estimated coefficient on yt-1 in an OLS regression of ?dyt on a simple transformation of the above-mentioned deterministic components and yt-1, possibly augmented by a suitable number of lags of ?dyt to account for serial correlation in the error terms. The case where d = 1 coincides with the Perron (1989) or the Zivot and Andrews (1992) approaches if the break date is known or unknown, respectively. The statistic is labelled as the SB-FDF (Structural Break-Fractional Dickey- Fuller) test, since it is based on the same principles as the well-known Dickey-Fuller unit root test. Both its asymptotic behavior and finite sample properties are analyzed, and two empirical applications are provided.

Calibration of time domain reflectometry (DTR) for soil moisture measurements in cultivated peat soils

Tiivistelmä: TDR-mittausten kalibrointi viljeltyjen turvemaiden kosteuden mittaamiseen

A time-domain method for the analysis of thermal impedance response preserving the convolution form

The study of the thermal behavior of complex packages as multichip modules (MCM¿s) is usually carried out by measuring the so-called thermal impedance response, that is: the transient temperature after a power step. From the analysis of this signal, the thermal frequency response can be estimated, and consequently, compact thermal models may be extracted. We present a method to obtain an estimate of the time constant distribution underlying the observed transient. The method is based on an iterative deconvolution that produces an approximation to the time constant spectrum while preserving a convenient convolution form. This method is applied to the obtained thermal response of a microstructure as analyzed by finite element method as well as to the measured thermal response of a transistor array integrated circuit (IC) in a SMD package.

Electrical conductivity of soil irrigated with swine wastewater estimated by time-domain reflectometry¹

Wastewater application to soil is an alternative for fertilization and water reuse. However, particular care must be taken with this practice, since successive wastewater applications can cause soil salinization. Time-domain reflectometry (TDR) allows for the simultaneous and continuous monitoring of both soil water content and apparent electrical conductivity and thus for the indirect measurement of the electrical conductivity of the soil solution. This study aimed to evaluate the suitability of TDR for the indirect determination of the electrical conductivity (ECse) of the saturated soil extract by using an empirical equation for the apparatus TDR Trase 6050X1. Disturbed soil samples saturated with swine wastewater were used, at soil proportions of 0, 0.45, 0.90, 1.80, 2.70, and 3.60 m³ m-3. The probes were equipped with three handmade 0.20 cm long rods. The fit of the empirical model that associated the TDR measured values of electrical conductivity (EC TDR) to ECse was excellent, indicating this approach as suitable for the determination of electrical conductivity of the soil solution.

Water percolation estimated with time domain reflectometry (TDR) in drainage lysimeters

Due to the difficulty of estimating water percolation in unsaturated soils, the purpose of this study was to estimate water percolation based on time-domain reflectometry (TDR). In two drainage lysimeters with different soil textures TDR probes were installed, forming a water monitoring system consisting of different numbers of probes. The soils were saturated and covered with plastic to prevent evaporation. Tests of internal drainage were carried out using a TDR 100 unit with constant dielectric readings (every 15 min). To test the consistency of TDR-estimated percolation levels in comparison with the observed leachate levels in the drainage lysimeters, the combined null hypothesis was tested at 5 % probability. A higher number of probes in the water monitoring system resulted in an approximation of the percolation levels estimated from TDR - based moisture data to the levels measured by lysimeters. The definition of the number of probes required for water monitoring to estimate water percolation by TDR depends on the soil physical properties. For sandy clay soils, three batteries with four probes installed at depths of 0.20, 0.40, 0.60, and 0.80 m, at a distance of 0.20, 0.40 and 0.6 m from the center of lysimeters were sufficient to estimate percolation levels equivalent to the observed. In the sandy loam soils, the observed and predicted percolation levels were not equivalent even when using four batteries with four probes each, at depths of 0.20, 0.40, 0.60, and 0.80 m.