"uuid","repository link","title","author","contributor","publication year","abstract","subject topic","language","publication type","publisher","isbn","issn","patent","patent status","bibliographic note","access restriction","embargo date","faculty","department","research group","programme","project","coordinates"
"uuid:d0c7e90d-77a0-46cc-b799-e95beb42dfa5","http://resolver.tudelft.nl/uuid:d0c7e90d-77a0-46cc-b799-e95beb42dfa5","In-air sintering of copper nanoparticle paste with pressure-assistance for die attachment in high power electronics","Zhang, B. (TU Delft Electronic Components, Technology and Materials); Damian, A.A. (TU Delft Electrical Engineering, Mathematics and Computer Science; NXP Semiconductors); Zijl, Jurrian (Besi Netherlands B.V.); van Zeijl, H.W. (TU Delft Electronic Components, Technology and Materials); Zhang, Y. (TU Delft Transport and Planning; State Key Laboratory of Precision Electronic Manufacturing Technology and Equipment; Guangdong University of Technology); Fan, J. (TU Delft Electronic Components, Technology and Materials; Center for Shanghai Silicon Carbide Power Devices Engineering & Technology Research; Fudan University); Zhang, Kouchi (TU Delft Electronic Components, Technology and Materials)","","2021","There is a high demand for the implementation of metallic nanoparticle (NP) sintering technology for die attach in high-power electronics. The performance of this technology is superior to that of the technology involving the use of lead-free solders. Although Cu NP paste is potentially a low-cost material, it faces the challenge of oxidation during sintering. This may result in a significant deterioration of the mechanical, thermal, and electrical properties. Therefore, there are limited studies on the in-air sintering of Cu NP pastes. The present study demonstrated the in-air pressure-assisted low-temperature sintering of a commercial Cu NP paste. Furthermore, the sintering was performed without using a protective atmosphere, unlike that in most of the previously reported investigations. The sintering behavior was investigated at three levels of temperatures (200–240 °C) and five levels of pressures (5–25 MPa). The joints that were sintered at high temperatures and pressures exhibited condensed microstructures and high bonding strengths. High sintering temperatures accelerated the diffusion between Cu NPs, while high sintering pressure facilitated the removal of evaporated organic compounds and the air between NPs. This not only facilitated sintering but also prevented the oxidation of Cu. The optimal sintering conditions promoted the formation of 3D connections between the Cu NPs, thereby increasing the shear strength of the sample. The samples that were sintered at 240 °C and 10 MPa experiences the highest increase in the shear strength, furthermore, the microstructures were optimized under this condition. The shear strength of 28.1 ± 8.47 MPa was achieved under this condition, which satisfied the requirements for die attach in high power electronics applications, moreover, the sintering process was moderate and cost-effective. Therefore, the optimal sintering temperature and pressure for the in-air sintering of the Cu NP paste was concluded to be 240 °C and 10 MPa, respectively. The results indicated that in-air sintering with pressure assistance can be applied for die attach in the high-power electronics.","","en","journal article","","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","Electronic Components, Technology and Materials","","",""
"uuid:777716df-4c4f-4ee8-aa87-eb7f796904a4","http://resolver.tudelft.nl/uuid:777716df-4c4f-4ee8-aa87-eb7f796904a4","Low temperature sintering of copper nanoparticles: Mechanism and die attach application","Zhang, B. (TU Delft Electronic Components, Technology and Materials)","Zhang, Kouchi (promotor); Delft University of Technology (degree granting institution)","2020","Power electronics demand miniaturization, integration, higher electrical and ther-mal conductivities. However, the traditional electronic packaging materials and technology have limitations to meet these requirements. Conventional lead-free die attach materials, like Sn-Ag-Cu solders, can not satisfy high power electronics application, due to their low operating temperatures and intermetallic defects. Therefore, material in-novation has attracted much attention in this field. Metallic particle sintering of silver nanoparticle (Ag NP) has become one of the most applied technologies in power elec-tronics industry. Furthermore, to achieve ""all copper interconnect"" in packaging system, and to reduce the cost further, copper nanoparticle(Cu NP)-based paste has been ex-plored recently in both material synthesis and process development. However, since Cu NPs are reactive and easy to be oxidized, it is challenging to achieve a compatible pro-cess, with profound bonding properties. In this thesis, both fundamental understanding of Cu NP-based paste sintering process and die attach process development in power electronics applications are conducted. These two important parts of research works give insight to Cu NP-based paste sintering from various aspects, but on the same physical scale. In this thesis, these knowledge and experience obtained with deep understanding of the material and process can be transferred as one of the significant information to push Cu NP-based paste into industrial application, with deep understanding of the material and processes.
