An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models

We analyse the Bouchouev integral equation for the deterministic volatility function in the Black–Scholes option pricing model. We areable to reduce Bouchouev's original triple integral equation to a single integral equation and describe its numerical solution. Moreover we show empirically that the most complex term in the equation may often be safely ignored for the purposes of numerical calculations. We present a selection of numerical examples indicating the range of time values for which we would expect the equation to be valid.     

Reduced forward operator for electromagnetic wave scattering problems

The paper describes a reduced forward operator for solving electromagnetic scattering problems using a volume integral equation in conjunction with a conjugate gradient fast Fourier transform scheme. The reduction is obtained by decoupling of the interaction between the locations in the spatial computational domain at which there is non-zero contrast and those positions at which there is zero contrast. The decoupling is achieved by multiplication of the kernel by a diagonal matrix whose entries reflect the presence or absence of contrast at the associated point. Analysis supported by numerical experiments shows that the conjugate gradient algorithm applied to the reduced system converges more rapidly than when it is applied to the original system     

Aspects of social and emotional competence in adult attention-deficit/hyperactivity disorder.

Social and emotional competence were evaluated using self-report and behavioral measures in adults with attention-deficit/hyperactivity disorder (ADHD) and controls. Adults with ADHD viewed themselves as less socially competent but more sensitive toward violations of social norms than controls. Films depicting emotional interactions were used to assess linguistic properties of free recall and perceived emotional intensity. Although adults with ADHD used more words to describe the scenes, they used fewer emotion-related words, despite rating the emotions depicted as more intense than did controls. In contrast, no group differences for words depicting social or cognitive processes were observed. Overall, adults with ADHD appear more aware of their problems in social versus emotional skills. Findings may have implications for improving the psychosocial functioning of these adults. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Linkages between spouses' psychological distress and marital conflict in the home.

To elucidate the processes that underlie the established association between psychopathology and marital functioning, researchers have given attention to how symptomatic individuals manage their interpersonal contexts, particularly during the handling of disagreements. In the current study, the authors evaluate the role of marital conflict strategies in relation to wives' and husbands' psychological distress levels. A sample of 100 community-based couples completed assessments of psychological distress and diaries describing marital conflict that occurred at home during a 15-day reporting period. Findings from multilevel modeling of dyadic data revealed associations between both spouses' psychological distress and multiple behavioral and emotional conflict expressions in the home. Psychological symptoms uniquely predicted the occurrence of certain conflict expressions, even when accounting for global negative marital sentiments. The findings encourage subsequent consideration of marital conflict expressions and resolution strategies when studying processes involved in the marriage-psychological adjustment link. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Hypnosis and clinical pain.

Hypnosis has been demonstrated to reduce analogue pain, and studies on the mechanisms of laboratory pain reduction have provided useful applications to clinical populations. Studies showing central nervous system activity during hypnotic procedures offer preliminary information concerning possible physiological mechanisms of hypnotic analgesia. Randomized controlled studies with clinical populations indicate that hypnosis has a reliable and significant impact on acute procedural pain and chronic pain conditions, Methodological issues of this body of research are discussed, as are methods to better integrate hypnosis into comprehensive pain treatment. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Wind turbine response to parameter variation of analytic inflow vortices

As larger wind turbines are placed on taller towers, rotors frequently operate in atmospheric conditions that support organized, coherent turbulent structures. It is hypothesized that these structures have a detrimental impact on the blade fatigue life experienced by the wind turbine. These structures are extremely difficult to identify with sophisticated anemometry such as ultrasonic anemometers. This study was performed to identify the vortex characteristics that contribute to high‐amplitude cyclic blade loads, assuming that these vortices exist under certain atmospheric conditions. This study does not attempt to demonstrate the existence of these coherent turbulent structures. In order to ascertain the idealized worst‐case scenario for vortical inflow structures impinging on a wind turbine rotor, we created a simple, analytic vortex model. The Rankine vortex model assumes that the vortex core undergoes solid body rotation to avoid a singularity at the vortex centre and is surrounded by a two‐dimensional potential flow field. Using the wind turbine as a sensor and the FAST wind turbine dynamics code with limited degrees of freedom, we determined the aerodynamic loads imparted to the wind turbine by the vortex structure. We varied the size, strength, rotational direction, plane of rotation, and location of the vortex over a wide range of operating parameters. We identified the vortex conformation with the most significant effect on the blade root bending moment cyclic amplitude. Vortices with radii on the scale of the rotor diameter or smaller caused blade root bending moment cyclic amplitudes that contribute to high damage density. The rotational orientation, clockwise or counter‐clockwise, produces little difference in the bending moment response. Vortices in the XZ plane produce bending moment amplitudes significantly greater than vortices in the YZ plane. Published in 2005 by John Wiley & Sons, Ltd.     

A Simple Quasi-2D Numerical Model of a Thermogage Furnace

A simple quasi-2D model for the temperature distribution in a graphite tube furnace is presented. The model is used to estimate the temperature gradients in the furnace at temperatures above which contact sensors can be used, and to assist in the redesign of the furnace heater element to improve the temperature gradients. The Thermogage graphite tube furnace is commonly used in many NMIs as a blackbody source for radiation thermometer calibration and as a spectral irradiance standard. Although the design is robust, easy to operate and can change temperature rapidly, it is limited by its effective emissivity of typically 99.5–99.8%. At NMIA, the temperature gradient along the tube is assessed using thermocouples up to about 1,500°C, and the blackbody emissivity is calculated from this. However, at higher operating temperatures (up to 2,900°C), it is impractical to measure the gradient, and we propose to numerically model the temperature distributions used to calculate emissivity. In another paper at this conference, the model is used to design an optimized heater tube with improved temperature gradients. In the model presented here, the 2-D temperature distribution is simplified to separate the axial and radial temperature distributions within the heater tube and the surrounding insulation. Literature data for the temperature dependence of the electrical and thermal conductivities of the graphite tube were coupled to models for the thermal conductivity of the felt insulation, particularly including the effects of allowing for a gas mixture in the insulation. Experimental measurements of the temperature profile up to 1,500°C and radial heat fluxes up to 2,200°C were compared to the theoretical predictions of the model and good agreement was obtained.     

Enclosing all solutions of two-point boundary value problems for ODEs

The two-point boundary value problem (TPBVP) occurs in a wide variety of problems in engineering and science, including the modeling of chemical reactions, heat transfer, and diffusion, and the solution of optimal control problems. A TPBVP may have no solution, a single solution, or multiple solutions. A new strategy is presented for reliably locating all solutions of a TPBVP. The method determines narrow enclosures of all solutions that occur within a specified search interval. Key features of the method are the use of a new solver for parametric ODEs, which is used to produce guaranteed bounds on the solutions of nonlinear dynamic systems with interval-valued parameters and initial states, and the use of a constraint propagation strategy on the Taylor models used to represent the solutions of the dynamic system. Numerical experiments demonstrate the use and computational efficiency of the method.