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: Modeling sediment transport processes by means of numerical approach often poses severe challenges. In this way, a number of techniques have been suggested to solve flow and sediment equations in decoupled, semi-coupled or fully coupled forms. Furthermore, in order to capture flow discontinuities, a number of techniques, like artificial viscosity and shock fitting, have been proposed for solving these equations which are mostly required careful calibration processes. In this research, a numerical scheme for solving shallow water and Exner equations in fully coupled form is presented. First-Order Centered scheme is applied for producing required numerical fluxes and the reconstruction process is carried out toward using Monotonic Upstream Scheme for Conservation Laws to achieve a high order scheme. In order to satisfy C-property of the scheme in presence of bed topography, Surface Gradient Method is proposed. Combining the presented scheme with fourth order Runge-Kutta algorithm for time integration yields a competent numerical scheme. In addition, to handle non-prismatic channels problems, Cartesian Cut Cell Method is employed. A trained Multi-Layer Perceptron Artificial Neural Network which is of Feed Forward Back Propagation (FFBP) type estimates sediment flow discharge in the model rather than usual empirical formulas. Hydrodynamic part of the model is tested for showing its capability in simulation of flow discontinuities, transcritical flows, wetting/drying conditions and non-prismatic channel flows. In this end, dam-break flow onto a locally non-prismatic converging-diverging channel with initially dry bed conditions is modeled. The morphodynamic part of the model is verified simulating dam break on a dry movable bed and bed level variations in an alluvial junction. The results show that the model is capable in capturing the flow discontinuities, solving wetting/drying problems even in non-prismatic channels and presenting proper results for movable bed situations. It can also be deducted that applying Artificial Neural Network, instead of common empirical formulas for estimating sediment flow discharge, leads to more accurate results.
Abstract: The problem of incompressible steady flow simulation around an airfoil is discussed. For some simplest airfoils (circular, elliptical, Zhukovsky airfoils) the exact solution is known from complex analysis. It allows to compute the intensity of vortex layer which simulates the airfoil. Some modifications of the vortex element method are proposed and test computations are carried out. It-s shown that the these approaches are much more effective in comparison with the classical numerical scheme.
Abstract: In this paper we discuss the effect of unbounded particle interaction operator on particle growth and we study how this can address the choice of appropriate time steps of the numerical simulation. We provide also rigorous mathematical proofs showing that large particles become dominating with increasing time while small particles contribute negligibly. Second, we discuss the efficiency of the algorithm by performing numerical simulations tests and by comparing the simulated solutions with some known analytic solutions to the Smoluchowski equation.