In this work we investigate the pricing of swing options in a model where the underlying asset follows a jump diffusion process. We focus on the derivation of the partial integro-differential equation (PIDE) which will be applied to swing contracts and construct a novel pay-off function from a tree-based pay-off matrix that can be used as initial condition in the PIDE formulation. For valuing swing type derivatives we develop a theta implicit-explicit finite difference scheme to discretize the PIDE using a Gaussian quadrature method for the integral part. Based on known results for the classical theta-method the existence and uniqueness of solution to the new implicit-explicit finite difference method is proven. Various numerical examples illustrate the usability of the proposed method and allow us to analyse the sensitivity of swing options with respect to model parameters. In particular the effects of number of exercise rights, jump intensities and dividend yields will be investigated in depth.

The theory of a class of spectral methods is extended to Volterra integro-differential equations which contain a weakly singular kernel (t - s)->* with 0 < μ < 1. In this work, we consider the case when the underlying solutions of weakly singular Volterra integro-differential equations are sufficiently smooth. We provide a rigorous error analysis for the spectral methods, which shows that both the errors of approximate solutions and the errors of approximate derivatives of the solutions decay exponentially in L°°-norm and weighted L2-norm. The numerical examples are given to illustrate the theoretical results.

This paper presents three boundary meshless methods for solving problems of steady-state and transient heat conduction in nonlinear functionally graded materials (FGMs). The three methods are, respectively, the method of fundamental solution (MFS), the boundary knot method (BKM), and the collocation Trefftz method (CTM) in conjunction with Kirchhoff transformation and various variable transformations. In the analysis, Laplace transform technique is employed to handle the time variable in transient heat conduction problem and the Stehfest numerical Laplace inversion is applied to retrieve the corresponding time-dependent solutions. The proposed MFS, BKM and CTM are mathematically simple, easy-to-programming, meshless, highly accurate and integration-free. Three numerical examples of steady state and transient heat conduction in nonlinear FGMs are considered, and the results are compared with those from meshless local boundary integral equation method (LBIEM) and analytical solutions to demonstrate the efficiency of the present schemes.

We propose some new weighted averaging methods for gradient recovery, and present analytical and numerical investigation on the performance of these weighted averaging methods. It is shown analytically that the harmonic averaging yields a superconvergent gradient for any mesh in one-dimension and the rectangular mesh in two-dimension. Numerical results indicate that these new weighted averaging methods are better recovered gradient approaches than the simple averaging and geometry averaging methods under triangular mesh.

The purpose of this paper is to analyze some features of contaminant flow passing through cracked porous medium, such as the influence of fracture network on the advection and diffusion of contaminant species, the impact of adsorption on the overall transport of contaminant wastes. In order to precisely describe the whole process, we firstly build the mathematical model to simulate this problem numerically. Taking into consideration of the characteristics of contaminant flow, we employ two partial differential equations to formulate the whole problem. One is flow equation; the other is reactive transport equation. The first equation is used to describe the total flow of contaminant wastes, which is based on Darcy law. The second one will characterize the adsorption, diffusion and convection behavior of contaminant species, which describes most features of contaminant flow we are interested in. After the construction of numerical model, we apply locally conservative and compatible algorithms to solve this mathematical model. Specifically, we apply Mixed Finite Element (MFE) method to the flow equation and Discontinuous Galerkin (DG) method for the transport equation. MFE has a good convergence rate and numerical accuracy for Darcy velocity. DG is more flexible and can be used to deal with irregular meshes, as well as little numerical diffusion. With these two numerical means, we investigate the sensitivity analysis of different features of contaminant flow in our model, such as diffusion, permeability and fracture density. In particular, we study Kd values which represent the distribution of contaminant wastes between the solid and liquid phases. We also make omparisons of two different schemes and discuss the advantages of both methods.

This paper is devoted to the study of the Eulerian-Lagrangian method (ELM) for convection-diffusion equations on unstructured grids with or without accurate numerical integration. We first propose an efficient and accurate algorithm to calculate the integrals in the Eulerian-Lagrangian method. Our approach is based on an algorithm for finding the intersection of two non-matching grids. It has optimal algorithmic complexity and runs fast enough to make time-dependent velocity fields feasible. The evaluation of the integrals leads to increased precision and the unconditional stability. We demonstrate by numerical examples that the ELM with our proposed algorithm for accurate numerical integration has the following two features: first it is much more accurate and more stable than the ones with traditional numerical integration techniques and secondly the overall cost of the proposed method is comparable with the traditional ones.

