arXiv subjects

A. Aimi

Publications and source records attributed to A. Aimi.

5 recordsLinked to original sources

arXiv2023

Fast Barrier Option Pricing by the COS BEM Method in Heston Model

In this work, the Fourier-cosine series (COS) method has been combined with the Boundary Element Method (BEM) for a fast evaluation of barrier option prices. After a description of its use in the Black and Scholes (BS) model, the focus of the paper is on the application of the proposed methodology to the barrier option evaluation in the Heston model, where its contribution is fundamental to improve computational efficiency and to make BEM appealing among Finance practitioners as a valid alternative to Monte Carlo (MC) or other more traditional approaches. An error analysis is provided on the number of terms used in the Fourier-cosine series expansion, where the error bound estimation is based on the characteristic function of the log-asset price process.

q-fin.CP↗

arXiv2021

Isogemetric Analysis and Symmetric Galerkin BEM: a 2D numerical study

Isogeometric approach applied to Boundary Element Methods is an emerging research area. In this context, the aim of the present contribution is that of investigating, from a numerical point of view, the Symmetric Galerkin Boundary Element Method (SGBEM) devoted to the solution of 2D boundary value problems for the Laplace equation, where the boundary and the unknowns on it are both represented by B-splines. We mainly compare this approach, which we call IGA-SGBEM, with a curvilinear SGBEM, which operates on any boundary given by explicit parametric representation and where the approximate solution is obtained using Lagrangian basis. Both techniques are further compared with a standard (conventional) SGBEM approach, where the boundary of the assigned problem is approximated by linear elements and the numerical solution is expressed in terms of Lagrangian basis. Several examples will be presented and discussed, underlying benefits and drawbacks of all the above-mentioned approaches.

math.NA↗

arXiv2018

Hyper-Kamiokande Design Report

On the strength of a double Nobel prize winning experiment (Super)Kamiokande and an extremely successful long baseline neutrino programme, the third generation Water Cherenkov detector, Hyper-Kamiokande, is being developed by an international collaboration as a leading worldwide experiment based in Japan. The Hyper-Kamiokande detector will be hosted in the Tochibora mine, about 295 km away from the J-PARC proton accelerator research complex in Tokai, Japan. The currently existing accelerator will be steadily upgraded to reach a MW beam by the start of the experiment. A suite of near detectors will be vital to constrain the beam for neutrino oscillation measurements. A new cavern will be excavated at the Tochibora mine to host the detector. The experiment will be the largest underground water Cherenkov detector in the world and will be instrumented with new technology photosensors, faster and with higher quantum efficiency than the ones in Super-Kamiokande. The science that will be developed will be able to shape the future theoretical framework and generations of experiments. Hyper-Kamiokande will be able to measure with the highest precision the leptonic CP violation that could explain the baryon asymmetry in the Universe. The experiment also has a demonstrated excellent capability to search for proton decay, providing a significant improvement in discovery sensitivity over current searches for the proton lifetime. The atmospheric neutrinos will allow to determine the neutrino mass ordering and, together with the beam, able to precisely test the three-flavour neutrino oscillation paradigm and search for new phenomena. A strong astrophysical programme will be carried out at the experiment that will detect supernova neutrinos and will measure precisely solar neutrino oscillation.

physics.ins-det↗

arXiv2018

Physics Potentials with the Second Hyper-Kamiokande Detector in Korea

Hyper-Kamiokande consists of two identical water-Cherenkov detectors of total 520~kt with the first one in Japan at 295~km from the J-PARC neutrino beam with 2.5$^{\textrm{o}}$ Off-Axis Angles (OAAs), and the second one possibly in Korea in a later stage. Having the second detector in Korea would benefit almost all areas of neutrino oscillation physics mainly due to longer baselines. There are several candidate sites in Korea with baselines of 1,000$\sim$1,300~km and OAAs of 1$^{\textrm{o}}$$\sim$3$^{\textrm{o}}$. We conducted sensitivity studies on neutrino oscillation physics for a second detector, either in Japan (JD $\times$ 2) or Korea (JD + KD) and compared the results with a single detector in Japan. Leptonic CP violation sensitivity is improved especially when the CP is non-maximally violated. The larger matter effect at Korean candidate sites significantly enhances sensitivities to non-standard interactions of neutrinos and mass ordering determination. Current studies indicate the best sensitivity is obtained at Mt. Bisul (1,088~km baseline, $1.3^\circ$ OAA). Thanks to a larger (1,000~m) overburden than the first detector site, clear improvements to sensitivities for solar and supernova relic neutrino searches are expected.

hep-ex↗

arXiv2017

Efficient assembly based on B-spline tailored quadrature rules for the IgA-SGBEM

This paper deals with the discrete counterpart of 2D elliptic model problems rewritten in terms of Boundary Integral Equations. The study is done within the framework of Isogeometric Analysis based on B-splines. In such a context, the problem of constructing appropriate, accurate and efficient quadrature rules for the Symmetric Galerkin Boundary Element Method is here investigated. The new integration schemes, together with row assembly and sum factorization, are used to build a more efficient strategy to derive the final linear system of equations. Key ingredients are weighted quadrature rules tailored for B--splines, that are constructed to be exact in the whole test space, also with respect to the singular kernel. Several simulations are presented and discussed, showing accurate evaluation of the involved integrals and outlining the superiority of the new approach in terms of computational cost and elapsed time with respect to the standard element-by-element assembly.

math.NA↗