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.

A two-stage algorithm for identification of nonlinear dynamic systems

This paper investigates the two-stage stepwise identification for a class of nonlinear dynamic systems that can be described by linear-in-the-parameters models, and the model has to be built from a very large pool of basis functions or model terms. The main objective is to improve the compactness of the model that is obtained by the forward stepwise methods, while retaining the computational efficiency. The proposed algorithm first generates an initial model using a forward stepwise procedure. The significance of each selected term is then reviewed at the second stage and all insignificant ones are replaced, resulting in an optimised compact model with significantly improved performance. The main contribution of this paper is that these two stages are performed within a well-defined regression context, leading to significantly reduced computational complexity. The efficiency of the algorithm is confirmed by the computational complexity analysis, and its effectiveness is demonstrated by the simulation results.

Signal-to-Noise Ratio Analysis for Nonlinear N-ary Phase Filters

The problem of recognising targets in non-overlapping clutter using nonlinear N-ary phase filters is addressed. Using mathematical analysis, expressions were derived for an N-ary phase filter and the intensity variance of an optical correlator output. The N-ary phase filter was shown to consist of an infinite sum of harmonic terms whose periodicity was determined by N. For the intensity variance, it was found that under certain conditions the variance was minimised due to a hitherto undiscovered phase quadrature effect. Comparison showed that optimal real filters produced greater SNR values than the continuous phase versions as a consequence of this effect.

Three-dimensional pattern formation, multiple homogeneous soft modes, and nonlinear dielectric electroconvection

Patterns forming spontaneously in extended, three-dimensional, dissipative systems are likely to excite several homogeneous soft modes (approximate to hydrodynamic modes) of the underlying physical system, much more than quasi-one- (1D) and two-dimensional (2D) patterns are. The reason is the lack of damping boundaries. This paper compares two analytic techniques to derive the pattern dynamics from hydrodynamics, which are usually equivalent but lead to different results when applied to multiple homogeneous soft modes. Dielectric electroconvection in nematic liquid crystals is introduced as a model for 3D pattern formation. The 3D pattern dynamics including soft modes are derived. For slabs of large but finite thickness the description is reduced further to a 2D one. It is argued that the range of validity of 2D descriptions is limited to a very small region above threshold. The transition from 2D to 3D pattern dynamics is discussed. Experimentally testable predictions for the stable range of ideal patterns and the electric Nusselt numbers are made. For most results analytic approximations in terms of material parameters are given. [S1063-651X(00)09512-X].

Nonlinear Lagrangian theory of envelope electrostatic plasma waves in a two-electron-temperature plasma

An analytical model based on Lagrangian variables is presented for the description of ion-acoustic waves propagating in an unmagnetized, collisionless, three-component plasma composed of inertial positive ions and two thermalized electron populations, characterized by different temperatures. The wave's amplitude is shown to be modulationally unstable. Different types of localized envelope electrostatic excitations are shown to exist, and their forms are analytically and numerically investigated in terms of the plasma dispersion and nonlinearity laws. These results are in qualitative agreement with satellite observations in the magnetosphere. (C) 2004 American Institute of Physics.

Nonlinear perpendicular propagation of ordinary mode electromagnetic wave packets in pair plasmas and electron-positron-ion plasmas

The nonlinear amplitude modulation of electromagnetic waves propagating in pair plasmas, e.g., electron-positron or fullerene pair-ion plasmas, as well as three-component pair plasmas, e.g., electron-positron-ion plasmas or doped (dusty) fullerene pair-ion plasmas, assuming wave propagation in a direction perpendicular to the ambient magnetic field, obeying the ordinary (O-) mode dispersion characteristics. Adopting a multiple scales (reductive perturbation) technique, a nonlinear Schrodinger-type equation is shown to govern the modulated amplitude of the magnetic field (perturbation). The conditions for modulation instability are investigated, in terms of relevant parameters. It is shown that localized envelope modes (envelope solitons) occur, of the bright- (dark-) type envelope solitons, i.e., envelope pulses (holes, respectively), for frequencies below (above) an explicit threshold. Long wavelength waves with frequency near the effective pair plasma frequency are therefore unstable, and may evolve into bright solitons, while higher frequency (shorter wavelength) waves are stable, and may propagate as envelope holes.(c) 2007 American Institute of Physics.

