6Th European Congress on Computational Methods in Applied Sciences and Engineering

Total Page:16

File Type:pdf, Size:1020Kb

6Th European Congress on Computational Methods in Applied Sciences and Engineering ECCOMAS 2012 ECCOMAS 2012 6th European Congress on Computational Methods in Applied Sciences and Engineering September 10-14, 2012 Vienna, Austria Table of Contents http://eccomas2012.conf.tuwien.ac.at Preface 2 Congress Organisation 3 The Congress Venue 5 Your Way to the Congrress Venue 6 On-site Information from A to Z 8 Where to Eat 10 Vienna from A to Z 11 Exhibitors 13 Social Programme 16 Accompanying Persons’ Programme 17 Congress Programme 18 Organising Institutions Plenary/Semi-Plenary Lectures 19 Mini-Symposia 24 Vienna University of Technology Special-Technology Sessions 38 Industrial Symposium 38 ■ Institute for Mechanics of Materials and Structures Technical Sessions 39 ■ Institute of Lightweight Design and Structural Biomechanics Programme - Monday, Sept 10 43 Programme - Tuesday, Sept 11 54 Programme - Wednesday, Sept 12 71 Programme - Thursday, Sept 13 88 Programme - Friday, Sept 14 105 List of Abstracts 113 Abstracts - Monday, Sept 10 113 Abstracts - Tuesday, Sept 11 165 Abstracts - Wednesday, Sept 12 239 Abstracts - Thursday, Sept 13 314 Abstracts - Friday, Sept 14 387 Author Index 415 Room Maps 441 1 ECCOMAS 2012 Welcome to the ECCOMAS 2012 Congress Dear Participants, On behalf of the European Community on Computational Methods in Applied Sciences (ECCOMAS), it is our great pleasure to welcome you in Vienna, Austria at the 6th European Congress on Computational Methods in Applied Sciences and Engineering (ECCOMAS 2012). The congress is jointly organized by the Institute for Mechanics of Materials and Structures and the Institute of Lightweight Design and Structural Biomechanics of the Vienna University of Technology. Vienna is well known for its cosmopolitan atmosphere and its reputation as one of the world’s leading convention venues. A climate of openness and understanding makes Vienna a successful backdrop for meetings as diverse as superpower summits, technical symposia, corporate conventions, and major specialised conferences and congresses at an international level. Vienna offers many attractive cultural possibilities. Special musical events are also scheduled during ECCOMAS 2012 Congress, such as, at the opening ceremony at the Musikverein’s Golden Hall, which is famous for its outstanding acoustics and the Vienna New Year’s Concert, and the organ concert in the St. Stephan’s Cathedral. About 2000 participants attend the ECCOMAS 2012 Congress in Vienna. More than 2100 abstracts related to all areas of computational methods in applied sciences and engineering have been submitted to the ECCOMAS 2012 Congress by authors from 61 countries around the world. All abstracts were reviewed by the organisers of the mini-symposia and by members of the scientific committee. The scientific programme of the ECCOMAS 2012 Congress consists of two plenary lectures, 36 semi-plenary lectures, 108 mini-symposia, 5 special technology sessions, an industrial symposium, and 36 technical sessions. The organisers of the ECCOMAS 2012 Congress would like to thank the authors for submitting their scientific contributions and the reviewers for their unselfish cooperation. Furthermore, they want to acknowledge the productive co-operation with the congress management “Mondial Congress & Events”. In particular, the organisers want to express their gratitude to the co-workers of the organising institutes for their invaluable help at various stages of the preparation of the ECCOMAS 2012 Congress. We hope you will enjoy your stay in Vienna! Josef Eberhardsteiner, Helmut J. Böhm, Franz G. Rammerstorfer Herbert A. Mang Martina Pöll Congress Chairmen Honorary Chairman Secretary General Greetings from the President of ECCOMAS On behalf of the European Community on Computational Methods in Applied