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279 full-text articles. Page 7 of 12.

High Precision Rapid Convergence Of Asian Options, Mario Y. Harper 2014 Utah State University

High Precision Rapid Convergence Of Asian Options, Mario Y. Harper

Mario Yuuji Harper

We show various methods that increase the precision and convergence speed of simulated stochastic processes. We demonstrate our precision and speed by using an example from the finance world, namely that of an Asian Option. An Asian Option is a path dependent pricing mechanism that is normally priced using Monte Carlo methods, it can be thought of as a path dependent diffusion equation. We show that the precision of the simulations is increased by 70% using Control Variates (derived by approximating the true mean from an analytic closed form solution). Using sequential Monte Carlo and parallel computing across a GPU ...


Stochastic Modeling Of Energy Commodity Spot Price Processes With Delay In Volatility, Olusegun Michael Otunuga, Gangaram S. Ladde 2014 Marshall University

Stochastic Modeling Of Energy Commodity Spot Price Processes With Delay In Volatility, Olusegun Michael Otunuga, Gangaram S. Ladde

Mathematics Faculty Research

Employing basic economic principles, we systematically develop both deterministic and stochastic dynamic models for the log-spot price process of energy commodity. Furthermore, treating a diffusion coefficient parameter in the non-seasonal log-spot price dynamic system as a stochastic volatility functional of log-spot price, an interconnected system of stochastic model for log-spot price, expected log-spot price and hereditary volatility process is developed. By outlining the risk-neutral dynamics and pricing, sufficient conditions are given to guarantee that the risk-neutral dynamic model is equivalent to the developed model. Furthermore, it is shown that the expectation of the square of volatility under the risk-neutral measure ...


Bayes, Brains & Babies: Electrophysiology And Mathematics Of Infant Holistic Processing And Selective Inhibition, Matthew Singh 2014 University of Tennessee - Knoxville

Bayes, Brains & Babies: Electrophysiology And Mathematics Of Infant Holistic Processing And Selective Inhibition, Matthew Singh

EURēCA: Exhibition of Undergraduate Research and Creative Achievement

No abstract provided.


High Precision Rapid Convergence Of Asian Options, Mario Y. Harper 2014 Utah State University

High Precision Rapid Convergence Of Asian Options, Mario Y. Harper

Physics Capstone Project

We show various methods that increase the precision and convergence speed of simulated stochastic processes. We demonstrate our precision and speed by using an example from the finance world, namely that of an Asian Option. An Asian Option is a path dependent pricing mechanism that is normally priced using Monte Carlo methods, it can be thought of as a path dependent diffusion equation. We show that the precision of the simulations is increased by 70% using Control Variates (derived by approximating the true mean from an analytic closed form solution). Using sequential Monte Carlo and parallel computing across a GPU ...


Dynamics Of Traveling Waves In Neural Networks In Presence Of Period Inhomogeneities, Rosahn Bhattarai 2014 Georgia State University

Dynamics Of Traveling Waves In Neural Networks In Presence Of Period Inhomogeneities, Rosahn Bhattarai

Georgia State Undergraduate Research Conference

No abstract provided.


Basins Of Attraction For Pulse-Coupled Oscillators, Ryan Gryder 2014 College of William and Mary

Basins Of Attraction For Pulse-Coupled Oscillators, Ryan Gryder

Undergraduate Honors Theses

Basins of attraction for forward invariant sets can carve out portions of phase space where one can make predictions for asymptotic dynamics. We present com- putational algorithms for computing inner approximations of basins of attraction for discrete-time dynamical systems. The algorithms, based on subdivision tech- niques for grid construction and outer approximation of images, are adaptive and eciently allow one to identify full dimensional portions of phase space where the asymptotic dynamics may be described quantitatively. As illustration, we apply the techniques to a system of three pulse-coupled oscillators, computing an inner approximation for the basin of attraction for the ...


