Implicit–explicit Runge–Kutta methods for financial derivatives pricing models

Implicit–explicit Runge–Kutta methods are investigated for application to financial derivatives pricing models in the partial differential equations approach. The methods are showed to be an alternative to other existing procedures for the numerical valuation of American type contracts. We follow the method of lines in order to have a numerical method that can be used with a variety of state variable discretizations including finite elements, finite differences and finite volume methods. Some numerical experiments are presented.     

Two-dimensional numerical modelling of shallow water flows over multilayer movable beds

The two-dimensional modelling of shallow water flows over multi-sediment erodible beds is presented. A novel approach is developed for the treatment of multiple sediment types in morphodynamics. The governing equations include the two-dimensional shallow water equations for hydrodynamics, an Exner-type equation for morphodynamics, a two-dimensional transport equation for the suspended sediments, and a set of empirical equations for entrainment and deposition. Multilayer sedimentary beds are formed of different erodible soils with sediment properties and new exchange conditions between the bed layers are developed for the model. The coupled equations yield a hyperbolic system of balance laws with source terms. As a numerical solver for the system, we implement a fast finite volume characteristics method. The numerical fluxes are reconstructed using the method of characteristics which employs projection techniques. The proposed finite volume solver is simple to implement, satisfies the conservation property and can be used for two-dimensional sediment transport problems in non-homogeneous isotropic beds without need of complicated three-dimensional equations. To assess the performance of the proposed models, we present numerical results for a wide variety of shallow water flows over sedimentary layers. Comparisons to experimental data for dam-break problems over movable beds are also included in this study.     

An enhanced finite volume method to model 2D linear elastic structures

This paper details the evaluation and enhancement of the vertex-centred finite volume method for the purpose of modelling linear elastic structures undergoing bending. A matrix-free edge-based finite volume procedure is discussed and compared with the traditional isoparametric finite element method via application to a number of test-cases. It is demonstrated that the standard finite volume approach exhibits similar disadvantages to the linear Q4 finite element formulation when modelling bending. An enhanced finite volume approach is proposed to circumvent this and a rigorous error analysis conducted. It is demonstrated that the developed finite volume method is superior to both standard finite volume and Q4 finite element methods, and provides a practical alternative to the analysis of bending-dominated solid mechanics problems.     

Time‐dependent algorithms for viscoelastic flow: Finite element/volume schemes

Hybrid finite volume/element methods are investigated within the context of transient viscoelastic flows. A finite volume algorithm is proposed for the hyperbolic constitutive equation, of Oldroyd‐form, whereas the continuity/momentum balance is accommodated through a Taylor‐Galerkin finite element method. Various finite volume combinations are considered to derive accurate and stable implementations. Consistency of formulation is key, embracing fluctuation distribution and median‐dual‐cell constructs, within a cell‐vertex discretisation on triangles. In addition, we investigate the effect of treating the time‐term in a finite element fashion, using mass‐matrix iteration instead of the standard finite volume mass‐lumping approach. We devise an accurate transient scheme that captures the analytical solution at short and long time, both in core flow and near shear boundaries. In this respect, some difficulties are highlighted. A new method emerges, with the Low Diffusion B (LDB, with or without mass‐matrix iteration) as the optimal choice. We progress to a complex flow application and demonstrate some provocative features due to the influence of true transient boundary conditions on evolutionary flow‐structure in a 4:1 start‐up rounded‐corner contraction problem. © 2004 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2005     

ALTERING CONNECTIVITY WITH LARGE DEFORMATION MESH FOR LAGRANGIAN METHOD AND ITS APPLICATION IN MULTIPLE MATERIAL SIMULATION

A new approach for treating the mesh with Lagrangian scheme of finite volume method is presented. It has been proved that classical Lagrangian method is difficult to cope with large deformation in tracking material particles due to severe distortion of cells, and the changing connectivity of the mesh seems especially attractive for solving such issues. The mesh with large deformation based on computational geometry is optimized by using new method. This paper develops a processing system for arbitrary polygonal unstructured grid, the intelligent variable grid neighborhood technologies is utilized to improve the quality of mesh in calculation process, and arbitrary polygonal mesh is used in the Lagrangian finite volume scheme. The performance of the new method is demonstrated through series of numerical examples, and the simulation capability is efficiently presented in coping with the systems with large deformations.     

