Asymptotics of Sums of Cosine Series with Fractional Monotonicity Coefficients

2021 ◽  
Vol 110 (5-6) ◽  
pp. 894-902
Author(s):  
M. I. D’yachenko
Keyword(s):  
Cosine Series

An analytical approximation formula for the pricing of credit default swaps with regime switching

2021 ◽  
Vol 63 ◽  
pp. 143-162
Author(s):  
Xin-Jiang He ◽  
Sha Lin
Keyword(s):  
Regime Switching ◽  
Credit Default Swap ◽  
Analytical Approximation ◽  
Approximation Formula ◽  
Current Time ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Credit Default

We derive an analytical approximation for the price of a credit default swap (CDS) contract under a regime-switching Black–Scholes model. To achieve this, we first derive a general formula for the CDS price, and establish the relationship between the unknown no-default probability and the price of a down-and-out binary option written on the same reference asset. Then we present a two-step procedure: the first step assumes that all the future information of the Markov chain is known at the current time and presents an approximation for the conditional price under a time-dependent Black–Scholes model, based on which the second step derives the target option pricing formula written in a Fourier cosine series. The efficiency and accuracy of the newly derived formula are demonstrated through numerical experiments. doi:10.1017/S1446181121000274

Thermal Spreading Analysis of Rectangular Heat Spreader

2014 ◽  
Vol 136 (6) ◽  
Author(s):  
S. M. Thompson ◽  
H. B. Ma
Keyword(s):  
Expansion Method ◽  
Area Ratio ◽  
Maximum Temperature ◽  
Heat Spreader ◽  
Two Phase ◽  
Cosine Series ◽  
Steady State Temperature ◽  
Heat Spreaders ◽  
Unique Method ◽  
Biot Numbers

A unique nondimensional scheme that employs a source-to-substrate “area ratio” (e.g., footprint), has been utilized for analytically determining the steady-state temperature field within a centrally-heated, cuboidal heat spreader with square cross-section. A modified Laplace equation was solved using a Fourier expansion method providing for an infinite cosine series solution. This solution can be used to analyze the effects of Biot number, heat spreader thickness, and area ratio on the heat spreader's nondimensional maximum temperature and nondimensional thermal spreading resistance. The solution is accurate only for low Biot numbers (Bi < 0.001); representative of highly-conductive, two-phase heat spreaders. Based on the solution, a unique method for estimating the effective thermal conductivity of a two-phase heat spreader is also presented.

scholarly journals A Mode-Matching Solution for TE-Backscattering from an Arbitrary 2D Rectangular Groove in a PEC

2020 ◽  
Vol 20 (3) ◽  
pp. 159-163 ◽  
Author(s):  
Mehdi Bozorgi
Keyword(s):  
Singular Integrals ◽  
Logarithmic Singularity ◽  
Linear Equations ◽  
Mode Matching ◽  
Electric Conductor ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Fourier Cosine Series ◽  
Highly Oscillatory Integrals ◽  
Rectangular Groove

In this paper, the simple yet effective mode-matching technique is utilized to compute TE-backscattering from a 2D filled rectangular groove in an infinite perfect electric conductor (PEC). The tangential magnetic fields inside and outside of the groove are represented as the sums of infinite series of cosine harmonics (half-range Fourier cosine series). By applying the continuity of the tangential magnetic field, these modes are matched on the groove to obtain the series coefficients by solving a system of linear equations. For this purpose, some oscillatory logarithmic singular integrals involving Hankel and trigonometric functions are solved numerically, starting by removing the logarithmic singularity via integration by parts. In the following, the new well-behaved highly oscillatory integrals are computed using efficient methods, and several comparisons are made to demonstrate the validity and ability of the presented procedure.

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