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.     

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.     

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.     

Air entrapment in sheet molding compounds (SMC)

Entrapped air can commonly lead to large delaminations in thick walled sheet molding compound (SMC) products. In this work different sources of air entrapment in SMC are investigated. The critical process is shown to be the impregnation of the fibers. If no surface active additives are used, large volumes of air may be entrapped in this process, unless the viscosity of the compound is very low. In this situation of poor wetting, the viscosity of the compound during fiber impregnation will critically determine the interlaminar, tensile strength of the product. However, if surface active additives are used, the air escapes entrapment even at relatively high viscosities. The lowering of the viscosity, which is a side effect of the additives, has practically no importance under these conditions of good wetting. Large numbers of small air bubbles are also entrapped during the mixing of the components, but it is shown that these bubbles have very little effect on the mechanical properties of the finished part.