Valuing Asian options using the finite element method and duality techniques

The main objective of this paper is to develop an adaptive finite element method for computation of the values, and different sensitivity measures, of the Asian option with both fixed and floating strike. The pricing is based on Black–Scholes PDE-model and a method developed by Ve?e? where the resulting PDEs are of parabolic type in one spatial dimension and can be applied to both continuous and discrete Asian options. We propose using an adaptive finite element method which is based on a posteriori estimates of the error in desired quantities, which we derive using duality techniques. The a posteriori error estimates are tested and verified, and are used to calculate optimal meshes for each type of option. The use of adapted meshes gives superior accuracy and performance with less degrees of freedom than using uniform meshes. The suggested adaptive finite element method is stable, gives fast and accurate results, and can be applied to other types of options as well.     

Review of atom probe FIB-based specimen preparation methods.

Several FIB-based methods that have been developed to fabricate needle-shaped atom probe specimens from a variety of specimen geometries, and site-specific regions are reviewed. These methods have enabled electronic device structures to be characterized. The atom probe may be used to quantify the level and range of gallium implantation and has demonstrated that the use of low accelerating voltages during the final stages of milling can dramatically reduce the extent of gallium implantation.     

Instabilities in viscoelastic flows

Viscoelastic instabilities are of practical importance, and are the subject of growing interest. Reviewed here are the fresh developments as well as earlier work in this area, organized into the following categories: instabilities in Taylor-Couette flows, instabilities in cone-and-plate and plate-and-plate flows, instabilities in parallel shear flows, extrudate distortions and fracture, instabilities in shear flows with interfaces, instabilities in extensional flows, instabilities in multidimensional flows, and thermohydrodynamic instabilities. Emphasized in the review are comparisons between theory and experiment and suggested directions for future work.     

A purely elastic transition in Taylor-Couette flow

Experimental evidence of a non-inertial, cellular instability in the Taylor-Couette flow of a viscoelastic fluid is presented. A linear stability analysis for an Oldroyd-B fluid, which is successful in describing many features of the experimental fluid, predicts the critical Deborah number,De _c , at which the instability is observed. The dependence ofDe _c on the value of the dimensionless gap between the cylinders is also determined.This paper is dedicated to Professor Hanswalter Giesekus on the occasion of his retirement as Editor of Rheologica Acta.     

Corrosion fatigue on 2024T3 and 6056T4 aluminum alloys

Fatigue corrosion phenomenon is a form of degradation that is because of the combined occurrence of a mechanical cyclical stress and a corrosive environment. Fatigue corrosion can be an issue in commercial and military aircraft, and has the potential to affect the structural integrity and the useful life of an aerostructure. Although the distinct consequences of both fatigue and corrosion have been extensively documented for aluminum alloys, their synergistic action is not completely understood and continues to be an area of considerable scientific and industrial interest. In this paper, a novel approach is proposed and applied for monitoring the electrochemical behavior of different types of aluminum alloy samples while they are subjected to fatigue loading. Cyclic load experiments were conducted on bare 2024T3 and 6056T4 aluminum alloy samples in the presence of an aggressive aerated solution of 3.5% NaCl over a range of frequencies. The R‐ratio was 0. Two different aluminum alloys have been tested in both high‐ and low‐cycle fatigue. In the former case, the maximum stress experienced by the specimen is lower than the material yield strength, which means that the average expected number of cycles to failure is high; in the latter case, the maximum stress experienced by the specimen during the test is higher than the material yield strength, which means that the average expected number of cycles to failure is low. The open circuit potential(OCP) was monitored versus time during the tests described above. The observed OCP variations are interpreted as the occurrence of corrosion during crack initiation and propagation at the air formed oxide/solution interface film. As expected, there is a more pronounced influence of corrosion at lower fatigue frequencies. Crack propagation allows bulk material to be progressively more exposed to the aggressive environment, which stimulates accelerated crack propagation, resulting in a lower fatigue resistance. Copyright © 2010 John Wiley & Sons, Ltd.     