A new fractional finite volume method for solving the fractional diffusion equation

The inherent heterogeneities of many geophysical systems often gives rise to fast and slow pathways to water and chemical movement. One approach to model solute transport through such media is by fractional diffusion equations with a space–time dependent variable coefficient. In this paper, a two-sided space fractional diffusion model with a space–time dependent variable coefficient and a nonlinear source term subject to zero Dirichlet boundary conditions is considered.Some finite volume methods to solve a fractional differential equation with a constant dispersion coefficient have been proposed. The spatial discretisation employs fractionally-shifted Grünwald formulas to discretise the Riemann–Liouville fractional derivatives at control volume faces in terms of function values at the nodes. However, these finite volume methods have not been extended to two-dimensional and three-dimensional problems in a natural manner. In this paper, a new weighted fractional finite volume method with a nonlocal operator (using nodal basis functions) for solving this two-sided space fractional diffusion equation is proposed. Some numerical results for the Crank–Nicholson fractional finite volume method are given to show the stability, consistency and convergence of our computational approach. This novel simulation technique provides excellent tools for practical problems even when a complex transition zone is involved. This technique can be extend to two-dimensional and three-dimensional problems with complex regions.     

Analysis of a finite volume element method for the Stokes problem

In this paper we propose a stabilized conforming finite volume element method for the Stokes equations. On stating the convergence of the method, optimal a priori error estimates in different norms are obtained by establishing the adequate connection between the finite volume and stabilized finite element formulations. A superconvergence result is also derived by using a postprocessing projection method. In particular, the stabilization of the continuous lowest equal order pair finite volume element discretization is achieved by enriching the velocity space with local functions that do not necessarily vanish on the element boundaries. Finally, some numerical experiments that confirm the predicted behavior of the method are provided.     

A simple finite volume method for the shallow water equations

We present a new finite volume method for the numerical solution of shallow water equations for either flat or non-flat topography. The method is simple, accurate and avoids the solution of Riemann problems during the time integration process. The proposed approach consists of a predictor stage and a corrector stage. The predictor stage uses the method of characteristics to reconstruct the numerical fluxes, whereas the corrector stage recovers the conservation equations. The proposed finite volume method is well balanced, conservative, non-oscillatory and suitable for shallow water equations for which Riemann problems are difficult to solve. The proposed finite volume method is verified against several benchmark tests and shows good agreement with analytical solutions.     

Numerical simulations of water–gas flow in heterogeneous porous media with discontinuous capillary pressures by the concept of global pressure

We present an approach and numerical results for a new formulation modeling immiscible compressible two-phase flow in heterogeneous porous media with discontinuous capillary pressures. The main feature of this model is the introduction of a new global pressure, and it is fully equivalent to the original equations. The resulting equations are written in a fractional flow formulation and lead to a coupled degenerate system which consists of a nonlinear parabolic (the global pressure) equation and a nonlinear diffusion–convection one (the saturation equation) with nonlinear transmission conditions at the interfaces that separate different media. The resulting system is discretized using a vertex-centred finite volume method combined with pressure and flux interface conditions for the treatment of heterogeneities. An implicit Euler approach is used for time discretization. A Godunov-type method is used to treat the convection terms, and the diffusion terms are discretized by piecewise linear conforming finite elements. We present numerical simulations for three one-dimensional benchmark tests to demonstrate the ability of the method to approximate solutions of water–gas equations efficiently and accurately in nuclear underground waste disposal situations.     

Numerical solution of the fully non-linear weakly dispersive serre equations for steep gradient flows

We demonstrate a numerical approach for solving the one-dimensional non-linear weakly dispersive Serre equations. By introducing a new conserved quantity the Serre equations can be written in conservation law form, where the velocity is recovered from the conserved quantities at each time step by solving an auxiliary elliptic equation. Numerical techniques for solving equations in conservative law form can then be applied to solve the Serre equations. We demonstrate how this is achieved. The system of conservation equations are solved using the finite volume method and the associated elliptic equation for the velocity is solved using a finite difference method. This robust approach allows us to accurately solve problems with steep gradients in the flow, such as those generated by discontinuities in the initial conditions.The method is shown to be accurate, simple to implement and stable for a range of problems including flows with steep gradients and variable bathymetry.