0000000001012365
AUTHOR
Jari Toivanen
A Domain Imbedding Method with Distributed Lagrange Multipliers for Acoustic Scattering Problems
The numerical computation of acoustic scattering by bounded twodimensional obstacles is considered. A domain imbedding method with Lagrange multipliers is introduced for the solution of the Helmholtz equation with a second-order absorbing boundary condition. Distributed Lagrange multipliers are used to enforce the Dirichlet boundary condition on the scatterer. The saddle-point problem arising from the conforming finite element discretization is iteratively solved by the GMRES method with a block triangular preconditioner. Numerical experiments are performed with a disc and a semi-open cavity as scatterers.
An Operator Splitting Method for Pricing American Options
Pricing American options using partial (integro-)differential equation based methods leads to linear complementarity problems (LCPs). The numerical solution of these problems resulting from the Black-Scholes model, Kou’s jump-diffusion model, and Heston’s stochastic volatility model are considered. The finite difference discretization is described. The solutions of the discrete LCPs are approximated using an operator splitting method which separates the linear problem and the early exercise constraint to two fractional steps. The numerical experiments demonstrate that the prices of options can be computed in a few milliseconds on a PC.
Robust and Efficient IMEX Schemes for Option Pricing under Jump-Diffusion Models
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump diffusion process. The schemes include the families of IMEX-midpoint, IMEXCNAB and IMEX-BDF2 schemes. Each family is defined by a convex parameter c ∈ [0, 1], which divides the zeroth-order term due to the jumps between the implicit and explicit part in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restrictions, the IMEX-midpoint fa…
ADI schemes for valuing European options under the Bates model
Abstract This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model in finance. Three different adaptations are formulated and their (von Neumann) stability is analyzed. Ample numerical experiments are provided for the Bates PIDE, illustrating the actual stability and convergence behaviour of the three adaptations.
Nuclear shell model applied to metallic clusters
We apply the nuclear shell model to jellium clusters of up to twenty-one Na atoms. Binding energies, ionization potentials, and photoabsorption cross sections are calculated and compared with mean-field results.
A damping preconditioner for time-harmonic wave equations in fluid and elastic material
A physical damping is considered as a preconditioning technique for acoustic and elastic wave scattering. The earlier preconditioners for the Helmholtz equation are generalized for elastic materials and three-dimensional domains. An algebraic multigrid method is used in approximating the inverse of damped operators. Several numerical experiments demonstrate the behavior of the method in complicated two-dimensional and three-dimensional domains. peerReviewed
Estimation of structural and geometrical properties of cortical bone by computerized tomography in 78-year-old women
The structural and geometrical properties of the tibia shaft were investigated at two sections by means of computerized tomography (CT) in 78-year-old women with high (n = 19) and low (n = 17) calcaneal bone mineral density (BMD, g/cm3) previously measured by 125I-photon absorption. The high BMD group had a 20-21% higher tibial BMD and 9-12% higher bone cross-sectional area than was observed in the low BMD group. The distribution of bone mass indicated that the low BMD group had lost bone mainly from the endosteal surface, especially in the anterior part of the tibia. However, both groups had a similar basic pattern of mass distribution at the measured sections. The high BMD group had highe…
A fast Fourier transform based direct solver for the Helmholtz problem
This article is devoted to the efficient numerical solution of the Helmholtz equation in a two‐ or three‐dimensional (2D or 3D) rectangular domain with an absorbing boundary condition (ABC). The Helmholtz problem is discretized by standard bilinear and trilinear finite elements on an orthogonal mesh yielding a separable system of linear equations. The main key to high performance is to employ the fast Fourier transform (FFT) within a fast direct solver to solve the large separable systems. The computational complexity of the proposed FFT‐based direct solver is O(N log N) operations. Numerical results for both 2D and 3D problems are presented confirming the efficiency of the method discussed…
Operator splitting methods for American option pricing
Abstract We propose operator splitting methods for solving the linear complementarity problems arising from the pricing of American options. The space discretization of the underlying Black-Scholes Scholes equation is done using a central finite-difference scheme. The time discretization as well as the operator splittings are based on the Crank-Nicolson method and the two-step backward differentiation formula. Numerical experiments show that the operator splitting methodology is much more efficient than the projected SOR, while the accuracy of both methods are similar.
