A numerical study of radial basis function based methods for option pricing under one dimension jump-diffusion model

The aim of this paper is to show how option prices in the Jump-diffusion model can be computed using meshless methods based on Radial Basis Function (RBF) interpolation. The RBF technique is demonstrated by solving the partial integro-differential equation (PIDE) in one-dimension for the Ameri- can put and the European vanilla call/put options on dividend-paying stocks in the Merton and Kou Jump-diffusion models. The radial basis function we select is the Cubic Spline. We also propose a simple numerical algorithm for finding a finite computational range of a global integral term in the PIDE so that the accuracy of approximation of the integral can be improved. Moreover, the solution functions of the PIDE are approximated explicitly by RBFs which have exact forms so we can easily compute the global intergal by any kind of numerical quadrature. Finally, we will also show numerically that our scheme is second order accurate in spatial variables in both American and European cases

Optical Properties of Heavily Fluorinated Lanthanide Tris β-Diketonate Phosphine Oxide Adducts

The construction of lanthanide(III) chelates that exhibit superior photophysical properties holds great importance in biological and materials science. One strategy to increase the luminescence properties of lanthanide(III) chelates is to hinder competitive non-radiative decay processes through perfluorination of the chelating ligands. Here, the synthesis of two families of heavily fluorinated lanthanide(III) β-diketonate complexes bearing monodentate perfluorinated tris phenyl phosphine oxide ligands have been prepared through a facile one pot reaction [Ln(hfac)3{(ArF)3PO}(H2O)] and [Ln(F7-acac)3{(ArF)3PO}2] (where Ln = Sm3+, Eu3+, Tb3+, Er3+ and Yb3+). Single crystal X-ray diffraction analysis in combination with photophysical studies have been performed to investigate the factors responsible for the differences in the luminescence lifetimes and intrinsic quantum yields of the complexes. Replacement of both bound H2O and C–H oscillators in the ligand backbone has a dramatic effect on the photophysical properties of the complexes, particularly for the near infra-red emitting ion Yb3+, where a five fold increase in luminescence lifetime and quantum yield is observed. The complexes [Sm(hfac)3{(ArF)3PO}(H2O)] (1), [Yb(hfac)3{(ArF)3PO}(H2O)] (5), [Sm(F7-acac)3{(ArF)3PO}2] (6) and [Yb(F7-acac)3{(ArF)3PO}2] (10) exhibit unusually long luminescence lifetimes and attractive intrinsic quantum yields of emission in fluid solution (ΦLn = 3.4% (1); 1.4% (10)) and in the solid state (ΦLn = 8.5% (1); 2.0% (5); 26% (6); 11% (10)), which are amongst the largest values for this class of compounds to date

Three-dimensional flow structure behind an Ahmed vehicle model

Paper presented at the 9th International Conference on Heat Transfer, Fluid Mechanics and Thermodynamics, Malta, 16-18 July, 2012.The lasting high fuel cost has recently inspired resurgence in drag reduction research for vehicles, which calls for a thorough understanding of the vehicle wake. The simplified Ahmed vehicle model is characterized by controllable flow separation, thus especially suitable for this purpose. In spite of a considerable number of previous investigations, our knowledge of flow around this model remains incomplete. This work aims to revisit turbulent flow structure behind this model. Two rear slant angles, i.e., α = 25º and 35º, of the model were examined, representing two distinct flow regimes. The Reynolds number was 5.26×104 based on the model height (H) and incident flow velocity. Using particle image velocimetry (PIV), flow was measured with and without a gap (g/H = 0.174) between the vehicle underside and ground in three orthogonal planes, viz. the x-z, x-y and y-z planes, where x, y and z are the coordinates along longitudinal, transverse and spanwise directions, respectively. The flow at g/H = 0 serves as an important reference for the understanding of the highly complicated vehicle wake (g/H ≠ 0). While reconfirming the well documented major characteristics of the mean flow structure, both instantaneous and time-averaged PIV data unveil a number of important features of the flow structure, which have not been previously reported. As such, considerably modified flow structure models are proposed for both regimes. The time-averaged velocities, second moments of fluctuating velocities and vorticity components are presented and discussed, along with their dependence on g/H in the two distinct flow regimes.dc201

The Promotion of ‘Grab Bags’ as a Disaster Risk Reduction Strategy.

Introduction: An all-of-society approach to disaster risk reduction emphasizes inclusion and engagement in preparedness activities. A common recommendation is to promote household preparedness through the preparation of a ‘grab bag’ or ‘disaster kit’, that can be used to shelter-in-place or evacuate. However, there are knowledge gaps related to how this strategy is being used around the world as a disaster risk reduction strategy, and what evidence there is to support recommendations. Methods: In this paper, we present an exploratory study undertaken to provide insight into how grab bag guidelines are used to promote preparedness in Canada, China, England, Japan, and Scotland, and supplemented by a literature review to understand existing evidence for this strategy. Results: There are gaps in the literature regarding evidence on grab bag effectiveness. We also found variations in how grab bag guidelines are promoted across the five case studies. Discussion: While there are clearly common items recommended for household grab bags (such as water and first aid kits), there are gaps in the literature regarding: 1) the evidence base to inform guidelines; 2) uptake of guidelines; and 3) to what extent grab bags reduce demands on essential services and improve disaster resilience

The effect of layer number and substrate on the stability of graphene under MeV proton beam irradiation

The use of graphene electronics in space will depend on the radiation hardness of graphene. The damage threshold of graphene samples, subjected to 2 MeV proton irradiation, was found to increase with layer number and also when the graphene layer was supported by a substrate. The thermal properties of graphene as a function of the number of layers or as influenced by the substrate argue against a thermal model for the production of damage by the ion beam. We propose a model of intense electronically-stimulated surface desorption of the atoms as the most likely process for this damage mechanism.Comment: 20 pages, 5 figure

Multiscale correlative tomography: an investigation of creep cavitation in 316 stainless steel

Creep cavitation in an ex-service nuclear steam header Type 316 stainless steel sample is investigated through a multiscale tomography workflow spanning eight orders of magnitude, combining X-ray computed tomography (CT), plasma focused ion beam (FIB) scanning electron microscope (SEM) imaging and scanning transmission electron microscope (STEM) tomography. Guided by microscale X-ray CT, nanoscale X-ray CT is used to investigate the size and morphology of cavities at a triple point of grain boundaries. In order to understand the factors affecting the extent of cavitation, the orientation and crystallographic misorientation of each boundary is characterised using electron backscatter diffraction (EBSD). Additionally, in order to better understand boundary phase growth, the chemistry of a single boundary and its associated secondary phase precipitates is probed through STEM energy dispersive X-ray (EDX) tomography. The difference in cavitation of the three grain boundaries investigated suggests that the orientation of grain boundaries with respect to the direction of principal stress is important in the promotion of cavity formation