Abstract: A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.
Abstract: This study aimed at developing an inverse heat transfer approach for predicting the time-varying freezing front and the temperature distribution of tumors during cryosurgery. Using a temperature probe pressed against the layer of tumor, the inverse approach is able to predict simultaneously the metabolic heat generation and the blood perfusion rate of the tumor. Once these parameters are predicted, the temperature-field and time-varying freezing fronts are determined with the direct model. The direct model rests on one-dimensional Pennes bioheat equation. The phase change problem is handled with the enthalpy method. The Levenberg-Marquardt Method (LMM) combined to the Broyden Method (BM) is used to solve the inverse model. The effect (a) of the thermal properties of the diseased tissues; (b) of the initial guesses for the unknown thermal properties; (c) of the data capture frequency; and (d) of the noise on the recorded temperatures is examined. It is shown that the proposed inverse approach remains accurate for all the cases investigated.
Abstract: In this paper, we consider a geometric inverse source
problem for the heat equation with Dirichlet and Neumann boundary
data. We will reconstruct the exact form of the unknown source
term from additional boundary conditions. Our motivation is to
detect the location, the size and the shape of source support.
We present a one-shot algorithm based on the Kohn-Vogelius
formulation and the topological gradient method. The geometric
inverse source problem is formulated as a topology optimization
one. A topological sensitivity analysis is derived from a source
function. Then, we present a non-iterative numerical method for the
geometric reconstruction of the source term with unknown support
using a level curve of the topological gradient. Finally, we give
several examples to show the viability of our presented method.
Abstract: This article presents a numerical method to find the
heat flux in an inhomogeneous inverse heat conduction problem with
linear boundary conditions and an extra specification at the terminal.
The method is based upon applying the satisfier function along with
the Ritz-Galerkin technique to reduce the approximate solution of the
inverse problem to the solution of a system of algebraic equations.
The instability of the problem is resolved by taking advantage of
the Landweber’s iterations as an admissible regularization strategy.
In computations, we find the stable and low-cost results which
demonstrate the efficiency of the technique.
Abstract: This research is presented with microwave (MW) ablation by using the T-Prong monopole antennas. In the study, three-dimensional (3D) finite-element methods (FEM) were utilized to analyse: the tissue heat flux, temperature distributions (heating pattern) and volume destruction during MW ablation in liver cancer tissue. The configurations of T-Prong monopole antennas were considered: Three T-prong antenna, Expand T-Prong antenna and Arrow T-Prong antenna. The 3D FEMs solutions were based on Maxwell and bio-heat equations. The microwave power deliveries were 10 W; the duration of ablation in all cases was 300s. Our numerical result, heat flux and the hotspot occurred at the tip of the T-prong antenna for all cases. The temperature distribution pattern of all antennas was teardrop. The Arrow T-Prong antenna can induce the highest temperature within cancer tissue. The microwave ablation was successful when the region where the temperatures exceed 50°C (i.e. complete destruction). The Expand T-Prong antenna could complete destruction the liver cancer tissue was maximized (6.05 cm3). The ablation pattern or axial ratio (Widest/length) of Expand T-Prong antenna and Arrow T-Prong antenna was 1, but the axial ratio of Three T-prong antenna of about 1.15.
Abstract: This paper is concerned with microwave (MW) ablation for a liver cancer tissue by using helix antenna. The antenna structure supports the propagation of microwave energy at 2.45 GHz. A 1½ turn spiral catheter-based microwave antenna applicator has been developed. We utilize the three-dimensional finite element method (3D FEM) simulation to analyze where the tissue heat flux, lesion pattern and volume destruction during MW ablation. The configurations of helix antenna where Helix air-core antenna and Helix Dielectric-core antenna. The 3D FEMs solutions were based on Maxwell and bio-heat equations. The simulation protocol was power control (10 W, 300s). Our simulation result, both helix antennas have heat flux occurred around the helix antenna and that can be induced the temperature distribution similar (teardrop). The region where the temperature exceeds 50°C the microwave ablation was successful (i.e. complete destruction). The Helix air-core antenna and Helix Dielectric-core antenna, ablation zone or axial ratios (Widest/length) were respectively 0.82 and 0.85; the complete destructions were respectively 4.18 cm3 and 5.64 cm3
Abstract: We consider the problem of stabilization of an unstable
heat equation in a 2-D, 3-D and generally n-D domain by deriving a
generalized backstepping boundary control design methodology. To
stabilize the systems, we design boundary backstepping controllers
inspired by the 1-D unstable heat equation stabilization procedure.