This study proposes a new formulation of singular boundary method (SBM) to solve the 2D potential problems, while retaining its original merits being free of integration and mesh, easy-to-program, accurate and mathematically simple without the requirement of a fictitious boundary as in the method of fundamental solutions (MFS). The key idea of the SBM is to introduce the concept of the origin intensity factor to isolate the singularity of fundamental solution so that the source points can be placed directly on the physical boundary. This paper presents a new approach to derive the analytical solution of the origin intensity factor based on the proposed subtracting and adding-back techniques. And the troublesome sample nodes in the ordinary SBM are avoided and the sample solution is also not necessary for the Neumann boundary condition. Three benchmark problems are tested to demonstrate the feasibility and accuracy of the new formulation through detailed comparisons with the boundary element method (BEM), MFS, regularized meshless method (RMM) and boundary distributed source (BDS) method.

This paper is the first contribution towards the rigorous justification of asymptotic 1D models for the time-domain simulation of the propagation of electromagnetic waves in coaxial cables. Our general objective is to derive error estimates between the “exact” solution of the full 3D model and the “approximate” solution of the 1D model known as the Telegraphist’s equation.

In this paper, a reliable algorithm based on an adaptation of the standard differential transform method is presented, which is the multi-step differential transform method (MSDTM). The solutions of non-linear oscillators were obtained by MSDTM. Figurative comparisons between the MSDTM and the classical fourth-order Runge-Kutta method (RK4) reveal that the proposed technique is a promising tool to solve non-linear oscillators.

In this paper, numerical sensitivity analysis with respect to the Reynolds number for the flow past obstacle problem is presented. To carry out such analysis, at each time step, we need to solve the incompressible Navier-Stokes equations on irregular domains twice, one for the primary variables; the other is for the sensitivity variables with homogeneous boundary conditions. The Navier-Stokes solver is the augmented immersed interface method for Navier-Stokes equations on irregular domains. One of the most important contribution of this paper is that our analysis can predict the critical Reynolds number at which the vortex shading begins to develop in the wake of the obstacle. Some interesting experiments are shown to illustrate how the critical Reynolds number varies with different geometric settings.

Based on the field velocity method, a novel approach for simulating unsteady pitching and plunging motion of an airfoil is presented in this paper. Responses to pitching and plunging motions of the airfoil are simulated under different conditions. The obtained results are compared with those of moving grid method and good agreement is achieved. In the conventional field velocity method, the Euler solver is usually used to simulate the movement of the airfoil. However, when viscous effect is considered, unsteady Navier-Stokes equations have to be solved and the viscous flux correction must be taken into account. In this work, the viscous flux correction is introduced into the conventional field velocity method when non-uniform grid speed distribution is occurred. Numerical experiments for the flow around NACA0012 airfoil showed that the proposed approach can well simulate viscous moving boundary flow problems.

A local domain-free discretization-immersed boundary method (DFD-IBM) is presented in this paper to solve incompressible Navier-Stokes equations in the primitive variable form. Like the conventional immersed boundary method (IBM), the local DFD-IBM solves the governing equations in the whole domain including exterior and interior of the immersed object. The effect of immersed boundary to the surrounding fluids is through the evaluation of velocity at interior and exterior dependent points. To be specific, the velocity at interior dependent points is computed by approximate forms of solution and the velocity at exterior dependent points is set to the wall velocity. As compared to the conventional IBM, the present approach accurately implements the non-slip boundary condition. As a result, there is no flow penetration, which is often appeared in the conventional IBM results. The present approach is validated by its application to simulate incompressible viscous flows around a circular cylinder. The obtained numerical results agree very well with the data in the literature.

A novel, highly efficient and accurate adaptive higher-order finite element method (hp-FEM) is used to simulate a multi-frequency resistivity logging-while-drilling (LWD) tool response in a borehole environment. Presented in this study are the vector expression of Maxwell’s equations, three kinds of boundary conditions, stability weak formulation of Maxwell’s equations, and automatic hp-adaptivity strategy. The new hp-FEM can select optimal refinement and calculation strategies based on the practical formation model and error estimation. Numerical experiments show that the new hp-FEM has an exponential convergence rate in terms of relative error in a user-prescribed quantity of interest against the degrees of freedom, which provides more accurate results than those obtained using the adaptive h-FEM. The numerical results illustrate the high efficiency and accuracy of the method at a given LWD tool structure and parameters in different physical models, which further confirm the accuracy of the results using the Hermes library (http://hpfem.org/hermes) with a multi-frequency resistivity LWD tool response in a borehole environment.

