We use an integral equation formulation approach to value shout options, which are exotic options giving an investor the ability to “shout” and lock in profits while retaining the right to benefit from potentially favourable movements in the underlying asset price. Mathematically, the valuation is a free boundary problem involving an optimal exercise boundary which marks the region between shouting and not shouting. We also find the behaviour of the optimal exercise boundary for one- and two-shout options close to expiry.

At the ANZIAM conference in Hobart in February 2018, there were several talks on the solution of Laplace problems in multiply connected domains by means of conformal mapping. It appears to be not widely known that such problems can also be solved by the elementary method of series expansions with coefficients determined by least-squares fitting on the boundary. (These are not convergent series; the coefficients depend on the degree of the approximation.) Here we give a tutorial introduction to this method, which converges at an exponential rate if the boundary data are sufficiently well-behaved. The mathematical foundations go back to Runge in 1885 and Walsh in 1929. One of our examples involves an approximate Cantor set with up to 2048 components.

We analyse a scattering problem of electromagnetic waves by a bounded chiral conductive obstacle, which is surrounded by a dielectric, via the quasi-stationary approximation for the Maxwell equations. We prove the reciprocity relations for incident plane and spherical electric waves upon the scatterer. Mixed reciprocity relations have also been proved for a plane wave and a spherical wave. In the case of spherical waves, the point sources are located either inside or outside the scatterer. These relations are used to study the inverse scattering problems.

Some swimming microorganisms are sensitive to light, and this can affect the way in which they negotiate their environment. In particular, photophobic cells are repelled from unfavourable light conditions, and in a quiescent fluid environment this can be observed as elevated cell levels in regions away from these light conditions. This photoresponsive effect is of interest due to its potential technological applications. For example, the use of light to focus and direct cells could be used as a convenient means to separate out the algae used in biofuel production (for example, hydrogen), or exploited within devices for biodetection of environmental contaminants. However, in these types of situations the swimming cells will usually be suspended in a flow with shear. In this environment, it has previously been shown that cells can become hydrodynamically trapped in regions of high fluid shear, and so the extent to which photofocusing can occur under these conditions is not immediately clear. Moreover, in applications where the light must pass through appreciable volumes of the suspension, cells will typically absorb light and so shade each other from the illumination. As such, the intensity at any point in the flow is dependent upon the global cell concentration. Hence, in this study we model the coupled influence of fluid shear and cell photosensitivity on a suspension of swimming microorganisms, and ask under what circumstances a suspension of photophobic cells might be focused into high concentration regions.

Microscale propulsion is integral to numerous biomedical systems, including biofilm formation and human reproduction, where the surrounding fluids comprise suspensions of polymers. These polymers endow the fluid with non-Newtonian rheological properties, such as shear-thinning and viscoelasticity. Thus, the complex dynamics of non-Newtonian fluids present numerous modelling challenges. Here, we demonstrate that neglecting ‘out-of-plane’ effects during swimming through a shear-thinning fluid results in a significant overestimate of fluid viscosity around the undulatory swimmer Caenorhabditis elegans. This miscalculation of viscosity corresponds with an overestimate of the power the swimmer expends, a key biophysical quantity important for understanding the internal mechanics of the swimmer. As experimental flow-tracking techniques improve, accurate experimental estimates of power consumption in similar undulatory systems, such as the planar beating of human sperm through cervical mucus, will be required to probe the interaction between internal power generation, fluid rheology, and the resulting waveform.

Nonsymmetric branching flow through a three-dimensional (3D) vessel is considered at medium-to-high flow rates. The branching is from one mother vessel to two or more daughter vessels downstream, with laminar steady or unsteady conditions assumed. The inherent 3D nonsymmetry is due to the branching shapes themselves, or the differences in the end pressures in the daughter vessels, or the incident velocity profiles in the mother. Computations based on lattice-Boltzmann methodology are described first. A subsequent analysis focuses on small 3D disturbances and increased Reynolds numbers. This reduces the 3D problem to a two-dimensional one at the outer wall in all pressure-driven cases. As well as having broader implications for feeding into a network of vessels, the findings enable predictions of how much swirling motion in the cross-plane is generated in a daughter vessel downstream of a 3D branch junction, and the significant alterations provoked locally in the shear stresses and pressures at the walls. Nonuniform incident wall-shear and unsteady effects are examined. A universal asymptotic form is found for the flux change into each daughter vessel in a 3D branching of arbitrary cross-section with a thin divider.

Heterogeneity in pulmonary microvascular blood flow (perfusion) provides an early indicator of lung disease or disease susceptibility. However, most computational models of the pulmonary vasculature neglect structural heterogeneities, and are thus not accurate predictors of lung function in disease that is not diffuse (spread evenly through the lung). Models that do incorporate structural heterogeneity have either neglected the temporal dynamics of blood flow, or the structure of the smallest blood vessels. Larger than normal oscillations in pulmonary capillary calibre, high oscillatory stress contribute to disease progression. Hence, a model that captures both spatial and temporal heterogeneity in pulmonary perfusion could provide new insights into the early stages of pulmonary vascular disease. Here, we present a model of the pulmonary vasculature, which captures both flow dynamics, and the anatomic structure of the pulmonary blood vessels from the right to left heart including the micro-vasculature. The model is compared to experimental data in normal lungs. We confirm that spatial heterogeneity in pulmonary perfusion is time-dependent, and predict key features of pulmonary hypertensive disease using a simple implementation of increased vascular stiffness.