First, to obtain a deeply fundamental knowledge about sintering process, both static and time-dependent characterizations need to be performed, at similar scale as in real application. X-ray diffraction (XRD) is selected due to its large detection volume and valuable material information, both qualitative and quantitive. To enable a dynamic time-resolved X-ray diffraction (TRXRD) study and in-situ sample monitoring, a MEMS-based TRXRD nanomaterial platform is firstly designed and fabricated. A gas cell is designed and fabricated to provide an environmental experimental condition, without interference with XRD measurements. Combined with gas cell and power supply, this set up can enable TRXRD characterization of nanomaterial, with large flexibility of temperature control and gas environment.
Next, with the developed characterization platform, both static and time-dependent investigations on the sintering process of a commercial Cu NPs-based paste are per-formed under different conditions. Series of XRD patterns and in-situ electrical resistance measurement are collected, followed with detailed XRD analysis and microstructure observation. These results and insights are on the one hand, a validation of the function of the developed nanomaterials characterization method and platform. On the other hand, they can be transferred to improve and guide process development and material optimization of Cu NPs-based paste.
Last but not least, the in-air pressure assisted sintering behaviors of Cu NP-based paste under various process conditions are investigated and analyzed. Based on the paste characterization results, the in-air sintering temperature range is determined and multiple pressure-assisted sintering experiments in the air are performed. As temperature and pressure increase, Cu NPs form more condensed structures with neighboring particles. Both of these parameters can accelerate the neck formation and inter-particle connection inside Cu joints.","Electronics packaging; Sintering copper nanoparticle paste; Time-dependent material study; MEMS-enabled characterization method","en","doctoral thesis","","","","","","","","2022-04-01","","","Electronic Components, Technology and Materials","","",""
"uuid:81254a41-203c-4539-bf81-a068f26dc494","http://resolver.tudelft.nl/uuid:81254a41-203c-4539-bf81-a068f26dc494","Multi-GNSS processing, positioning and applications","Odolinski, R. (University of Otago); Teunissen, P.J.G. (TU Delft Mathematical Geodesy and Positioning; Curtin University); Zhang, B. (Chinese Academy of Sciences)","","2020","","","en","contribution to periodical","","","","","","Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.","","2020-07-20","","","Mathematical Geodesy and Positioning","","",""
"uuid:e29b133f-b803-4337-be81-5497d4a936e3","http://resolver.tudelft.nl/uuid:e29b133f-b803-4337-be81-5497d4a936e3","Beyond mere take-over requests: The effects of monitoring requests on driver attention, take-over performance, and acceptance","Lu, Z. (TU Delft Intelligent Vehicles); Zhang, B. (University of Twente); Feldhütter, A. (Technische Universität München); Happee, R. (TU Delft Intelligent Vehicles); Martens, M. (University of Twente; TNO); de Winter, J.C.F. (TU Delft Human-Robot Interaction)","","2019","In conditionally automated driving, drivers do not have to monitor the road, whereas in partially automated driving, drivers have to monitor the road permanently. We evaluated a dynamic allocation of monitoring tasks to human and automation by providing a monitoring request (MR) before a possible take-over request (TOR), with the aim to better prepare drivers to take over safely and efficiently. In a simulator-based study, an MR + TOR condition was compared with a TOR-only condition using a within-subject design with 41 participants. In the MR + TOR condition, an MR was triggered 12 s before a zebra crossing, and a TOR was provided 7 s after the MR onset if pedestrians crossing the road were detected. In the TOR-only condition, a TOR was provided 5 s before the vehicle would collide with a pedestrian if the participant did not intervene. Participants were instructed to perform a self-paced visual-motor non-driving task during automated driving. Eye tracking results showed that participants in the MR + TOR condition responded to the MR by looking at the driving environment. They also exhibited better take-over performance, with a shorter response time to the TOR and a longer minimum time to collision as compared to the TOR-only condition. Subjective evaluations also showed advantages