Sam Howison

Incompressible water-entry problems at small deadrise angles

This paper summarizes and extends some mathematical results for a model for a class of water-entry problems characterized by the geometrical property that the impacting body is nearly parallel to the undisturbed water surface and that the impact is so rapid that gravity can be neglected. Explicit solutions for the pressure distributions are given in the case of two-dimensional flow and a variational formulation is described which provides a simple numerical algorithm for three-dimensional flows. We also pose some open questions concerning the well-posedness and physical relevance of the model for exit problems or when there is an air gap between the impacting body and the water.

Macroscopic models for superconductivity

This paper reviews the derivation of some macroscopic models for superconductivity and also some of the mathematical challenges posed by these models. The paper begins by exploring certain analogies between phase changes in superconductors and those in solidification and melting. However, it is soon found that there are severe limitations on the range of validity of these analogies and outside this range many interesting open questions can be posed about the solutions to the macroscopic models.

Complex variable methods in Hele–Shaw moving boundary problems

We discuss the one-phase Hele–Shaw problem in two space dimensions. We review exact solutions in the zero-surface-tension case, giving a unified account of the Schwarz function and conformal mapping approaches. We discuss the extension of the former method to the cases in which surface tension or ‘kinetic undercooling’ terms apply on the moving boundary, and we give some conjectures on the resulting singularity structure. Finally, we give a new interpretation of the linear stability analysis of the zero-surface-tension problem, and we suggest a possible regularization of ill-posed problems by the imposition of a unilateral constraint on the moving boundary.

Limit Order Books

Limit order books (LOBs) match buyers and sellers in more than half of the worlds financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the findings reported by statistical analyses of historical LOB data and discuss how several LOB models provide insight into certain aspects of the mechanism. We also illustrate that many such models poorly resemble real LOBs and that several well-established empirical facts have yet to be reproduced satisfactorily. Finally, we identify several key unresolved questions about LOBs.

Fingering in Hele-Shaw cells

A large class of explicit solutions for Hele-Shaw flow with a free surface is presented. The results are valid when surface-tension effects in the plane of the cell are negligible. Most of the solutions given produce fingers, both in channel flow and on a growing air bubble. Possible behaviour of these fingers is described, and a qualitative comparison with published experimental results is made.

On the stability of Poiseuille flow of a Bingham fluid

The stability to linearized two-dimensional disturbances of plane Poiseuille flow of a Bingham fluid is considered. Bingham fluids exhibit a yield stress in addition to a plastic viscosity and this description is typically applied to drilling muds. A non-zero yield stress results in an additional parameter, a Bingham number, and it is found that the minimum Reynolds number for linear instability increases almost linearly with increasing Bingham number.

Modelling spikes and pricing swing options in electricity markets

Most electricity markets exhibit high volatilities and occasional distinctive price spikes, which result in demand for derivative products which protect the holder against high prices. In this paper we examine a simple spot price model that is the exponential of the sum of an Ornstein–Uhlenbeck and an independent mean-reverting pure jump process. We derive the moment generating function as well as various approximations to the probability density function of the logarithm of the spot price process at maturity T. Hence we are able to calibrate the model to the observed forward curve and present semi-analytic formulae for premia of path-independent options as well as approximations to call and put options on forward contracts with and without a delivery period. In order to price path-dependent options with multiple exercise rights like swing contracts a grid method is utilized which in turn uses approximations to the conditional density of the spot process.

Temperature surges in current-limiting circuit devices

This paper studies the problem of heat transfer in a thermistor, which is used as a switching device in electronic circuits. The temperature field is coupled to the current flow by ohmic heating in the device, and the problem is rendered highly nonlinear by a very rapid variation of electrical conductivity with temperature. Approximate methods based on high activation energy asymptotics are developed to describe the transient heat flow, which occurs when the circuit is switched on. In particular, it is found that a transient “surge” phenomenon (akin to thermal runaway, but self-saturating) occurs, and we conjecture that this phenomenon may be associated with cracking of thermistors, which sometimes occurs during operation.

Droplet impact on a thin fluid layer

The initial stages of high-velocity droplet impact on a shallow water layer are described, with special emphasis given to the spray jet mechanics. Four stages of impact are delineated, with appropriate scalings, and the successively more important influence of the base is analysed. In particular, there is a finite time before which part of the water in the layer remains under the droplet and after which all of the layer is ejected in the splash jet.

Stochastic behaviour of the electricity bid stack: from fundamental drivers to power price

We develop a fundamental model for spot electricity prices, based on stochastic processes for underlying factors (fuel prices, power demand and generation capacity availability), as well as a parametric form for the bid stack function which maps these price drivers to the power price. Using observed bid data, we find high correlations between the movements of bids and the corresponding fuel prices. We fit the model to the PJM and New England markets in the US, anddiscuss its performance, in terms of capturing key properties of simulated price trajectories, as well as comparing implied forward prices with observed data.