Fast and accurate pricing of discretely monitored barrier options by numerical path integration

Barrier options are financial derivative contracts that are activated or deactivated according to the crossing of specified barriers by an underlying asset price. Exact models for pricing barrier options assume continuous monitoring of the underlying dynamics, usually a stock price. Barrier options in traded markets, however, nearly always assume less frequent observation, e.g. daily or weekly. These situations require approximate solutions to the pricing problem. We present a new approach to pricing such discretely monitored barrier options that may be applied in many realistic situations. In particular, we study daily monitored up-and-out call options of the European type with a single underlying stock. The approach is based on numerical approximation of the transition probability density associated with the stochastic differential equation describing the stock price dynamics, and provides accurate results in less than one second whenever a contract expires in a year or less. The flexibility of the method permits more complex underlying dynamics than the Black and Scholes paradigm, and its relative simplicity renders it quite easy to implement.     

Carbon membranes from cellulose and metal loaded cellulose

The focus of this work was to find a low-cost precursor for carbon molecular sieve (CMS) membranes, and a simple way of producing them. In addition, several ways of modifying a carbon material are described. The modification method used in this study was metal doping of carbon. CMS membranes were formed by vacuum carbonization of cellulose and metal loaded cellulose. Metal additives include oxides of Ca, Mg, Fe(III) and Si, and nitrates of Ag, Cu and Fe(III).The carbon membrane containing Fe-nitrate has promising separation performance for the gas pairs O₂/N₂ and CO₂/CH₄. Carbon containing nitrates of Cu or Ag show high selectivity, but reduced O₂ and CO₂ permeability compared to carbon with Fe-nitrate. Element analysis indicates that Cu migrates to the carbon surface, creating an extra layer resistance to gas transport. A silver mirror is also seen on the surface of Ag-nitrate-containing carbon. However, the Ag- and Cu-containing membranes show a high H₂ permeability. Adding metal oxides makes the carbon membranes retard the transport of easily condensable gases (e.g. CO₂). This can be exploited for enhanced H₂/CO₂ separation efficiency.     

Concrete Beams Exposed to Live Loading during Carbon Fiber Reinforced Polymer Strengthening

The need for structural rehabilitation of concrete structures all over the world is well known. Extensive amounts of research have been carried out and are ongoing in this field. Most of the laboratory research has been undertaken on structural elements without live load during the strengthening process. Normally owners of structures want to continue their activity or service during strengthening. Full-scale applications have shown that this is possible, but there is a lack of understanding as to how cyclic loads are distributed during strengthening; for example, traffic loads affect the final strengthening result. This paper presents laboratory tests on concrete beams strengthened with carbon fiber-reinforced polymer laminates and near-surface mounted reinforcement. The beams were subjected to a cyclic load during setting of the adhesive, and after additional hardening were then loaded by deformation control up to failure.     

On Sequenial Tests of the Bincknial Distribution

In this paper, we consider the detailed characteristics of the standard sequential test of a simple hypothesis versus a single alternative for the case of the binomial distribution. A method is developed which permits evaluation of the associated probabilities of acceptance and/or rejection of the null hypothesis at each stage. From this information, the quantitative features of the test (Operating Characteristic and test termination probability) are completely determined. Curves are presented to facilitate assessment of the sequential procedure in practical cases. A sequential test is compared with a fixed sample size test having approximately the same Operating Characteristic. Wald's approximation for the average sample number is compared with exact values.     

Uncertainty and sensitivity analyses as a validation tool for BWR bundle thermal-hydraulic predictions

