Numerical solutions of certain nonlinear models in European options on a distributed computing environment

Financial modelling in the area of option pricing involves the understanding of the correlations between asset and movements of buy/sell in order to reduce risk in investment. 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. In turn, analysis tools rely on fast numerical algorithms for the solution of financial mathematical models. There are many different financial activities apart from shares buy/sell activities. The main aim of this chapter is to discuss a distributed algorithm for the numerical solution of a European option. Both linear and non-linear cases are considered. The algorithm is based on the concept of the Laplace transform and its numerical inverse. The scalability of the algorithm is examined. Numerical tests are used to demonstrate the effectiveness of the algorithm for financial analysis. Time dependent functions for volatility and interest rates are also discussed. Applications of the algorithm to non-linear Black-Scholes equation where the volatility and the interest rate are functions of the option value are included. Some qualitative results of the convergence behaviour of the algorithm is examined. This chapter also examines the various computational issues of the Laplace transformation method in terms of distributed computing. The idea of using a two-level temporal mesh in order to achieve distributed computation along the temporal axis is introduced. Finally, the chapter ends with some conclusions.

The role of Mittag-Leffler functions in anomalous relaxation

The inertia-corrected Debye model of rotational Brownian motion of polar molecules was generalized by Coffey et al. [Phys. Rev. E, 65, 32 102 (2002)] to describe fractional dynamics and anomalous rotational diffusion. The linear- response theory of the normalized complex susceptibility was given in terms of a Laplace transform and as a function of frequency. The angular-velocity correlation function was parametrized via fractal Mittag-Leffler functions. Here we apply the latter method and complex-contour integral- representation methods to determine the original time-dependent amplitude as an inverse Laplace transform using both analytical and numerical approaches, as appropriate. (C) 2004 Elsevier B.V. All rights reserved.

Laplace transforms of probability distributions and their inversions are easy on logarithmic scales

It is shown that, when expressing arguments in terms of their logarithms, the Laplace transform of a function is related to the antiderivative of this function by a simple convolution. This allows efficient numerical computations of moment generating functions of positive random variables and their inversion. The application of the method is straightforward, apart from the necessity to implement it using high-precision arithmetics. In numerical examples the approach is demonstrated to be particularly useful for distributions with heavy tails, Such as lognormal, Weibull, or Pareto distributions, which are otherwise difficult to handle. The computational efficiency compared to other methods is demonstrated for an M/G/1 queueing problem.

64-point Fourier transform chip for digital television applications

A 64-point Fourier transform chip is described that performs a forward or inverse, 64-point Fourier transform on complex two's complement data supplied at a rate of 13.5MHz and can operate at clock rates of up to 40MHz, under worst-case conditions. It uses a 0.6µm double-level metal CMOS technology, contains 535k transistors and uses an internal 3.3V power supply. It has an area of 7.8×8mm, dissipates 0.9W, has 48 pins and is housed in a 84 pin PLCC plastic package. The chip is based on a FFT architecture developed from first principles through a detailed investigation of the structure of the relevant DFT matrix and through mapping repetitive blocks within this matrix onto a regular silicon structure.

A 64-point fourier transform chip for video motion compensation using phase correlation

Details of a new low power fast Fourier transform (FFT) processor for use in digital television applications are presented. This has been fabricated using a 0.6-µm CMOS technology and can perform a 64 point complex forward or inverse FFT on real-time video at up to 18 Megasamples per second. It comprises 0.5 million transistors in a die area of 7.8 × 8 mm and dissipates 1 W. The chip design is based on a novel VLSI architecture which has been derived from a first principles factorization of the discrete Fourier transform (DFT) matrix and tailored to a direct silicon implementation.

Fractional calculus on time scales - Cálculo fraccional em escalas temporais

Introduzimos um cálculo das variações fraccional nas escalas temporais ℤ e (hℤ)!. Estabelecemos a primeira e a segunda condição necessária de optimalidade. São dados alguns exemplos numéricos que ilustram o uso quer da nova condição de Euler–Lagrange quer da nova condição do tipo de Legendre. Introduzimos também novas definições de derivada fraccional e de integral fraccional numa escala temporal com recurso à transformada inversa generalizada de Laplace.

The point source method for inverse scattering in the time domain

Many recent inverse scattering techniques have been designed for single frequency scattered fields in the frequency domain. In practice, however, the data is collected in the time domain. Frequency domain inverse scattering algorithms obviously apply to time-harmonic scattering, or nearly time-harmonic scattering, through application of the Fourier transform. Fourier transform techniques can also be applied to non-time-harmonic scattering from pulses. Our goal here is twofold: first, to establish conditions on the time-dependent waves that provide a correspondence between time domain and frequency domain inverse scattering via Fourier transforms without recourse to the conventional limiting amplitude principle; secondly, we apply the analysis in the first part of this work toward the extension of a particular scattering technique, namely the point source method, to scattering from the requisite pulses. Numerical examples illustrate the method and suggest that reconstructions from admissible pulses deliver superior reconstructions compared to straight averaging of multi-frequency data. Copyright (C) 2006 John Wiley & Sons, Ltd.

