Abstract: The goal of option pricing theory is to help the investors
to manage their money, enhance returns and control their financial
future by theoretically valuing their options. However, most of the
option pricing models have no analytical solution. Furthermore,
not all the numerical methods are efficient to solve these models
because they have nonsmoothing payoffs or discontinuous derivatives
at the exercise price. In this paper, we solve the American option
under jump diffusion models by using efficient time-dependent
numerical methods. several techniques are integrated to reduced
the overcome the computational complexity. Fast Fourier Transform
(FFT) algorithm is used as a matrix-vector multiplication solver,
which reduces the complexity from O(M2) into O(M logM).
Partial fraction decomposition technique is applied to rational
approximation schemes to overcome the complexity of inverting
polynomial of matrices. The proposed method is easy to implement
on serial or parallel versions. Numerical results are presented to prove
the accuracy and efficiency of the proposed method.
Abstract: The goal of option pricing theory is to help the
investors to manage their money, enhance returns and control their
financial future by theoretically valuing their options. Modeling
option pricing by Black-School models with jumps guarantees to
consider the market movement. However, only numerical methods
can solve this model. Furthermore, not all the numerical methods
are efficient to solve these models because they have nonsmoothing
payoffs or discontinuous derivatives at the exercise price. In this
paper, the exponential time differencing (ETD) method is applied
for solving partial integrodifferential equations arising in pricing
European options under Merton’s and Kou’s jump-diffusion models.
Fast Fourier Transform (FFT) algorithm is used as a matrix-vector
multiplication solver, which reduces the complexity from O(M2)
into O(M logM). A partial fraction form of Pad`e schemes is used
to overcome the complexity of inverting polynomial of matrices.
These two tools guarantee to get efficient and accurate numerical
solutions. We construct a parallel and easy to implement a version
of the numerical scheme. Numerical experiments are given to show
how fast and accurate is our scheme.
Abstract: In this paper, one dimensional advection diffusion
model is analyzed using finite difference method based on
Crank-Nicolson scheme. A practical problem of filter cake washing
of chemical engineering is analyzed. The model is converted into
dimensionless form. For the grid Ω × ω = [0, 1] × [0, T], the
Crank-Nicolson spatial derivative scheme is used in space domain
and forward difference scheme is used in time domain. The scheme is
found to be unconditionally convergent, stable, first order accurate in
time and second order accurate in space domain. For a test problem,
numerical results are compared with the analytical ones for different
values of parameter.
Abstract: The concept of City Logistics (CL) has emerged to improve the impacts of last mile freight distribution in urban areas. In this paper, a System Dynamics (SD) model exploring the dynamics of the diffusion of a ICT platform for CL management across different populations is proposed. For the development of the model two sources have been used. On the one hand, the major diffusion variables and feedback loops are derived from a literature review of existing diffusion models. On the other hand, the parameters are represented by the value propositions delivered by the platform as a response to some of the users’ needs. To extract the most important value propositions the Business Model Canvas approach has been used. Such approach in fact focuses on understanding how a company can create value for her target customers. These variables and parameters are thus translated into a SD diffusion model with three different populations namely municipalities, logistics service providers, and own account carriers. Results show that, the three populations under analysis fully adopt the platform within the simulation time frame, highlighting a strong demand by different stakeholders for CL projects aiming at carrying out more efficient urban logistics operations.
Abstract: Pricing financial contracts on several underlying assets
received more and more interest as a demand for complex derivatives.
The option pricing under asset price involving jump diffusion
processes leads to the partial integral differential equation (PIDEs),
which is an extension of the Black-Scholes PDE with a new integral
term. The aim of this paper is to show how basket option prices
in the jump diffusion models, mainly on the Merton model, can
be computed using RBF based approximation methods. For a test
problem, the RBF-PU method is applied for numerical solution
of partial integral differential equation arising from the two-asset
European vanilla put options. The numerical result shows the
accuracy and efficiency of the presented method.
Abstract: This paper investigates a possible practical solution for reasonable oxygen supply during the pluripotent stem cells expansion processes, where the stem cells propagate as aggregates in stirred-suspension bioreactors. Low glucose and low oxygen concentrations are preferred for efficient proliferation of pluripotent stem cells. However, strong oxygen limitation, especially inside of cell aggregates, can lead to cell starvation and death. In this research, the oxygen concentration profile inside of stem cell aggregates in a stem cell expansion process was predicted using a modified oxygen diffusion model. This profile can be realized during the stem cells cultivation process by manipulating the oxygen concentration in inlet gas or inlet gas flow. The proposed approach is relatively simple and may be attractive for installation in a real pluripotent stem cell expansion processes.