In recent years, more realistic safety analyses of nuclear reactors have been based on best estimate (BE) computer codes. The need to validate and refine BE codes that are used in the predictions of relevant reactor safety parameters, led to the organization of international benchmarks based on high quality experimental data. The OECD/NRC BWR full-size fine-mesh bundle test (BFBT) benchmark offers a good opportunity to assess the accuracy of thermal-hydraulic codes in predicting, among other parameters, single and two phase bundle pressure drop, cross-sectional averaged void fraction distributions and critical powers under a wide range of system conditions. The BFBT is based on a multi-rod assembly integral test facility which is able to simulate the high pressure, high temperature fluid conditions found in BWRs through electrically heated rod bundles. Since code accuracy is unavoidably affected by models and experimental uncertainties, an uncertainty analysis is fundamental in order to have a complete validation study. In this paper, statistical uncertainty and sensitivity analyses are used to validate the thermal-hydraulic features of the POLCA-T code, based on a one dimensional model of the following macroscopic BFBT exercises: (1) single and two phase bundle pressure drop, (2) steady-state cross-sectional averaged void fraction, (3) transient cross-sectional averaged void fraction and (4) steady-state critical power tests. The Latin hypercube sampling (LHS) strategy was chosen since it densely stratifies across the range of each uncertain input probability distribution, allowing a much better coverage of the input uncertainties than simple random sampling (SRS). The results show that POLCA-T predictions on pressure drop and void fractions under a wide range of conditions are within the validation limits imposed by the uncertainty analysis, while the accuracy of critical power predictions depends much on the boundary and input conditions.     

Flip the tip: an automated,high quality,cost-effective patch clamp screen

The race for creating an automated patch clamp has begun. Here, we present a novel technology to produce true gigaseals and whole cell preparations at a high rate. Suspended cells are flushed toward the tip of glass micropipettes. Seal, whole-cell break-in, and pipette/liquid handling are fully automated. Extremely stable seals and access resistance guarantee high recording quality. Data obtained from different cell types sealed inside pipettes show long-term stability, voltage clamp and seal quality, as well as block by compounds in the pM range. A flexible array of independent electrode positions minimizes consumables consumption at maximal throughput. Pulled micropipettes guarantee a proven gigaseal substrate with ultra clean and smooth surface at low cost.     

Facial dynamics as indicators of trustworthiness and cooperative behavior.

Detecting cooperative partners in situations that have financial stakes is crucial to successful social exchange. The authors tested whether humans are sensitive to subtle facial dynamics of counterparts when deciding whether to trust and cooperate. Participants played a 2-person trust game before which the facial dynamics of the other player were manipulated using brief (     

Future train traffic control: control by re-planning

Improving train traffic control can be a cost-efficient way to improve train traffic punctuality and increase utilization of existing and future railway infrastructure. However, performance in train traffic control tasks currently involves working on a technical level in order to regulate the traffic flow. Working in a preventive manner is poorly supported and train traffic controllers are usually restricted to just solving problems as they occur. This often results in unnecessarily long delays and decreased timeliness of train traffic. The main objective of this paper is to describe a proposed control strategy and a case study, which evaluates the control strategy and the prototype tool derived from the research. By shifting the control paradigm to a high-level control strategy, many of today’s problems may be avoided, with benefits of the reduction in delays, improved timeliness and better utilization of the infrastructure. Twenty-one train traffic controllers participated in a case study, with a simulated prototype environment. The majority of the participating train traffic controllers were positive to the new concepts and ideas. Many of the important aspects of the proposed control strategy can be investigated with the simulation, but due to the complexity of train traffic some issues must be evaluated in an operative environment.     

Detection and Localization of Delaminations in Thin Carbon Fiber Reinforced Composites with the Ultrasonic Polar Scan

In this paper, the hybrid compliance-stiffness matrix method for simulating wave propagation in (delaminated) multilayered media with viscoelastic anisotropy has been confronted with high-quality amplitude and phase experiments on delaminated composites, obtained using the ultrasonic polar scan setup (UPS) in transmission by considering harmonic as well as pulsed ultrasound. Results are presented for multiple thin carbon/epoxy laminates with an artificial edge delamination induced by a foil insert, showing a good agreement between experimental recording and numerical modeling. The obtained results further reveal the feasibility of the harmonic UPS to detect and even locate the depth-position of multiple delaminations in fiber reinforced composites. Considering that the harmonic UPS method does not rely on the detection of different echoes like the classical C-scan, but rather expounds the conditions for efficient stimulation of guided waves in the solid, the method is found to be highly suited for inspecting thin composite materials for the presence of delaminations.