Abstract: In modern financial mathematics, valuing derivatives such as options is often a tedious task. This is simply because their fair and correct prices in the future are often probabilistic. This paper examines three different Stochastic Differential Equation (SDE) models in finance; the Constant Elasticity of Variance (CEV) model, the Balck-Karasinski model, and the Heston model. The various Martingales option price valuation formulas for these three models were obtained using the replicating portfolio method. Also, the numerical solution of the derived Martingales options price valuation equations for the SDEs models was carried out using the Monte Carlo method which was implemented using MATLAB. Furthermore, results from the numerical examples using published data from the Nigeria Stock Exchange (NSE), all share index data show the effect of increase in the underlying asset value (stock price) on the value of the European Put Option for these models. From the results obtained, we see that an increase in the stock price yields a decrease in the value of the European put option price. Hence, this guides the option holder in making a quality decision by not exercising his right on the option.
Abstract: The study aims to understand the surface pressure distribution around the bodies such as the suction pressure in the leading edge on the top and side-face when the aspect ratio of bodies and the wind direction are changed, respectively. We carried out the wind tunnel measurement and numerical simulation around a series of rectangular bodies (40d×80w×80h, 80d×80w×80h, 160d×80w×80h, 80d×40w×80h and 80d×160w×80h in mm3) placed in a deep turbulent boundary layer. Based on a modern numerical platform, the Navier-Stokes equation with the typical 2-equation (k-ε model) and the DES (Detached Eddy Simulation) turbulence model has been calculated, and they are both compared with the measurement data. Regarding the turbulence model, the DES model makes a better prediction comparing with the k-ε model, especially when calculating the separated turbulent flow around a bluff body with sharp edged corner. In order to observe the effect of wind direction on the pressure variation around the cube (e.g., 80d×80w×80h in mm), it rotates at 0º, 10º, 20º, 30º, and 45º, which stands for the salient wind directions in the tunnel. The result shows that the surface pressure variation is highly dependent upon the approaching wind direction, especially on the top and the side-face of the cube. In addition, the transverse width has a substantial effect on the variation of surface pressure around the bodies, while the longitudinal length has little or no influence.
Abstract: The development of guidance, navigation and control algorithms and avionic procedures requires the disposability of suitable analysis and verification tools, such as simulation environments, which support the design process and allow detecting potential problems prior to the flight test, in order to make new technologies available at reduced cost, time and risk. This paper presents a simulation environment for avionic software development and qualification, especially aimed at equipment for general aviation aircrafts and unmanned aerial systems. The simulation environment includes models for short and medium-range radio-navigation aids, flight assistance systems, and ground control stations. All the software modules are able to simulate the modeled systems both in fast-time and real-time tests, and were implemented following component oriented modeling techniques and requirement based approach. The paper describes the specific models features, the architectures of the implemented software systems and its validation process. Performed validation tests highlighted the capability of the simulation environment to guarantee in real-time the required functionalities and performance of the simulated avionics systems, as well as to reproduce the interaction between these systems, thus permitting a realistic and reliable simulation of a complete mission scenario.
Abstract: The global coverage of broadband multimedia and
internet-based services in terrestrial-satellite networks demand
particular interests for satellite providers in order to enhance services
with low latencies and high signal quality to diverse users. In
particular, the delay of on-board processing is an inherent source
of latency in a satellite communication that sometimes is discarded
for the end-to-end delay of the satellite link. The frame work for this
paper includes modelling of an on-orbit satellite payload using an
agent model that can reproduce the properties of processing delays.
In essence, a comparison of different spatial interpolation methods is
carried out to evaluate physical data obtained by an GEO satellite
in order to define a discretization function for determining that
delay. Furthermore, the performance of the proposed agent and the
development of a delay discretization function are together validated
by simulating an hybrid satellite and terrestrial network. Simulation
results show high accuracy according to the characteristics of initial
data points of processing delay for Ku bands.
Abstract: In the age of automation and computation aiding manufacturing, it is clear that manufacturing systems have become more complex than ever before. Although technological advances provide the capability to gain more value with fewer resources, sometimes utilisation of the manufacturing capabilities available to organisations is difficult to achieve. Flexible manufacturing systems (FMS) provide a unique capability to manufacturing organisations where there is a need for product range diversification by providing line efficiency through production flexibility. This is very valuable in trend driven production set-ups or niche volume production requirements. Although FMS provides flexible and efficient facilities, its optimal set-up is key in achieving production performance. As many variables are interlinked due to the flexibility provided by the FMS, analytical calculations are not always sufficient to predict the FMS’ performance. Simulation modelling is capable of capturing the complexity and constraints associated with FMS. This paper demonstrates how discrete event simulation (DES) can address complexity in an FMS to optimise the production line performance. A case study of an automotive FMS is presented. The DES model demonstrates different configuration options depending on prioritising objectives: utilisation and throughput. Additionally, this paper provides insight into understanding the impact of system set-up constraints on the FMS performance and demonstrates the exploration into the optimal production set-up.
Abstract: Flow field around hypersonic vehicles is very
complex and difficult to simulate. The boundary layers are squeezed
between shock layer and body surface. Resolution of boundary layer,
shock wave and turbulent regions where the flow field has high
values is difficult of capture. Detached eddy simulation (DES) is a
modification of a RANS model in which the model switches to a
subgrid scale formulation in regions fine enough for LES
calculations. Regions near solid body boundaries and where the
turbulent length scale is less than the maximum grid dimension are
assigned the RANS mode of solution. As the turbulent length scale
exceeds the grid dimension, the regions are solved using the LES
mode. Therefore the grid resolution is not as demanding as pure LES,
thereby considerably cutting down the cost of the computation. In
this research study hypersonic flow is simulated at Mach 8 and
different angle of attacks to resolve the proper boundary layers and
discontinuities. The flow is also simulated in the long wake regions.
Mesh is little different than RANS simulations and it is made dense
near the boundary layers and in the wake regions to resolve it
properly. Hypersonic blunt cone cylinder body with frustrum at angle
5o and 10 o are simulated and there aerodynamics study is performed
to calculate aerodynamics characteristics of different geometries. The
results and then compared with experimental as well as with some
turbulence model (SA Model). The results achieved with DES
simulation have very good resolution as well as have excellent
agreement with experimental and available data. Unsteady
simulations are performed for DES calculations by using duel time
stepping method or implicit time stepping. The simulations are
performed at Mach number 8 and angle of attack from 0o to 10o for
all these cases. The results and resolutions for DES model found
much better than SA turbulence model.