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.

Shock Train/Boundary-Layer Interaction in Rectangular Scramjet Isolators

Numerous studies of the dual-mode scramjet isolator, a critical component in preventing inlet unstart and/or vehicle loss by containing a collection of flow disturbances called a shock train, have been performed since the dual-mode propulsion cycle was introduced in the 1960s. Low momentum corner flow and other three-dimensional effects inherent to rectangular isolators have, however, been largely ignored in experimental studies of the boundary layer separation driven isolator shock train dynamics. Furthermore, the use of two dimensional diagnostic techniques in past works, be it single-perspective line-of-sight schlieren/shadowgraphy or single axis wall pressure measurements, have been unable to resolve the three-dimensional flow features inside the rectangular isolator. These flow characteristics need to be thoroughly understood if robust dual-mode scramjet designs are to be fielded. The work presented in this thesis is focused on experimentally analyzing shock train/boundary layer interactions from multiple perspectives in aspect ratio 1.0, 3.0, and 6.0 rectangular isolators with inflow Mach numbers ranging from 2.4 to 2.7. Secondary steady-state Computational Fluid Dynamics studies are performed to compare to the experimental results and to provide additional perspectives of the flow field. Specific issues that remain unresolved after decades of isolator shock train studies that are addressed in this work include the three-dimensional formation of the isolator shock train front, the spatial and temporal low momentum corner flow separation scales, the transient behavior of shock train/boundary layer interaction at specific coordinates along the isolator's lateral axis, and effects of the rectangular geometry on semi-empirical relations for shock train length prediction. A novel multiplane shadowgraph technique is developed to resolve the structure of the shock train along both the minor and major duct axis simultaneously. It is shown that the shock train front is of a hybrid oblique/normal nature. Initial low momentum corner flow separation spawns the formation of oblique shock planes which interact and proceed toward the center flow region, becoming more normal in the process. The hybrid structure becomes more two-dimensional as aspect ratio is increased but corner flow separation precedes center flow separation on the order of 1 duct height for all aspect ratios considered. Additional instantaneous oil flow surface visualization shows the symmetry of the three-dimensional shock train front around the lower wall centerline. Quantitative synthetic schlieren visualization shows the density gradient magnitude approximately double between the corner oblique and center flow normal structures. Fast response pressure measurements acquired near the corner region of the duct show preliminary separation in the outer regions preceding centerline separation on the order of 2 seconds. Non-intrusive Focusing Schlieren Deflectometry Velocimeter measurements reveal that both shock train oscillation frequency and velocity component decrease as measurements are taken away from centerline and towards the side-wall region, along with confirming the more two dimensional shock train front approximation for higher aspect ratios. An updated modification to Waltrup \& Billig's original semi-empirical shock train length relation for circular ducts based on centerline pressure measurements is introduced to account for rectangular isolator aspect ratio, upstream corner separation length scale, and major- and minor-axis boundary layer momentum thickness asymmetry. The latter is derived both experimentally and computationally and it is shown that the major-axis (side-wall) boundary layer has lower momentum thickness compared to the minor-axis (nozzle bounded) boundary layer, making it more separable. Furthermore, it is shown that the updated correlation drastically improves shock train length prediction capabilities in higher aspect ratio isolators. This thesis suggests that performance analysis of rectangular confined supersonic flow fields can no longer be based on observations and measurements obtained along a single axis alone. Knowledge gained by the work performed in this study will allow for the development of more robust shock train leading edge detection techniques and isolator designs which can greatly mitigate the risk of inlet unstart and/or vehicle loss in flight.

The Idiosyncratic Body: Contemporary Clown Theory and Practice

Drawing on historical research, personal interviews, performance analysis, and my own embodied experience as a participant-observer in several clown workshops, I explore the diverse historical influences on clown theatre as it is conceived today. I then investigate how the concept of embodied knowledge is reflected in red-nose clown pedagogy. Finally, I argue that through shared embodied knowledge spectators are able to perceive and appreciate the humor of clown theatre in performance. I propose that clown theatre represents a reaction to the eroding personal connections prompted by the so-called information age, and that humor in clown theatre is a revealing index of socio-cultural values, attitudes, dispositions, and concerns.