The immersed boundary method is a widely used mixed Eulerian/Lagrangian framework for simulating the motion of elastic structures immersed in viscous fluids. In this work, we consider a poroelastic immersed boundary method in which a fluid permeates a porous, elastic structure of negligible volume fraction, and extend this method to include stress relaxation of the material. The porous viscoelastic method presented here is validated for a prescribed oscillatory shear and for an expansion driven by the motion at the boundary of a circular material by comparing numerical solutions to an analytical solution of the Maxwell model for viscoelasticity. Finally, an application of the modelling framework to cell biology is provided: passage of a cell through a microfluidic channel. We demonstrate that the rheology of the cell cytoplasm is important for capturing the transit time through a narrow channel in the presence of a pressure drop in the extracellular fluid.

We derive an effective macroscale description for the growth of tissue on a porous scaffold. A multiphase model is employed to describe the tissue dynamics; linearisation to facilitate a multiple-scale homogenisation provides an effective macroscale description, which incorporates dependence on the microscale structure and dynamics. In particular, the resulting description admits both interstitial growth and active cell motion. This model comprises Darcy flow, and differential equations for the volume fraction of cells within the scaffold and the concentration of nutrient, required for growth. These are coupled with Stokes-type cell problems on the microscale, incorporating dependence on active cell motion and pore scale structure. The cell problems provide the permeability tensors with which the macroscale flow is parameterised. A subset of solutions is illustrated by numerical simulations.

Mollusc seashells grow through the local deposition and calcification of material at the shell opening by a soft and thin organ called the mantle. Through this process, a huge variety of shell structures are formed. Previous models have shown that these structural patterns can largely be understood by examining the mechanical interaction between the deformable mantle and the rigid shell aperture to which it adheres. In this paper we extend this modelling framework in two distinct directions. For one, we incorporate a mechanical feedback in the growth of the mollusc. Second, we develop an initial framework to couple the two primary and orthogonal modes of pattern formation in shells, which are termed antimarginal and commarginal ornamentation. In both cases we examine the change in shell morphology that occurs due to the different mechanical influences and evaluate the hypotheses in light of the fossil record.

John Blake (1947–2016) was a leader in fluid mechanics, his two principal areas of expertise being biological fluid mechanics on microscopic scales and bubble dynamics. He produced leading research and mentored others in both Australia, his home country, and the UK, his adopted home. This article reviews John Blake’s contributions in biological fluid mechanics, as well as gives the author’s personal viewpoint as one of the many graduate students and researchers who benefitted from his supervision, guidance and inspiration. The key topics from biological mechanics discussed are: “squirmer” models of protozoa, the method of images in Stokes flow and the “blakelet” solution, discrete cilia modelling via slender body theory, physiological flows in respiration and reproduction, blinking stokeslets in microorganism feeding, human sperm motility and embryonic nodal cilia.

We have proposed a three-species hybrid food chain model with multiple time delays. The interaction between the prey and the middle predator follows Holling type (HT) II functional response, while the interaction between the top predator and its only food, the middle predator, is taken as a general functional response with the mutual interference schemes, such as Crowley–Martin (CM), Beddington–DeAngelis (BD) and Hassell–Varley (HV) functional responses. We analyse the model system which employs HT II and CM functional responses, and discuss the local and global stability analyses of the coexisting equilibrium solution. The effect of gestation delay on both the middle and top predator has been studied. The dynamics of model systems are affected by both factors: gestation delay and the form of functional responses considered. The theoretical results are supported by appropriate numerical simulations, and bifurcation diagrams are obtained for biologically feasible parameter values. It is interesting from the application point of view to show how an individual delay changes the dynamics of the model system depending on the form of functional response.

We study the numerical Adomian decomposition method for the pricing of European options under the well-known Black–Scholes model. However, because of the nondifferentiability of the pay-off function for such options, applying the Adomian decomposition method to the Black–Scholes model is not straightforward. Previous works on this assume that the pay-off function is differentiable or is approximated by a continuous estimation. Upon showing that these approximations lead to incorrect results, we provide a proper approach, in which the singular point is relocated to infinity through a coordinate transformation. Further, we show that our technique can be extended to pricing digital options and European options under the Vasicek interest rate model, in both of which the pay-off functions are singular. Numerical results show that our approach overcomes the difficulty of directly dealing with the singularity within the Adomian decomposition method and gives very accurate results.

In the theory of spontaneous combustion, identifying the critical value of the Frank-Kamenetskii parameter corresponds to solving a bifurcation point problem. There are two different numerical methods used to solve this problem—the direct and indirect numerical methods. The latter finds the bifurcation point by solving a partial differential equation (PDE) problem. This is a better method to find the bifurcation point for complex geometries. This paper improves the indirect numerical method by combining the grid-domain extension method with the matrix equation computation method. We calculate the critical parameters of the Frank-Kamenetskii equation for some complex geometries using the indirect numerical method. Our results show that both the curve of the outer boundary and the height of the geometries have an effect on the values of the critical Frank-Kamenetskii parameter, however, they have little effect on the critical dimensionless temperature.

We consider an initial–boundary value problem that involves a partial differential equation with a functional term. The problem is motivated by a cell division model for size structured cell cohorts in which growth and division occur. Although much is known about the large time asymptotic behaviour of solutions to these problems for constant growth rates, general solution techniques are rare. We analyse the case where the growth rate is linear and the division rate is a monomial, and we develop a method to determine the general solution for a general class of initial data. The large time dynamics of solutions for this case are significantly different from the constant growth rate case. We show that solutions approach a time-dependent attracting solution that is periodic in the time variable.