Abstract: We present a robust nonlinear parabolic partial
differential equation (PDE)-based denoising scheme in this article.
Our approach is based on a second-order anisotropic diffusion model
that is described first. Then, a consistent and explicit numerical
approximation algorithm is constructed for this continuous model by
using the finite-difference method. Finally, our restoration
experiments and method comparison, which prove the effectiveness
of this proposed technique, are discussed in this paper.
Abstract: The aim of this work is to present a low cost adsorbent
for removing toxic heavy metals from aqueous solutions. Therefore,
we are interested to investigate the efficiency of natural clay minerals
collected from south Tunisia and their modified form using sulfuric
acid in the removal of toxic metal ions: Zn(II) and Pb(II) from
synthetic waste water solutions. The obtained results indicate that
metal uptake is pH-dependent and maximum removal was detected to
occur at pH 6. Adsorption equilibrium is very rapid and it was
achieved after 90 min for both metal ions studied. The kinetics results
show that the pseudo-second-order model describes the adsorption
and the intraparticle diffusion models are the limiting step. The
treatment of natural clay with sulfuric acid creates more active sites
and increases the surface area, so it showed an increase of the
adsorbed quantities of lead and zinc in single and binary systems. The
competitive adsorption study showed that the uptake of lead was
inhibited in the presence of 10 mg/L of zinc. An antagonistic binary
adsorption mechanism was observed. These results revealed that clay
is an effective natural material for removing lead and zinc in single
and binary systems from aqueous solution.
Abstract: This paper reports the worldwide status of building
information modeling (BIM) adoption from the perspectives of the
engagement level, the Hype Cycle model, the technology diffusion
model, and BIM services. An online survey was distributed, and 156
experts from six continents responded. Overall, North America was
the most advanced continent, followed by Oceania and Europe.
Countries in Asia perceived their phase mainly as slope of
enlightenment (mature) in the Hype Cycle model. In the technology
diffusion model, the main BIM-users worldwide were “early majority”
(third phase), but those in the Middle East/Africa and South America
were “early adopters” (second phase). In addition, the more advanced
the country, the more number of BIM services employed in general. In
summary, North America, Europe, Oceania, and Asia were advancing
rapidly toward the mature stage of BIM, whereas the Middle
East/Africa and South America were still in the early phase. The
simple indexes used in this study may be used to track the worldwide
status of BIM adoption in long-term surveys.
Abstract: This paper presents a complete dynamic modeling
of a membrane distillation process. The model contains two
consistent dynamic models. A 2D advection-diffusion equation
for modeling the whole process and a modified heat equation
for modeling the membrane itself. The complete model describes
the temperature diffusion phenomenon across the feed, membrane,
permeate containers and boundary layers of the membrane. It gives
an online and complete temperature profile for each point in the
domain. It explains heat conduction and convection mechanisms that
take place inside the process in terms of mathematical parameters, and
justify process behavior during transient and steady state phases. The
process is monitored for any sudden change in the performance at any
instance of time. In addition, it assists maintaining production rates
as desired, and gives recommendations during membrane fabrication
stages. System performance and parameters can be optimized
and controlled using this complete dynamic model. Evolution of
membrane boundary temperature with time, vapor mass transfer along
the process, and temperature difference between membrane boundary
layers are depicted and included. Simulations were performed over
the complete model with real membrane specifications. The plots
show consistency between 2D advection-diffusion model and the
expected behavior of the systems as well as literature. Evolution
of heat inside the membrane starting from transient response till
reaching steady state response for fixed and varying times is
illustrated.
Abstract: Adsorption of CS2 vapors has been studied on
different types of activated carbons obtained from different source
raw materials. The activated carbons have different surface areas and
are associated with varying amounts of the carbon-oxygen surface
groups. The adsorption of CS2 vapors is not directly related to surface
area, but is considerably influenced by the presence of carbonoxygen
surface groups. The adsorption decreases on increasing the
amount of carbon-oxygen surface groups on oxidation and increases
when these surface groups are eliminated on degassing. The
adsorption is maximum in case of the 950°-degassed carbon sample
which is almost completely free of any associated oxygen. The
kinetic data as analysed by Empirical diffusion model and Linear
driving force mass transfer model indicate that the adsorption does
not involve Fickian diffusion but may be considered as a pseudo first
order mass transfer process. The activation energy of adsorption and
isosteric enthalpies of adsorption indicate that the adsorption does not
involve interaction between CS2 and carbon-oxygen surface groups,
but hydrophobic interactions between CS2 and C-C atoms in the
carbon lattice.
