著者

尹 煕元 棚橋 隆彦

出版者

一般社団法人 日本計算工学会

雑誌

日本計算工学会論文集 (ISSN:13478826)

巻号頁・発行日

vol.2001, pp.20010048, 2001 (Released:2002-06-28)

参考文献数

8

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We suggest expansion methodology for Black-Scholes equation in financial engineering field with hydrodynamics interpretation. Black-Scholes equation is famous for derivative pricing model, introducing from Ito’s process in theory of probability, and it is applying in financial area widely. Because of Black-Scholes equation based on ideal assumption, financial engineers have been devising parameters or have been creating parameter structure in the equation in order to explain financial market dynamics. They mainly have focused on diffusion term in stochastic process that is recognized as volatility on their studies. We apply the concept of advection term for financial market, and expand Black-Scholes equation. Obtaining equation can express market dynamics simply and explain derivative market distortion, volatility smile.

著者

棚橋 隆彦 神吉 康文 安藤 常世

出版者

一般社団法人日本機械学会

雑誌

日本機械学會論文集 (ISSN:00290270)

巻号頁・発行日

vol.42, no.355, pp.819-827, 1976-03-25

著者

棚橋 隆彦

出版者

The Iron and Steel Institute of Japan

雑誌

鉄と鋼 (ISSN:00211575)

巻号頁・発行日

vol.79, no.4, pp.N263-N281, 1993-04-01 (Released:2009-06-30)

被引用文献数

1 2

著者

棚橋 隆彦 沖 良篤

出版者

一般社団法人 日本機械学会

雑誌

日本機械学会論文集 B編 (ISSN:03875016)

巻号頁・発行日

vol.59, no.568, pp.3823-3830, 1993-12-25 (Released:2008-03-28)

参考文献数

12

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In this paper, we present a new hybrid-streamline-upwind finite-element method, which is based on the finite analytic method developed in the field of the finite difference method. In order to obtain an optimal shape function, we introduce an adjoint differential operator to the differential operator for a steady advection-diffusion equation. The shape functions which satisfy these differential operators are mutually dual. One of them interpolates accurately the functions appearing in convection-dominated flows, the other becomes a hybrid-streamline-upwind weight function. Furthermore, we define a discrete del operator for the reduction of memory storage in the computer. As a result, we achieve simplicity of formulation and high-speed calculation of the finite-element method.

著者

稲田 英一 山下 克典 棚橋 隆彦

出版者

一般社団法人 日本機械学会

雑誌

日本機械学会論文集 B編 (ISSN:03875016)

巻号頁・発行日

vol.62, no.597, pp.1685-1692, 1996-05-25 (Released:2008-03-28)

参考文献数

11

被引用文献数

1 1

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In the present paper, unsteady natural convection flows of air in a square cavity with differentially heated walls are investigated numerically using the hybrid-GSMAC (generalized and simplified marker and cell) finite-element method. A direct-numerical simulation of two-dimensional turbulence is shown in the present paper without introducing any random forces. The present result at Rα=1.0×108 is compared with the other numerical results. The present result of calculation is in good agreement with that of the others This study allows us to say that the hybrid-GSMAC method suggested by Tanahashi is clarified. In addition, selected frames from an animation generated from the computational results at Rα=1.0×109 show very clearly the formation of large-scale eddies via the following sequence : initial instability, proceeding through transition, and eventually the statistical steady state. Using this method, it is possible to investigate natural convection and heat transfer phenomena at high Rayleigh numbers up to 1010.