of the MR: participants reported lower workload, higher acceptance, and higher trust in the MR + TOR condition as compared to the TOR-only condition. Participants’ reliance on automation was tested in a third drive (MR-only condition), where automation failed to provide a TOR after an MR. The MR-only condition resulted in later responses (and errors of omission) as compared to the MR + TOR condition. It is concluded that MRs have the potential to increase safety and acceptance of automated driving as compared to systems that provide only TORs. Drivers’ trust calibration and reliance on automation need further investigation.","","en","journal article","","","","","","Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.","","2019-09-30","","","Intelligent Vehicles","","",""
"uuid:047a88f0-9770-46e5-9fff-d8c9119eb19b","http://resolver.tudelft.nl/uuid:047a88f0-9770-46e5-9fff-d8c9119eb19b","MEMS enabled fast time-resolved X-ray diffraction characterization platform for copper nanoparticle sintering in heterogeneous integration applications","Zhang, B. (TU Delft Electronic Components, Technology and Materials); Wei, J. (TU Delft EKL Processing); Bottger, A.J. (TU Delft (OLD) MSE-1); van Zeijl, H.W. (TU Delft Electronic Components, Technology and Materials); Sarro, Pasqualina M (TU Delft Electronic Components, Technology and Materials); Zhang, Kouchi (TU Delft Electronic Components, Technology and Materials)","","2019","We report the design, fabrication and experimental investigation of a MEMS micro-hotplate (MHP) for fast time-resolved X-ray diffraction (TRXRD) study of Cu nanoparticle paste (nanoCu paste) sintering process. The device and its system are designed to have a 60 ms minimum time interval, uniform temperature distribution and variant gas environments. A TRXRD study of nanoCu paste sintering at 200 °C in H2-N2 gas mixture was done using this device. With 1 sec interval, Cu8O reduction and Cu crystallization in sintering is observed. Results can be combined with other studies to optimize material design and process development.","Copper nanoparticle paste; MEMS; Microhotplate; TRXRD","en","conference paper","IEEE","","","","","Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.","","2021-08-02","","","Electronic Components, Technology and Materials","","",""
"uuid:0c04626d-1bcb-4f14-a12c-261f11b97794","http://resolver.tudelft.nl/uuid:0c04626d-1bcb-4f14-a12c-261f11b97794","Multi-GNSS PPP-RTK: Mixed-receiver network and user scenarios","Teunissen, P.J.G. (TU Delft Mathematical Geodesy and Positioning; Curtin University); Khodabandeh, A. (Curtin University); Zhang, B. (Curtin University)","Freymueller, Jeffrey T. (editor); Sánchez, Laura (editor)","2018","In this contribution, we present full-rank observation equations of the network and user receivers, of mixed types, through an application of S-system theory. We discuss the important roles played by the inter system biases (ISBs), and we show how the three-component structure of PPP-RTK is affected by the inclusion of the ISBs as extra parameters in the model.","GNSS; Inter system bias (ISB); ISB look-up table; PPP-RTK","en","conference paper","Springer","","","","","Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.","","2018-07-01","","","Mathematical Geodesy and Positioning","","",""
"uuid:73a9f7f7-a22d-4ef4-8ccd-7003d5bc1772","http://resolver.tudelft.nl/uuid:73a9f7f7-a22d-4ef4-8ccd-7003d5bc1772","3D interconnect technology based on low temperature copper nanoparticle sintering","Zhang, B. (TU Delft Electronic Components, Technology and Materials); Carisey, Y.C.P. (TU Delft Electronic Components, Technology and Materials); Damian, A.; Poelma, René H. (TU Delft Electronic Components, Technology and Materials); Zhang, Kouchi (TU Delft Electronic Components, Technology and Materials); van Zeijl, H.W. (TU Delft EKL Processing)","Bi, Keyun (editor); Liu, Sheng (editor); Zhou, Shengjun (editor)","2016","We explore a methodology for patterned copper nanoparticle paste for 3D interconnect applications in wafer to wafer (W2W) bonding. A novel fine pitch thermal compression bonding process (sintering) with coated copper nanoparticle paste was developed. Most of the particle size is between 10-30 nm. Lithographically defined stencil printing using photoresist and lift-off was used to apply and pattern the paste. Variations in sintering process parameters, such as: pressure, geometry and ambient atmosphere, were studied. Compared to Sn-Ag-Cu (SAC) microsolder bumps, we achieved better interconnect resistivity after sintering at 