• Honam Mathematical Journal
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• v.37 no.4
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• pp.441-455
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• 2015

In this paper, we perform a comparison study of explicit and implicit numerical methods for the equity-linked securities (ELS). The option prices of the two-asset ELS are typically computed using an implicit finite diffrence method because an explicit finite diffrence scheme has a restriction for time steps. Nowadays, the three-asset ELS is getting popularity in the real world financial market. In practical applications of the finite diffrence methods in computational finance, we typically use relatively large space steps and small time steps. Therefore, we can use an accurate and effient explicit finite diffrence method because the implementation is simple and the computation is fast. The computational results demonstrate that if we use a large space step, then the explicit scheme is better than the implicit one. On the other hand, if the space step size is small, then the implicit scheme is more effient than the explicit one.

• The Pure and Applied Mathematics
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• v.27 no.4
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• pp.231-249
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• 2020

We present an efficient and robust finite difference method for a two-asset jump diffusion model, which is a partial integro-differential equation (PIDE). To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. In addition, we use bilinear interpolation to solve integral term of PIDE. We can obtain more stable value by using the payoff-consistent extrapolation. We provide numerical experiments to demonstrate a performance of the proposed numerical method. The numerical results show the robustness and accuracy of the proposed method.

• Ecology and Resilient Infrastructure
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• v.4 no.1
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• pp.54-62
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• 2017

This study investigated compound open channel flow using OpenFOAM Large Eddy Simulation (LES). Large eddy simulations were carried out by solving the filtered continuity and momentum equations numerically. One equation LES and non-uniform grid were applied to capture the anisotropic turbulence and secondary flow near the wall. The results of large eddy simulations of turbulent flow in a compound open channel with deep and shallow flood plain depths are presented. These LESs are validated with experimental data, resulting in a good agreement between measured and calculated data. The role of anisotropic turbulence in generating secondary currents is illustrated.

• Proceedings of the KIEE Conference
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• 1990.11a
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• pp.23-27
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• 1990

Adaptive mesh refinement scheme is incorporated with the Boundary Element Method (BEM) in order to get accurate solution with relatively fewer unknowns for the case of magnetostatic field analysis and A new and simple posteriori local error estimation method is presented. The local error is defined as integration over the element of the difference between solutions acquired us ing second order and first order interpolation function and is used as the criterion for mesh refinement at given grid. Case study for two dimensional problems with singular point reveals that meshes are concentrated on the neighbor of singular point and the error is decreased gradually and the solutions calculated on the domain are converged to the analytic solution as the number of unknowns increases. The adaptive mesh gives much better rate of convergence in global errors than the uniform mesh.

• Journal of the Society of Naval Architects of Korea
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• v.43 no.3 s.147
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• pp.285-293
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• 2006

Three-dimensional and time-dependent solution for the fluid flow and heat transfer past a circular cylinder with fins is obtained using accurate and efficient spectral methods. A Fourier expansion with a corresponding uniform grid is used along the circumferential direction. A spectral multi-domain method with a corresponding Chebyshev collocation is used along r-z plane to handle fins attached to the surface of a circular cylinder. At the Reynolds number of 300 based on a cylinder diameter, results with fins are compared with those without fins in order to see the effects of the presence of fins on three-dimensional and unsteady fluid flow and heat transfer past a bluff body. The detail structures of fluid flow and temperature field are obtained as a function of time to investigate how the presence of fins changes heat transfer mechanism related to the vortical structure in the wake region.

• Journal of computational fluids engineering
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• v.16 no.4
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• pp.7-13
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• 2011

A comparative analysis of thermal models in the lattice Boltzmann method(LBM) for the simulation of laminar natural convection in a square cavity is presented. A HYBRID method, in which the thermal equation is solved by the Navier-Stokes equation method while the mass and momentum conservation are resolved by the lattice Boltzmann method, is introduced and its merits are explained. All the governing equations are discretized on a cell-centered, non-uniform grid using the finite-volume method. The convection terms are treated by a second-order central-difference scheme with a deferred correction method to ensure stability of the solutions. The HYBRID method and the double-population method are applied to the simulation of natural convection in a square cavity and the predicted results are compared with the benchmark solutions given in the literatures. The predicted results are also compared with those by the conventional Navier-Stokes equation method. In general, the present HYBRID method is as accurate as the Navier-Stokes equation method and the double-population method. The HYBRID method shows better convergence and stability than the double-population method. These observations indicate that this HYBRID method is an efficient and economic method for the simulation of incompressible fluid flow and heat transfer problem with the LBM.