Precipitation and selective extraction of human serum endogenous peptides with analysis by quadrupole time-of-flight mass spectrometry reveals posttranslational modifications and low-abundance peptides

The endogenous peptides of human serum may have regulatory functions, have been associated with physiological states, and their modifications may reveal some mechanisms of disease. In order to correlate levels of specific peptides with disease alongside internal standards, the polypeptides must first be reliably extracted and identified. Endogenous blood peptides can be effectively enriched by precipitation of the serum with organic solvents followed by selective extraction of peptides using aqueous solutions modified with organic solvents. Polypeptides on filter paper were assayed with Coomasie brilliant blue binding. The polypeptides were resolved by detergent tricine polyacrylamide electrophoresis and visualized by diamine silver staining. Peptides in the extracts were collected by C18 and analyzed by matrix-assisted laser desorption/ionization and liquid chromatography–electrospray ionization–tandem mass spectrometry (MS/MS) quadrupole time-of-flight MS/MS. Peptides were resolved as multiple isotopic peaks in MS mode with mass deviation of 0.1 Da or less and similar accuracy for fragments. The sensitivity of MS and MS/MS analysis was estimated to be in the picomolar range or less. The peptide composition of the extracts was dependent on solvent formulation. Multiple peptides from apolipoproteins, complement proteins, coagulation factors, and many others were identified by X!Tandem with high mass accuracy of peptide ions and fragments from collision-induced dissociation. Many previously unreported posttranslational modifications of peptides including phosphorylations, oxidations, glycosylations, and others were detected with high mass accuracy and may be of clinical importance. About 4,630 redundant peptides were identified with 99% confidence separately, and together some 1,251 distinct proteins were identified with 99% confidence or greater using the Paragon algorithm.     

Thermal‐ and Light‐Induced Spin Crossover in a Guest‐Dependent Dinuclear Iron(II) System

We previously reported the dinuclear material [Fe^II₂(ddpp)₂(NCS)₄] ? 4 CH₂Cl₂ ( 1? 4 CH₂Cl₂; ddpp=2,5‐di(2′,2′′‐dipyridylamino)pyridine) and its partially desolvated analogue ( 1? CH₂Cl₂), which undergo two‐ and one‐step spin‐crossover (SCO) transitions, respectively. Here, we manipulate the type and degree of solvation in this system and find that either a one‐ or two‐step spin transition can be specifically targeted. The chloroform clathrate 1? 4 CHCl₃ undergoes a relatively abrupt one‐step SCO, in which the two equivalent Fe^II sites within the dinuclear molecule crossover simultaneously. Partial desolvation of 1? 4 CHCl₃ to form 1? 3 CHCl₃ and 1? CHCl₃ occurs through single‐crystal‐to‐single‐crystal processes (monoclinic C2/c to P2₁/n to P2₁/n) in which the two equivalent Fe^II sites become inequivalent sites within the dinuclear molecule of each phase. Both 1? 3 CHCl₃ and 1? CHCl₃ undergo one‐step spin transitions, with the former having a significantly higher SCO temperature than 1? 4 CHCl₃ and the latter, and each has a broader SCO transition than 1? 4 CHCl₃, attributable to the overlap of two SCO steps in each case. Further magnetic manipulation can be carried out on these materials through reversibly resolvating the partially desolvated material with chloroform to produce the original one‐step SCO, or with dichloromethane to produce a two‐step SCO reminiscent of that seen for 1? 4 CH₂Cl₂. Furthermore, we investigate the light‐induced excited spin state trapping (LIESST) effect on 1? 4 CH₂Cl₂ and 1? CH₂Cl₂ and observe partial LIESST activity for the former and no activity for the latter.     

Age-dependent transient shear banding in soft glasses

We study numerically the formation of long-lived transient shear bands during shear startup within two models of soft glasses (a simple fluidity model and an adapted "soft glassy rheology" model). The degree and duration of banding depends strongly on the applied shear rate, and on sample age before shearing. In both models the ultimate steady flow state is homogeneous at all shear rates, consistent with the underlying constitutive curve being monotonic. However, particularly in the soft glassy rheology case, the transient bands can be extremely long lived. The banding instability is neither "purely viscous" nor "purely elastic" in origin, but is closely associated with stress overshoot in startup flow.