In this paper, we prove the convergence of homotopy analysis method (HAM). We also apply the homotopy analysis method to obtain approximate analytical solutions of systems of the second kind Volterra integral equations. The HAM solutions contain an auxiliary parameter which provides a convenient way of controlling the convergence region of series solutions. It is shown that the solutions obtained by the homotopy-perturbation method (HPM) are only special cases of the HAM solutions. Several examples are given to illustrate the efficiency and implementation of the method.

In this paper, we propose an iterative two-grid method for the edge finite element discretizations (a saddle-point system) of Perfectly Matched Layer(PML) equations to the Maxwell scattering problem in two dimensions. Firstly, we use a fine space to solve a discrete saddle-point system of H(grad) variational problems, denoted by auxiliary system 1. Secondly, we use a coarse space to solve the original saddle-point system. Then, we use a fine space again to solve a discrete H(curl)-elliptic variational problems, denoted by auxiliary system 2. Furthermore, we develop a regularization diagonal block preconditioner for auxiliary system 1 and use H-X preconditioner for auxiliary system 2. Hence we essentially transform the original problem in a fine space to a corresponding (but much smaller) problem on a coarse space, due to the fact that the above two preconditioners are efficient and stable. Compared with some existing iterative methods for solving saddle-point systems, such as PMinres, numerical experiments show the competitive performance of our iterative two-grid method.

In this paper, we analyze the relation between the shape of the bounded traveling wave solutions and dissipation coefficient of nonlinear wave equation with cubic term by the theory and method of planar dynamical systems. Two critical values which can characterize the scale of dissipation effect are obtained. If dissipation effect is not less than a certain critical value, the traveling wave solutions appear as kink profile; while if it is less than this critical value, they appear as damped oscillatory. All expressions of bounded traveling wave solutions are presented, including exact expressions of bell and kink profile solitary wave solutions, as well as approximate expressions of damped oscillatory solutions. For approximate damped oscillatory solution, using homogenization principle, we give its error estimate by establishing the integral equation which reflects the relations between the exact and approximate solutions. It can be seen that the error is an infinitesimal decreasing in the exponential form.

A fully implicit numerical method, based upon a combination of adaptively refined hierarchical meshes and geometric multigrid, is presented for the simulation of binary alloy solidification in three space dimensions. The computational techniques are presented for a particular mathematical model, based upon the phase-field approach, however their applicability is of greater generality than for the specific phase-field model used here. In particular, an implicit second order time discretization is combined with the use of second order spatial differences to yield a large nonlinear system of algebraic equations as each time step. It is demonstrated that these equations may be solved reliably and efficiently through the use of a nonlinear multigrid scheme for locally refined grids. In effect this paper presents an extension of earlier research in two space dimensions (J. Comput. Phys., 225 (2007), pp. 1271-1287) to fully three-dimensional problems. This extension is validated against earlier two-dimensional results and against some of the limited results available in three dimensions, obtained using an explicit scheme. The efficiency of the implicit approach and the multigrid solver are then demonstrated and some sample computational results for the simulation of the growth of dendrite structures are presented.

Many engineering structures exhibit frequency dependent characteristics and analyses of these structures lead to frequency dependent eigenvalue problems. This paper presents a novel perturbative iteration (PI) algorithm which can be used to effectively and efficiently solve frequency dependent eigenvalue problems of general frequency dependent systems. Mathematical formulations of the proposed method are developed and based on these formulations, a computer algorithm is devised. Extensive numerical case examples are given to demonstrate the practicality of the proposed method. When all modes are included, the method is exact and when only a subset of modes are used, very accurate results are obtained.

This paper deals with the application of a moving mesh method for kinetic/hydrodynamic coupling model in two dimensions. With some criteria, the domain is dynamically decomposed into three parts: kinetic regions where fluids are far from equilibrium, hydrodynamic regions where fluids are near thermody-namical equilibrium and buffer regions which are used as a smooth transition. The Boltzmann-BGK equation is solved in kinetic regions, while Euler equations in hydrodynamic regions and both equations in buffer regions. By a well defined monitor function, our moving mesh method smoothly concentrate the mesh grids to the regions containing rapid variation of the solutions. In each moving mesh step, the solutions are conservatively updated to the new mesh and the cut-off function is rebuilt first to consist with the region decomposition after the mesh motion. In such a framework, the evolution of the hybrid model and the moving mesh procedure can be implemented independently, therefore keep the advantages of both approaches. Numerical examples are presented to demonstrate the efficiency of the method.