• Journal of Korean Society for Atmospheric Environment
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• v.16 no.4
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• pp.327-338
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• 2000

complexity in atmospheric environment coupled with shoreline and complex terrain often causes local variations of meteorology that are distinct from those representative over larger surrounding area, These kinds of local variations are less significant in usual long-term environmental impact analyses dealing with continuous plume. The variations could however be crucial in predicting dispersion of toxic substance released in a relatively small area for a short duration. In the present paper the effects of spatial and temporal resolution of diagnostic wind field on the dispersion of the released substance are investigated by using a puff model. A hypothetical release scenario assumes that a substance is released from a location in the Yochon Industrial Estate and passively dispersed within a few-kilometer distance for an hour. The results show that diagnostic analysis could resolve more spatial variations to some extent by employing smaller grid size. The peak concentrations and puff trajectories obtained from spatially -and/or tmeporally -varing diagnostic wind field are found appreciably different from those obtained from uniform wind field. Attention to high-resolution wind field in the both spatial and temporal spaces is called in the consequence analysis of toxic substance release.

• International Journal of Aeronautical and Space Sciences
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• v.18 no.4
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• pp.601-613
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• 2017

An adjoint-based error estimation and mesh adaptation study is conducted for two-dimensional viscous flows on unstructured hybrid meshes. The error in an integral output functional of interest is estimated by a dot product of the residual vector and adjoint variable vector. Regions for the mesh to be adapted are selected based on the amount of local error at each nodal point. Triangular cells in the adaptive regions are refined by regular refinement, and quadrangular cells near viscous walls are bisected accordingly. The present procedure is applied to single-element airfoils such as the RAE2822 at a transonic regime and a diamond-shaped airfoil at a supersonic regime. Then the 30P30N multi-element airfoil at a low subsonic regime with a high incidence angle (${\alpha}=21deg.$) is analyzed. The same level of prediction accuracy for lift and drag is achieved with much less mesh points than the uniform mesh refinement approach. The detailed procedure of the adjoint-based mesh refinement for the multi-element airfoil case show that the basic flow features around the airfoil should be resolved so that the adjoint method can accurately estimate an output error.

• International Journal of Naval Architecture and Ocean Engineering
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• v.8 no.2
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• pp.188-197
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• 2016

Offshore substructures have been developed to support structures against complex offshore environments. The load at offshore substructures is dominated by waves, and deformation of waves caused by interactions with the current is an important phenomena. Wave load simulation of fixed offshore substructures in waves with the presence of uniform current was carried out by numerical wave tank technique using the commercial software, FLUENT. The continuity and Navier-Stokes equations were applied as the governing equations for incompressible fluid motion, and numerical wavemaker was employed to reproduce offshore wave environment. Convergence test against grids number was carried out to investigate grid dependency and optimized conditions for numerical wave generation were derived including investigation of the damping effect against length of the damping domain. Numerical simulation of wave and current interactions with fixed offshore substructure was carried out by computational fluid dynamics, and comparison with other experiments and simulations results was conducted.

• Progress in Superconductivity and Cryogenics
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• v.18 no.1
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• pp.50-54
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• 2016

In this paper, a hybrid method is proposed to design an air-core superconducting solenoid system for 6 T axial uniform magnetic field using Niobium Titanium (NbTi) superconducting wire. In order to minimize the volume of conductor, the hybrid optimization method including a linear programming and a nonlinear programming was adopted. The feasible space of solenoid is divided by several grids and the magnetic field at target point is approximated by the sum of magnetic field generated by an ideal current loop at the center of each grid. Using the linear programming, a global optimal current distribution in the feasible space can be indicated by non-zero current grids. Furthermore the clusters of the non-zero current grids also give the information of probable solenoids in the feasible space, such as the number, the shape, and so on. Applying these probable solenoids as the initial model, the final practical configuration of solenoids with integer layers can be obtained by the nonlinear programming. The design result illustrates the efficiency and the flexibility of the hybrid method. And this method can also be used for the magnet design which is required the high homogeneity within several ppm (parts per million).