Finite Element Modelling of Exotic Options

Finite Element Modelling of Exotic Options

A Finite Element Platform For Pricing Path-Dependent Exotic Options

For many path-dependent options, such as Asian options, lookbacks, Parisian options, using partial differentiation equation (PDE) approach to price these exotic options can be straightforward and flexible. In addition, modified versions of the standard exotic path-dependent options can be easily accommodated in the same pricing algorithms. For example, American early exercise features, barriers...

Finite-Element Modelling of Biotransistors

Current research efforts in biosensor design attempt to integrate biochemical assays with semiconductor substrates and microfluidic assemblies to realize fully integrated lab-on-chip devices. The DNA biotransistor (BioFET) is an example of such a device. The process of chemical modification of the FET and attachment of linker and probe molecules is a statistical process that can result in varia...

Flexural Strengthening of Deficient Reinforced Concrete Beams with Post-Tensioned Carbon Composites using Finite Element Modelling

The application of external post-tensioned steel bars as an effective way to strengthen an existing bridge has been so far used in many different countries. In recent decades, however, they have been replaced by bars made from Carbon Fiber Reinforced Polymer (CFRP), as a material with high tensile strength and corrosion resistance, to address several concerns with steel bars such as their appli...

3D Mesoscale Finite Element Modelling of Concrete

Concrete is non-homogeneous and is composed of three main constituent phases from a mesoscopic viewpoint, namely aggregates, mortar matrix, and interface transition zone (ITZ). A mesoscale model with explicit representation of the three distinctive phases is needed for investigation into the damage processes underlying the macroscopic behaviour of the composite material. This paper presents a f...