Fast and Efficient Numerical Methods for an Extended Black-Scholes Model

An efficient linear solver plays an important role while solving partial differential equations (PDEs) and partial integro-differential equations (PIDEs) type mathematical models. In most cases, the efficiency depends on the stability and accuracy of the numerical scheme considered. In this article we consider a PIDE that arises in option pricing theory (financial problems) as well as in various scientific modeling and deal with two different topics. In the first part of the article, we study several iterative techniques (preconditioned) for the PIDE model. A wavelet basis and a Fourier sine basis have been used to design various preconditioners to improve the convergence criteria of iterative solvers. We implement a multigrid (MG) iterative method. In fact, we approximate the problem using a finite difference scheme, then implement a few preconditioned Krylov subspace methods as well as a MG method to speed up the computation. Then, in the second part in this study, we analyze the stability and the accuracy of two different one step schemes to approximate the model.Comment: 29 pages; 10 figure

Tchebychev Polynomial Approximations for mthm^{th} Order Boundary Value Problems

Higher order boundary value problems (BVPs) play an important role modeling various scientific and engineering problems. In this article we develop an efficient numerical scheme for linear $m^{th}$ order BVPs. First we convert the higher order BVP to a first order BVP. Then we use Tchebychev orthogonal polynomials to approximate the solution of the BVP as a weighted sum of polynomials. We collocate at Tchebychev clustered grid points to generate a system of equations to approximate the weights for the polynomials. The excellency of the numerical scheme is illustrated through some examples.Comment: 21 pages, 10 figure

Spatiotemporal Orthogonal Polynomial Approximation for Partial Differential Equations

Starting with some fundamental concepts, in this article we present the essential aspects of spectral methods and their applications to the numerical solution of Partial Differential Equations (PDEs). We start by using Lagrange and Techbychef orthogonal polynomials for spatiotemporal approximation of PDEs as a weighted sum of polynomials. We use collocation at some clustered grid points to generate a system of equations to approximate the weights for the polynomials. We finish the study by demonstrating approximate solutions of some PDEs in one space dimension.Comment: 9 pages, 9 figure

The Battery is the Message: Media Archaeology as an Energy Art Practice

This text is an investigation of battery technologies and planned obsolescence in the context of energy consumption, electronic waste and environmental crisis as brought on by current communication technologies. Tracing the battery’s formative histories, the text examines its messy chemistries, entanglements with portable computing to current extraction of constituent minerals of Lithium and Cobalt as bundled into contemporary media devices. Building on Hertz and Parikka’s Media Archaeology as an Art Method, the author aims to extend this research and critique into an energy art practice. Here, media archaeology becomes a method to conduct critical and artistic examinations of media technologies as concerned with energy and ecology. The text demonstrates this approach through the study of the Community Power Bank (2016-18), a community-participated energy art project in Helsinki. The project recycled Lithium-ion batteries through Do-It-Yourself (DIY) workshops, hacking and dismantling, and co-constructing power banks amidst discussion about e-waste and ecological concerns among community participants. The project also catalyzed conversations about the political economy of contemporary black-boxed technologies and the intertwined issues of energy, resource depletion and environmental impact

A multigrid method for the Helmholtz equation with optimized coarse grid corrections

We study the convergence of multigrid schemes for the Helmholtz equation, focusing in particular on the choice of the coarse scale operators. Let G_c denote the number of points per wavelength at the coarse level. If the coarse scale solutions are to approximate the true solutions, then the oscillatory nature of the solutions implies the requirement G_c > 2. However, in examples the requirement is more like G_c >= 10, in a trade-off involving also the amount of damping present and the number of multigrid iterations. We conjecture that this is caused by the difference in phase speeds between the coarse and fine scale operators. Standard 5-point finite differences in 2-D are our first example. A new coarse scale 9-point operator is constructed to match the fine scale phase speeds. We then compare phase speeds and multigrid performance of standard schemes with a scheme using the new operator. The required G_c is reduced from about 10 to about 3.5, with less damping present so that waves propagate over > 100 wavelengths in the new scheme. Next we consider extensions of the method to more general cases. In 3-D comparable results are obtained with standard 7-point differences and optimized 27-point coarse grid operators, leading to an order of magnitude reduction in the number of unknowns for the coarsest scale linear system. Finally we show how to include PML boundary layers, using a regular grid finite element method. Matching coarse scale operators can easily be constructed for other discretizations. The method is therefore potentially useful for a large class of discretized high-frequency Helmholtz equations.Comment: Coarse scale operators are simplified and only standard smoothers used in v3; 5 figures, 12 table

Windowed Fourier Frames to Approximate Two-Point Boundary Value Problems

Boundary value problems arise while modeling various physical and engineering reality. In this communication we investigate windowed Fourier frames focusing two-point BVPs. We approximate BVPs using windowed Fourier frames. We present some numerical results to demonstrate the efficiency of such frame functions to approximate BVPs