• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.18 no.1
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• pp.61-74
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• 2014

This paper presents accurate and efficient numerical methods for calculating the sensitivities of two-asset European options, the Greeks. The Greeks are important financial instruments in management of economic value at risk due to changing market conditions. The option pricing model is based on the Black-Scholes partial differential equation. The model is discretized by using a finite difference method and resulting discrete equations are solved by means of an operator splitting method. For Delta, Gamma, and Theta, we investigate the effect of high-order discretizations. For Rho and Vega, we develop an accurate and robust automatic algorithm for finding an optimal value. A cash-or-nothing option is taken to demonstrate the performance of the proposed algorithm for calculating the Greeks. The results show that the new treatment gives automatic and robust calculations for the Greeks.

• Proceedings of the Korean Society for Noise and Vibration Engineering Conference
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• 2006.05a
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• pp.73-80
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• 2006

In order to examine the validity of an asymptotic solution for nonlinear interaction in asymmetric vibration modes of a perfect circular plate, we obtain the numerical solution. The motion of the plate is governed by nonlinear partial differential equation. The initial and boundary value problem is solved by using the finite difference method. The numerical solution is compared with the asymptotic solution. It is found that traveling waves relating clockwise and counterclockwise as well as standing wave are depicted by the numerical solution.

• Coupled systems mechanics
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• v.8 no.2
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• pp.129-146
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• 2019

The main goal of this work is to develop a numerical simulator to study an isothermal single-phase two-component flow in a naturally fractured oil reservoir, taking into account advection and diffusion effects. We use the Peng-Robinson equation of state with a volume translation to evaluate the properties of the components, and the discretization of the governing partial differential equations is carried out using the Finite Difference Method, along with implicit and first-order upwind schemes. This process leads to a coupled non-linear algebraic system for the unknowns pressure and molar fractions. After a linearization and the use of an operator splitting, the Conjugate Gradient and Bi-conjugated Gradient Stabilized methods are then used to solve two algebraic subsystems, one for the pressure and another for the molar fraction. We studied the effects of fractures in both the flow field and mass transport, as well as in computing time, and the results show that the fractures affect, as expected, the flow creating a thin preferential path for the mass transport.

• Journal of Korean Society on Water Environment
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• v.23 no.5
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• pp.683-688
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• 2007

Water flow into unsaturated soils is most often modeled by Richards equation consisting of the mass conservation law and Darcy's law. Three standard forms of Richards equation are presented as the head (${\Psi}$)-based form, the moisture content (${\theta}$) based form, and the mixed form. Numerical solutions of these partial differential equations with highly nonlinear terms can cause poor results along with significant mass balance errors. The numerical solution based on the mixed form of Richards equation is known that the mass is perfectly conserved without any additional computational efforts. The aim of this study is to develop fully implicit numerical scheme of Richards equation for one-dimensional vertical unsaturated flow in homogeneous soils using the finite difference approximation, and then to perform sensitivity analysis of infiltration to the variations in the unsaturated soil properties and to different soil types.

• Journal of the Society of Naval Architects of Korea
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• v.35 no.1
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• pp.61-71
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• 1998

This paper describes a dynamic fracture behaviors of structural elements under elastic or elasto-plastic stress waves in two dimensional space. The governing equation of this problem has the type of hyperbolic partial differential equation, which consists of the equation of motions and incremental elasto-plastic constitutive equations. To solve this problem we introduce Zwas' method which is based on the finite difference method. Additionally, in order to deal with the dynamic behavior of elasto-plastic problems, an elasto-plastic loading path in the stress space is proposed to model the plastic yield phenomenon. Based on the result of this computation, the dynamic stress intensity factor at the crack tip of an elastic material is calculated, and the time history of a plastic zone of a elasto-plastic material is to be shown.

