Penalty methods for the numerical solution of American multi-asset option problems

AbstractWe derive and analyze a penalty method for solving American multi-asset option problems. A small, non-linear penalty term is added to the Black–Scholes equation. This approach gives a fixed solution domain, removing the free and moving boundary imposed by the early exercise feature of the contract. Explicit, implicit and semi-implicit finite difference schemes are derived, and in the case of independent assets, we prove that the approximate option prices satisfy some basic properties of the American option problem. Several numerical experiments are carried out in order to investigate the performance of the schemes. We give examples indicating that our results are sharp. Finally, the experiments indicate that in the case of correlated underlying assets, the same properties are valid as in the independent case

Unified Framework for Finite Element Assembly

At the heart of any finite element simulation is the assembly of matrices and vectors from discrete variational forms. We propose a general interface between problem-specific and general-purpose components of finite element programs. This interface is called Unified Form-assembly Code (UFC). A wide range of finite element problems is covered, including mixed finite elements and discontinuous Galerkin methods. We discuss how the UFC interface enables implementations of variational form evaluation to be independent of mesh and linear algebra components. UFC does not depend on any external libraries, and is released into the public domain

Unstable eigenmodes are possible drivers for cardiac arrhythmias

The well-organized contraction of each heartbeat is enabled by an electrical wave traversing and exciting the myocardium in a regular manner. Perturbations to this wave, referred to as arrhythmias, can lead to lethal fibrillation if not treated within minutes. One manner in which arrhythmias originate is an ill-fated interaction of the regular electrical signal controlling the heartbeat, the sinus wave, with an ectopic stimulus. It is not fully understood how and when ectopic waves are generated. Based on mathematical models, we show that ectopic beats can be characterized in terms of unstable eigenmodes of the resting state