Nonstandard Finite Difference Schemes with Application to Finance: Option Pricing

2000 Mathematics Subject Classification: 65M06, 65M12.

Low Volatility Options and Numerical Diffusion of Finite Difference Schemes

2000 Mathematics Subject Classification: 65M06, 65M12.

Amplification schemes and multi-channel DBP for unrepeatered transmission

The performance of unrepeatered transmission of a seven Nyquist-spaced 10 GBd PDM-16QAM superchannel using full signal band coherent detection and multi-channel digital back propagation (MC-DBP) to mitigate nonlinear effects is analysed. For the first time in unrepeatered transmission, the performance of two amplification systems is investigated and directly compared in terms of achievable information rates (AIRs): 1) erbium-doped fibre amplifier (EDFA) and 2) second-order bidirectional Raman pumped amplification. The experiment is performed over different span lengths, demonstrating that, for an AIR of 6.8 bit/s/Hz, the Raman system enables an increase of 93 km (36 %) in span length. Further, at these distances, MC-DBP gives an improvement in AIR of 1 bit/s/Hz (to 7.8 bit/s/Hz) for both amplification schemes. The theoretical AIR gains for Raman and MC-DBP are shown to be preserved when considering low-density parity-check codes. Additionally, MC-DBP algorithms for both amplification schemes are compared in terms of performance and computational complexity. It is shown that to achieve the maximum MC-DBP gain, the Raman system requires approximately four times the computational complexity due to the distributed impact of fibre nonlinearity.

Permanent magnet synchronous generator based wind power generation system fault protection schemes

The PMSG-based wind power generation system protection is presented in this paper. For large-scale systems, a voltagesource converter rectifier is included. Protection circuits for this topology are studied with simulation results for cable permanent fault conditions. These electrical protection methods are all in terms of dumping redundant energy resulting from disrupted path of power delivery. Pitch control of large-scale wind turbines are considered for effectively reducing rotor shaft overspeed. Detailed analysis and calculation of damping power and resistances are presented. Simulation results including fault overcurrent, DC-link overvoltage and wind turbine overspeed are shown to illustrate the system responses under different protection schemes to compare their application and effectiveness.

Investigating NEST schemes around the world:supporting NEST/LET collaborative practices

This report presents findings from a research project which investigates NEST schemes, how they operate and the experiences of the native English speaker teachers (NESTs) and local English teachers (LETs) taking part. The paper provides useful recommendations for how NESTs and LETs can be best supported to make the most out of their collaborations.

The effects of experience in loyalty card adoption on the importance of the attributes of loyalty schemes

The popularity of loyalty programs worldwide shows that this is one of the most efficient marketing tools in highly competitive markets to retain customers. The saturation of loyalty schemes themselves can lead to a fierce competition between firms to gain wider penetration for their cards. The experience of the customers regarding adoption of loyalty programs can affect their attitude towards the different attributes of the programs. We found that more experienced customers evaluate the importance of the soft attributes of the loyalty schemes higher.

Analysis of key predistribution schemes in wireless sensor networks

Combinatorial designs are used for designing key predistribution schemes that are applied to wireless sensor networks in communications. This helps in building a secure channel. Private-key cryptography helps to determine a common key between a pair of nodes in sensor networks. Wireless sensor networks using key predistribution schemes have many useful applications in military and civil operations. When designs are efficiently implemented on sensor networks, blocks with unique keys will be the result. One such implementation is a transversal design which follows the principle of simple key establishment. Analysis of designs and modeling the key schemes are the subjects of this project.

Gravity with multiple tariff schemes

This study contributes to the literature on gravity analysis by explicitly incorporating both most favored nation (MFN) rates and regional trade agreement (RTA) rates. Our gravity equation considers the fact that all exporters do not necessarily utilize RTA schemes, even when exporting to their RTA partners. We apply the tariff line–level data on worldwide trade to this gravity equation. As a result, we find a significantly negative coefficient for the (log) ratio of RTA rates to MFN rates. From the quantitative point of view, we show that in the first year of the Japan–Australia Economic Partnership (i.e., 2015), exports from Australia to Japan are expected to increase by 6% compared with the exports in 2014. Furthermore, it is shown that, based on the subsequent reduction in RTA rates, the magnitude of the trade-creation effect through tariff reductions gradually rises over time.