Sciences (ECCOMAS) it is a great pleasure for me to welcome you to the VI ECCOMAS Congress which celebrates the 20th Anniversary of the creation of ECCOMAS and is taking place in Vienna, the city which this year is honoring Gustav Klimt, the ingenious Viennese painter, on the occasion of the 150th anniversary of his birth. The ECCOMAS Congress together with the jointly organized Conferences on Computational Mechanics in Solids, Structures and Coupled Problems in Engineering (ECCM) and Computational Fluid Dynamics (CFD), constitute the three main scientific events of ECCOMAS organized every four years. In addition to these three large-scale European events, ECCOMAS supports regional conferences, endorses thematic conferences and workshops, promotes young investigators conferences and courses and encourages the organization of open industrial days within its fields. ECCOMAS is a scientific organization grouping European associations with interests in the development and applications of computational methods in science and technology. The mission of ECCOMAS is to promote joint efforts of European universities, research institutes and industries which are active in the broader field of numerical methods and computer simulation in Engineering and Applied Sciences, to address critical societal and technological problems with particular emphasis on multidisciplinary applications. The main objective of the ECCOMAS Congress series is to provide a forum for presentation and discussion of state-of-the-art advances in computational methods in applied sciences and engineering, including basic methodologies, scientific developments and industrial applications, and to serve as a platform for establishing links between research groups of academia and industry with common as well as complementary activities. The previous ECCOMAS Congresses were held in Brussels in 1992, Paris in 1996, Barcelona in 2000, Jyväskylä in 2004 and Venice in 2008. The ECCOMAS 2012 Congress inaugurates the awarding of the Ritz-Galerkin Medal for outstanding and sustained contributions in the field of computational methods in applied sciences and engineering which will be bestowed every four years at the ECCOMAS Congresses. In addition to the Ritz-Galerkin Medal, the biannual Euler Medal in the field of computational solid and structural mechanics and Prandtl Medal in the field of computational fluid dynamics, as well as the Zienkiewicz Award in the field of computational engineering sciences and the Lions Award in the field of computational mathematics, both for young scientists, will also be conferred at the Opening Ceremony of this congress. I would like to take this opportunity to thank the Congress Chairmen Josef Eberhardsteiner, Helmut Böhm and Franz Rammerstorfer as well as the Secretary General Martina Pöll for the excellent organisation and assistance during the preparation stages of the Congress and to extend my best wishes to all the participants for an enjoyable and fruitful experience, both from the scientific and cultural points of view. Manolis Papadrakakis ECCOMAS President 2 ECCOMAS 2012 Congress Organisation Chairmen Secretary General Josef EBERHARDSTEINER Martina PÖLL Helmut J. BÖHM General Info Franz G. RAMMERSTORFER Honorary Chairman Herbert A. MANG Local Organising Committee Christoph ADAM, University of Innsbruck Hans IRSCHIK, Johannes Kepler University of Linz Claudia AMBROSCH-DRAXL, Freie Universität Berlin Ernst KOZESCHNIK, Vienna University of Technology Thomas ANTRETTER, University of Leoben Georg KRESSE, University of Vienna Gernot BEER, Graz University of Technology Hendrik KUHLMANN, Vienna University of Technology Peter BLAHA, Vienna University of Technology Roman LACKNER, University of Innsbruck Christian BUCHER, Vienna University of Technology Paul MAYRHOFER, University of Leoben Karin DE BORST, Glasgow University of Technology Heinz PETTERMANN, Vienna University of Technology Christoph DELLAGO, University