Euler-Poincar´E Equations For G-Strands, Darryl Holm, Rossen Ivanov 2014 Imperial College London

Euler-Poincar´E Equations For G-Strands, Darryl Holm, Rossen Ivanov

Conference papers

The G-strand equations for a map R×R into a Lie group G are associated to a G-invariant Lagrangian. The Lie group manifold is also the configuration space for the Lagrangian. The G-strand itself is the map g(t,s):R×R→G, where t and s are the independent variables of the G-strand equations. The Euler-Poincar'e reduction of the variational principle leads to a formulation where the dependent variables of the G-strand equations take values in the corresponding Lie algebra g and its co-algebra, g with respect to the pairing provided by the variational derivatives of the Lagrangian ...


Fractal Powers In Serrin's Swirling Vortex Solutions, Pavel Bělík, Douglas P. Dokken, Kurt Scholz, Mikhail M. Shvartsman 2014 Augsburg University

Fractal Powers In Serrin's Swirling Vortex Solutions, Pavel Bělík, Douglas P. Dokken, Kurt Scholz, Mikhail M. Shvartsman

Faculty Authored Articles

We consider a modification of the fluid flow model for a tornado-like swirling vortex developed by Serrin [Phil. Trans. Roy. Soc. London, Series A, Math & Phys. Sci. 271(1214) (1972), 325–360], where velocity decreases as the reciprocal of the distance from the vortex axis. Recent studies, based on radar data of selected severe weather events [Mon. Wea. Rev. 133(9) (2005), 2535–2551; Mon. Wea. Rev. 128(7) (2000), 2135–2164; Mon. Wea. Rev. 133(1) (2005), 97–119], indicate that the angular momentum in a tornado may not be constant with the radius, and thus suggest a different scaling of the velocity/radial distance dependence. Motivated by this suggestion, we consider Serrin's approach with the assumption that the velocity decreases as the reciprocal of the distance from the vortex axis to the power b with a ...


Can A Falling Bullet Kill You?, Zechariah Thurman 2014 California Polytechnic State University - San Luis Obispo

Can A Falling Bullet Kill You?, Zechariah Thurman

Zechariah Thurman

A terminal velocity examination of the problem of the falling bullet is investigated.


Termodynamika Procesowa I Techniczna Lab., Wojciech M. Budzianowski 2014 Wroclaw University of Technology

Termodynamika Procesowa I Techniczna Lab., Wojciech M. Budzianowski

Wojciech Budzianowski

No abstract provided.


Tematyka Prac Dyplomowych Dla Studentów Wydziału Mechaniczno-Energetycznego Pwr., Wojciech M. Budzianowski 2014 Wroclaw University of Technology

Tematyka Prac Dyplomowych Dla Studentów Wydziału Mechaniczno-Energetycznego Pwr., Wojciech M. Budzianowski

Wojciech Budzianowski

No abstract provided.


Tematyka Prac Dyplomowych Dla Studentów Wydziału Chemicznego Pwr., Wojciech M. Budzianowski 2014 Wroclaw University of Technology

Tematyka Prac Dyplomowych Dla Studentów Wydziału Chemicznego Pwr., Wojciech M. Budzianowski

Wojciech Budzianowski

No abstract provided.


Mechanika Płynów Lab., Wojciech M. Budzianowski 2014 Wroclaw University of Technology

Mechanika Płynów Lab., Wojciech M. Budzianowski

Wojciech Budzianowski

No abstract provided.


Mechanical Visualization Of A Second Order Dynamic Equation On Varying Time Scales, Molly Kathryn Peterson 2014 Marshall University

Mechanical Visualization Of A Second Order Dynamic Equation On Varying Time Scales, Molly Kathryn Peterson

Theses, Dissertations and Capstones

In this work, we give an introduction to Time Scales Calculus, the properties of the exponential function on an arbitrary time scale, and use it to solve linear dynamic equation of second order. Time Scales Calculus was introduced by Stefan Hilger in 1988. It brings together the theories of difference and differential equations into one unified theory. By using the properties of the delta derivative and the delta anti-derivative, we analyze the behavior of a second order linear homogeneous dynamic equation on various time scales. After the analytical discussion, we will graphically evaluate the second order dynamic equation in Marshall ...