260 °C for 10 min, in a 700 mBar hydrogen forming gas (H2/N2) environment. The electrical resistivity was 7.84 ± 1.45 μΩ·cm, which is about 4.6 times that of bulk copper. In addition, metallic nanoparticle interconnect porosity can influence the electrical properties of the interconnect. Consequently, we investigated the porosity effect on conductivity using finite element simulation. A linear relationship between the equivalent conductivity and particle overlapping ratio was found.","Interconnect; 3D packaging; opper nanoparticle paste; low-temperature sintering","en","conference paper","IEEE","","","","","Accepted Author Manuscript","","","","","Electronic Components, Technology and Materials","","",""
"uuid:d6534414-b0fe-4b6b-af49-3d329f3326af","http://resolver.tudelft.nl/uuid:d6534414-b0fe-4b6b-af49-3d329f3326af","Institute of Poldering: Meadow Under Construction","Van Loon, F.D.; Pouderoijen, M.T.; Alberini, E.; Dijkstra, C.M.; Hagen, S.R.; De Jong, M.; Kiliço?lu, I.D.; Koukouvelou, A.; Mekel, M.L.; Schotting, K.; Shao, S.; Sun, X.; Terzi, O.; De Waal, W.; Van der Wal, I.A.; Zhang, B.","","2015","Booklet of the elective course AR0048 2014/2015 ‘Landscape Architecture ON site - being part of Oerol’, an elective course of the MSc2 - Chair of Landscape Architecture at the TU Delft.","landscape architecture; education; polder; climate change; meadow birds; Oerol; Terschelling","en","book","Chair of Landscape Architecture","","","","","","","","Architecture and The Built Environment","Urbanism","","","","53.385000, 5.320000"
"uuid:b0d1b7fd-fded-4e7b-89a9-fe069d75973c","http://resolver.tudelft.nl/uuid:b0d1b7fd-fded-4e7b-89a9-fe069d75973c","Characterization of multi-GNSS between-receiver differential code biases using zero and short baselines","Zhang, B.; Teunissen, P.J.G.","","2015","Care should be taken to minimize adverse impact of receiver differential code biases (DCBs) on global navigation satellite system (GNSS)-derived ionospheric parameters. It is therefore of importance to ascertain the intrinsic characteristics of receiver DCBs, preferably in the context of new-generation GNSS. In this contribution, we present a method that enables time-wise retrieval of between-receiver DCBs (BR-DCBs) from dual-frequency, code-only measurements collected by a pair of co-located receivers. This method is applicable to the US GPS as well as to a new set of GNSS constellations including the Chinese BeiDou, the European Galileo and the Japanese QZSS. With the use of this method, we determine the multi-GNSS BR-DCB time-wise estimates covering a time period of up to 2 years (January 2013–March 2015) with a 30-s time resolution for five receiver-pairs (four zero and one short baselines). For the BR-DCB time-wise estimates pertaining to an arbitrary receiver-pair and constellation, we demonstrate their promising intraday stability by means of statistical hypothesis testing. We also find that the BeiDou BR-DCB daily weighted average (DWA) estimates show a dependence on satellite type, in particular for receiver-pairs of mixed types. Finally, we demonstrate that long-term variability in BR-DCB DWA estimates can be closely associated with hardware temperature variations inside the receivers.","global navigation satellite system (GNSS); total electron content (TEC); between-receiver differential code bias (BR-DCB); BeiDou code inter-satellite-type-bias (ISTB)","en","journal article","Springer","","","","","","","","Civil Engineering and Geosciences","Geoscience & Remote Sensing","","","",""
"uuid:5e059ec0-fb45-4944-918a-b96e810deac5","http://resolver.tudelft.nl/uuid:5e059ec0-fb45-4944-918a-b96e810deac5","An efficient pricing algorithm for swing options based on Fourier cosine expansions","Zhang, B.; Oosterlee, C.W.","","2013","Swing options give contract holders the right to modify amounts of future delivery of certain commodities, such as electricity or gas. We assume that these options can be exercised at any time before the end of the contract, and more than once. However, a recovery time between any two consecutive exercise dates is incorporated as a constraint to avoid continuous exercise. We introduce an efficient way of pricing these swing options, based on the Fourier cosine expansion method, which is especially suitable when the underlying is modeled by a Lévy process.","","en","journal article","RISK journal, Financial Publishing Limited","","","","","","","2014-01-01","Electrical Engineering, Mathematics and Computer Science","Delft Institute of Applied Mathematics","","","",""