of Vienna Dieter PAHR, Vienna University of Technology Christian DÜNSER, Graz University of Technology Bernhard PICHLER, Vienna University of Technology Jürgen HAFNER, University of Vienna Stefan PIRKER, Johannes Kepler University of Linz Philipp GITTLER, Johannes Kepler University of Linz Martin SCHANZ, Graz University of Technology Christian HELLMICH, Vienna University of Technology Otmar SCHERZER, University of Vienna Rudolf HEUER, Vienna University of Technology Herbert STEINRÜCK, Vienna University of Technology Günter HOFSTETTER, University of Innsbruck Reinhard WILLIGNER, Vienna University of Technology Gerhard HOLZAPFEL, Graz University of Technology Philippe ZYSSET, University of Bern Executive Committee formed by the representatives of the national organisations affilliated to ECCOMAS Ferdinando AURICCHIO, AIMETA (Italy) Alexander MASLOV, ONIV (Russia) Michel BERCOVIER, IACMM (Israel) Maria CECCHI MORANDI, SIMAI (Italy) MIchel BERNARDOU, GAMNI/SMAI (France) Carlos MOTA SOARES, APMTAC (Portugal) Nenad BICANIC, ACME (United Kingdom) Pekka NEITTAANMAKI, FMS (Finnland) Tadeusz BURCZYNSKI, PACM (Poland) Manolis PAPADRAKAKIS, GRACM (Greece) Pedro DÍEZ, SEMNI (Spain) Carlos PARÉS, SEMA (Spain) Michael GILCHRIST, ISSEC (Ireland) Ekkehard RAMM, GACM (Germany) Charles HIRSCH, EROFTAC (Belgium) Paul STEINMANN, GAMM (Germany) Joze KORELC, CEACM (Central Europe) Ismail TUNCER, TNCTAM (Turkey) Trond KVAMSDAL, NOACM (Scandinavia) Dick VAN CAMPEN, NMC (The Netherlands) Pierre LADEVÈZE, CSMA (France) Dirk VANDEPITTE, BNCM (Belgium) Industrial Advisory Committee Josef AFFENZELLER, AVL List GmbH Christian MITTELSTEDT, AIRBUS Deutschland GmbH Hans-Georg BALTHAUS, Hochtief Construction AG Anton MITTEREGGER, Voith Hydro GmbH & Co. KG Alexander DOPF, CADFEM Austria Johannes NOISTERNIG, FACC AG Dominik DUSCHLBAUER, AECOM Mario RABITSCH, Strabag AG Franco A. FOSSATI,
Recommended publications
  • Numerical Solution of Jump-Diffusion LIBOR Market Models
    Finance Stochast. 7, 1–27 (2003) c Springer-Verlag 2003 Numerical solution of jump-diffusion LIBOR market models Paul Glasserman1, Nicolas Merener2 1 403 Uris Hall, Graduate School of Business, Columbia University, New York, NY 10027, USA (e-mail: [email protected]) 2 Department of Applied Physics and Applied Mathematics, Columbia University, New York, NY 10027, USA (e-mail: [email protected]) Abstract. This paper develops, analyzes, and tests computational procedures for the numerical solution of LIBOR market models with jumps. We consider, in par- ticular, a class of models in which jumps are driven by marked point processes with intensities that depend on the LIBOR rates themselves. While this formulation of- fers some attractive modeling features, it presents a challenge for computational work. As a first step, we therefore show how to reformulate a term structure model driven by marked point processes with suitably bounded state-dependent intensities into one driven by a Poisson random measure. This facilitates the development of discretization schemes because the Poisson random measure can be simulated with- out discretization error. Jumps in LIBOR rates are then thinned from the Poisson random measure using state-dependent thinning probabilities. Because of discon- tinuities inherent to the thinning process, this procedure falls outside the scope of existing convergence results; we provide some theoretical support for our method through a result establishing first and second order convergence of schemes that accommodates thinning but imposes stronger conditions on other problem data. The bias and computational efficiency of various schemes are compared through numerical experiments. Key words: Interest rate models, Monte Carlo simulation, market models, marked point processes JEL Classification: G13, E43 Mathematics Subject Classification (1991): 60G55, 60J75, 65C05, 90A09 The authors thank Professor Steve Kou for helpful comments and discussions.