We assume that one side of the boundary is hinged and the other
side is controlled for each direction of the domain. Thus, controllers
act on two boundaries for 2-D domain, three boundaries for 3-D
domain and ”n” boundaries for n-D domain. The main idea of the
design is to derive ”n” controllers for each of the dimensions by
using ”n” kernel functions. Thus, we obtain ”n” controllers for the
”n” dimensional case. We use a transformation to change the system
into an exponentially stable ”n” dimensional heat equation. The
transformation used in this paper is a generalized Volterra/Fredholm
type with ”n” kernel functions for n-D domain instead of the one
kernel function of 1-D design.
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: Discretization of spatial derivatives is an important
issue in meshfree methods especially when the derivative terms
contain non-linear coefficients. In this paper, various methods used
for discretization of second-order spatial derivatives are investigated
in the context of Smoothed Particle Hydrodynamics. Three popular
forms (i.e. "double summation", "second-order kernel derivation",
and "difference scheme") are studied using one-dimensional unsteady
heat conduction equation. To assess these schemes, transient response
to a step function initial condition is considered. Due to parabolic
nature of the heat equation, one can expect smooth and monotone
solutions. It is shown, however in this paper, that regardless of
the type of kernel function used and the size of smoothing radius,
the double summation discretization form leads to non-physical
oscillations which persist in the solution. Also, results show that when
a second-order kernel derivative is used, a high-order kernel function
shall be employed in such a way that the distance of inflection
point from origin in the kernel function be less than the nearest
particle distance. Otherwise, solutions may exhibit oscillations near
discontinuities unlike the "difference scheme" which unconditionally
produces monotone results.
Abstract: The Wavelet-Galerkin finite element method for
solving the one-dimensional heat equation is presented in this work.
Two types of basis functions which are the Lagrange and multi-level
wavelet bases are employed to derive the full form of matrix system.
We consider both linear and quadratic bases in the Galerkin method.
Time derivative is approximated by polynomial time basis that
provides easily extend the order of approximation in time space. Our
numerical results show that the rate of convergences for the linear
Lagrange and the linear wavelet bases are the same and in order 2
while the rate of convergences for the quadratic Lagrange and the
quadratic wavelet bases are approximately in order 4. It also reveals
that the wavelet basis provides an easy treatment to improve
numerical resolutions that can be done by increasing just its desired
levels in the multilevel construction process.
Abstract: In this paper, collocation based cubic B-spline and
extended cubic uniform B-spline method are considered for
solving one-dimensional heat equation with a nonlocal initial
condition. Finite difference and θ-weighted scheme is used for
time and space discretization respectively. The stability of the
method is analyzed by the Von Neumann method. Accuracy of
the methods is illustrated with an example. The numerical results
are obtained and compared with the analytical solutions.
Abstract: This work focuses on analysis of classical heat transfer equation regularized with Maxwell-Cattaneo transfer law. Computer simulations are performed in MATLAB environment. Numerical experiments are first developed on classical Fourier equation, then Maxwell-Cattaneo law is considered. Corresponding equation is regularized with a balancing diffusion term to stabilize discretizing scheme with adjusted time and space numerical steps. Several cases including a convective term in model equations are discussed, and results are given. It is shown that limiting conditions on regularizing parameters have to be satisfied in convective case for Maxwell-Cattaneo regularization to give physically acceptable solutions. In all valid cases, uniform convergence to solution of initial heat equation with Fourier law is observed, even in nonlinear case.