An algebraic multigrid based shifted-Laplacian preconditioner for the Helmholtz equation
A preconditioner defined by an algebraic multigrid cycle for a damped Helmholtz operator is proposed for the Helmholtz equation. This approach is well suited for acoustic scattering problems in complicated computational domains and with varying material properties. The spectral properties of the preconditioned systems and the convergence of the GMRES method are studied with linear, quadratic, and cubic finite element discretizations. Numerical experiments are performed with two-dimensional problems describing acoustic scattering in a cross-section of a car cabin and in a layered medium. Asymptotically the number of iterations grows linearly with respect to the frequency while for lower freq…
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…
Parallel fictitious domain method for a non‐linear elliptic neumann boundary value problem
Parallelization of the algebraic fictitious domain method is considered for solving Neumann boundary value problems with variable coefficients. The resulting method is applied to the parallel solution of the subsonic full potential flow problem which is linearized by the Newton method. Good scalability of the method is demonstrated on a Cray T3E distributed memory parallel computer using MPI in communication. Copyright © 1999 John Wiley & Sons, Ltd.
Multidisciplinary shape optimization in aerodynamics and electromagnetics using genetic algorithms
SUMMARY A multiobjective multidisciplinary design optimization (MDO) of two-dimensional airfoil is presented. In this paper, an approximation for the Pareto set of optimal solutions is obtained by using a genetic algorithm (GA). The first objective function is the drag coefficient. As a constraint it is required that the lift coefficient is above a given value. The CFD analysis solver is based on the finite volume discretization of the inviscid Euler equations. The second objective function is equivalent to the integral of the transverse magnetic radar cross section (RCS) over a given sector. The computational electromagnetics (CEM) wave field analysis requires the solution of a two-dimensi…
An adaptive multimeme algorithm for designing HIV multidrug therapies.
This paper proposes a period representation for modeling the multidrug HIV therapies and an Adaptive Multimeme Algorithm (AMmA) for designing the optimal therapy. The period representation offers benefits in terms of flexibility and reduction in dimensionality compared to the binary representation. The AMmA is a memetic algorithm which employs a list of three local searchers adaptively activated by an evolutionary framework. These local searchers, having different features according to the exploration logic and the pivot rule, have the role of exploring the decision space from different and complementary perspectives and, thus, assisting the standard evolutionary operators in the optimizati…
Fictitious Domain Methods for the Numerical Solution of Two-Dimensional Scattering Problems
Fictitious domain methods for the numerical solution of two-dimensional scattering problems are considered. The original exterior boundary value problem is approximated by truncating the unbounded domain and by imposing a nonreflecting boundary condition on the artificial boundary. First-order, second-order, and exact nonreflecting boundary conditions are tested on rectangular and circular boundaries. The finite element discretizations of the corresponding approximate boundary value problems are performed using locally fitted meshes, and the discrete equations are solved with fictitious domain methods. A special finite element method using nonmatching meshes is considered. This method uses …
Efficient numerical methods for pricing American options under stochastic volatility
Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained as the solution of a two-dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M-matrices is proposed. The projected SOR, a projected multigrid method, an operator splitting method, a penalty method, and a componentwise splitting method are considered. The last one is a direct method while all other methods are iterative. The resulting systems of linear equations in the operator splitting method and in the penalty method are solved u…
Designing Paper Machine Headbox Using GA
Abstract A non-smooth biobjective optimization problem for designing the shape of a slice channel in a paper machine headbox is described. The conflicting goals defining the optimization problem are the ones determining important quality properties of produced paper: 1) basis weight should be even and 2) the wood fibers of paper should mainly be oriented to the machine direction across the width of the whole paper machine. The novelty of the considered approach is that maximum deviations are used instead of least squares when objective functions are formed. For the solution of this problem, a multiobjective genetic algorithm based on nondominated sorting is considered. The numerical results…
Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models
American options can be priced by solving linear complementary problems (LCPs) with parabolic partial(-integro) differential operators under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. These operators are discretized using finite difference methods leading to a so-called full order model (FOM). Here reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD) and non negative matrix factorization (NNMF) in order to make pricing much faster within a given model parameter variation range. The numerical experiments demonstrate orders of magnitude faster pricing with ROMs. peerReviewed
Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
Abstract European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a give…
LOCAL CONTROL OF SOUND IN STOCHASTIC DOMAINS BASED ON FINITE ELEMENT MODELS
A numerical method for optimizing the local control of sound in a stochastic domain is developed. A three-dimensional enclosed acoustic space, for example, a cabin with acoustic actuators in given locations is modeled using the finite element method in the frequency domain. The optimal local noise control signals minimizing the least square of the pressure field in the silent region are given by the solution of a quadratic optimization problem. The developed method computes a robust local noise control in the presence of randomly varying parameters such as variations in the acoustic space. Numerical examples consider the noise experienced by a vehicle driver with a varying posture. In a mod…
Efficient Iterative Solution of Time-harmonic Scattering by Objects in Layered Fluid
We consider the computation of time-harmonic acoustic scattering by sound-soft or elastic objects in layered media. An example of such problem is the scattering by a mine buried in sediment. The computational domain can be tens or hundreds of meters long while the target requires modeling of details smaller than one centimeter. A discretized problem can have several billion degrees of freedom.
