<p>In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy.</p>

<p>The MUSCL-Hancock finite volume method with different slope limiters has been analyzed in the context of a fast transient flow problem. A derivation and analysis of the axial forces inside a pipe system due to a flow transient is also performed. </p><p>The following slope limiters were implemented and compared: MC, van Leer, van Albada, Minmod and Superbee. The comparison was based on the method's ability to calculate the forces due to a flow transient inside a pipe system.</p><p>The tests and comparisons in this thesis show that the MC, van Leer, van Albada and Minmod limiters behave very much the same for the flow transient problem. If one would rank these four limiters with respect to the numerical error, the order would be the one presented above, the MC limiter being the most accurate. The error the four limiters produce is mainly of diffusive nature and it is just the magnitude of the diffusion that seems to differ between the methods. One should also note that the workload rank of the four limiters is the same as the order presented above. The MC limiter being the least efficient of the four and the Minmod limiter the most efficient.</p><p>In most of the tests performed the Superbee limiter display a rather negative unpredictable behavior. For some relatively simple cases this particular approach shows big difficulties maintaining the dynamical properties of the force. However, the upside of the Superbee limiter is its remarkable ability to maintain the maximum value of the forces present in the pipe system, preventing underestimation of the maximum magnitude of the force.</p>

In this thesis we study hybrid numerical methods to be used in computational electromagnetics. The purpose is to address a wide frequency range relative to a given geometry. We also focus on efficient and robust numerical algorithms for computing the so called Smooth Surface Diffraction predicted by Geometrical Theory of Diffraction (GTD). We restrict the presentation to frequency domain scattering problems. The hybrid methods consist in combinations of Boundary Element Methods and asymptotic methods. Three hybrids will be presented. One of them has been developed from a theoretical idea to an industrial code. The two other hybrids will be presented mainly from a theoretical perspective. To be able to compute the Smooth Surface Diffracted field we introduce a numerical method that is to be used with surface curvature sensitive meshing, complemented with auxiliary data taken from a geometry database. By using two geometry representations we can show first order convergence and we then achieve an efficient and robust numerical algorithm. This numerical algorithm may be an essential part of an GTD implementation which in its turn is a component in the hybrid methods. As a background to our new techiniques we will also give short introductions to the Boundary Element Method and the Geometrical Theory of Diffraction from a theoretical and implementational point of view.

The inverse heat conduction problem also frequently referred as the sideways heat equation, in short SHE, is considered as a mathematical model for a real application, where it is desirable for someone to determine the temperature on the surface of a body. Since the surface itself is inaccessible for measurements, one is restricted to use temperature data from the interior measurements. From a  mathematical point of view, the entire situation leads to a non-characteristic Cauchy problem, where by using recorded temperature one can solve a well-posed nonlinear problem in the finite region for computing heat flux, and consequently obtain the Cauchy data [u, ux]. Further by using these data and by performing an appropriate method, e.g. a space marching method, one can eventually achieve the desired temperature at x = 0. The problem is severely ill-posed in the sense that the solution does not depend continuously on the data. The problem solved by two different methods, and for both cases we stabilize the computations by replacing the time derivative in the heat equation by a bounded operator. The first one, a spectral method based on finite Fourier space is illustrated to supply an analytical approach for approximating the time derivative. In order to get a better accuracy in the numerical computation, we use cubic spline function for approximating the time derivative in the least squares sense. The inverse problem we want to solve, by using Cauchy data, is a nonlinear heat conduction problem in one space dimension. Since the temperature data u = g(t) is recorded, e.g. by a thermocouple, it usually contains some perturbation in the data. Thus the solution can be severely ill-posed if the Cauchy data become very noisy. Two experiments are presented to test the proposed approach.

