This paper presents two algorithms based on the Jamshidian equation which is from the Black-Scholes partial differential equation. The first algorithm is for American call options and the second one is for American put options. They compute numerically free boundary and then option price, iteratively, because the free boundary and the option price are coupled implicitly. By the upwind finite-difference scheme, we discretize the Jamshidian equation with respect to asset variable s and set up a linear system whose solution is an approximation to the option value. Using the property that the coefficient matrix of this linear system is an M-matrix, we prove several theorems in order to formulate a bisection method, which generates a sequence of intervals converging to the fixed interval containing the free boundary value with error bound h. These algorithms have the accuracy of O(k + h), where k and h are step sizes of variables t and s, respectively. We prove that they are unconditionally stable. We applied our algorithms for a series of numerical experiments and compared them with other algorithms. Our algorithms are efficient and applicable to options with such constraints as r > d, $r{\leq}d$, long-time or short-time maturity T.

We consider counterparty risk in CDS rates. To do so, we use a multivariate jump diffusion process for obligors' default intensity, where jumps (i.e. magnitude of contribution of primary events to default intensities) occur simultaneously and their sizes are dependent. For these simultaneous jumps and their sizes, a homogeneous Poisson process. We apply copula-dependent default intensities of multivariate Cox process to derive the joint Laplace transform that provides us with joint survival/default probability and other relevant joint probabilities. For that purpose, the piecewise deterministic Markov process (PDMP) theory developed in [7] and the martingale methodology in [6] are used. We compute survival/default probability using three copulas, which are Farlie-Gumbel-Morgenstern (FGM), Gaussian and Student-t copulas, with exponential marginal distributions. We then apply the results to calculate CDS rates assuming deterministic rate of interest and recovery rate. We also conduct sensitivity analysis for the CDS rates by changing the relevant parameters and provide their figures.

In this paper, we present an implicit method for reconstructing a 3D solid model from two 2D cross section images. The proposed method is based on the Cahn-Hilliard model for the image inpainting. Image inpainting is the process of reconstructing lost parts of images based on information from neighboring areas. We treat the empty region between the two cross sections as inpainting region and use two cross sections as neighboring information. We initialize the empty region by the linear interpolation. We perform numerical experiments demonstrating that our proposed method can generate a smooth 3D solid model from two cross section data.

When a straight channel formed by two parallel porous plates, through which two immiscible liquids occupying different heights are flowing a secondary motion is set up. The motion is caused by moving the upper plate with a uniform velocity about an axis perpendicular to the plates. The solutions are exact solutions. Here we discuss the effect of suction parameter and the position of interface on the flow phenomena in case of Couette flow. The velocity distributions for the primary and secondary flows have been discussed and presented graphically. The skin-friction amplitude at the upper and lower plates has been discussed for various physical parameters.

The present paper deals with the determination of temperature, displacement and thermal stresses in a semi-infinite hollow circular disk due to internal heat generation within it. Initially the disk is kept at arbitrary temperature F(r, z). For times t > 0 heat is generated within the circular disk at a rate of g(r, z, t) $Btu/hr.ft^3$. The heat flux is applied on the inner circular boundary (r = a) and the outer circular boundary (r = b). Also, the lower surface (z = 0) is kept at temperature $Q_3(r,t)$ and the upper surface ($Z={\infty}$) is kept at zero temperature. Hollow circular disk extends in the z-direction from z = 0 to infinity. The governing heat conduction equation has been solved by using finite Hankel transform and the generalized finite Fourier transform. As a special case mathematical model is constructed for different metallic disk have been considered. The results are obtained in series form in terms of Bessel's functions. These have been computed numerically and illustrated graphically.

The present paper analyses the radiation effects of mass transfer on steady nonlinear MHD boundary layer flow of a viscous incompressible fluid over a nonlinear porous stretching surface in a porous medium in presence of heat generation. The liquid metal is assumed to be gray, emitting, and absorbing but non-scattering medium. Governing nonlinear partial differential equations are transformed to nonlinear ordinary differential equations by utilizing suitable similarity transformation. The resulting nonlinear ordinary differential equations are solved numerically using Runge-Kutta fourth order method along with shooting technique. Comparison with previously published work is obtained and good agreement is found. The effects of various governing parameters on the liquid metal fluid dimensionless velocity, dimensionless temperature, dimensionless concentration, skin-friction coefficient, Nusselt number and Sherwood number are discussed with the aid of graphs.