ADI schemes for valuing European options under the Bates model
This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model in finance. Three different adaptations are formulated and their (von Neumann) stability is analyzed. Ample numerical experiments are provided for the Bates PIDE, illustrating the actual stability and convergence behaviour of the three adaptations. peerReviewed
A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models
Partial-integro differential formulations are often used for pricing American options under jump-diffusion models. A survey on such formulations and numerical methods for them is presented. A detailed description of six efficient methods based on a linear complementarity formulation and finite difference discretizations is given. Numerical experiments compare the performance of these methods for pricing American put options under finite activity jump models.
Solution of time-independent Schrödinger equation by the imaginary time propagation method
Numerical solution of eigenvalues and eigenvectors of large matrices originating from discretization of linear and non-linear Schrodinger equations using the imaginary time propagation (ITP) method is described. Convergence properties and accuracy of 2nd and 4th order operator-splitting methods for the ITP method are studied using numerical examples. The natural convergence of the method is further accelerated with a new dynamic time step adjustment method. The results show that the ITP method has better scaling with respect to matrix size as compared to the implicitly restarted Lanczos method. An efficient parallel implementation of the ITP method for shared memory computers is also demons…
IMEX schemes for pricing options under jump–diffusion models
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump-diffusion process. The schemes include the families of IMEX-midpoint, IMEX-CNAB and IMEX-BDF2 schemes. Each family is defined by a convex combination parameter [email protected]?[0,1], which divides the zeroth-order term due to the jumps between the implicit and explicit parts in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restric…
Iterative Methods for Pricing American Options under the Bates Model
We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG meth…
Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a given model p…
Application of Operator Splitting Methods in Finance
Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented for the efficient numerical solution of these problems.
Shape design optimization in 2D aerodynamics using Genetic Algorithms on parallel computers
Publisher Summary This chapter presents two Shape Optimization problems for two dimensional airfoil designs. The first one is a reconstruction problem for an airfoil when the velocity of the flow is known on the surface of airfoil. The second problem is to minimize the shock drag of an airfoil at transonic regime. The flow is modeled by the full potential equations. The discretization of the state equation is done using the finite element method and the resulting non-linear system of equations is solved by using a multi-grid method. The non-linear minimization process corresponding to the shape optimization problems are solved by a parallel implementation of a genetic algorithm (GA). Some n…
On solving separable block tridiagonal linear systems using a GPU implementation of radix-4 PSCR method
Partial solution variant of the cyclic reduction (PSCR) method is a direct solver that can be applied to certain types of separable block tridiagonal linear systems. Such linear systems arise, e.g., from the Poisson and the Helmholtz equations discretized with bilinear finite-elements. Furthermore, the separability of the linear system entails that the discretization domain has to be rectangular and the discretization mesh orthogonal. A generalized graphics processing unit (GPU) implementation of the PSCR method is presented. The numerical results indicate up to 24-fold speedups when compared to an equivalent CPU implementation that utilizes a single CPU core. Attained floating point perfor…
Fast Direct Solver for a Time-harmonic Electromagnetic Problem with an Application
A fast direct solution of a periodic problem derived from the time-harmonic Maxwell’s equations is considered. The problem is discretized by low order hexahedral finite elements proposed by Nedelec. The solver is based on the application of FFT, and it has the computational cost O(N log N). An application to scattering of an electromagnetic wave by a periodic structure is presented.