Fusion of infrared polarization and intensity images using support value transform and fuzzy combination rules

Infrared polarization and intensity imagery provide complementary and discriminative information in image understanding and interpretation. In this paper, a novel fusion method is proposed by effectively merging the information with various combination rules. It makes use of both low-frequency and highfrequency images components from support value transform (SVT), and applies fuzzy logic in the combination process. Images (both infrared polarization and intensity images) to be fused are firstly decomposed into low-frequency component images and support value image sequences by the SVT. Then the low-frequency component images are combined using a fuzzy combination rule blending three sub-combination methods of (1) region feature maximum, (2) region feature weighting average, and (3) pixel value maximum; and the support value image sequences are merged using a fuzzy combination rule fusing two sub-combination methods of (1) pixel energy maximum and (2) region feature weighting. With the variables of two newly defined features, i.e. the low-frequency difference feature for low-frequency component images and the support-value difference feature for support value image sequences, trapezoidal membership functions are proposed and developed in tuning the fuzzy fusion process. Finally the fused image is obtained by inverse SVT operations. Experimental results of visual inspection and quantitative evaluation both indicate the superiority of the proposed method to its counterparts in image fusion of infrared polarization and intensity images.

Estados ligados em um potencial delta duplo via transformada de Laplace

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Discrete wavelet transform signal analyzer

This paper addresses the problem of processing biological data, such as cardiac beats in the audio and ultrasonic range, and on calculating wavelet coefficients in real time, with the processor clock running at a frequency of present application-specified integrated circuits and field programmable gate array. The parallel filter architecture for discrete wavelet transform (DWT) has been improved, calculating the wavelet coefficients in real time with hardware reduced up to 60%. The new architecture, which also processes inverse DWT, is implemented with the Radix-2 or the Booth-Wallace constant multipliers. One integrated circuit signal analyzer in the ultrasonic range, including series memory register banks, is presented. © 2007 IEEE.

Using Universal Line Model (ULM) for Representing Electromagnetic Transients in Three-Phase Transmission Lines

The second-order differential equations that describe the polyphase transmission line are difficult to solve due to the mutual coupling among them and the fact that the parameters are distributed along their length. A method for the analysis of polyphase systems is the technique that decouples their phases. Thus, a system that has n phases coupled can be represented by n decoupled single-phase systems which are mathematically identical to the original system. Once obtained the n-phase circuit, it's possible to calculate the voltages and currents at any point on the line using computational methods. The Universal Line Model (ULM) transforms the differential equations in the time domain to algebraic equations in the frequency domain, solve them and obtain the solution in the frequency domain using the inverse Laplace transform. This work will analyze the method of modal decomposition in a three-phase transmission line for the evaluation of voltages and currents of the line during the energizing process.

Potenciais singulares na equação de Schrodinger unidimensional via transformada de Laplace

The present work has as its goal to treat well known and interesting unidimensional cases from quantum mechanics through an unusual approach within this eld of physics. The operational method of Laplace transform, in spite of its use by Erwin Schrödinger in 1926 when treating the radial equation for the hydrogen atom, turned out to be forgotten for decades. However, the method has gained attention again for its use as a powerful tool from mathematical physics applied to the quantum mechanics, appearing in recent works. The method is specially suitable to the approach of cases where we have potential functions with even parity, because this implies in eigenfunctions with de ned parity, and since the domain of this transform ranges from 0 to ∞, it su ces that we nd the eigenfunction in the positive semi axis and, with the boundary conditions imposed over the eigenfunction at the origin plus the continuity (discontinuity) of the eigenfunction and its derivative, we make the odd, even or both parity extensions so we can get the eigenfunction along all the axis. Factoring the eigenfunction behavior at in nity and origin, we take the due care with the points that might bring us problems in the later steps of the solving process, thus we can manipulate the Schrödinger's Equation regardless of time, so that way we make it convenient to the application of Laplace transform. The Chapter 3 shows the methodology that must be followed in order to search for the solutions to each problem

Caracterização e redução das oscilações espúrias resultantes da representação de linhas de transmissão por meio de elementos discretos de circuitos

Pós-graduação em Engenharia Elétrica - FEIS

Reducing the spurious oscillations in the lumped parameters model using low-pass filter

Voltages and currents in the transmission line are described by differential equations that are difficult to solve due soil and skin effect that has to be considered for accurate results, but it increases their complexity. Therefore there are some models to study the voltages and currents along in transmission line. The distributed parameters model that transforms the equations in time domain to the frequency domain and once the solutions are obtained, they are converted to time domain using the Inverse Laplace Transform using numerical methods. Another model is named lumped parameters model and it considers the transmission line represented by a pi-circuit cascade and the currents and voltages are described by state equations. In the simulations using the lumped parameters model, it can be observed the presence of spurious oscillations that are independent of the quantity of pi-circuits used and do not represent the real value of the transient. In this work will be projected a passive low-pass filter directly inserted in the lumped parameters model to reduce the spurious oscillations in the simulations, making this model more accurate and reliable for studying the electromagnetic transients in power systems.

An inverse method to estimate the moving heat source in machining process

The present work propounds an inverse method to estimate the heat sources in the transient two-dimensional heat conduction problem in a rectangular domain with convective bounders. The non homogeneous partial differential equation (PDE) is solved using the Integral Transform Method. The test function for the heat generation term is obtained by the chip geometry and thermomechanical cutting. Then the heat generation term is estimated by the conjugated gradient method (CGM) with adjoint problem for parameter estimation. The experimental trials were organized to perform six different conditions to provide heat sources of different intensities. This method was compared with others in the literature and advantages are discussed. (C) 2012 Elsevier Ltd. All rights reserved.