WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES

2011 ◽  
Vol 14 (07) ◽  
pp. 1113-1137 ◽  
Author(s):  
B. CARTON DE WIART ◽  
M. A. H. DEMPSTER
Keyword(s):  
Boundary Conditions ◽  
Stiffness Matrix ◽  
Computational Domain ◽  
Fixed Income ◽  
Free Boundary Conditions ◽  
Financial Products ◽  
Approximate Differentiation ◽  
Speed Up ◽  
Pde Method ◽  
Nodal Basis

We introduce a simple but efficient PDE method that makes use of interpolation wavelets for their advantages in compression and interpolation in order to define a sparse computational domain. It uses finite difference filters for approximate differentiation, which provide us with a simple and sparse stiffness matrix for the discrete system. Since the method only uses a nodal basis, the application of non-constant terms, boundary conditions and free-boundary conditions is straightforward. We give empirical results for financial products from the equity and fixed income markets in 1, 2 and 3 dimensions and show a speed-up factor between 2 and 4 with no significant reduction of precision.

scholarly journals Local Well-Posedness for Free Boundary Problem of Viscous Incompressible Magnetohydrodynamics

Mathematics ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 461
Author(s):  
Kenta Oishi ◽  
Yoshihiro Shibata
Keyword(s):  
Free Surface ◽  
Free Boundary ◽  
Boundary Conditions ◽  
Stokes Equations ◽  
Mhd Flow ◽  
Transmission Conditions ◽  
Well Posedness ◽  
Anisotropic Space ◽  
Free Boundary Conditions ◽  
Incompressible Magnetohydrodynamics

In this paper, we consider the motion of incompressible magnetohydrodynamics (MHD) with resistivity in a domain bounded by a free surface. An electromagnetic field generated by some currents in an external domain keeps an MHD flow in a bounded domain. On the free surface, free boundary conditions for MHD flow and transmission conditions for electromagnetic fields are imposed. We proved the local well-posedness in the general setting of domains from a mathematical point of view. The solutions are obtained in an anisotropic space Hp1((0,T),Hq1)∩Lp((0,T),Hq3) for the velocity field and in an anisotropic space Hp1((0,T),Lq)∩Lp((0,T),Hq2) for the magnetic fields with 2<p<∞, N<q<∞ and 2/p+N/q<1. To prove our main result, we used the Lp-Lq maximal regularity theorem for the Stokes equations with free boundary conditions and for the magnetic field equations with transmission conditions, which have been obtained by Frolova and the second author.

Evaluation of Different Turbulence Models Applied in Turbopump’s Hydraulic Turbine

2021 ◽  
Author(s):  
Daniel Ferreira Corrêa Barbosa ◽  
Daniel da Silva Tonon ◽  
Luiz Henrique Lindquist Whitacker ◽  
Jesuino Takachi Tomita ◽  
Cleverson Bringhenti
Keyword(s):  
Boundary Conditions ◽  
Turbulence Model ◽  
Rotor Blade ◽  
Space Shuttle ◽  
Turbulence Models ◽  
Tip Clearance ◽  
Test Facility ◽  
Speed Ratio ◽  
Computational Domain ◽  
Axial Turbine

Abstract The aim of this work is an evaluation of different turbulence models applied in Computational Fluid Dynamics (CFD) techniques in the turbomachinery area, in this case, in an axial turbine stage used in turbopump (TP) application. The tip clearance region was considered in this study because it has a high influence in turbomachinery performance. In this region, due to its geometry and the relative movement between the rotor row and casing, there are losses associated with vortices and secondary flow making the flowfield even more turbulent and complex. Moreover, the flow that leaks in the tip region does not participate in the energy transfer between the fluid and rotor blades, degradating the machine efficiency and performance. In this work, the usual flat tip rotor blade geometry was considered. The modeling of turbulent flow based on Reynolds Averaged Navier-Stokes (RANS) equations predicts the variation of turbine operational characteristics that is sufficient for the present turbomachine and flow analysis. Therefore, the appropriate choice of the turbulence model for the study of a given flow is essential to obtain adequate results using numerical approximations. This comparison become important due to the fact that there is no general turbulence model for all engineering applications that has fluid and flow. The turbomachine considered in the present work, is the first stage of the hydraulic axial turbine used in the Low Pressure Oxidizer Turbopump (LPOTP) of the Space Shuttle Main Engine (SSME), considering the 3.0% tip clearance configuration relative to rotor blade height. The turbulence models evaluated in this work were the SST (Shear Stress Transport), the k-ε Standard and the k-ε RNG. The computational domain was discretized in several control volumes based on unstructured mesh. All the simulations were performed using the commercial software developed by ANSYS, CFX v15.0 (ANSYS). All numerical settings and how the boundary conditions were imposed at different surfaces are explained in the work. The boundary conditions settings follow the same rule used in the test facility and needs some attention during the simulations to vary the Blade-Jet-Speed ratio parameter adequately. The results from numerical simulations, were synthesized and compared with the experimental data published by National Aeronautics and Space Administration (NASA), in which the turbine efficiency and its jet velocity parameter are analyzed for each turbulence model result. The work fluid considered in this work was water, the same fluid used in the NASA test facility.

scholarly journals Identification of Corrosion on a Hollow Tube Using Vibration

2014 ◽  
Vol 564 ◽  
pp. 176-181
Author(s):  
S.T. Cheng ◽  
Nawal Aswan Abdul Jalil ◽  
Zamir A. Zulkefli
Keyword(s):  
Free Boundary ◽  
Boundary Conditions ◽  
Natural Frequency ◽  
Impact Loading ◽  
Structural Damage ◽  
Natural Frequencies ◽  
Localized Corrosion ◽  
Free Boundary Conditions ◽  
The Impact ◽  
Impact Vibration

Vibration based technique have so far been focused on the identification of structural damage. However, not many studies have been conducted on the corrosion identification on pipes. The objective of this paper is to identify corrosion on pipes from vibration measurements. A hollow pipe, 500 mm in length with 63.5 mm in diameter was subjected to impact loading using an impact hammer to identify the natural frequency of the tube in two conditions i) without any corrosion and ii) with an induced localized 40 mm by 40 mm corrosion at the middle of the pipe. The shift of natural frequencies of the structures under free boundary conditions was examined for each node of excitation. The results showed that there is a shift in natural frequency of the pipe, between 3 and 4 Hz near to the corrosion area. It can suggested that that the impact vibration is capable of identifying of localized corrosion on a hollow tube.

LONG-TERM STABILITY ANALYSIS OF ACOUSTIC ABSORBING BOUNDARY CONDITIONS

2013 ◽  
Vol 23 (11) ◽  
pp. 2129-2154 ◽  
Author(s):  
HÉLÈNE BARUCQ ◽  
JULIEN DIAZ ◽  
VÉRONIQUE DUPRAT
Keyword(s):  
Stability Analysis ◽  
Boundary Conditions ◽  
Absorbing Boundary Conditions ◽  
Computational Domain ◽  
Acoustic Wave Equation ◽  
Absorbing Boundary ◽  
Term Stability ◽  
Long Term Stability ◽  
The Stability

This work deals with the stability analysis of a one-parameter family of Absorbing Boundary Conditions (ABC) that have been derived for the acoustic wave equation. We tackle the problem of long-term stability of the wave field both at the continuous and the numerical levels. We first define a function of energy and show that it is decreasing in time. Its discrete form is also decreasing under a Courant–Friedrichs–Lewy (CFL) condition that does not depend on the ABC. Moreover, the decay rate of the continuous energy can be determined: it is exponential if the computational domain is star-shaped and this property can be illustrated numerically.

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