    [Show full text]
  • CURRICULUM VITAE Anatoliy SWISHCHUK Department Of
    CURRICULUM VITAE Anatoliy SWISHCHUK Department of Mathematics & Statistics, University of Calgary 2500 University Drive NW, Calgary, Alberta, Canada T2N 1N4 Office: MS552 E-mails: [email protected] Tel: +1 (403) 220-3274 (office) home page: http://www.math.ucalgary.ca/~aswish/ Education: • Doctor of Phys. & Math. Sci. (1992, Doctorate, Institute of Mathematics, National Academy of Sciences of Ukraine (NASU), Kiev, Ukraine) • Ph.D. (1984, Institute of Mathematics, NASU, Kiev, Ukraine) • M.Sc., B.Sc. (1974-1979, Kiev State University, Faculty of Mathematics & Mechanics, Probability Theory & Mathematical Statistics Department, Kiev, Ukraine) Work Experience: • Full Professor, Department of Mathematics and Statistics, University of Calgary, Calgary, Canada (April 2012-present) • Co-Director, Mathematical and Computational Finance Laboratory, Department of Math- ematics and Statistics, University of Calgary, Calgary, Canada (October 2004-present) • Associate Professor, Department of Mathematics and Statistics, University of Calgary, Calgary, Canada (July 2006-March 2012) • Assistant Professor, Department of Mathematics and Statistics, University of Calgary, Calgary, Canada (August 2004-June 2006) • Course Director, Department of Mathematics & Statistics, York University, Toronto, ON, Canada (January 2003-June 2004) • Research Associate, Laboratory for Industrial & Applied Mathematics, Department of Mathematics & Statistics, York University, Toronto, ON, Canada (November 1, 2001-July 2004) • Professor, Probability Theory & Mathematical Statistics
    [Show full text]
  • Introduction to Black's Model for Interest Rate
    INTRODUCTION TO BLACK'S MODEL FOR INTEREST RATE DERIVATIVES GRAEME WEST AND LYDIA WEST, FINANCIAL MODELLING AGENCY© Contents 1. Introduction 2 2. European Bond Options2 2.1. Different volatility measures3 3. Caplets and Floorlets3 4. Caps and Floors4 4.1. A call/put on rates is a put/call on a bond4 4.2. Greeks 5 5. Stripping Black caps into caplets7 6. Swaptions 10 6.1. Valuation 11 6.2. Greeks 12 7. Why Black is useless for exotics 13 8. Exercises 13 Date: July 11, 2011. 1 2 GRAEME WEST AND LYDIA WEST, FINANCIAL MODELLING AGENCY© Bibliography 15 1. Introduction We consider the Black Model for futures/forwards which is the market standard for quoting prices (via implied volatilities). Black[1976] considered the problem of writing options on commodity futures and this was the first \natural" extension of the Black-Scholes model. This model also is used to price options on interest rates and interest rate sensitive instruments such as bonds. Since the Black-Scholes analysis assumes constant (or deterministic) interest rates, and so forward interest rates are realised, it is difficult initially to see how this model applies to interest rate dependent derivatives. However, if f is a forward interest rate, it can be shown that it is consistent to assume that • The discounting process can be taken to be the existing yield curve. • The forward rates are stochastic and log-normally distributed. The forward rates will be log-normally distributed in what is called the T -forward measure, where T is the pay date of the option.
    [Show full text]
  • Pricing Bermudan Swaptions on the LIBOR Market Model Using the Stochastic Grid Bundling Method
    Pricing Bermudan Swaptions on the LIBOR Market Model using the Stochastic Grid Bundling Method Stef Maree,∗ Jacques du Toity Abstract We examine using the Stochastic Grid Bundling Method (SGBM) to price a Bermu- dan swaption driven by a one-factor LIBOR Market Model (LMM). Using a well- known approximation formula from the finance literature, we implement SGBM with one basis function and show that it is around six times faster than the equivalent Longstaff–Schwartz method. The two methods agree in price to one basis point, and the SGBM path estimator gives better (higher) prices than the Longstaff–Schwartz prices. A closer examination shows that inaccuracies in the approximation formula introduce a small bias into the SGBM direct estimator. 1 Introduction The LIBOR Market Model (LMM) is an interest rate market model. It owes much of its popularity to the fact that it is consistent with Black’s pricing formulas for simple interest rate derivatives such as caps and swaptions, see, for example, [3]. Under LMM all forward rates are modelled as individual processes, which typically results in a high dimensional model. Consequently when pricing more complex instruments under LMM, Monte Carlo simulation is usually used. When pricing products with early-exercise features, such as Bermudan swaptions, a method is required to determine the early-exercise policy. The most popular approach to this is the Longstaff–Schwartz Method (LSM) [8]. When time is discrete (as is usually the case in numerical schemes) Bellman’s backward induction principle says that the price of the option at any exercise time is the maximum of the spot payoff and the so-called contin- uation value.