Integrability, Recursion Operators And Soliton Interactions, Boyka Aneva, Georgi Grahovski, Rossen Ivanov, Dimitar Mladenov 2014 Bulgarian Academy of Sciences

Integrability, Recursion Operators And Soliton Interactions, Boyka Aneva, Georgi Grahovski, Rossen Ivanov, Dimitar Mladenov

Book chapter/book

This volume contains selected papers based on the talks,presentedat the Conference Integrability, Recursion Operators and Soliton Interactions, held in Sofia, Bulgaria (29-31 August 2012) at the Institute for Nuclear Research and Nuclear Energy of the Bulgarian Academy of Sciences. Included are also invited papers presenting new research developments in the thematic area. The Conference was dedicated to the 65-th birthday of our esteemed colleague and friend Vladimir Gerdjikov. The event brought together more than 30 scientists, from 6 European countries to celebrate Vladimir's scientific achievements. All participants enjoyed a variety of excellent talks in a friendly and stimulating ...


Relative Equilibria Of Isosceles Triatomic Molecules In Classical Approximation, Damaris Miriam McKinley 2014 Wilfrid Laurier University

Relative Equilibria Of Isosceles Triatomic Molecules In Classical Approximation, Damaris Miriam Mckinley

Theses and Dissertations (Comprehensive)

In this thesis we study relative equilibria of di-atomic and isosceles tri-atomic molecules in classical approximations with repulsive-attractive interaction. For di-atomic systems we retrieve well-known results. The main contribution consists of the study of the existence and stability of relative equilibria in a three-atom system formed by two identical atoms of mass $m$ and a third of mass $m_3$, constrained in an isosceles configuration at all times.

Given the shape of the binary potential only, we discuss the existence of equilibria and relative equilibria. We represent the results in the form of energy-momentum diagrams. We find that fixing the masses ...


Fundamental Domain Of Invariant Sets And Applications, Pengfei Zhang 2013 UMass Amherst

Fundamental Domain Of Invariant Sets And Applications, Pengfei Zhang

Pengfei Zhang

No abstract provided.


Viscosity Dependence Of Faraday Wave Formation Thresholds, Lisa Michelle Slaughter 2013 California Polytechnic State University - San Luis Obispo

Viscosity Dependence Of Faraday Wave Formation Thresholds, Lisa Michelle Slaughter

Physics

This experiment uses an electromagnetic shaker to produce standing wave patterns on the surface of a vertically oscillating sample of silicon liquid. These surface waves, known as Faraday waves, form shapes such as squares, lines, and hexagons. They are known to be dependent upon the frequency and amplitude of the forcing as well as on the viscosity and depth of the liquid in the dish. At a depth of 4mm and for various silicon liquids having kinematic viscosities of 10, 20, and 38 cSt, we determined the acceleration at which patterns form for frequencies between 10 and 60 Hz. For ...


Long-Wave Model For Strongly Anisotropic Growth Of A Crystal Step, Mikhail Khenner 2013 Western Kentucky University

Long-Wave Model For Strongly Anisotropic Growth Of A Crystal Step, Mikhail Khenner

Mathematics Faculty Publications

A continuum model for the dynamics of a single step with the strongly anisotropic line energy is formulated and analyzed. The step grows by attachment of adatoms from the lower terrace, onto which atoms adsorb from a vapor phase or from a molecular beam, and the desorption is nonnegligible (the “one-sided” model). Via a multiscale expansion, we derived a long-wave, strongly nonlinear, and strongly anisotropic evolution PDE for the step profile. Written in terms of the step slope, the PDE can be represented in a form similar to a convective Cahn-Hilliard equation. We performed the linear stability analysis and computed ...


Long-Wave Model For Strongly Anisotropic Growth Of A Crystal Step, Mikhail Khenner 2013 Western Kentucky University

Long-Wave Model For Strongly Anisotropic Growth Of A Crystal Step, Mikhail Khenner

Mikhail Khenner

A continuum model for the dynamics of a single step with the strongly anisotropic line energy is formulated and analyzed. The step grows by attachment of adatoms from the lower terrace, onto which atoms adsorb from a vapor phase or from a molecular beam, and the desorption is nonnegligible (the “one-sided” model). Via a multiscale expansion, we derived a long-wave, strongly nonlinear, and strongly anisotropic evolution PDE for the step profile. Written in terms of the step slope, the PDE can be represented in a form similar to a convective Cahn-Hilliard equation. We performed the linear stability analysis and computed ...


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