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.

Image classification accuracy from LANDSAT data for tropical rain forest in Sumatra: An evaluation of ERDAS imagine software

Abstract not available

Prediction of Upward Flame Spread over Polymers

In this work, the existing understanding of flame spread dynamics is enhanced through an extensive study of the heat transfer from flames spreading vertically upwards across 5 cm wide, 20 cm tall samples of extruded Poly (Methyl Methacrylate) (PMMA). These experiments have provided highly spatially resolved measurements of flame to surface heat flux and material burning rate at the critical length scale of interest, with a level of accuracy and detail unmatched by previous empirical or computational studies. Using these measurements, a wall flame model was developed that describes a flame’s heat feedback profile (both in the continuous flame region and the thermal plume above) solely as a function of material burning rate. Additional experiments were conducted to measure flame heat flux and sample mass loss rate as flames spread vertically upwards over the surface of seven other commonly used polymers, two of which are glass reinforced composite materials. Using these measurements, our wall flame model has been generalized such that it can predict heat feedback from flames supported by a wide range of materials. For the seven materials tested here – which present a varied range of burning behaviors including dripping, polymer melt flow, sample burnout, and heavy soot formation – model-predicted flame heat flux has been shown to match experimental measurements (taken across the full length of the flame) with an average accuracy of 3.9 kW m-2 (approximately 10 – 15 % of peak measured flame heat flux). This flame model has since been coupled with a powerful solid phase pyrolysis solver, ThermaKin2D, which computes the transient rate of gaseous fuel production of constituents of a pyrolyzing solid in response to an external heat flux, based on fundamental physical and chemical properties. Together, this unified model captures the two fundamental controlling mechanisms of upward flame spread – gas phase flame heat transfer and solid phase material degradation. This has enabled simulations of flame spread dynamics with a reasonable computational cost and accuracy beyond that of current models. This unified model of material degradation provides the framework to quantitatively study material burning behavior in response to a wide range of common fire scenarios.