Ocean waves across the Arctic: attenuation due to dissipation dominates over scattering for periods longer than 19 s

The poorly understood attenuation of surface waves in sea ice is generally attributed to the combination of scattering and dissipation. Scattering and dissipation have very different effects on the directional and temporal distribution of wave energy, making it possible to better understand their relative importance by analysis of swell directional spreading and arrival times. Here we compare results of a spectral wave model – using adjustable scattering and dissipation attenuation formulations – with wave measurements far inside the ice pack. In this case, scattering plays a negligible role in the attenuation of long swells. Specifically, scattering-dominated attenuation would produce directional wave spectra much broader than the ones recorded, and swell events arriving later and lasting much longer than observed. Details of the dissipation process remain uncertain. Average dissipation rates are consistent with creep effects but are 12 times those expected for a laminar boundary layer under a smooth solid ice plate.

Utilização de diferentes fontes de carbono no cultivo do camarão litopenaeus vannamei em sistemas com bioflocos

A tecnologia do sistema de cultivo com bioflocos (BFT) permite a intensificação da densidade de estocagem, bem como o aumento da produtividade no qual exige esforços no manejo para a manutenção de qualidade de água. No entanto, um dos problemas é a liberação de nitrogênio através de alimento não consumidos, juntamente com as excretas dos organismos cultivados, principalmente na forma de amônia total. A adição de fontes de carbono orgânico é uma alternativa na redução de amônia tornando possível a conversão deste composto em proteína bacteriana, sendo disponível como alimento suplementar no ambiente de cultivo. Portanto foram testadas fontes de carbono como o melaço de cana-de-açúcar, dextrose e farelo de arroz no cultivo do camarão L. vannamei em sistemas BFT, avaliando a redução da concentração do nitrogênio amoniacal total em experimentos nas fases de berçário e engorda, bem como a análise de desempenho zootécnico dos animais. Os experimentos foram realizados utilizando caixas com volume útil de 800 L. O experimento berçário teve a duração de 35 dias, com densidade de estocagem de 1200 camarões m- ² e peso médio de 0,024±0,01 g. As fontes de carbono melaço de cana-de-açúcar (M) e farelo de arroz (F) foram combinadas em diferentes percentuais. No experimento engorda foi utilizada densidade de estocagem de 300 camarões m- ², peso médio de 4,09±0,51 g, durante 70 dias. Os tratamentos foram distinguidos pelas fontes de carbono dextrose e farelo de arroz. No experimento berçário a concentração da amônia foi significativamente menor (p<0,05) com o uso do melaço. O nitrito acumulou até o final do experimento, mas devido ao curto período experimental não interferiu nos índices de desempenho zootécnico, nos quais não apresentaram diferenças pelo uso das fontes de carbono. No experimento engorda, com o uso da dextrose, a concentração de amônia foi significativamente menor (p<0,05). Apesar de elevadas concentrações de nitrito, as sobrevivências foram similares e acima de 80%. Dados zootécnicos como peso final, ganho de peso semanal, conversão alimentar aparente e produtividade foram significativamente melhores (p<0,05) no tratamento farelo de arroz. Em ambos os experimentos as fontes de carbono de degradação rápida, como o melaço e a dextrose foram mais eficientes na redução de amônia. A degradação rápida destas fontes podem ter disponibilizado maiores teores de carbono como substrato para as bactérias heterotróficas metabolizarem a amônia, melhorando a qualidade da água.

