Physical and numerical constraints in source modeling for finite difference simulation of room acoustics

In finite difference time domain simulation of room acoustics, source functions are subject to various constraints. These depend on the way sources are injected into the grid and on the chosen parameters of the numerical scheme being used. This paper addresses the issue of selecting and designing sources for finite difference simulation, by first reviewing associated aims and constraints, and evaluating existing source models against these criteria. The process of exciting a model is generalized by introducing a system of three cascaded filters, respectively, characterizing the driving pulse, the source mechanics, and the injection of the resulting source function into the grid. It is shown that hard, soft, and transparent sources can be seen as special cases within this unified approach. Starting from the mechanics of a small pulsating sphere, a parametric source model is formulated by specifying suitable filters. This physically constrained source model is numerically consistent, does not scatter incoming waves, and is free from zero- and low-frequency artifacts. Simulation results are employed for comparison with existing source formulations in terms of meeting the spectral and temporal requirements on the outward propagating wave.

A Spherical Array Approach for Simulation of Binaural Impulse Responses using the Finite Difference Time Domain Method

The finite difference time domain (FDTD) method has direct applications in musical instrument modeling, simulation of environmental acoustics, room acoustics and sound reproduction paradigms, all of which benefit from auralization. However, rendering binaural impulse responses from simulated
data is not straightforward to accomplish as the calculated pressure at FDTD grid nodes does not contain any directional information. This paper addresses this issue by introducing a spherical array to capture sound pressure on a finite difference grid, and decomposing it into a plane-wave density
function. Binaural impulse responses are then constructed in the spherical harmonics domain by combining the decomposed grid data with free field head-related transfer functions. The effects of designing a spherical array in a Cartesian grid are studied, and emphasis is given to the relationships
between array sampling and the spatial and spectral design parameters of several finite-difference
schemes.

Binaural Reproduction of Finite Difference Simulations Using Spherical Array Processing

Due to its efficiency and simplicity, the finite-difference time-domain method is becoming a popular choice for solving wideband, transient problems in various fields of acoustics. So far, the issue of extracting a binaural response from finite difference simulations has only been discussed in the context of embedding a listener geometry in the grid. In this paper, we propose and study a method for binaural response rendering based on a spatial decomposition of the sound field. The finite difference grid is locally sampled using a volumetric array of receivers, from which a plane wave density function is computed and integrated with free-field head related transfer functions, in the spherical harmonics domain. The volumetric array is studied in terms of numerical robustness and spatial aliasing. Analytic formulas that predict the performance of the array are developed, facilitating spatial resolution analysis and numerical binaural response analysis for a number of finite difference schemes. Particular emphasis is placed on the effects of numerical dispersion on array processing and on the resulting binaural responses. Our method is compared to a binaural simulation based on the image method. Results indicate good spatial and temporal agreement between the two methods.

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

A Jump Telegraph Model for Option Pricing

In this paper we introduce a financial market model based on continuos time random motions with alternanting constant velocities and with jumps ocurring when the velocity switches. if jump directions are in the certain corresondence with the velocity directions of the underlyng random motion with respect to the interest rate, the model is free of arbitrage. The replicating strategies for options are constructed in details. Closed form formulas for the opcion prices are obtained.

An efficient finite difference scheme for three-dimensional, non-equilibrium flows using operator splitting

An efficient finite difference scheme is presented for the inviscid terms of the three-dimensional, compressible flow equations for chemical non-equilibrium gases. This scheme represents an extension and an improvement of one proposed by the author, and includes operator splitting.

A TVD finite difference scheme with non-uniform meshes and without upstream weighting

We present a finite difference scheme, with the TVD (total variation diminishing) property, for scalar conservation laws. The scheme applies to non-uniform meshes, allowing for variable mesh spacing, and is without upstream weighting. When applied to systems of conservation laws, no scalar decomposition is required, nor are any artificial tuning parameters, and this leads to an efficient, robust algorithm.

A finite difference scheme for inviscid flows with non-eequilibrium chemistry and internal energy

A finite difference scheme is presented for the inviscid terms of the equations of compressible fluid dynamics with general non-equilibrium chemistry and internal energy.

A finite difference scheme for steady, supersonic, two-dimensional, compressible flow of real gases

A finite difference scheme is presented for the solution of the two-dimensional equations of steady, supersonic, compressible flow of real gases. The scheme incorparates numerical characteristic decomposition, is shock-capturing by design and incorporates space-marching as a result of the assumption that the flow is wholly supersonic in at least one space dimension. Results are shown for problems involving oblique hydraulic jumps and reflection from a wall.

Analytic approximations for multi-asset option pricing

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi- or single-asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi-asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single-asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi-asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi-asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi-asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.

Real option pricing in mixed-use development projects

The application of real options theory to commercial real estate has developed rapidly during the last 15 Years. In particular, several pricing models have been applied to value real options embedded in development projects. In this study we use a case study of a mixed use development scheme and identify the major implied and explicit real options available to the developer. We offer the perspective of a real market application by exploring different binomial models and the associated methods of estimating the crucial parameter of volatility. We include simple binomial lattices, quadranomial lattices and demonstrate the sensitivity of the results to the choice of inputs and method.