The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.

Three dimensional circulation of water with variable wind in the Caspian Sea

This research is based on a numerical model for forecasting the three-dimensional behavior of (sea) water motion due to the effect of a variable wind velocity. The results obtained are then analyzed and compared with observation. This model is based on the equations that overcome the current and distribution of temperature by applying the method of finite difference with assuming Δx, Δy as constant and Δz, variable. The model is based on the momentum equation, continuity equation and thermodynamic energy equation and tension at the surface and middle layers and bottom stress. The horizontal and vertical eddy viscosity and thermal diffusivity coefficients we used in accordance with that of the Bennet on Outario Lake (1977). Considering the Caspian Sea dimension in numerical model the Coriolis parameter used with β effects and the approximation Boussines have been used. For the program controlling some simple experiment with boundary condition similar to that of the Caspian Sea have been done. For modeling the Caspian Sea the grid of the field was done as follows: At horizontal surface grid size is 10×10km extension and at vertical in 10 layers with varying thickness from surface to bed respectively as: 5, 10, 20, 3, 50, 100, 150, 200, 25, 500 and higher. The data of wind as velocity، direction and temperature of water related to 15th September 1995 at 6،12 and 18 o’clock were obtained from synoptic station at the Caspian Sea shore and the research marine of Haji Alief. The information concerning shore wind was measured and by the method of SPM (shore protection manual) was transferred to far shore winds through interpolation and by use of inverse square distance of position distribution of the wind velocity at the Caspian surface field was obtained. The model has been evaluated according to the reports and observations. Through studying the position of the current in different layers، the velocity in the cross section in the northern، southern and the middle layers، will be discussed. The results reveal the presence of the circulation cells in the three above mentioned areas. The circulation with depth is reduced too. The results obtained through the numerical solution of the temperature equation have been compared with the observation. The temperature change in different layers in cross section illustrates the relative accordance of the model mentioned.

Efficient split eld FDTD analysis of third-order nonlinear materials in two-dimensionally periodic media

In this work the split-field finite-difference time-domain method (SF-FDTD) has been extended for the analysis of two-dimensionally periodic structures with third-order nonlinear media. The accuracy of the method is verified by comparisons with the nonlinear Fourier Modal Method (FMM). Once the formalism has been validated, examples of one- and two-dimensional nonlinear gratings are analysed. Regarding the 2D case, the shifting in resonant waveguides is corroborated. Here, not only the scalar Kerr effect is considered, the tensorial nature of the third-order nonlinear susceptibility is also included. The consideration of nonlinear materials in this kind of devices permits to design tunable devices such as variable band filters. However, the third-order nonlinear susceptibility is usually small and high intensities are needed in order to trigger the nonlinear effect. Here, a one-dimensional CBG is analysed in both linear and nonlinear regime and the shifting of the resonance peaks in both TE and TM are achieved numerically. The application of a numerical method based on the finite- difference time-domain method permits to analyse this issue from the time domain, thus bistability curves are also computed by means of the numerical method. These curves show how the nonlinear effect modifies the properties of the structure as a function of variable input pump field. When taking the nonlinear behaviour into account, the estimation of the electric field components becomes more challenging. In this paper, we present a set of acceleration strategies based on parallel software and hardware solutions.

Surface acoustic wave streaming in a PDMS microfluidic system: effect of frequency and fluid geometry & A remote ultrasonic glucose sensor

This thesis describes two separate projects. The first is a theoretical and experimental investigation of surface acoustic wave streaming in microfluidics. The second is the development of a novel acoustic glucose sensor. A separate abstract is given for each here. Optimization of acoustic streaming in microfluidic channels by SAWs Surface Acoustic Waves, (SAWs) actuated on flat piezoelectric substrates constitute a convenient and versatile tool for microfluidic manipulation due to the easy and versatile interfacing with microfluidic droplets and channels. The acoustic streaming effect can be exploited to drive fast streaming and pumping of fluids in microchannels and droplets (Shilton et al. 2014; Schmid et al. 2011), as well as size dependant sorting of particles in centrifugal flows and vortices (Franke et al. 2009; Rogers et al. 2010). Although the theory describing acoustic streaming by SAWs is well understood, very little attention has been paid to the optimisation of SAW streaming by the correct selection of frequency. In this thesis a finite element simulation of the fluid streaming in a microfluidic chamber due to a SAW beam was constructed and verified against micro-PIV measurements of the fluid flow in a fabricated device. It was found that there is an optimum frequency that generates the fastest streaming dependent on the height and width of the chamber. It is hoped this will serve as a design tool for those who want to optimally match SAW frequency with a particular microfluidic design. An acoustic glucose sensor Diabetes mellitus is a disease characterised by an inability to properly regulate blood glucose levels. In order to keep glucose levels under control some diabetics require regular injections of insulin. Continuous monitoring of glucose has been demonstrated to improve the management of diabetes (Zick et al. 2007; Heinemann & DeVries 2014), however there is a low patient uptake of continuous glucose monitoring systems due to the invasive nature of the current technology (Ramchandani et al. 2011). In this thesis a novel way of monitoring glucose levels is proposed which would use ultrasonic waves to ‘read’ a subcutaneous glucose sensitive-implant, which is only minimally invasive. The implant is an acoustic analogy of a Bragg stack with a ‘defect’ layer that acts as the sensing layer. A numerical study was performed on how the physical changes in the sensing layer can be deduced by monitoring the reflection amplitude spectrum of ultrasonic waves reflected from the implant. Coupled modes between the skin and the sensing layer were found to be a potential source of error and drift in the measurement. It was found that by increasing the number of layers in the stack that this could be minimized. A laboratory proof of concept system was developed using a glucose sensitive hydrogel as the sensing layer. It was possible to monitor the changing thickness and speed of sound of the hydrogel due to physiological relevant changes in glucose concentration.