• Environmental Engineering Research
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• v.23 no.4
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• pp.442-448
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• 2018

This paper presents the numerical simulation of advection-diffusion mechanism of BOD concentration which was used as an indicator of waste only in one flow-direction of waste stabilization ponds (1-dimension (1-D)). This model was represented in partial differential equation order 2. The purpose of this paper was to determine the simulation of the model 1-D of wastewater transport phenomena based advection-diffusion mechanism and did validate the model. Numerical methods which was used for the solution of this model is finite difference method with Forward Time Central Space scheme. The simulation results which was obtained would be compared with field observation data as a validation model. Collection of field data was carried out in the Wastewater Treatment Plant Sewon, Bantul, D.I. Yogyakarta. The results of numerical simulations were indicate that the advection-diffusion mechanism takes place continuously over time. Then validation of the model was state that there was a difference between the calculation results with the field data, with a correlation value of 0.998.

• Journal of Institute of Control, Robotics and Systems
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• v.5 no.4
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• pp.481-488
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• 1999

A thermal model based on the chamber geometry of the industry-standard AST SHS200MA rapid thermal processing system has been developed for the study of thermal uniformity and process repeatability thermal model combines radiation energy transfer directly from the tungsten-halogen lamps and the steady-state thermal conducting equations. Because of the difficulties of solving partial differential equation, calculation of wafer temperature was performed by using finite-difference approximation. The proposed thermal model was verified via titanium silicidation experiments. As a result, we can conclude that the thermal model show good estimation of wafer surface temperature distribution.

• Proceedings of the Korean Society of Soil and Groundwater Environment Conference
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• 2003.09a
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• pp.213-216
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• 2003

Efforts for better understanding of the interaction between groundwater recharge and thermal regime of the subsurface medium is gaining momentum for its diverse applications in water resources. A numerical model is developed to simulate temperature variations of the subsurface under time varying groundwater recharge. The model utilizes MacCormack scheme for finite difference approximation of the partial differential equation describing the conductive and advective heat transport. For the estimation of recharge rate, optimization of the model is realized by searching for the unknown parameters which minimize the root-mean-square error between simulated and measured temperatures. Simulation results for 22-year time series data of temperature measurements reveal that the proposed model can accurately simulate subsurface temperature variations resulting from the redistribution of the heat due to the movement of water and it can also estimate temporal variations of recharge. Seasonal variations of recharge and a linear relationship between precipitation and recharge are clearly reflected in the simulated results.

• Journal of the Korean Wood Science and Technology
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• v.37 no.2
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• pp.141-147
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• 2009

The fluctuation of physical properties in wood or wood composites is an important subject when the materials in building and construction. Sorption and desorption occur in wood when exposed to the open air, and the temperature distribution in wood can fluctuate as a result of changes in environmental temperature, solar radiation, humidity, and wind velocity. In this study, the temperature difference and fluctuation caused by outdoor environment among different wood species were analyzed using a numerical method. The effect on the process of heat transfer in wood caused by environmental factors was investigated using 1-dimensional partial differential equation with real boundary and initial conditions. The experimental data have been used to check the accuracy of programming code. Through analysis, it was found out that density and moisture content have a negative effect on thermal diffusivity of wood.

• Biotechnology and Bioprocess Engineering:BBE
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• v.11 no.2
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• pp.110-115
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• 2006

We conducted a sensitivity analysis of the simulated moving bed (SMB) chromatography with the case model of the separation of two amino acids phenylalanine and tryptophan. We consider a four-zone SMB chromatography where the triangle theory is used to determine the operating conditions. Competitive Langmuir isotherm model was used to determine the adsorption isotherm. The finite difference method is used to solve nonlinear partial differential equation (PDE) systems numerically. We examined the effects of alterations in the operating conditions(feed-extract, feed-raffinate, eluent-extract, eluent-raffinate, recycle, and switching time) and the adsorption isotherm parameters (Langmuir isotherm parameters a and b) on SMB efficiency. The variation range of operating conditions and Langmuir isotherm a was between -50 and 50% of original value and the variation range of the Langmuir isotherm b was between $2.25^{-5}$ and $2.25^5$ times of original value.