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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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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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Zhang, B. (author)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...doctoral thesis 2012
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Zhang, L. (author)The research in ultrasonic processing for metallurgical application shows a promising influence on improving casting properties of aluminium alloys. The principle of ultrasonic processing is introduction of acoustic waves with a frequency higher than 17 kHz into liquid metal. Several promising beneficial effects caused by ultrasonic processing...doctoral thesis 2013
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Zhang, B. (author), Oosterlee, C.W. (author)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...journal article 2013
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Lakerveld, R. (author), Benyahia, B. (author), Heider, P.L. (author), Zhang, H. (author), Braatz, R.D. (author), Barton, P.I. (author)The judicious use of buffering capacity is important in the development of future continuous pharmaceutical manufacturing processes. The potential benefits are investigated of using optimal-averaging level control for tanks that have buffering capacity for a section of a continuous pharmaceutical pilot plant involving two crystallizers, a...journal article 2013
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Li, Y. (author), Song, Y. (author), Horvath, I. (author), Opiyo, E.Z. (author), Zhang, G. (author)In the designing and modeling of CPSs, the information acquisition and processing processes are often application dependent and process oriented. Those information management frameworks are simple and effective for small scale systems. However, many functions developed are not reusable or cannot be directly re-used, when a large number of...conference paper 2014
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Zhang, J. (author)Recently, flexible, wearable and disposable electronics have attracted a lot of attention. Printing enables low-cost fabrication of circuits on flexible substrates. Printed organic and metal oxide thin-film transistors (TFTs) have been researched intensively due to the ease of solution-processing. But their carrier mobility and reliability are...doctoral thesis 2015
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Koladouz Esfahani, Z. (author), Tohidian, M. (author), van Zeijl, H.W. (author), Kolahdouz, Mohammadreza (author), Zhang, Kouchi (author)Given the performance decay of high-power light-emitting diode (LED) chips over time and package condition changes, having a reliable output light for sensitive applications is a point of concern. In this study, a light feedback control circuit, including blue-selective photodiodes, for blue/ultraviolet (UV) LED, has been designed and...journal article 2017
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Middelburg, L.M. (author), el Mansouri, B. (author), van Zeijl, H.W. (author), Zhang, Kouchi (author), Poelma, René H. (author)In this work a method is described to investigate process variations across a wafer. Through wafer MEMS spiral resonators were designed, simulated, fabricated and characterized by measuring the eigenfrequency and corresponding mode shapes. Measuring the eigenfrequency and resulting spectral behavior of resonators on different locations on the...conference paper 2017
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Sun, Bo (author), Fan, Xuejun (author), van Driel, W.D. (author), Cui, Chengqiang (author), Zhang, Kouchi (author)In this study, we present a general methodology that combines the reliability theory with physics of failure for reliability prediction of an LED driver. More specifically, an integrated LED lamp, which includes an LED light source with statistical distribution of luminous flux, and a driver with a few critical components, is considered. The...journal article 2018
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Cao, Pinqiang (author), Wu, Jianyang (author), Zhang, Zhisen (author), Fang, Bin (author), Peng, Li (author), Li, Tianshu (author), Vlugt, T.J.H. (author), Ning, Fulong (author)A sound knowledge of fundamental mechanical properties of water ice is of crucial importance to address a wide range of applications in earth science, engineering, as well as ice sculpture and winter sports, such as ice skating, ice fishing, ice climbing, bobsleighs, and so on. Here, we report large-scale molecular dynamics (MD) simulations...journal article 2018
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Sharma, Rahul (author), Zhang, J. (author), Langelaar, Matthijs (author), van Keulen, A. (author), Aragon, A.M. (author)In this paper, we propose a stress recovery procedure for low-order finite elements in 3D. For each finite element, the recovered stress field is obtained by satisfying equilibrium in an average sense and by projecting the directly calculated stress field onto a conveniently chosen space. Compared with existing recovery techniques, the...journal article 2018
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- van der Neut, J.R. (author), Brackenhoff, Joeri (author), Staring, Myrna (author), Zhang, L. (author), de Ridder, S.A.L. (author), Slob, E.C. (author), Wapenaar, C.P.A. (author) journal article 2018
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Yang, Yang (author), Li, Diquan (author), Tong, Tiegang (author), Zhang, D. (author), Zhou, Yatong (author), Chen, Yangkang (author)Strong noise is one of the toughest problems in the controlled-source electromagnetic (CSEM) method, which highly affects the quality of recorded data. The three main types of noise existing in CSEM data are periodic noise, Gaussian white noise, and nonperiodic noise, among which the nonperiodic noise is thought to be the most difficult to...journal article 2018
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Chang, Z. (author), Zhang, H. (author), Schlangen, E. (author), Šavija, B. (author)The aim of this work is to investigate the fracture process of concrete under various boundary conditions. Although numerous concrete fracture tests have been reported, showing the failure behavior of concrete, their evaluation is ambiguous due to the limitations of specimen size and experimental conditions. Therefore, it is necessary to use...conference paper 2019
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Slob, E.C. (author), Zhang, L. (author)Elimination of multiples from acoustic reflection data is important to reduce the effect of their presence in velocity model building and subsequent imaging. Many processing schemes assume only primary reflection events are present in the data. Free-surface multiple elimination is an established technology, but internal multiple elimination is...conference paper 2019
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Chen, Xiaomin (author), Xu, Gaohong (author), Zhang, Wanshun (author), Peng, Hong (author), Xia, Han (author), Zhang, Xiao (author), Ke, Q. (author), Wan, Jing (author)The Three Gorges Project (TGP) has greatly enhanced the heterogeneity of the underlying surface in the Three Gorges Reservoir Area (TGRA), thereby affecting the hydrologic processes and water quality. However, the influence of the differences of underlying surfaces on the hydrologic processes and water quality in the TGRA has not been studied...journal article 2019
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Zhang, Weizhao (author), Bostanabad, Ramin (author), Liang, Biao (author), Su, Xuming (author), Zeng, Danielle (author), Bessa, M.A. (author), Wang, Yanchao (author), Chen, Wei (author), Cao, Jian (author)Carbon fiber reinforced plastics (CFRPs) are attracting growing attention in industry because of their enhanced properties. Preforming of thermoset carbon fiber prepregs is one of the most common production techniques of CFRPs. To simulate preforming, several computational methods have been developed. Most of these methods, however, obtain...journal article 2019
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Zhang, D. (author), Tenpierik, M.J. (author), Bluyssen, P.M. (author)The acoustic conditions of classrooms received a lot of attention in the last decades because of its important role in school children's comfort and performance. In a previous field study of 54 classrooms from 21 schools in the Netherlands, more than 85% of the 1145 primary school children reported that they were bothered by noise in the...journal article 2019