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.

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.

Development of Novel Time-Domain Electromagnetic Methods for Offshore Groundwater Studies: A Data Application from Bat Yam, Israel

Recent marine long-offset transient electromagnetic (LOTEM) measurements yielded the offshore delineation of a fresh groundwater body beneath the seafloor in the region of Bat Yam, Israel. The LOTEM application was effective in detecting this freshwater body underneath the Mediterranean Sea and allowed an estimation of its seaward extent. However, the measured data set was insufficient to understand the hydrogeological configuration and mechanism controlling the occurrence of this fresh groundwater discovery. Especially the lateral geometry of the freshwater boundary, important for the hydrogeological modelling, could not be resolved. Without such an understanding, a rational management of this unexploited groundwater reservoir is not possible. Two new high-resolution marine time-domain electromagnetic methods are theoretically developed to derive the hydrogeological structure of the western aquifer boundary. The first is called Circular Electric Dipole (CED). It is the land-based analogous of the Vertical Electric Dipole (VED), which is commonly applied to detect resistive structures in the subsurface. Although the CED shows exceptional detectability characteristics in the step-off signal towards the sub-seafloor freshwater body, an actual application was not carried out in the extent of this study. It was found that the method suffers from an insufficient signal strength to adequately delineate the resistive aquifer under realistic noise conditions. Moreover, modelling studies demonstrated that severe signal distortions are caused by the slightest geometrical inaccuracies. As a result, a successful application of CED in Israel proved to be rather doubtful. A second method called Differential Electric Dipole (DED) is developed as an alternative to the intended CED method. Compared to the conventional marine time-domain electromagnetic system that commonly applies a horizontal electric dipole transmitter, the DED is composed of two horizontal electric dipoles in an in-line configuration that share a common central electrode. Theoretically, DED has similar detectability/resolution characteristics compared to the conventional LOTEM system. However, the superior lateral resolution towards multi-dimensional resistivity structures make an application desirable. Furthermore, the method is less susceptible towards geometrical errors making an application in Israel feasible. In the extent of this thesis, the novel marine DED method is substantiated using several one-dimensional (1D) and multi-dimensional (2D/3D) modelling studies. The main emphasis lies on the application in Israel. Preliminary resistivity models are derived from the previous marine LOTEM measurement and tested for a DED application. The DED method is effective in locating the two-dimensional resistivity structure at the western aquifer boundary. Moreover, a prediction regarding the hydrogeological boundary conditions are feasible, provided a brackish water zone exists at the head of the interface. A seafloor-based DED transmitter/receiver system is designed and built at the Institute of Geophysics and Meteorology at the University of Cologne. The first DED measurements were carried out in Israel in April 2016. The acquired data set is the first of its kind. The measured data is processed and subsequently interpreted using 1D inversion. The intended aim of interpreting both step-on and step-off signals failed, due to the insufficient data quality of the latter. Yet, the 1D inversion models of the DED step-on signals clearly detect the freshwater body for receivers located close to the Israeli coast. Additionally, a lateral resistivity contrast is observable in the 1D inversion models that allow to constrain the seaward extent of this freshwater body. A large-scale 2D modelling study followed the 1D interpretation. In total, 425 600 forward calculations are conducted to find a sub-seafloor resistivity distribution that adequately explains the measured data. The results indicate that the western aquifer boundary is located at 3600 m - 3700 m before the coast. Moreover, a brackish water zone of 3 Omega*m to 5 Omega*m with a lateral extent of less than 300 m is likely located at the head of the freshwater aquifer. Based on these results, it is predicted that the sub-seafloor freshwater body is indeed open to the sea and may be vulnerable to seawater intrusion.

Directional emission InP/GaInAsP square-resonator microlasers

InP/GaInAsP square-resonator microlasers with an output waveguide connected to the midpoint of one side of the square are fabricated by standard photolithography and inductively-coupled-plasma etching technique. For a 20-mu m-side square microlaser with a 2-mu m-wide output waveguide, cw threshold current is 11 mA at room temperature, and the highest mode Q factor is 1.0 X 10(4) measured from the mode linewidth at the injection current of 10 mA. Multimode oscillation is observed with the lasing mode wavelength 1546 nm and the side-mode suppression ratio of 20 dB at the injection current of 15 mA. (C) 2008 Optical Society of America

Mid-infrared heavily n-doped GaAs extraordinary transmission through subwavelength grooves

Transmission of an electromagnetic wave from a heavily doped n-type GaAs film is studied theoretically. The calculations are performed using the two-dimensional finite-different time-domain method. From the calculations, we find the extraordinary transmission of p-polarized waves through the film with subwavelength grooves on both surfaces at mid-infrared frequencies. By determining a set of groove parameters, we optimize the transmission to as high as 55.2%. We ascribe this extraordinary transmission to the coupling of the surface-plasmon polariton modes and waveguide modes. Such an enhanced transmission device can be useful for mid-infrared wave filters, emitters, and monitors.