Irreducibility of Random Hilbert Schemes

We prove that a random Hilbert scheme that parametrizes the closed subschemes with a fixed Hilbert polynomial in some projective space is irreducible and nonsingular with probability greater than $0.5$. To consider the set of nonempty Hilbert schemes as a probability space, we transform this set into a disjoint union of infinite binary trees, reinterpreting Macaulay's classification of admissible Hilbert polynomials. Choosing discrete probability distributions with infinite support on the trees establishes our notion of random Hilbert schemes. To bound the probability that random Hilbert schemes are irreducible and nonsingular, we show that at least half of the vertices in the binary trees correspond to Hilbert schemes with unique Borel-fixed points.

Beamforming and interference cancellation schemes for D2D communications

We investigate device-to-device (D2D) communication underlaying cellular networks with M-antenna base stations. We consider both beamforming (BF) and interference cancellation (IC) strategies under quantized channel state information (CSI), as well as, perfect CSI. We derive tight closed-form approximations of the ergodic achievable rate which hold for arbitrary transmit power, location of users and number of antennas. Based on these approximations, we derive insightful asymptotic expressions for three special cases namely high signal-to-noise (SNR), weak interference, and large M. In particular, we show that in the high SNR regime a ceiling effect exists which depends on the received signal-to-interference ratio and the number of antennas. Moreover, the achievable rate scales logarithmically with M. The ergodic achievable rate is shown to scale logarithmically with SNR and the antenna number in the weak interference case. When the BS is equipped with large number of antennas, we find that the ergodic achievable rate under quantized CSI reaches a saturated value, whilst it scales as log2M under perfect CSI.

Generic wind estimation and compensation based on residual generators and higher-order sliding mode schemes

This master thesis proposes a solution to the approach problem in case of unknown severe microburst wind shear for a fixed-wing aircraft, accounting for both longitudinal and lateral dynamics. The adaptive controller design for wind rejection is also addressed, exploiting the wind estimation provided by suitable estimators. It is able to successfully complete the final approach phase even in presence of wind shear, and at the same time aerodynamic envelope protection is retained. The adaptive controller for wind compensation has been designed by a backstepping approach and feedback linearization for time-varying systems. The wind shear components have been estimated by higher-order sliding mode schemes. At the end of this work the results are provided, an autonomous final approach in presence of microburst is discussed, performances are analyzed, and estimation of the microburst characteristics from telemetry data is examined.

OFDM-based schemes for next generation wireless systems

The purpose of this study is to investigate two candidate waveforms for next generation wireless systems, filtered Orthogonal Frequency Division Multiplexing (f-OFDM) and Unified Filtered Multi-Carrier (UFMC). The evaluation is done based on the power spectral density analysis of the signal and performance measurements in synchronous and asynchronous transmission. In f-OFDM we implement a soft truncated filter with length 1/3 of OFDM symbol. In UFMC we use the Dolph-Chebyshev filter, limited to the length of zero padding (ZP). The simulation results demonstrates that both waveforms have a better spectral behaviour compared with conventional OFDM. However, the induced inter-symbol interference (ISI) caused by the filter in f-OFDM, and the inter-carrier interference (ICI) induced in UFMC due to cyclic prefix (CP) reduction , should be kept under control. In addition, in a synchronous transmission case with ideal parameters, f-OFDM and UFMC appear to have similar performance with OFDM. When carrier frequency offset (CFO) is imposed in the transmission, UFMC outperforms OFDM and f-OFDM.

Hash-Tree Anti-Tampering Schemes

Procedures that provide detection, location and correction of tampering in documents are known as anti-tampering schemes. In this paper we describe how to construct an anti-tampering scheme using a pre-computed tree of hashes. The main problems of constructing such a scheme are its computational feasibility and its candidate reduction process. We show how to solve both problems by the use of secondary hashing over a tree structure. Finally, we give brief comments on our ongoing work in this area.