"uuid:8594fe0e-f359-426c-8cb6-271bff80cc15","http://resolver.tudelft.nl/uuid:8594fe0e-f359-426c-8cb6-271bff80cc15","Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions","Zhang, B.; Oosterlee, C.W.","","2013","We propose an efficient pricing method for arithmetic and geometric Asian options under exponential Lévy processes based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European style and American-style Asian options and for discretely and continuously monitored versions. In the present paper we focus on the European-style Asian options. The exponential convergence rates of Fourier cosine expansions and Clenshaw–Curtis quadrature reduces the CPU time of the method to milliseconds for geometric Asian options and a few seconds for arithmetic Asian options. The method’s accuracy is illustrated by a detailed error analysis and by various numerical examples.","arithmetic Asian options; exponential Lévy asset price processes; Fourier cosine expansions; ClenshawCurtis quadrature; exponential convergence","en","journal article","Society for Industrial and Applied Mathematics (SIAM)","","","","","","","","Electrical Engineering, Mathematics and Computer Science","Delft Institute of Applied Mathematics","","","",""
"uuid:fdaf7d6a-1d45-41a5-8157-15586fa3480f","http://resolver.tudelft.nl/uuid:fdaf7d6a-1d45-41a5-8157-15586fa3480f","Understanding Operation and User Behavior in Peer-to-Peer Systems","Zhang, B.","Sips, H.J. (promotor)","2013","","","en","doctoral thesis","","","","","","","","","Electrical Engineering, Mathematics and Computer Science","Software Technology","","","",""
"uuid:8ebb71c9-6683-496f-9d2a-0a4283351277","http://resolver.tudelft.nl/uuid:8ebb71c9-6683-496f-9d2a-0a4283351277","Efficient Pricing of Early: Exercise and Exotic Options Based on Fourier Cosine Expansions","Zhang, B.","Oosterlee, C.W. (promotor)","2012","In the financial world, two tasks are of prime importance: model calibration and portfolio hedging. For both tasks, efficient option pricing is necessary, particularly for the calibration where many options with different strike prices and different maturities need to be priced at the same time. Therefore, a fast yet accurate pricing method is a necessity for banks and trading companies. Nowadays three groups of pricing methods are being used in the financial industry and academia, that is, Monte--Carlo methods, partial (integro-)differential equation (PIDE) methods, and numerical integration methods, where the option price is modeled as the discounted expected value of the payoff at maturity. The latter type of methods is attractive from both practice and research point of view, as the fast computational speed, especially for plain vanilla options, makes it useful for calibration at financial institutions. Usually numerical integration techniques are combined with the Fast Fourier transform or Hilbert transform, and therefore, the numerical integration methods are often referred to as the `transform methods'. Representatives of transform methods are the Carr--Madan method (Carr, Madan, 1999), the CONV method (Lord et.al. 2008) and the Hilbert transform method (Feng, Linetsky, 2008). A recent contribution to the transform method category is the COS method proposed in Fang, Oosterlee (2008, 2009), that is, an option pricing method based on the Fourier cosine expansions. It departs from a truncated risk--neutral formula, in which the conditional density function is recovered in terms of its characteristic function, by Fourier cosine expansions. This method can be used for asset processes as long as the characteristic function of the conditional density function is known, or can be approximated. For processes where the density function and its derivatives are continuous functions with respect to the underlying asset, the COS method exhibits an exponential convergence rate. Our research work is based on the COS method, which has been used for vanilla European option pricing (Fang Oosterlee, 2008), vanilla early--exercise option pricing and barrier option pricing (Fang, Oosterlee, 2009). The motivation of this thesis is to further improve the robustness of the COS method, make it efficient for non--Levy models, and extend it to different types of exotic options. The point of departure of this thesis is to improve the robustness of the COS method for call option pricing with early-exercise features, as presented in Chapter 1, where the call option prices are obtained from put option prices, in combination with the put--call parity and put--call duality relations, which are