Abstract: The rate of nitrate adsorption by a nitrate selective ion
exchange resin was investigated in a well-stirred batch experiments.
The kinetic experimental data were simulated with diffusion models including external mass transfer, particle diffusion and chemical
adsorption. Particle pore volume diffusion and particle surface diffusion were taken into consideration separately and simultaneously
in the modeling. The model equations were solved numerically using the Crank-Nicholson scheme. An optimization technique was
employed to optimize the model parameters. All nitrate concentration
decay data were well described with the all diffusion models. The
results indicated that the kinetic process is initially controlled by external mass transfer and then by particle diffusion. The external
mass transfer coefficient and the coefficients of pore volume diffusion and surface diffusion in all experiments were close to each
other with the average value of 8.3×10-3 cm/S for external mass
transfer coefficient. In addition, the models are more sensitive to the
mass transfer coefficient in comparison with particle diffusion. Moreover, it seems that surface diffusion is the dominant particle
diffusion in comparison with pore volume diffusion.
Abstract: A phenomenological model for species spreading which incorporates the Allee effect, a species- maximum attainable growth rate, collective dispersal rate and dispersal adaptability is presented. This builds on a well-established reaction-diffusion model for spatial spreading of invading organisms. The model is phrased in terms of the “hostility" (which quantifies the Allee threshold in relation to environmental sustainability) and dispersal adaptability (which measures how a species is able to adapt its migratory response to environmental conditions). The species- invading/retreating speed and the sharpness of the invading boundary are explicitly characterised in terms of the fundamental parameters, and analysed in detail.
Abstract: The InAlGaN alloy has only recently began receiving
serious attention into its growth and application. High quality InGaN
films have led to the development of light emitting diodes (LEDs) and
blue laser diodes (LDs). The quaternary InAlGaN however, represents
a more versatile material since the bandgap and lattice constant can be
independently varied. We report an ultraviolet (UV) quaternary
InAlGaN multi-quantum wells (MQWs) LD study by using the
simulation program of Integrated System Engineering (ISE TCAD).
Advanced physical models of semiconductor properties were used in
order to obtain an optimized structure. The device performance which
is affected by piezoelectric and thermal effects was studied via
drift-diffusion model for carrier transport, optical gain and loss. The
optical performance of the UV LD with different numbers of quantum
wells was numerically investigated. The main peak of the emission
wavelength for double quantum wells (DQWs) was shifted from 358
to 355.8 nm when the forward current was increased. Preliminary
simulated results indicated that better output performance and lower
threshold current could be obtained when the quantum number is four,
with output power of 130 mW and threshold current of 140 mA.
Abstract: Web-based technologies have created numerous
opportunities for electronic word-of-mouth (eWOM) communication.
There are many factors that affect customer adoption and decisionmaking
process. However, only a few researches focus on some
factors such as the membership time of forum and propensity to trust.
Using a discrete-time event simulation to simulate a diffusion model
along with a consumer decision model, the study shows the effect of
each factor on adoption of opinions on on-line discussion forum. The
purpose of this study is to examine the effect of factor affecting
information adoption and decision making process. The model is
constructed to test quantitative aspects of each factor. The simulation
study shows the membership time and the propensity to trust has an
effect on information adoption and purchasing decision. The result of
simulation shows that the longer the membership time in the
communities and the higher propensity to trust could lead to the
higher demand rates because consumers find it easier and faster to
trust the person in the community and then adopt the eWOM. Other
implications for both researchers and practitioners are provided.
Abstract: Prior research has not effectively investigated how the
profitability of Chinese branches affect FDIs in China [1, 2], so this
study for the first time incorporates realistic earnings information
to systematically investigate effects of innovation, imitation, and
profit factors of FDI diffusions from Taiwan to China. Our nonlinear
least square (NLS) model, which incorporates earnings factors,
forms a nonlinear ordinary differential equation (ODE) in numerical
simulation programs. The model parameters are obtained through
a genetic algorithms (GA) technique and then optimized with the
collected data for the best accuracy. Particularly, Taiwanese regulatory
FDI restrictions are also considered in our modified model to meet
the realistic conditions. To validate the model-s effectiveness, this
investigation compares the prediction accuracy of modified model
with the conventional diffusion model, which does not take account
of the profitability factors.
The results clearly demonstrate the internal influence to be positive,
as early FDI adopters- consistent praises of FDI attract potential firms
to make the same move. The former erects a behavior model for the
latter to imitate their foreign investment decision. Particularly, the
results of modified diffusion models show that the earnings from
Chinese branches are positively related to the internal influence. In
general, the imitating tendency of potential consumers is substantially
hindered by the losses in the Chinese branches, and these firms would
invest less into China. The FDI inflow extension depends on earnings
of Chinese branches, and companies will adjust their FDI strategies
based on the returns. Since this research has proved that earning is
an influential factor on FDI dynamics, our revised model explicitly
performs superior in prediction ability than conventional diffusion
model.