Analysis of mode characteristics for equilateral-polygonal resonators with a center hole

Mode characteristics for equilateral triangles, squares, and hexagonal resonators with a center hole are numerically simulated by the finite-different time domain (FDTD) technique. The center hole does not break the symmetry behavior of the original resonators and can result in modification of the mode field patterns and mode Q factors. In an equilateral triangle resonator the center hole can suppress the symmetry state of degenerate states with the merit of single mode operation. In a square resonator, the Q factor can be enhanced for some modes with a suitable size of the hole. For a hexagonal resonator with a side length of 1 mu m and a refractive index of 3.2, the mode Q factors first gradually decrease with the increase of the hole diameter for modes at a wavelength of about 1500 nm, then the modes transform to that of a microdisk with a jump of the mode wavelength as the hole diameter approaches 0.7 mu m. Finally, the mode Q factors greatly enhance as the hole diameter reaches about 1 mu m. The results indicate that the center hole can greatly modify mode characteristics, especially that of the mode Q factor. (C) 2009 Optical Society of America

光子晶体的微腔特性

为了设计一种高品质因子的光子晶体微腔和研究单缺陷光子晶体微腔谐振模波长随晶格常数的变化规律,使用时域有限差分法（difference time-domain method）和基于Baker算法的Padé近似方法计算了半导体材料上空气孔阵列光子晶体微腔的谐振模波长和品质因子.得到的新型光子晶体微腔的品质因子达246510,单缺陷光子晶体微腔模波长随晶格常数α和孔半径r的近似为线性变化关系

Study of the thermal effects induced by magnetic resonance on endocardial leads: numerical models and experimental validation

Magnetic resonance imaging (MRI) is today precluded to patients bearing active implantable medical devices AIMDs). The great advantages related to this diagnostic modality, together with the increasing number of people benefiting from implantable devices, in particular pacemakers(PM)and carioverter/defibrillators (ICD), is prompting the scientific community the study the possibility to extend MRI also to implanted patients. The MRI induced specific absorption rate (SAR) and the consequent heating of biological tissues is one of the major concerns that makes patients bearing metallic structures contraindicated for MRI scans. To date, both in-vivo and in-vitro studies have demonstrated the potentially dangerous temperature increase caused by the radiofrequency (RF) field generated during MRI procedures in the tissues surrounding thin metallic implants. On the other side, the technical evolution of MRI scanners and of AIMDs together with published data on the lack of adverse events have reopened the interest in this field and suggest that, under given conditions, MRI can be safely performed also in implanted patients. With a better understanding of the hazards of performing MRI scans on implanted patients as well as the development of MRI safe devices, we may soon enter an era where the ability of this imaging modality may be more widely used to assist in the appropriate diagnosis of patients with devices. In this study both experimental measures and numerical analysis were performed. Aim of the study is to systematically investigate the effects of the MRI RF filed on implantable devices and to identify the elements that play a major role in the induced heating. Furthermore, we aimed at developing a realistic numerical model able to simulate the interactions between an RF coil for MRI and biological tissues implanted with a PM, and to predict the induced SAR as a function of the particular path of the PM lead. The methods developed and validated during the PhD program led to the design of an experimental framework for the accurate measure of PM lead heating induced by MRI systems. In addition, numerical models based on Finite-Differences Time-Domain (FDTD) simulations were validated to obtain a general tool for investigating the large number of parameters and factors involved in this complex phenomenon. The results obtained demonstrated that the MRI induced heating on metallic implants is a real risk that represents a contraindication in extending MRI scans also to patient bearing a PM, an ICD, or other thin metallic objects. On the other side, both experimental data and numerical results show that, under particular conditions, MRI procedures might be consider reasonably safe also for an implanted patient. The complexity and the large number of variables involved, make difficult to define a unique set of such conditions: when the benefits of a MRI investigation cannot be obtained using other imaging techniques, the possibility to perform the scan should not be immediately excluded, but some considerations are always needed.

