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Zhang, B. (author), Van der Weide, J.A.M. (author), Oosterlee, C.W. (author)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...report 2012
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Chapiro, G. (author), Mallybaev, A.A. (author), De Souza, A.J. (author), Marchesin, D. (author), Bruining, J. (author)There is a renewed interest in using combustion for the recovery of medium viscosity oil. We consider the combustion process when air is injected into the porous medium containing some fuel and inert gas. Commonly the reaction rate is negligible at low temperatures, hence the possibility of oxygen breakthrough. In this case, the oxygen gets in...journal article 2012
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Zhang, B. (author), Oosterlee, C.W. (author)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...report 2011
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Farnadi, G. (author)Patent collection is increasing incrementally. Most of the new technological information is from patent documents, and retrieving specific patents in such a large pool of documents has become a challenging issue for both patent examiners and normal/inexperienced users. Nowadays, most of the retrieval systems (patent retrieval systems) search for...master thesis 2011
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Galindo-Rosales, F.J. (author), Campo-Deano, L. (author), Pinho, F.T. (author), Van Bokhorst, E. (author), Hamersma, P.J. (author), Oliveira, M.S.N. (author), Alves, M.A. (author)In this study, two microfluidic devices are proposed as simplified 1-D microfluidic analogues of a porous medium. The objectives are twofold: firstly to assess the usefulness of the microchannels to mimic the porous medium in a controlled and simplified manner, and secondly to obtain a better insight about the flow characteristics of...journal article 2011
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Erdamar, A.K. (author), Van Leest, M.M. (author), Picken, S.J. (author), Caro, J. (author)We use an elastomer as infill material for a photonic crystal. As a result of the thermal-expansion-induced strongly negative thermal optical coefficient, this material is highly suitable for thermal tuning of the transmission of a cavity. This is demonstrated by global infilling of a hole-type silicon photonic crystal slab and global thermal...journal article 2011
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Tessema, B.T. (author)The main focus of the transmission expansion planning is to find the optimal structure and least cost transmission investment alternatives of the forecasted load and generation configuration. In this paper, transmission investment methodology which focuses on alleviation of transmission line congestions is proposed. The proposed methodology is...master thesis 2011
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Van der Wekken, C.D. (author)In chapter 1 we will give a brief intorduction to continued fractions, and scetch the prove of why quadratic irrationals always have an eventully periodic regular continued fraction expansion. In chapter 2 we introduce the N-continued fraction expansion and end with stating the goal of my thesis. Finally chapter 3 gives some examples of how to...bachelor thesis 2011
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Kurniawan, K. (author)The normalization of political relationship between ASEAN and China brings a closer economic cooperation between them. It culminated through the establishment of ASEAN-China Free Trade Area (ACFTA). In this research, I analyze the economic, environmental, and geopolitical impacts of ACFTA on Indonesia. The economic analysis covers trade...master thesis 2011
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Fang, F. (author), Oosterlee, C.W. (author)We develop an efficient Fourier-based numerical method for pricing Bermudan and discretely monitored barrier options under the Heston stochastic volatility model. The two-dimensional pricing problem is dealt with by a combination of a Fourier cosine series expansion, as in [F. Fang and C.W. Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826–848...journal article 2011
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Wu, X. (author), Collilieux, X. (author), Altamimi, Z. (author), Vermeersen, L.L.A. (author), Gross, R.S. (author), Fukumori, I. (author)The International Terrestrial Reference Frame (ITRF) is a fundamental datum for high?precision orbit tracking, navigation, and global change monitoring. Accurately realizing and maintaining ITRF origin at the mean Earth system center of mass (CM) is critical to surface and spacecraft based geodetic measurements including those of sea level rise...journal article 2011
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- Sisomphon, K. (author), Copuroglu, O. (author), Koenders, E.A.B. (author) conference paper 2011
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Gaitas, A. (author), Gianchandani, S. (author), Zhu, W. (author)Thermomechanical analysis (TMA) is widely used to characterize materials and determine transition temperatures and thermal expansion coefficients. Atomic-force microscopy (AFM) microcantilevers have been used for TMA. We have developed a micromachined probe that includes two embedded sensors: one for measuring the mechanical movement of the...journal article 2011
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Micallef, D. (author), Akay, B. (author), Sant, T. (author), Simao Ferreira, C.J. (author), Van Bussel, G.J.W. (author)The scope of this work was to investigate radial flow component for a Horizontal Axis Wind Turbine in axial flow conditions and to assess its impact on the turbine operation. This was done by means of Particle Image Velocimetry and numerical simulation with a 3D unsteady potential-flow panel model. A direct comparison between the numerical and...conference paper 2011
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- Veling, E.J.M. (author) journal article 2010
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Ruijter, M.J. (author)Financial options are contracts which define rights on stocks in a financial market. Real options arise in for example economical, personal or societal context. The holder has a real option in the sense of a real `choice'. Real options appear in for example the dike height problem, where one has to make optimal choices about when to increase the...master thesis 2010
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Badri, M.A. (author), Wilders, P. (author), Azimian, A.R. (author)Hydrodynamic simulations of tidal currents in the Persian Gulf are presented. Water surface level and velocity have been determined by a Kelvin wave expansion as a new hydrodynamic calibration tool for estimating the dynamical field and flow patterns. In the procedure, leading to the Kelvin wave expansion, data of tidal constituents from co...report 2010
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De Jong, L. (author)This thesis discusses the use of perturbation theory in the context of financial mathematics, in particular on the use of matched asymptotic expansions in option pricing. Our methods are applied to the ordinary Black-Scholes model for illustration. In this simple example of the Black-Scholes model an exact solution is available, so it is in fact...master thesis 2010
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Khalili Araghi, S. (author)The intervention is located on the 30000 m2 land bordered to the east side of the Vliet River and serves as a transaction to the future residential development in Prince Clausplein. This area surrounded from three sides by existing residential units connecting to the A4 highway and commercial zone in the east side. A Main public space structures...master thesis 2009
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Hasan, L. (author), Al-Ars, Z. (author)In this paper, we present an efficient and high performance linear recursive variable expansion (RVE) implementation of the Smith-Waterman (S-W) algorithm and compare it with a traditional linear systolic array implementation. The results demonstrate that the linear RVE implementation performs up to 2.33 times better than the traditional linear...conference paper 2009