    [Show full text]
  • Approximations to the Lévy LIBOR Model By
    Approximations to the Lévy LIBOR Model by Hassana Al-Hassan ([email protected]) Supervised by: Dr. Sure Mataramvura Co-Supervised by: Emeritus Professor Ronnie Becker Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town, South Africa A thesis submitted for the degree of Master of Science University of Cape Town May 27, 2014 The copyright of this thesis vests in the author. No quotation from it or information derived from it is to be published without full acknowledgement of the source. The thesis is to be used for private study or non- commercial research purposes only. Published by the University of Cape Town (UCT) in terms of the non-exclusive license granted to UCT by the author. University of Cape Town Plagiarism Declaration “I, Hassana AL-Hassan, know the meaning of plagiarism and declare that all of the work in the thesis, save for that which is properly acknowledged, is my own”. SIGNED Hassana Al-Hassan, May 27, 2014 i Declaration of Authorship I, Hassana AL-Hassan, declare that this thesis titled, “The LIBOR Market Model Versus the Levy LIBOR Market Model” and the work presented in it are my own. I confirm that: This work was done wholly or mainly while in candidature for a research degree at this University. Where any part of this thesis has previously been submitted for a degree or any other quali- fication at this University or any other institution, this has been clearly stated. Where I have consulted the published work of others, this is always clearly attributed.
    [Show full text]
  • Interest Rate Models: Paradigm Shifts in Recent Years
    Interest Rate Models: Paradigm shifts in recent years Damiano Brigo Q-SCI, Managing Director and Global Head DerivativeFitch, 101 Finsbury Pavement, London Columbia University Seminar, New York, November 5, 2007 This presentation is based on the book "Interest Rate Models: Theory and Practice - with Smile, Inflation and Credit" by D. Brigo and F. Mercurio, Springer-Verlag, 2001 (2nd ed. 2006) http://www.damianobrigo.it/book.html Damiano Brigo, Q-SCI, DerivativeFitch, London Columbia University Seminar, November 5, 2007 Overview ² No arbitrage and derivatives pricing. ² Modeling suggested by no-arbitrage discounting. 1977: Endogenous short-rate term structure models ² Reproducing the initial market interest-rate curve exactly. 1990: Exogenous short rate models ² A general framework for no-arbitrage rates dynamics. 1990: HJM - modeling instantaneous forward rates ² Moving closer to the market and consistency with market formulas 1997: Fwd market-rates models calibration and diagnostics power ² 2002: Volatility smile extensions of Forward market-rates models Interest rate models: Paradigms shifts in recent years 1 Damiano Brigo, Q-SCI, DerivativeFitch, London Columbia University Seminar, November 5, 2007 No arbitrage and Risk neutral valuation Recall shortly the risk-neutral valuation paradigm of Harrison and Pliska's (1983), characterizing no-arbitrage theory: A future stochastic payo®, built on an underlying fundamental ¯nancial asset, paid at a future time T and satisfying some technical conditions, has as unique price at current time t
    [Show full text]
  • Essays in Quantitative Finance Karlsson, Patrik
    Essays in Quantitative Finance Karlsson, Patrik 2016 Document Version: Publisher's PDF, also known as Version of record Link to publication Citation for published version (APA): Karlsson, P. (2016). Essays in Quantitative Finance. Total number of authors: 1 General rights Unless other specific re-use rights are stated the following general rights apply: Copyright and moral rights for the publications made accessible in the public portal are retained by the authors and/or other copyright owners and it is a condition of accessing publications that users recognise and abide by the legal requirements associated with these rights. • Users may download and print one copy of any publication from the public portal for the purpose of private study or research. • You may not further distribute the material or use it for any profit-making activity or commercial gain • You may freely distribute the URL identifying the publication in the public portal Read more about Creative commons licenses: https://creativecommons.org/licenses/ Take down policy If you believe that this document breaches copyright please contact us providing details, and we will remove access to the work immediately and investigate your claim. LUND UNIVERSITY PO Box 117 221 00 Lund +46 46-222 00 00 Patrik Karlsson Essays in Quantitative Finance Karlsson Essays in Quantitative Patrik Essays in Quantitative Finance Patrik Karlsson 9 789177 Lund Lund University Economic 530602 Department of Economics ISBN 978-91-7753-060-2 Studies ISSN 0460-0029 199 Number 199 Essays in Quantitative Finance Patrik Karlsson DOCTORAL DISSERTATION by due permission of the School of Economics and Management, Lund University, Sweden.