Size effects in micro cup drawing

Experimental studies into the effect of blank thickness on the deep drawing response of the coarse-grained and ultrafine-grained copper demonstrated the occurrence of a size effect: the dependence of the maximum load and the limit drawing ratio on the blank thickness in sub-millimetre range. A dislocation based constitutive model taking into account the thickness effects was used for numerical simulations of the process. It was demonstrated that the occurrence of the blank thickness effect is governed by the ratio of the blank thickness t to the grain size D of the material. Critical values of the t/. D ratio below which the size effect comes to bearing were determined. The obtained results can be seen as a demonstration of more general suitability of the model developed for predicting microforming operations with full account of the specimen or work-piece dimensions.

Numerical models of plastic zones and associated deformations for elliptical inclusions in remote elastic loading-unloading with different R-ratios

Plastic zones and associated deformations ahead of a fatigue crack are well established nowadays. In-depth plane strain elasto-plastic finite element analysis is conducted in this investigation to understand the nature of cyclic plastic deformation and damage around soft and hard elliptical inclusions. Similar to fatigue crack tip, cyclic/reverse plastic zone and monotonic plastic zone are visible for soft elliptical inclusion. In the cyclic plastic zone, low cycle fatigue is the dominant cyclic deformation mode during symmetric load cycling, while ratcheting is dominant during asymmetric load cycling. The size of cyclic plastic zone depends upon the amplitude of remote stress while, the size of monotonic plastic zone depends upon the maximum remote stress. The size of monotonic plastic zone is equal to cyclic plastic zone during symmetric load cycling. The shape and size of plastic zones also depend upon the orientation of the soft inclusion. Cyclic plastic damage progression in the cyclic plastic zone for soft (MnS) inclusion is significant, while no cyclic plastic zone is visible for hard inclusion (Al2O3).

Inversion of ambient seismic noise HVSR to evaluate velocity and structural models of the Lower Tagus Basin, Portugal

During its history, several significant earthquakes have shaken the Lower Tagus Valley (Portugal). These earthquakes were destructive; some strong earthquakes were produced by large ruptures in offshore structures located southwest of the Portuguese coastline, and other moderate earthquakes were produced by local faults. In recent years, several studies have successfully obtained strong-ground motion syntheses for the Lower Tagus Valley using the finite difference method. To confirm the velocity model of this sedimentary basin obtained from geophysical and geological data, we analysed the ambient seismic noise measurements by applying the horizontal to vertical spectral ratio (HVSR) method. This study reveals the dependence of the frequency and amplitude of the low-frequency (HVSR) peaks (0.2–2 Hz) on the sediment thickness. We have obtained the depth of the Cenozoic basement along a profile transversal to the basin by the inversion of these ratios, imposing constraints from seismic reflection, boreholes, seismic sounding and gravimetric and magnetic potentials. This technique enables us to improve the existing three-dimensional model of the Lower Tagus Valley structure. The improved model will be decisive for the improvement of strong motion predictions in the earthquake hazard analysis of this highly populated basin. The methodology discussed can be applied to any other sedimentary basin.

Confirmação do modelo da estrutura 3D do vale inferior do Tejo a partir de dados de ruído sísmico ambiente

Ao longo de sua história a região do Vale Inferior do Tejo VIT foi abalada por vários sismos consideravelmente destrutivas, tendo alguns deles produzido significativas deformações nas estruturas marítimas localizadas no litoral a sudoeste do território Português; outros, moderados, foram produzidos por fontes locais, como os de 1344, 1531 e 1909. Nos últimos anos, devido à melhoria dos modelos de estrutura 3D e o desenvolvimento dos métodos numéricos, foram elaborados vários estudos de síntese de movimento forte do solo para a região do Baixo Tejo utilizando o método de diferenças finitas. Para confirmar o modelo de velocidades desta bacia usámos medidas de ruído sísmico, aplicámos um método baseado na razão espectral H/V, e, a partir destas curvas, por inversão, obtivemos um modelo de velocidades para a região estudada. Os resultados revelam uma boa concordância entre o modelo obtido e os dados geofísicos e geológicos recolhidos na mesma área._ ABSTRACT: Along his history the Lower Tagus Valley (LTV) area was shaken by several earthquakes. The largest reported had their origin in the southwestern part of Iberia. Other moderate earthquakes were produced by local sources such as the 1344, 1531 and the 1909. ln the last years, due to 3D structural model improvement and development in numerical methods, several studies have successful obtained strong-ground motion synthesis for the LVT region using finite difference method. To confirm the velocity model of the LTV sedimentary basin obtained by geophysical and geological data, we use broad-band microtremor measurements and application of the horizontal to vertical (H/V) spectral ratio method. We have obtained a velocity model for the studied region by inversion of the H/V curve. The results have good agreement geological and geophysical data.

