Fast and reliable pricing of American options with local volatility

We present globally convergent multigrid methods for the nonsymmetric obstacle problems as arising from the discretization of Black—Scholes models of American options with local volatilities and discrete data. No tuning or regularization parameters occur. Our approach relies on symmetrization by transformation and data recovery by superconvergence

Generalization of the Zlámal condition for simplicial finite elements in ℝ d

The famous Zlámal's minimum angle condition has been widely used for construction of a regular family of triangulations (containing nondegenerating triangles) as well as in convergence proofs for the finite element method in 2d. In this paper we present and discuss its generalization to simplicial partitions in any space dimension

Measurement of low-mass e + e − pair production in 1 and 2 A GeV C–C collision with HADES

HADES is a secondary generation experiment operated at GSI Darmstadt with the main goal to study dielectron production in proton, pion and heavy ion induced reactions. The first part of the HADES mission is to reinvestigate the puzzling pair excess measured by the DLS collaboration in C+C and Ca+Ca collisions at 1A GeV. For this purpose dedicated measurements with the C+C system at 1 and 2A GeV were performed. The pair excess above a cocktail of free hadronic decays has been extracted and compared to the one measured by DLS. Furthermore, the excess is confronted with predictions of various model calculations. © 2009 Springer-Verlag / Società Italiana di Fisica. 62 1 81 84 Cited By :

Symmetry of iteration graphs

summary:We examine iteration graphs of the squaring function on the rings $\mathbb{Z}/n\mathbb{Z}$ when $n = 2^{k}p$, for $p$ a Fermat prime. We describe several invariants associated to these graphs and use them to prove that the graphs are not symmetric when $k=3$ and when $k\ge 5$ and are symmetric when $k = 4$

Measurements of Phase Dynamics in Planar Josephson Junctions and SQUIDs

We experimentally investigate the stochastic phase dynamics of planar Josephson junctions (JJs) and superconducting quantum interference devices (SQUIDs) defined in epitaxial InAs/Al heterostructures, and characterized by a large ratio of Josephson energy to charging energy. We observe a crossover from a regime of macroscopic quantum tunneling to one of phase diffusion as a function of temperature, where the transition temperature $T^{*}$ is gate-tunable. The switching probability distributions are shown to be consistent with a small shunt capacitance and moderate damping, resulting in a switching current which is a small fraction of the critical current. Phase locking between two JJs leads to a difference in switching current between that of a JJ measured in isolation and that of the same JJ measured in an asymmetric SQUID loop. In the case of the loop, $T^*$ is also tuned by a magnetic flux