Fast automatic two-stage nonlinear model identification based on the extreme learning machine

It is convenient and effective to solve nonlinear problems with a model that has a linear-in-the-parameters (LITP) structure. However, the nonlinear parameters (e.g. the width of Gaussian function) of each model term needs to be pre-determined either from expert experience or through exhaustive search. An alternative approach is to optimize them by a gradient-based technique (e.g. Newton’s method). Unfortunately, all of these methods still need a lot of computations. Recently, the extreme learning machine (ELM) has shown its advantages in terms of fast learning from data, but the sparsity of the constructed model cannot be guaranteed. This paper proposes a novel algorithm for automatic construction of a nonlinear system model based on the extreme learning machine. This is achieved by effectively integrating the ELM and leave-one-out (LOO) cross validation with our two-stage stepwise construction procedure [1]. The main objective is to improve the compactness and generalization capability of the model constructed by the ELM method. Numerical analysis shows that the proposed algorithm only involves about half of the computation of orthogonal least squares (OLS) based method. Simulation examples are included to confirm the efficacy and superiority of the proposed technique.

Nonlinear electrostatic excitations of charged dust in degenerate ultra-dense quantum dusty plasmas

The linear and nonlinear properties of low-frequency electrostatic excitations of charged dust particles (or defects) in a dense collisionless, unmagnetized Thomas-Fermi plasma are investigated. A fully ionized three-component model plasma consisting of electrons, ions, and negatively charged massive dust grains is considered. Electrons and ions are assumed to be in a degenerate quantum state, obeying the Thomas-Fermi density distribution, whereas the inertial dust component is described by a set of classical fluid equations. Considering large-amplitude stationary profile travelling-waves in a moving reference frame, the fluid evolution equations are reduced to a pseudo-energy-balance equation, involving a Sagdeev-type potential function. The analysis describes the dynamics of supersonic dust-acoustic solitary waves in Thomas-Fermi plasmas, and provides exact predictions for their dynamical characteristics, whose dependence on relevant parameters (namely, the ion-to-electron Fermi temperature ratio, and the dust concentration) is investigated. An alternative route is also adopted, by assuming weakly varying small-amplitude disturbances off equilibrium, and then adopting a multiscale perturbation technique to derive a Korteweg–de Vries equation for the electrostatic potential, and finally solving in terms for electric potential pulses (electrostatic solitons). A critical comparison between the two methods reveals that they agree exactly in the small-amplitude, weakly superacoustic limit. The dust concentration (Havnes) parameter h = Zd0nd0/ne0 affects the propagation characteristics by modifying the phase speed, as well as the electron/ion Fermi temperatures. Our results aim at elucidating the characteristics of electrostatic excitations in dust-contaminated dense plasmas, e.g., in metallic electronic devices, and also arguably in supernova environments, where charged dust defects may occur in the quantum plasma regime.

Nonlinear wavepackets in pair-ion and electron-positron-ion plasmas

The occurrence of amplitude-modulated electrostatic and electromagnetic
wavepackets in pair plasmas is investigated. A static additional charged background species is considered, accounting for dust defects or for heavy ion
presence in the background. Relying on a two-fluid description, a nonlinear
Schrodinger type evolution equation is obtained and analyzed, in terms of the
slow dynamics of the wave amplitude. Exact envelope excitations are obtained,
modelling envelope pulses or holes, and their characteristics are discussed.

Nonlinear scattering by anisotropic dielectric periodic structures

The combinatorial frequency generation by the periodic stacks of binary layers of anisotropic nonlinear dielectrics is examined. The products of nonlinear scattering are characterised in terms of the three-wave mixing processes. It is shown that the intensity of the scattered waves of combinatorial frequencies is strongly influenced by the constitutive and geometrical parameters of the anisotropic layers, and the frequency ratio and angles of incidence of pump waves. The enhanced efficiency of the frequency conversion at Wolf-Bragg resonances has been demonstrated for the lossless and lossy-layered structures. © 2012 O. V. Shramkova and A. G. Schuchinsky.

