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.