incorporated into our pricing algorithm at each early--exercise date to recover the Fourier coefficients and to compute the continuation value. The robustness of the pricing methods is demonstrated by error analysis, as well as by a series of numerical examples. In Chapter 2, the acceleration of option pricing by the COS method on the Graphics Processing Unit (GPU) is presented. After a brief discussion of the GPU and its potential for option pricing, we will study different ways of GPU implementation, followed by three examples of GPU acceleration, the so-called multiple strike option pricing, option pricing under hybrid models where the characteristic function is derived from a Riccati ODE system, and the example of Bermudan option pricing. Influence of data transfer between host and device is also discussed in this chapter. Extension of COS method to early--exercise option pricing with an Ornstein--Uhlenbeck (OU) process is explained in Chapter 3. OU processes for commodity derivatives, either with or without seasonality functions, are non--Levy processes and more computationally expensive within the COS framework, as compared to Levy processes. First of all, an accurate pricing algorithm is given, which can be used for all OU processes with different types of seasonality functions. Then, based on a detailed error analysis, a more efficient pricing method is proposed, which reduces the computing time from seconds to milliseconds. However, this new method is not advocated for all parameter settings. The conditions under which the basis point accuracy can be ensured is derived by error analysis. In the numerical part, the accuracy and efficiency of these two pricing methods are compared, and the conditions we derived from error analysis are further verified by several numerical experiments. In Chapter 4, we present an efficient pricing method for American--style swing options, based on Fourier cosine expansions. Here we assume that the holder of the swing option has the right, but not the obligation, to buy or sell a certain amount of commodity, such as gas and electricity, at any time before the expiry of the option, and more than once. Moreover, a recovery time is added between two consecutive exercises in which exercise is not allowed. Our pricing method is based on the Bellman principle, leading to a backward recursion procedure in which the optimal exercise regions are determined at each time step, after which the Fourier coefficients can be recovered recursively. Our method performs well for different underlying processes, different swing contracts and different types of recovery time. The pricing methods for European and early--exercise Asian options (ASCOS) are shown respectively in Chapters 5 and 6. In Chapter 5, we present an efficient option pricing method for Asian options written on different types of averaged asset prices, but without early--exercise features. In our method, the characteristic function of the average asset is recursively recovered, with the help of Fourier expansions and Clenshaw--Curtis quadrature. Then it is used in the risk--neutral formula to get the Asian option price. Exponential convergence rate is observed for most Levy processes, which is also supported by a detailed error analysis. Advantages of our pricing algorithm are that as the number of monitoring dates increases, the method stays robust and the computing time does not increase significantly, as shown in the numerical results. Our pricing method for early--exercise Asian options is presented in Chapter 6. In this case, the Fourier cosine coefficients of the option price are recursively recovered by Fourier transform and Clenshaw--Curtis quadrature. Then these coefficients are inserted into the risk--neutral formula, which, in the early--exercise Asian case, is a two--dimensional integration, to get the option value. The chain rule from probability theory is also needed in our algorithm to factorize the joint conditional density functions. An exponential convergence rate in the option price, as derived in a detailed error analysis, is observed from various numerical experiments. Factors of approximately hundred of speedup are achieved on the GPU. Conclusions and insight into future research are to be found in Chapter 7. In this thesis, efficient pricing methods for different early--exercise and exotic options, based on the Fourier cosine expansions, are presented, followed by an error analysis and numerical results, from which we see that the COS method is an efficient, robust and flexible method for pricing different types of option products, for different asset models, and is suitable for GPU acceleration. It is a promising tool for financial calibration and dynamic hedging in practice.","option pricing; Fourier cosine expansions; swing options; Asian options; Put--call parity and duality; Ornstein--Uhlenbeck processes; Levy processes; graphics processing unit","en","doctoral thesis","","","","","","","","","Electrical Engineering, Mathematics and Computer Science","Applied mathematics","","","",""