Modeling relativistic soliton interactions in overdense plasmas: A perturbed nonlinear Schrodinger equation framework

We investigate the dynamics of localized solutions of the relativistic cold-fluid plasma model in the small but finite amplitude limit, for slightly overcritical plasma density. Adopting a multiple scale analysis, we derive a perturbed nonlinear Schrodinger equation that describes the evolution of the envelope of circularly polarized electromagnetic field. Retaining terms up to fifth order in the small perturbation parameter, we derive a self-consistent framework for the description of the plasma response in the presence of localized electromagnetic field. The formalism is applied to standing electromagnetic soliton interactions and the results are validated by simulations of the full cold-fluid model. To lowest order, a cubic nonlinear Schrodinger equation with a focusing nonlinearity is recovered. Classical quasiparticle theory is used to obtain analytical estimates for the collision time and minimum distance of approach between solitons. For larger soliton amplitudes the inclusion of the fifth-order terms is essential for a qualitatively correct description of soliton interactions. The defocusing quintic nonlinearity leads to inelastic soliton collisions, while bound states of solitons do not persist under perturbations in the initial phase or amplitude

Forward and backward least angle regression for nonlinear system identification

A forward and backward least angle regression (LAR) algorithm is proposed to construct the nonlinear autoregressive model with exogenous inputs (NARX) that is widely used to describe a large class of nonlinear dynamic systems. The main objective of this paper is to improve model sparsity and generalization performance of the original forward LAR algorithm. This is achieved by introducing a replacement scheme using an additional backward LAR stage. The backward stage replaces insignificant model terms selected by forward LAR with more significant ones, leading to an improved model in terms of the model compactness and performance. A numerical example to construct four types of NARX models, namely polynomials, radial basis function (RBF) networks, neuro fuzzy and wavelet networks, is presented to illustrate the effectiveness of the proposed technique in comparison with some popular methods.

Modelling the nonlinear behaviour and fracture process of AS4/PEKK thermoplastic composite under shear loading

The accurate determination of non-linear shear behaviour and fracture toughness of continuous carbon-fibre/polymer composites remains a considerable challenge. These measurements are often necessary to generate material parameters for advanced computational damage models. In particular, there is a dearth of detailed shear fracture toughness characterisation for thermoplastic composites which are increasingly generating renewed interest within the aerospace and automotive sectors. In this work, carbon fibre (AS4)/ thermoplastic Polyetherketoneketone (PEKK) composite V-notched cross-ply specimens were manufactured to investigate their non-linear response under pure shear loading. Both monotonic and cyclic loading were applied to study the shear modulus degradation and progressive failure. For the first time in the reported literature, we use the essential work of fracture approach to measure the shear fracture toughness of continuous fibre reinforced composite laminates. Excellent geometric similarity in the load-displacement curves was observed for ligament-scaled specimens. The laminate fracture toughness was determined by linear regression, of the specific work of fracture values, to zero ligament thickness, and verified with computational models. The matrix intralaminar fracture toughness (ply level fracture toughness), associated with shear loading was determined by the area method. This paper also details the numerical implementation of a new three-dimensional phenomenological model for carbon fibre thermoplastic composites using the measured values, which is able to accurately represent the full non-linear mechanical response and fracture process. The constitutive model includes a new non-linear shear profile, shear modulus degradation and load reversal. It is combined with a smeared crack model for representing ply-level damage initiation and propagation. The model is shown to accurately predict the constitutive response in terms of permanent plastic strain, degraded modulus as well as load reversal. Predictions are also shown to compare favourably with the evolution of damage leading to final fracture.

Initial convergence of the perturbation series expansion for vibrational nonlinear optical properties

Initial convergence of the perturbation series expansion for vibrational nonlinear optical (NLO) properties was analyzed. The zero-point vibrational average (ZPVA) was obtained through first-order in mechanical plus electrical anharmonicity. Results indicated that higher-order terms in electrical and mechanical anharmonicity can make substantial contributions to the pure vibrational polarizibility of typical NLO molecules

New delay-dependent stability criteria for uncertain neutral systems with mixed time-varying delays and nonlinear perturbations

The problem of stability analysis for a class of neutral systems with mixed time-varying neutral, discrete and distributed delays and nonlinear parameter perturbations is addressed. By introducing a novel Lyapunov-Krasovskii functional and combining the descriptor model transformation, the Leibniz-Newton formula, some free-weighting matrices, and a suitable change of variables, new sufficient conditions are established for the stability of the considered system, which are neutral-delay-dependent, discrete-delay-range dependent, and distributeddelay-dependent. The conditions are presented in terms of linear matrix inequalities (LMIs) and can be efficiently solved using convex programming techniques. Two numerical examples are given to illustrate the efficiency of the proposed method