Probabilistic and parallel algorithms for centroidal Voronoi tessellations with application to meshless computing and numerical analysis on surfaces

Centroidal Voronoi tessellations (CVT) are Voronoi tessellations of a region such that the generating points of the tessellations are also the centroids of the corresponding Voronoi regions. Such tessellations are of use in very diverse applications, including data compression, clustering analysis, cell biology, territorial behavior of animals, optimal allocation of resources, and grid generation. A detailed review is given in chapter 1. In chapter 2, some probabilistic methods for determining centroidal Voronoi tessellations and their parallel implementation on distributed memory systems are presented. The results of computational experiments performed on a CRAY T3E-600 system are given for each algorithm. These demonstrate the superior sequential and parallel performance of a new algorithm we introduce. Then, new algorithms are presented in chapter 3 for the determination of point sets and associated support regions that can then be used in meshless computing methods. The algorithms are probabilistic in nature so that they are totally meshfree, i.e., they do not require, at any stage, the use of any coarse or fine boundary conforming or superimposed meshes. Computational examples are provided that show, for both uniform and non-uniform point distributions that the algorithms result in high-quality point sets and high-quality support regions. The extensions of centroidal Voronoi tessellations to general spaces and sets are also available. For example, tessellations of surfaces in a Euclidean space may be considered. In chapter 4, a precise definition of such constrained centroidal Voronoi tessellations (CCVT\u27s) is given and a number of their properties are derived, including their characterization as minimizers of a kind of energy. Deterministic and probabilistic algorithms for the construction of CCVT\u27s are presented and some analytical results for one of the algorithms are given. Some computational examples are provided which serve to illustrate the high quality of CCVT point sets. CCVT point sets are also applied to polynomial interpolation and numerical integration on the sphere. Finally, some conclusions are given in chapter 5

The exponentially convergent trapezoidal rule

It is well known that the trapezoidal rule converges geometrically when applied to analytic functions on periodic intervals or the real line. The mathematics and history of this phenomenon are reviewed and it is shown that far from being a curiosity, it is linked with computational methods all across scientific computing, including algorithms related to inverse Laplace transforms, special functions, complex analysis, rational approximation, integral equations, and the computation of functions and eigenvalues of matrices and operators

Efficient Numerical Methods for Pricing American Options under Lévy Models

Two new numerical methods for the valuation of American and Bermudan options are proposed, which admit a large class of asset price models for the underlying. In particular, the methods can be applied with Lévy models that admit jumps in the asset price. These models provide a more realistic description of market prices and lead to better calibration results than the well-known Black-Scholes model. The proposed methods are not based on the indirect approach via partial differential equations, but directly compute option prices as risk-neutral expectation values. The expectation values are approximated by numerical quadrature methods. While this approach is initially limited to European options, the proposed combination with interpolation methods also allows for pricing of Bermudan and American options. Two different interpolation methods are used. These are cubic splines on the one hand and a mesh-free interpolation by radial basis functions on the other hand. The resulting valuation methods allow for an adaptive space discretization and error control. Their numerical properties are analyzed and, finally, the methods are validated and tested against various single-asset and multi-asset options under different market models