"uuid:3aa47d1d-11bf-4bd8-85ae-c05bacfe7c24","http://resolver.tudelft.nl/uuid:3aa47d1d-11bf-4bd8-85ae-c05bacfe7c24","Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions. Part II. Early-exercise features and GPU implementation","Zhang, B.; Van der Weide, J.A.M.; Oosterlee, C.W.","","2012","In this article, we propose an efficient pricing method for Asian options with early–exercise features. It is based on a two–dimensional integration and a backward recursion of the Fourier coefficients, in which several numerical techniques, like Fourier cosine expansions, Clenshaw–Curtis quadrature and the Fast Fourier transform (FFT) are employed. Rapid convergence of the pricing method is illustrated by an error analysis. Its performance is further demonstrated by various numerical examples, where we also show the power of an implementation on the Graphics Processing Unit (GPU).","earlyexercise Asian option; arithmetic average; Fourier cosine expansion; chain rule; ClenshawCurtis quadrature; exponential convergence; graphics processing unit (GPU) computation","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:b3beaec0-34a4-427c-b520-ccc3ba97eb23","http://resolver.tudelft.nl/uuid:b3beaec0-34a4-427c-b520-ccc3ba97eb23","Efficient pricing of Asian options under Lévy processes based on Fourier cosine expansions Part I: European-style products","Zhang, B.; Oosterlee, C.W.","","2011","We propose an efficient pricing method for arithmetic, and geometric, Asian options under Levy processes, based on Fourier cosine expansions and Clenshaw–Curtis quadrature. The pricing method is developed for both European–style and American–style Asian options, and for discretely and continuously monitored versions. In the present paper we focus on European–style Asian options; American-style options are treated in an accompanying part II of this paper. The exponential convergence rate of Fourier cosine expansions and Clenshaw–Curtis quadrature reduces the CPU time of the method to milli-seconds for geometric Asian options and a few seconds for arithmetic Asian options. The method’s accuracy is illustrated by a detailed error analysis, and by various numerical examples.","Arithmetic Asian options, Lévy processes, Fourier cosine expansions, ClenshawCurtis quadrature, exponential convergence","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:3367d2d6-2297-445e-bd5e-eddd59bd764a","http://resolver.tudelft.nl/uuid:3367d2d6-2297-445e-bd5e-eddd59bd764a","A novel un-differenced PPP-RTK concept","Zhang, B.; Teunissen, P.J.G.; Odijk, D.","","2011","In this contribution, a novel un-differenced (UD) (PPP-RTK) concept, i.e. a synthesis of Precise Point Positioning and Network-based Real-Time Kinematic concept, is introduced. In the first step of our PPP-RTK approach, the UD GNSS observations from a regional reference network are processed based upon re-parameterised observation equations, corrections for satellite clocks, phase biases and (interpolated) atmospheric delays are calculated and provided to users. In the second step, these network-based corrections are used at the user site to restore the integer nature of his UD phase ambiguities, which makes rapid and high accuracy user positioning possible. The proposed PPP-RTK approach was tested using two GPS CORS networks with inter-station distances ranging from 60 to 100 km. The first test network is the northern China CORS network and the second is the Australian Perth CORS network. In the test of the first network, a dual-frequency PPP-RTK user receiver was used, while in the test of the second network, a low-cost, single-frequency PPP-RTK user receiver was used. The performance of fast ambiguity resolution and the high accuracy positioning of the PPP-RTK results are demonstrated.","GNSS; PPP-RTK; Integer Ambiguity Resolution; Satellite Phase Bias","en","journal article","Cambridge University Press","","","","","","","2012-10-14","Aerospace Engineering","Remote Sensing","","","",""