Acoustic Propagation over Periodic and Quasi-Period Rough Surfaces Proceedings

Numerical techniques such as the Boundary Element Method, Finite Element Method and Finite Difference Time Domain have been used widely to investigate plane and curved wave-front scattering by rough surfaces. For certain shapes of roughness elements (cylinders, semi-cylinders and ellipsoids) there are semi-analytical alternatives. Here, we present a theory for multiple scattering by cylinders on a hard surface to investigate effects due to different roughness shape, the effects of vacancies and variation of roughness element size on the excess attenuation due to a periodically rough surfaces.

Numerical simulation of railway track supporting system using finite-infinite and thin layer elements under impulsive loads

The present study deals with two dimensional, numerical simulation of railway track supporting system subjected to dynamic excitation force. Under plane strain condition, the coupled finite-infinite elements to represent the near and far field stress distribution and thin layer interface element was employed to model the interfacial behavior between sleepers and ballast. To account for the relative debonding, slipping and crushing that could take place in the contact area between the sleepers and ballast, modified Mohr-Coulomb criterion was adopted. Furthermore an attempt has been made to consider the elasto-plastic material non-linearity of the railway track supporting media by employing different constitutive models to represent steel, concrete and supporting materials. Based on the proposed physical and constitutive modeling a code has been developed for dynamic loads. The applicability of the developed F.E code has been demonstrated by analyzing a real railway supporting structure.

Finite element analysis investigation of response of pumpkin tissue under uniaxial loading

Finite element analysis (FEA) models of uniaxial loading of pumpkin peel and flesh tissues were developed and validated using experimental results. The tensile model was developed for both linear elastic and plastic material models, the compression model was develop d only with the plastic material model. The outcomes of force versus time curves obtained from FEA models followed similar pattern to the experimental curves however the curve resulted with linear elastic material properties had a higher difference with the experimental curves. The values of predicted forces were determined and compared with the experimental curve. An error indicator was introduced and computed for each case and compared. Additionally Root Mean Square Error (RMSE) values were also calculated for each model and compared. The results of modelling were used to develop material model for peel and flesh tissues in FEA modelling of mechanical peeling of tough skinned vegetables.

Influence of friction during forming processes-a study using a numerical simulation technique

Friction has an important influence in metal forming operations, as it contributes to the success or otherwise of the process. In the present investigation, the effect of friction on metal forming was studied by simulating compression tests on cylindrical Al-Mg alloy using the finite element method (FEM) technique. Three kinds of compression tests were considered wherein a constant coefficient of friction was employed at the upper die-work-piece interface. However, the coefficient of friction between the lower die-work-piece interfaces was varied in the tests. The simulation results showed that a difference in metal flow occurs near the interfaces owing to the differences in the coefficient of friction. It was concluded that the variations in the coefficient of friction between the dies and the work-piece directly affect the stress distribution and shape of the work-piece, having implications on the microstructure of the material being processed.

Arterial luminal curvature and fibrous-cap thickness affect critical stress conditions within atherosclerotic plaque: An in vivo MRI-based 2D finite-element study

High mechanical stress in atherosclerotic plaques at vulnerable sites, called critical stress, contributes to plaque rupture. The site of minimum fibrous cap (FC) thickness (FCMIN) and plaque shoulder are well-documented vulnerable sites. The inherent weakness of the FC material at the thinnest point increases the stress, making it vulnerable, and it is the big curvature of the lumen contour over FC which may result in increased plaque stress. We aimed to assess critical stresses at FCMIN and the maximum lumen curvature over FC (LCMAX) and quantify the difference to see which vulnerable site had the highest critical stress and was, therefore, at highest risk of rupture. One hundred patients underwent high resolution carotid magnetic resonance (MR) imaging. We used 352 MR slices with delineated atherosclerotic components for the simulation study. Stresses at all the integral nodes along the lumen surface were calculated using the finite-element method. FCMIN and LCMAX were identified, and critical stresses at these sites were assessed and compared. Critical stress at FC MIN was significantly lower than that at LCMAX (median: 121.55 kPa; inter quartile range (IQR) = [60.70-180.32] kPa vs. 150.80 kPa; IQR = [91.39-235.75] kPa, p < 0.0001). If critical stress at FCMIN was only used, then the stress condition of 238 of 352 MR slices would be underestimated, while if the critical stress at LCMAX only was used, then 112 out of 352 would be underestimated. Stress analysis at FCMIN and LCMAX should be used for a refined mechanical risk assessment of atherosclerotic plaques, since material failure at either site may result in rupture.