    [Show full text]
  • Boundary Particle Method with High-Order Trefftz Functions
    Copyright © 2010 Tech Science Press CMC, vol.13, no.3, pp.201-217, 2010 Boundary Particle Method with High-Order Trefftz Functions Wen Chen1;2, Zhuo-Jia Fu1;3 and Qing-Hua Qin3 Abstract: This paper presents high-order Trefftz functions for some commonly used differential operators. These Trefftz functions are then used to construct boundary particle method for solving inhomogeneous problems with the boundary discretization only, i.e., no inner nodes and mesh are required in forming the final linear equation system. It should be mentioned that the presented Trefftz functions are nonsingular and avoids the singularity occurred in the fundamental solution and, in particular, have no problem-dependent parameter. Numerical experiments demonstrate the efficiency and accuracy of the present scheme in the solution of inhomogeneous problems. Keywords: High-order Trefftz functions, boundary particle method, inhomoge- neous problems, meshfree 1 Introduction Since the first paper on Trefftz method was presented by Trefftz (1926), its math- ematical theory was extensively studied by Herrera (1980) and many other re- searchers. In 1995 a special issue on Trefftz method, was published in the jour- nal of Advances in Engineering Software for celebrating its 70 years of develop- ment [Kamiya and Kita (1995)]. Qin (2000, 2005) presented an overview of the Trefftz finite element and its application in various engineering problems. The Trefftz method employs T-complete functions, which satisfies the governing dif- ferential operators and is widely applied to potential problems [Cheung, Jin and Zienkiewicz (1989)], two-dimensional elastic problems [Zielinski and Zienkiewicz (1985)], transient heat conduction [Jirousek and Qin (1996)], viscoelasticity prob- 1 Center for Numerical Simulation Software in Engineering and Sciences, Department of Engineer- ing Mechanics, Hohai University, Nanjing, Jiangsu, P.R.China 2 Corresponding author.
    [Show full text]
  • Activity Report 2014
    Activity Report 2014 s a world-leading financial center building on a A rich history, Switzerland’s financial sector has the natural ambition of housing a world-leading research and training center in banking and finance. The Swiss Finance Institute is the product of this ambition. Established at the initiative of the Swiss Bankers Association, it is a private foundation created in 2006 with the support of the Swiss banking and finance community, the Swiss stock exchange, the Swiss Confederation, the Swiss National Science Foundation, and several Swiss universities with the aim of advancing research activities in finance and executive education in the banking and finance sector. The Swiss Finance Institute encompasses three pre-existing foundations – the International Center for Financial Asset Management and Engineering (FAME), the Swiss Banking School, and the Stiftung Banking und Finance an der Universität Zürich. This merger has led to the creation of one of the major European providers of research, doctoral training, and advanced executive education in banking and finance. This report gives an overview of the Swiss Finance Institute’s activities from January to December 2014. 2 Table of Contents A Word from the Board 4 Swiss Finance Institute Faculty 5 Research Highlights 6 Research Projects 8 PhD Program in Finance 12 PhD Graduate Placements 13 Education 14 Knowledge Center 19 Knowledge Transfer 20 Governing and Advisory Bodies 23 2014 Facts & Figures 25 Research Paper Series 2014 28 SFI Professors 34 SFI Adjunct Professors 66 Overview of Courses Offered in 2014 at the Swiss Finance Institute 68 Knowledge Transfer Events Provided by the Swiss Finance Institute during 2014 69 3 A Word from the Board The Year of Cohesion 2014 saw SFI strengthen collaboration amongst the SFI activity areas, SFI members, and external partners.
