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

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

25th annual computational neuroscience meeting: CNS-2016

The same neuron may play different functional roles in the neural circuits to which it belongs. For example, neurons in the Tritonia pedal ganglia may participate in variable phases of the swim motor rhythms [1]. While such neuronal functional variability is likely to play a major role the delivery of the functionality of neural systems, it is difficult to study it in most nervous systems. We work on the pyloric rhythm network of the crustacean stomatogastric ganglion (STG) [2]. Typically network models of the STG treat neurons of the same functional type as a single model neuron (e.g. PD neurons), assuming the same conductance parameters for these neurons and implying their synchronous firing [3, 4]. However, simultaneous recording of PD neurons shows differences between the timings of spikes of these neurons. This may indicate functional variability of these neurons. Here we modelled separately the two PD neurons of the STG in a multi-neuron model of the pyloric network. Our neuron models comply with known correlations between conductance parameters of ionic currents. Our results reproduce the experimental finding of increasing spike time distance between spikes originating from the two model PD neurons during their synchronised burst phase. The PD neuron with the larger calcium conductance generates its spikes before the other PD neuron. Larger potassium conductance values in the follower neuron imply longer delays between spikes, see Fig. 17.Neuromodulators change the conductance parameters of neurons and maintain the ratios of these parameters [5]. Our results show that such changes may shift the individual contribution of two PD neurons to the PD-phase of the pyloric rhythm altering their functionality within this rhythm. Our work paves the way towards an accessible experimental and computational framework for the analysis of the mechanisms and impact of functional variability of neurons within the neural circuits to which they belong

Simula Research Laboratory

The Simula Research Laboratory, located just outside Oslo in Norway, is rightly famed as a highly successful research facility, despite being, at only eight years old, a very young institution. This fascinating book tells the history of Simula, detailing the culture and values that have been the guiding principles of the laboratory throughout its existence. Dedicated to tackling scientific challenges of genuine social importance, the laboratory undertakes important research with long-term implications in networks, computing and software engineering, including specialist work in biomedical com

Local existence and stability for a hyperbolic-elliptic system modeling two-phase reservoir flow

A system arising in the modeling of oil-recovery processes is analyzed. It consists of a hyperbolic conservation law governing the saturation and an elliptic equation for the pressure. By an operator splitting approach, an approximate solution is constructed. For this approximation appropriate a-priori bounds are derived. Applying the Arzela-Ascoli theorem, local existence and uniqueness of a classical solution for the original hyperbolic-elliptic system is proved. Furthermore, convergence of the approximation generated by operator splitting towards the unique solution follows. It is also proved that the unique solution is stable with respect to perturbations of the initial data