Stochastic di®erential equations (SDEs) are　central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the　instantaneous short-term interest rate, asset prices, asset returns and their volatility.　The explanatory and/or predictive...

Finite element methods are described for valuing lookback options under stochastic volatility. Particular attention is paid to the method for handling the boundary equations. For some boundaries, the equations reduce to first-order hyperbolic equations which must be discretized to ensure that...

Large-scale extraction of power from tidal streams within the Pentland Firth is expected to be underway in the near future. The Inner Sound of Stroma in particular has attracted significant commercial interest. To understand potential environmental impacts of the installation of a tidal turbine...

We develop a method for estimating the functional surface of a regression coefficient that varies over a complex spatial domain with irregular boundaries, peninsulas and interior holes. The method is motivated by, and applied to, data on housing markets, where the central object of inference is...

Since 1970 several aerodynamic prediction models have been formulated for the Darrieus turbine. We can identify two families of models: stream-tube and vortex. The former needs much less computation time but the latter is more accurate. The purpose of this paper is to show a new option for...

Simple correlation based models used extensively for the prediction of the performance of solar energy systems have little spatial accuracy and do not generally allow detailed investigation into modifications in system design. The recent development of powerful low cost computers has allowed the...

To enable accurate predictions of the thermo-physical performance of line-axis concentrating solar energy collectors to be made, a unified approach that allows detailed consideration of both the thermal and optical behaviour in such systems was developed. Employing ray-trace techniques, the...

Analysis of forces and stresses of horizontal axis propellers and turbines has an increased interest in recent years, because of the need to develop adequate analytical tools for the design and evaluation of wind turbines rotors.

The present study reports a numerical investigation of water and CO2 (carbon dioxide) flooding at the pore scale of a porous medium. We use high resolution micro-computed tomography (micro-CT) images of Berea sandstone core to obtain the pore geometry. The numerical solution used for the...

Intrusion of seawater into coastal aquifers is considered one of the most important processes that degrade water-quality by raising the salinity to levels exceeding acceptable drinking standards. Therefore saltwater intrusion should be prevented or at least controlled to protect groundwater...