An iterative method for pricing American options under jump-diffusion models
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou@?s and Merton@?s jump-diffusion models show that the resulting iteration converges rapidly.
Quadratic least-squares formulation for a local active noise control with stochastic domain and noise source
A local active noise control method that uses stochastic numerical acoustical modeling is introduced. The frequency domain acoustical simulations are performed by a sequence solutions to Helmholtz equations approximated by FEM. The proposed ANC method maps microphone measurements linearly to the output signals of antinoise actuators. The matrix defining the linear mapping is optimized for each frequency to minimize expected value of the noise. The paper concentrates on defining the quadratic least-squares optimization problem for the minimization of the sound pressure field in the silet region. The formulation leads to a robust and accurate noise control in stochastic domains that has a sto…
A Projected Algebraic Multigrid Method for Linear Complementarity Problems
We present an algebraic version of an iterative multigrid method for obstacle problems, called projected algebraic multigrid (PAMG) here. We show that classical AMG algorithms can easily be extended to deal with this kind of problem. This paves the way for efficient multigrid solution of obstacle problems with partial differential equations arising, for example, in financial engineering.
Computation of a few smallest eigenvalues of elliptic operators using fast elliptic solvers
The computation of a few smallest eigenvalues of generalized algebraic eigenvalue problems is studied. The considered problems are obtained by discretizing self-adjoint second-order elliptic partial differential eigenvalue problems in two- or three-dimensional domains. The standard Lanczos algorithm with the complete orthogonalization is used to compute some eigenvalues of the inverted eigenvalue problem. Under suitable assumptions, the number of Lanczos iterations is shown to be independent of the problem size. The arising linear problems are solved using some standard fast elliptic solver. Numerical experiments demonstrate that the inverted problem is much easier to solve with the Lanczos…
Parallel Genetic Solution for Multiobjective MDO
Publisher Summary This chapter reviews a multiobjective, multidisciplinary design optimization of two-dimensional airfoil designs. The control points on leading and trailing edges remain fixed, and the y-coordinates of the other control points are allowed to change during the optimization process. The grid for the Euler solver depends continuously and smoothly on the design parameters. The number of nodes and elements in the mesh might vary according to design because the meshes for the Helmholtz solver are done using the local fitting. The computations are made on an IBM SP2 parallel computer using high-performance switch and the MPICH message-passing library. As gradients are not required…
Fast Poisson solvers for graphics processing units
Two block cyclic reduction linear system solvers are considered and implemented using the OpenCL framework. The topics of interest include a simplified scalar cyclic reduction tridiagonal system solver and the impact of increasing the radix-number of the algorithm. Both implementations are tested for the Poisson problem in two and three dimensions, using a Nvidia GTX 580 series GPU and double precision floating-point arithmetic. The numerical results indicate up to 6-fold speed increase in the case of the two-dimensional problems and up to 3- fold speed increase in the case of the three-dimensional problems when compared to equivalent CPU implementations run on a Intel Core i7 quad-core CPU…
Numerical experiments with a parallel fast direct elliptic solver on Cray T3E
A parallel fast direct O(N log N) solver is shortly described for linear systems with separable block tridiagonal matrices. A good parallel scalability of the proposed method is demonstrated on a Cray T3E parallel computer using MPI in communication. Also, the sequential performance is compared with the well-known BLKTRI-implementation of the generalized. cyclic reduction method using a single processor of Cray T3E.
Quantum dots in magnetic fields: Unrestricted symmetries in the current spin-density functional formalism
We apply the current spin-density functional formalism (CSDFT) of Vignale and Rasolt to two-dimensional quantum dots in magnetic fields. Avoiding any spatial symmetry restrictions of the solutions, we find that a broken rotational symmetry of the electronic charge density can occur in high magnetic fields.
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.
An optimal local active noise control method based on stochastic finite element models
A new method is presented to obtain a local active noise control that is optimal in stochastic environment. The method uses numerical acoustical modeling that is performed in the frequency domain by using a sequence of finite element discretizations of the Helmholtz equation. The stochasticity of domain geometry and primary noise source is considered. Reference signals from an array of microphones are mapped to secondary loudspeakers, by an off-line optimized linear mapping. The frequency dependent linear mapping is optimized to minimize the expected value of error in a quiet zone, which is approximated by the numerical model and can be interpreted as a stochastic virtual microphone. A leas…