    [Show full text]
  • A Random Field LIBOR Market Model
    L’Institut bénéficie du soutien financier de l’Autorité des marchés financiers ainsi que du ministère des Finances du Québec Document de recherche DR 14-02 A Random Field LIBOR Market Model Novembre 2014 Ce document de recherche a été rédigée par : Tao L. Wu et Shengqiang Xu L'Institut canadien des dérivés n'assume aucune responsabilité liée aux propos tenus et aux opinions exprimées dans ses publications, qui n'engagent que leurs auteurs. De plus, l'Institut ne peut, en aucun cas être tenu responsable des conséquences dommageables ou financières de toute exploitation de l'information diffusée dans ses publications. A Random Field LIBOR Market Model Tao L. Wu∗and Shengqiang Xu January 1, 2014 A random field LIBOR market model (RFLMM) is proposed by extend- ing the LIBOR market model, with interest rate uncertainties modeled via a random field. First, closed-form formulas for pricing caplet and swaption are derived. Then the random field LIBOR market model is integrated with the lognormal-mixture model to capture the implied volatility skew/smile. Finally, the model is calibrated to cap volatility surface and swaption volatil- ities. Numerical results show that the random field LIBOR market model can potentially outperform the LIBOR market model in capturing caplet volatility smile and the pricing of swaptions, in addition to possessing other advantages documented in the previous literature (no need of frequent re- calibration or to specify the number of factors in advance). 1 Introduction In this paper we extend the LIBOR market model (LMM) by describing forward rate uncertainties as a random field.
    [Show full text]
  • Interest Rate Volatility IV
    The LMM methodology Dynamics of the SABR-LMM model Covariance structure of SABR-LMM Interest Rate Volatility IV. The SABR-LMM model Andrew Lesniewski Baruch College and Posnania Inc First Baruch Volatility Workshop New York June 16 - 18, 2015 A. Lesniewski Interest Rate Volatility The LMM methodology Dynamics of the SABR-LMM model Covariance structure of SABR-LMM Outline 1 The LMM methodology 2 Dynamics of the SABR-LMM model 3 Covariance structure of SABR-LMM A. Lesniewski Interest Rate Volatility The LMM methodology Dynamics of the SABR-LMM model Covariance structure of SABR-LMM The LMM methodology The main shortcoming of short rate models is that they do not allow for close calibration to the entire volatility cube. This is not a huge concern on a trading desk, where locally calibrated term structure models allow for accurate pricing and executing trades. It is, however, a concern for managers of large portfolios of fixed income securities (such as mortgage backed securities) which have exposures to various segments of the curve and various areas of the vol cube. It is also relevant in enterprise level risk management in large financial institutions where consistent risk aggregation across businesses and asset classes is important. A methodology that satisfies these requirements is the LIBOR market model (LMM) methodology, and in particular its stochastic volatility extensions. That comes at a price: LMM is less tractable than some of the popular short rate models. It also tends to require more resources than those models. We will discuss a natural extension of stochastic volatility LMM, namely the SABR-LMM model.
    [Show full text]
  • A Self-Singularity-Capturing Scheme for Fractional Differential Equations
    A Self-Singularity-Capturing Scheme for Fractional Differential Equations Jorge L. Suzukia,b and Mohsen Zayernouria,c aDepartment of Mechanical Engineering, Michigan State University, East Lansing, MI, USA bDepartment of Computational Mathematics, Science and Engineering, Michigan State University, East Lansing, MI, USA cDepartment of Probability and Statistics, Michigan State University, East Lansing, MI, USA ARTICLE HISTORY Compiled April 30, 2020 ABSTRACT We develop a two-stage computational framework for robust and accurate time- integration of multi-term linear/nonlinear fractional differential equations. In the first stage, we formulate a self-singularity-capturing scheme, given avail- able/observable data for diminutive time, experimentally obtained or sampled from an approximate numerical solution utilizing a fine grid nearby the initial time. The fractional differential equation provides the necessary knowledge/insight on how the hidden singularity can bridge between the initial and the subsequent short-time so- lution data. In the second stage, we utilize the multi-singular behavior of solution in a variety of numerical methods, without resorting to making any ad-hoc/uneducated guesses for the solution singularities. Particularly, we employed an implicit finite- difference method, where the captured singularities, in the first stage, are taken into account through some Lubich-like correction terms, leading to an accuracy of order O(∆t3−α). We show that this novel framework can control the error even in the presence of strong multi-singularities.
    [Show full text]