Nanoporous alumina based hypersonic phononic hybrid structures studied by brillouin spectroscopy

Phononische Kristalle sind strukturierte Materialien mit sich periodisch ändernden elastischen Moduln auf der Wellenlängenskala. Die Interaktion zwischen Schallwellen und periodischer Struktur erzeugt interessante Interferenzphänomene, und phononische Kristalle erschließen neue Funktionalitäten, die in unstrukturierter Materie unzugänglich sind. Hypersonische phononische Kristalle im Speziellen, die bei GHz Frequenzen arbeiten, haben Periodizitäten in der Größenordnung der Wellenlänge sichtbaren Lichts und zeigen daher die Wege auf, gleichzeitig Licht- und Schallausbreitung und -lokalisation zu kontrollieren, und dadurch die Realisierung neuartiger akusto-optischer Anordnungen. Bisher bekannte hypersonische phononische Kristalle basieren auf thermoplastischen Polymeren oder Epoxiden und haben nur eingeschränkte thermische und mechanische Stabilität und mechanischen Kontrast. Phononische Kristalle, die aus mit Flüssigkeit gefüllten zylindrischen Kanälen in harter Matrix bestehen, zeigen einen sehr hohen elastischen Kontrast und sind bislang noch unerforscht. In dieser Dissertation wird die experimentelle Untersuchung zweidimensionaler hypersonischer phononischer Kristalle mit hexagonaler Anordnung zylindrischer Nanoporen basierend auf der Selbstorganisation anodischen Aluminiumoxids (AAO) beschrieben. Dazu wird die Technik der hochauflösenden inelastischen Brillouin Lichtstreuung (BLS) verwendet. AAO ist ein vielsetiges Modellsystem für die Untersuchung reicher phononischer Phänomene im GHz-Bereich, die eng mit den sich in den Nanoporen befindlichen Flüssigkeiten und deren Interaktion mit der Porenwand verknüpft sind. Gerichteter Fluss elastischer Energie parallel und orthogonal zu der Kanalachse, Lokalisierung von Phononen und Beeinflussung der phononischen Bandstruktur bei gleichzeitig präziser Kontrolle des Volumenbruchs der Kanäle (Porosität) werden erörtert. Außerdem ermöglicht die thermische Stabilität von AAO ein temperaturabhängiges Schalten phononischer Eigenschaften infolge temperaturinduzierter Phasenübergänge in den Nanoporen. In monokristallinen zweidimensionalen phononischen AAO Kristallen unterscheiden sich die Dispersionsrelationen empfindlich entlang zweier hoch symmetrischer Richtungen in der Brillouinzone, abhängig davon, ob die Poren leer oder gefüllt sind. Alle experimentellen Dispersionsrelationen werden unter Zuhilfenahme theoretische Ergebnisse durch finite Elemente Analyse (FDTD) gedeutet. Die Zuordnung der Verschiebungsfelder der elastischen Wellen erklärt die Natur aller phononischen Moden.

A finite volume method for solving the two-sided time-space fractional advection-dispersion equation

The field of fractional differential equations provides a means for modelling transport processes within complex media which are governed by anomalous transport. Indeed, the application to anomalous transport has been a significant driving force behind the rapid growth and expansion of the literature in the field of fractional calculus. In this paper, we present a finite volume method to solve the time-space two-sided fractional advection dispersion equation on a one-dimensional domain. Such an equation allows modelling different flow regime impacts from either side. The finite volume formulation provides a natural way to handle fractional advection-dispersion equations written in conservative form. The novel spatial discretisation employs fractionally-shifted Gr¨unwald formulas to discretise the Riemann-Liouville fractional derivatives at control volume faces in terms of function values at the nodes, while the L1-algorithm is used to discretise the Caputo time fractional derivative. Results of numerical experiments are presented to demonstrate the effectiveness of the approach.

A finite volume method for solving the two-sided time-space fractional advection-dispersion equation

We present a finite volume method to solve the time-space two-sided fractional advection-dispersion equation on a one-dimensional domain. The spatial discretisation employs fractionally-shifted Grünwald formulas to discretise the Riemann-Liouville fractional derivatives at control volume faces in terms of function values at the nodes. We demonstrate how the finite volume formulation provides a natural, convenient and accurate means of discretising this equation in conservative form, compared to using a conventional finite difference approach. Results of numerical experiments are presented to demonstrate the effectiveness of the approach.