"uuid:5d02b210-857d-4bda-81e0-9fd59da55906","http://resolver.tudelft.nl/uuid:5d02b210-857d-4bda-81e0-9fd59da55906","Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process","Zhang, B.; Grzelak, L.A.; Oosterlee, C.W.","","2010","We analyze the efficiency properties of a numerical pricing method based on Fourier-cosine expansions for early-exercise options. We focus on variants of Schwartz’ model [20] based on a mean reverting Ornstein-Uhlenbeck process [23], which is commonly used for modeling commodity prices. This process however does not possess favorable properties for the option pricing method of interest. We therefore propose an approximation of its characteristic function, so that the Fast Fourier Transform can be applied for highest efficiency.","","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:46714bc8-783c-4535-b222-ba1f89b5ea96","http://resolver.tudelft.nl/uuid:46714bc8-783c-4535-b222-ba1f89b5ea96","An efficient pricing algorithm for swing options based on fourier cosine expansions","Zhang, B.; Oosterlee, C.W.","","2010","Swing options give contract holders the right to modify amounts of future delivery of certain commodities, such as electricity or gas. In this paper, we assume that these options can be exercised at any time before the end of the contract, and more than once. However, a recovery time between any two consecutive exercise dates is incorporated as a constraint to avoid continuous exercise. We introduce an efficient way of pricing these swing options, based on the Fourier cosine expansion method, which is especially suitable when the underlying is modeled by a Lévy process.","","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:adccf357-5870-4ac6-8f7f-1f42db232f3b","http://resolver.tudelft.nl/uuid:adccf357-5870-4ac6-8f7f-1f42db232f3b","Acceleration of option pricing technique on graphics processing units","Zhang, B.; Oosterlee, C.W.","","2010","The acceleration of an option pricing technique based on Fourier cosine expansions on the Graphics Processing Unit (GPU) is reported. European options, in particular with multiple strikes, and Bermudan options will be discussed. The influence of the number of terms in the Fourier cosine series expansion, the number of strikes, as well as the number of exercise dates for Bermudan options, are explored. We also give details about the different ways of implementing on a GPU. Numerical examples include asset price processes based on a L´evy process of infinite activity and the stochastic volatility Heston model. Furthermore, we discuss the issue of precision on the present GPU systems.","","en","report","Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics","","","","","","","","Electrical Engineering, Mathematics and Computer Science","","","","",""
"uuid:c68a7e78-7c3f-465b-903e-e9644ff7ffb4","http://resolver.tudelft.nl/uuid:c68a7e78-7c3f-465b-903e-e9644ff7ffb4","Using artificial neural networks for the transformation of human body postures based on landmarks","Zhang, B.","Horvath, I. (promotor); Snijders, C.J. (promotor)","2005","Designers, engineers and ergonomists are seeking to exploit the opportunities offered by the 3D anthropometric technologies. These technologies make 3D measurements possible and provide us with a more detailed description of human body in comparison with the traditional 1D or 2D data processing. In many industrial design cases, there is a need to take into consideration various postures of the human body when the product is designed. This thesis presents an approach to transforming measured body data between various postures. In this research the measured human body data were substituted by a proper set of landmarks. This data set was used as a basis of transforming the specific body postures. Artificial neural networks have been used for the actual conversion of data. The input consisted of a set of demographic data and the set of coordinates of the landmarks characterizing a given posture. The output was another set of landmarks describing the transformed posture. The results have showed that the ANNs-based and landmark-based posture prediction technology is computationally effective. On the other hand, it needs to be further developed in order to properly consider the specialties of different user groups. This posture prediction technology is generally applicable and opens up new possibilities in studying, for instance, human motions and hand postures.","computer-aided ergonomics design; digital human modeling; artificial neural network; posture prediction","en","doctoral thesis","","","","","","","","","Design, Engineering and Production","","","","",""