scholarly journals Modelling and Numerical Valuation of Power Derivatives in Energy Markets

2012 ◽  
Vol 4 (03) ◽  
pp. 259-293 ◽  
Author(s):  
Mai Huong Nguyen ◽  
Matthias Ehrhardt
Keyword(s):  
Finite Difference ◽  
Gaussian Quadrature ◽  
Jump Diffusion ◽  
Model Parameters ◽  
Initial Condition ◽  
Swing Options ◽  
Power Derivatives ◽  
Explicit Finite Difference ◽  
Theta Method ◽  
Explicit Finite Difference Method

AbstractIn this work we investigate the pricing of swing options in a model where the underlying asset follows a jump diffusion process. We focus on the derivation of the partial integro-differential equation (PIDE) which will be applied to swing contracts and construct a novel pay-off function from a tree-based pay-off matrix that can be used as initial condition in the PIDE formulation. For valuing swing type derivatives we develop a theta implicit-explicit finite difference scheme to discretize the PIDE using a Gaussian quadrature method for the integral part. Based on known results for the classical theta-method the existence and uniqueness of solution to the new implicit-explicit finite difference method is proven. Various numerical examples illustrate the usability of the proposed method and allow us to analyse the sensitivity of swing options with respect to model parameters. In particular the effects of number of exercise rights, jump intensities and dividend yields will be investigated in depth.

scholarly journals A numerical investigation of non-rotational, rigid spherical particle sedimentation problem in viscous fluid

2002 ◽  
Vol 24 (1) ◽  
pp. 46-50
Author(s):  
Nguyen Hong Phan ◽  
Nguyen Van Diep
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Viscous Fluid ◽  
Spherical Particle ◽  
Diffusion Theory ◽  
Physical Phenomenon ◽  
Continuous Part ◽  
Particle Sedimentation ◽  
Explicit Finite Difference ◽  
Explicit Finite Difference Method

This paper can be considered as continuous part of [1], where the generalized diffusion theory of rigid spherical particle sedimentation in viscous fluid was investigated. Here a numerical solution of non-stationary sedimentation process is obtained by using the explicit finite difference method. The obtained results show that this model can be used for qualitative study of physical phenomenon of sedimentation problem.

Determination of effective oxygen diffusivity in biofilms grown in a completely mixed biodrum reactor

1994 ◽  
Vol 29 (10-11) ◽  
pp. 455-462 ◽  
Author(s):  
Y.-C. Fu ◽  
T. C. Zhang ◽  
P. L. Bishop
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Unsteady State ◽  
The Past ◽  
Oxygen Diffusivity ◽  
Oxygen Microelectrodes ◽  
State Variation ◽  
Explicit Finite Difference ◽  
Explicit Finite Difference Method

Direct measurement of unsteady-state variation of oxygen concentrations inside deactivated biofilm at intervals of 100 μm was conducted with oxygen microelectrodes. The diffusivity of each layer was estimated using an explicit finite-difference method. The results show that the distribution of the biofilm effective oxygen diffusivity varies from 25% Dw at the substratum of the biofilm to 90% Dw at the surface of the biofilm. This information provides experimental evidence necessary for biofilm modelling that could not be approached in the past, and will create a new dimension for evaluation of biofilm processes.

The Applications of Concrete Cut-Off Wall in the Reinforcement of the Earth Dam

2010 ◽  
Vol 150-151 ◽  
pp. 749-752
Author(s):  
Jing Long Li ◽  
Shu Cai Li ◽  
Shu Chen Li
Keyword(s):  
Finite Difference ◽  
Finite Difference Method ◽  
Earth Dam ◽  
Elastic Model ◽  
Cutoff Wall ◽  
The Earth ◽  
Before And After ◽  
Coulomb Model ◽  
Explicit Finite Difference ◽  
Explicit Finite Difference Method

The concrete cutoff wall is a technology used in reinforcing sick dams more usually in recent years. In the text, the advanced FLAC3D method which is based on 3-D explicit finite difference method, is used to simulate a reinforcement of earth dam using concrete cutoff wall. Through the simulation, Mohr-Coulomb model, elastic model and Goodman element are used to analyse the distribution of the stress and the strain of the dam before and after reinforcement. Consequently, we can evaluate the unti-seepaging effect and raise the possible question.

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