Abstract: Reactiondiffusion systems are mathematical models that describe how the concentration of one or more substances distributed in space changes under the influence of local chemical reactions in which the substances are converted into each other, and diffusion which causes the substances to spread out in space. The classical representation of a reaction-diffusion system is given by semi-linear parabolic partial differential equations, whose general form is ÔêétX(x, t) = DΔX(x, t), where X(x, t) is the state vector, D is the matrix of the diffusion coefficients and Δ is the Laplace operator. If the solute move in an homogeneous system in thermal equilibrium, the diffusion coefficients are constants that do not depend on the local concentration of solvent and of solutes and on local temperature of the medium. In this paper a new stochastic reaction-diffusion model in which the diffusion coefficients are function of the local concentration, viscosity and frictional forces of solvent and solute is presented. Such a model provides a more realistic description of the molecular kinetics in non-homogenoeus and highly structured media as the intra- and inter-cellular spaces. The movement of a molecule A from a region i to a region j of the space is described as a first order reaction Ai k- → Aj , where the rate constant k depends on the diffusion coefficient. Representing the diffusional motion as a chemical reaction allows to assimilate a reaction-diffusion system to a pure reaction system and to simulate it with Gillespie-inspired stochastic simulation algorithms. The stochastic time evolution of the system is given by the occurrence of diffusion events and chemical reaction events. At each time step an event (reaction or diffusion) is selected from a probability distribution of waiting times determined by the specific speed of reaction and diffusion events. Redi is the software tool, developed to implement the model of reaction-diffusion kinetics and dynamics. It is a free software, that can be downloaded from http://www.cosbi.eu. To demonstrate the validity of the new reaction-diffusion model, the simulation results of the chaperone-assisted protein folding in cytoplasm obtained with Redi are reported. This case study is redrawing the attention of the scientific community due to current interests on protein aggregation as a potential cause for neurodegenerative diseases.
Abstract: Prediction of benzene transport in soil and volatilization from soil to the atmosphere is important for the preservation of human health and management of contaminated soils. The adequacy of a simple numerical model, assuming two-phase diffusion and equilibrium of liquid/solid adsorption, was investigated by experimental data of benzene concentration in a flux chamber (with headspace) where Andosol and sand were filled. Adsorption experiment for liquid phase was performed to determine an adsorption coefficient. Furthermore, adequacy of vapor phase adsorption was also studied through two runs of experiment using sand with different water content. The results show that the model adequately predicted benzene transport and volatilization from Andosol and sand with water content of 14.0%. In addition, the experiment additionally revealed that vapor phase adsorption should be considered in diffusion model for sand with very low water content.
Abstract: Technology or lack of it will play an important role in Africa-s effort to achieve inclusive development. Although a key determinant of competitiveness, new technology can exacerbate exclusion of the majority from the mainstream economic activities. To minimise potential technology exclusion while leveraging its critical role in African-s development, requires insight into technology diffusion process. Using system dynamics approach, a technology diffusion model is presented. The frequency of interaction of people exposed to and those not exposed to technology, and the technology adoption rate - the fraction of people who embrace new technologies once they are exposed, are identified as the broad factors critical to technology diffusion to wider society enabling more people to be part of the economic growth process. Based on simulation results, it is recommends that these two broad factors should form part of national policy aimed at achieving inclusive and sustainable development in Africa.
Abstract: Possible advantages of technology in educational
context required the defining boundaries of formal and informal
learning. Increasing opportunity to ubiquitous learning by
technological support has revealed a question of how to discover
the potential of individuals in the spontaneous environments such as
social networks. This seems to be related with the question of what
purposes in social networks have been being used? Social networks
provide various advantages in educational context as collaboration,
knowledge sharing, common interests, active participation and
reflective thinking. As a consequence of these, the purpose of this
study is composed of proposing a new model that could determine
factors which effect adoption of social network applications for usage
in educational context. While developing a model proposal, the
existing adoption and diffusion models have been reviewed and they
are thought to be suitable on handling an original perspective instead
of using completely other diffusion or acceptance models because of
different natures of education from other organizations. In the
proposed model; social factors, perceived ease of use, perceived
usefulness and innovativeness are determined four direct constructs
that effect adoption process. Facilitating conditions, image,
subjective norms and community identity are incorporated to model
as antecedents of these direct four constructs.