Search results for "Partial derivative"
showing 2 items of 22 documents
Finite-size effects of Kirkwood–Buff integrals from molecular simulations
2017
The modelling of thermodynamic properties of liquids from local density fluctuations is relevant to many chemical and biological processes. The Kirkwood–Buff (KB) theory connects the microscopic structure of isotropic liquids with macroscopic properties such as partial derivatives of activity coefficients, partial molar volumes and compressibilities. Originally, KB integrals were formulated for open and infinite systems which are difficult to access with standard Molecular Dynamics (MD) simulations. Recently, KB integrals for finite and open systems were formulated (J Phys Chem Lett. 2013;4:235). From the scaling of KB integrals for finite subvolumes, embedded in larger reservoirs, with the…
Iterative Methods for Pricing American Options under the Bates Model
2013
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…