Diseño e implementación de un sistema de soporte de decisiones para el Centro de Documentación Regional “Juan Bautista Vázquez”

El volumen de datos en bibliotecas ha aumentado enormemente en los últimos años, así como también la complejidad de sus fuentes y formatos de información, dificultando su gestión y acceso, especialmente como apoyo en la toma de decisiones. Sabiendo que una buena gestión de bibliotecas involucra la integración de indicadores estratégicos, la implementación de un Data Warehouse (DW), que gestione adecuadamente tal cantidad de información, así como su compleja mezcla de fuentes de datos, se convierte en una alternativa interesante a considerar. El artículo describe el diseño e implementación de un sistema de soporte de decisiones (DSS) basado en técnicas de DW para la biblioteca de la Universidad de Cuenca. Para esto, el estudio utiliza una metodología holística, propuesto por Siguenza-Guzman et al. (2014) para la evaluación integral de bibliotecas. Dicha metodología evalúa la colección y los servicios, incorporando importantes elementos para la gestión de bibliotecas, tales como: el desempeño de los servicios, el control de calidad, el uso de la colección y la interacción con el usuario. A partir de este análisis, se propone una arquitectura de DW que integra, procesa y almacena los datos. Finalmente, estos datos almacenados son analizados y visualizados a través de herramientas de procesamiento analítico en línea (OLAP). Las pruebas iniciales de implementación confirman la viabilidad y eficacia del enfoque propuesto, al integrar con éxito múltiples y heterogéneas fuentes y formatos de datos, facilitando que los directores de bibliotecas generen informes personalizados, e incluso permitiendo madurar los procesos transaccionales que diariamente se llevan a cabo.

A GEOBIA methodology for fragmented agricultural landscapes

Very high resolution remotely sensed images are an important tool for monitoring fragmented agricultural landscapes, which allows farmers and policy makers to make better decisions regarding management practices. An object-based methodology is proposed for automatic generation of thematic maps of the available classes in the scene, which combines edge-based and superpixel processing for small agricultural parcels. The methodology employs superpixels instead of pixels as minimal processing units, and provides a link between them and meaningful objects (obtained by the edge-based method) in order to facilitate the analysis of parcels. Performance analysis on a scene dominated by agricultural small parcels indicates that the combination of both superpixel and edge-based methods achieves a classification accuracy slightly better than when those methods are performed separately and comparable to the accuracy of traditional object-based analysis, with automatic approach.

A discrete-time queueing system with feedback and optional service

Queueing systems constitute a central tool in modeling and performance analysis. These types of systems are in our everyday life activities, and the theory of queueing systems was developed to provide models for forecasting behaviors of systems subject to random demand. The practical and useful applications of the discrete-time queues make the researchers to con- tinue making an e ort in analyzing this type of models. Thus the present contribution relates to a discrete-time Geo/G/1 queue in which some messages may need a second service time in addition to the rst essential service. In day-to-day life, there are numerous examples of queueing situations in general, for example, in manufacturing processes, telecommunication, home automation, etc, but in this paper a particular application is the use of video surveil- lance with intrusion recognition where all the arriving messages require the main service and only some may require the subsidiary service provided by the server with di erent types of strategies. We carry out a thorough study of the model, deriving analytical results for the stationary distribution. The generating functions of the number of messages in the queue and in the system are obtained. The generating functions of the busy period as well as the sojourn times of a message in the server, the queue and the system are also provided.

Implementação do algoritmo (RTM) para processamento sísmico em arquiteturas não convencionais

With the growth of energy consumption worldwide, conventional reservoirs, the reservoirs called "easy exploration and production" are not meeting the global energy demand. This has led many researchers to develop projects that will address these needs, companies in the oil sector has invested in techniques that helping in locating and drilling wells. One of the techniques employed in oil exploration process is the reverse time migration (RTM), in English, Reverse Time Migration, which is a method of seismic imaging that produces excellent image of the subsurface. It is algorithm based in calculation on the wave equation. RTM is considered one of the most advanced seismic imaging techniques. The economic value of the oil reserves that require RTM to be localized is very high, this means that the development of these algorithms becomes a competitive differentiator for companies seismic processing. But, it requires great computational power, that it still somehow harms its practical success. The objective of this work is to explore the implementation of this algorithm in unconventional architectures, specifically GPUs using the CUDA by making an analysis of the difficulties in developing the same, as well as the performance of the algorithm in the sequential and parallel version