This dissertation is focused on theoretical and experimental studies of optical properties of materials and multilayer structures composing liquid crystal displays (LCDs) and electrochromic (EC) devices. By applying spectroscopic ellipsometry, we have determined the optical constants of thin films of electrochromic tungsten oxide (WOx) and nickel oxide (NiOy), the films’ thickness and roughness. These films, which were obtained at spattering conditions possess high transmittance that is important for achieving good visibility and high contrast in an EC device. Another application of the general spectroscopic ellipsometry relates to the study of a photo-alignment layer of a mixture of azo-dyes SD-1 and SDA-2. We have found the optical constants of this mixture before and after illuminating it by polarized UV light. The results obtained confirm the diffusion model to explain the formation of the photo-induced order in azo-dye films. We have developed new techniques for fast characterization of twisted nematic LC cells in transmissive and reflective modes. Our techniques are based on the characteristics functions that we have introduced for determination of parameters of non-uniform birefringent media. These characteristic functions are found by simple procedures and can be utilised for simultaneous determination of retardation, its wavelength dispersion, and twist angle, as well as for solving associated optimization problems. Cholesteric LCD that possesses some unique properties, such as bistability and good selective scattering, however, has a disadvantage – relatively high driving voltage (tens of volts). The way we propose to reduce the driving voltage consists of applying a stack of thin (~1µm) LC layers. We have studied the ability of a layer of a surface stabilized ferroelectric liquid crystal coupled with several retardation plates for birefringent color generation. We have demonstrated that in order to accomplish good color characteristics and high brightness of the display, one or two retardation plates are sufficient.

QC 20100726

This thesis summarizes interrelated simulation studies of three different physical phenomena. The three topics are: simulation of work hardening of materials using dislocation dynamics, investigation of anomalous diffusion in supercooled liquids using molecular dynamics,and kinetic Monte-Carlo simulation of annealing of radiation damaged materials. All three topics require special algorithms in order to enable physically relevant simulations. The author's contributionconsists of development, implementation, and optimization of these algorithms, as well as interpretation of simulation results. / QC 20100805

In high frequency computational electromagnetics, rigorous numerical methods be come unrealistic tools due to computational demand increasing with the frequency. Instead approximations to the solutions of the Maxwell equations can be employed to evaluate th electromagnetic fields. In this thesis, we present the implementations of three high frequency approximat methods. The first two, namely the Geometrical Theory of Diffraction (GTD) and th Physical Optics (PO), are commonly used approximations. The third is a new invention that will be referred to as the Surface Current Extraction-Extrapolation (SCEE). Specifically, the GTD solver is a flexible and modular software package which use Non-Uniform Rational B-spline (NURBS) surfaces to model complex geometries. The PO solver is based on a triangular description of the surfaces and includes fas shadowing by ray tracing as well as contribution from edges to the scattered fields. GTD ray tracing was combined with the PO solver by a well thought-out software architecture Both implementations are now part of the GEMS software suite, the General ElectroMag netic Solvers, which incorporates state-of-the-art numerical methods. During validations both GTD and PO techniques turned out not to be accurate enough to meet the indus trial standards, thus creating the need for a new fast approximate method providing bette control of the approximations. In the SCEE approach, we construct high frequency approximate surface currents ex trapolated from rigourous Method of Moments (MoM) models at lower frequency. T do so, the low frequency currents are projected onto special basis vectors defined on th surface relative to the direction of the incident magnetic field. In such configuration, w observe that each component displays systematic spatial patterns evolving over frequenc in close correlation with the incident magnetic field, thus allowing us to formulate a fre quency model for each component. This new approach is fast, provides good control of th error and represents a platform for future development of high frequency approximations. As an application, we have used these tools to analyse the radar detectability of a new marine distress signaling device. The device, called "Rescue-Wing", works as an inflatabl radar reflector designed to provide a strong radar echo useful for detection and positionin during rescue operations of persons missing at sea. / QC 20101004

In this work we consider the nonlinear case of Black-Scholes equation and apply it to American options. Also, method of Liao and Khaliq of high order was applied to nonlinear Black-Scholes equation in case of American options. Here, we use this method oh fourth order in time and space to raise American option price accuracy.

In this report, we show how to implement direct ray tracing of B´ezier surfaces on graphics processing units (GPUs), in particular bicubic rectangular Bézier surfaces and nonparametric cubic Bézier triangles. We use Newton’s method for the rectangular case and show how to use this method to find the ray-surface intersection. For Newton’s method to work we must build a spatial partitioning hierarchy around each surface patch, and in general, hierarchies are essential to speed up the process of ray tracing. We have chosen to use bounding box hierarchies and show how to implement stackless traversal of such a structure on a GPU. For the nonparametric triangular case, we show how to find the wanted intersection by simply solving a cubic polynomial. Because of the limited precision of current GPUs, we also propose a numerical approach to solve the problem, using a one-dimensional Newton search.