Projeto, construção e análise de um prototipo vibracional em escala de bancada aplicável ao tratamento de água de produção de petróleo bruto, mediante inovadora operação híbrida de adsorção e auto-flotação

A self-flotator vibrational prototype electromechanical drive for treatment of oil and water emulsion or like emulsion is presented and evaluated. Oil production and refining to obtain derivatives is carried out under arrangements technically referred to as on-shore and off-shore, ie, on the continent and in the sea. In Brazil 80 % of the petroleum production is taken at sea and area of deployment and it cost scale are worrisome. It is associated, oily water production on a large scale, carrier 95% of the potential pollutant of activity whose final destination is the environment medium, terrestrial or maritime. Although diversified set of techniques and water treatment systems are in use or research, we propose an innovative system that operates in a sustainable way without chemical additives, for the good of the ecosystem. Labyrinth adsor-bent is used in metal spirals, and laboratory scale flow. Equipment and process patents are claimed. Treatments were performed at different flow rates and bands often monitored with control systems, some built, other bought for this purpose. Measurements of the levels of oil and grease (OGC) of efluents treaty remained within the range of legal framework under test conditions. Adsorbents were weighed before and after treatment for obtaining oil impregna-tion, the performance goal of vibratory action and treatment as a whole. Treatment technolo-gies in course are referenced, to compare performance, qualitatively and quantitatively. The vibration energy consumption is faced with and without conventional flotation and self-flotation. There are good prospects for the proposed, especially in reducing the residence time, by capillary action system. The impregnation dimensionless parameter was created and confronted with consecrated dimensionless parameters, on the vibrational version, such as Weber number and Froude number in quadratic form, referred to as vibrational criticality. Re-sults suggest limits to the vibration intensity

Monitoring system for small sized photovoltaic power plants

This paper presents a monitoring system devoted to small sized photovoltaic (PV) power plants. The system is characterized by: a high level of integration; a low cost, when compared to the cost of the PV system to be monitored; and an easy installation in the majority of the PV plants with installed power of some kW. The system is able to collect, store, process and display electrical and meteorological parameters that are crucial when monitoring PV facilities. The identification of failures in the PV system and the elaboration of performance analysis of such facilities are other important characteristics of the developed system. The access to the information about the monitored facilities is achieved by using a web application, which was developed with a focus on the mobile devices. In addition, there is the possibility of an integration between the developed monitoring system and the central supervision system of Martifer Solar (a company focused on the development, operation and maintenance of PV systems).

Waiting Time Screening in Diagnostic Medical Imaging - A Case-Based View

Due to the high standards expected from diagnostic medical imaging, the analysis of information regarding waiting lists via different information systems is of utmost importance. Such analysis, on the one hand, may improve the diagnostic quality and, on the other hand, may lead to the reduction of waiting times, with the concomitant increase of the quality of services and the reduction of the inherent financial costs. Hence, the purpose of this study is to assess the waiting time in the delivery of diagnostic medical imaging services, like computed tomography and magnetic resonance imaging. Thereby, this work is focused on the development of a decision support system to assess waiting times in diagnostic medical imaging with recourse to operational data of selected attributes extracted from distinct information systems. The computational framework is built on top of a Logic Programming Case-base Reasoning approach to Knowledge Representation and Reasoning that caters for the handling of in-complete, unknown, or even self-contradictory information.

Design and implementation of a Reinforcement Learning framework for iOS devices

Reinforcement Learning is an increasingly popular area of Artificial Intelligence. The applications of this learning paradigm are many, but its application in mobile computing is in its infancy. This study aims to provide an overview of current Reinforcement Learning applications on mobile devices, as well as to introduce a new framework for iOS devices: Swift-RL Lib. This new Swift package allows developers to easily support and integrate two of the most common RL algorithms, Q-Learning and Deep Q-Network, in a fully customizable environment. All processes are performed on the device, without any need for remote computation. The framework was tested in different settings and evaluated through several use cases. Through an in-depth performance analysis, we show that the platform provides effective and efficient support for Reinforcement Learning for mobile applications.