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Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin 2017 Utah State University

Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin

All Graduate Plan B and other Reports

The 1973 Black-Scholes model, a revolutionary option pricing formula whose price is 'relatively close to observed prices, makes an assumption that the volatility is constant and thus, deterministic. This causes some inefficiencies and patterns in the pricing of options due to the model providing evidence of the volatility smile' of the volatility. Many scholars have suggested that the volatility should be modelled by a stochastic process and the (1993) Heston Model is one of many proposed solutions to remedy this problem. The Heston Model allows for the 'smile' by defining the volatility as a stochastic process. This thesis considers a ...


Airport Security Investment Model, Joshua Daniel Bolton 2017 University of Arkansas, Fayetteville

Airport Security Investment Model, Joshua Daniel Bolton

Theses and Dissertations

In an increasingly mobile and diverse world, it is difficult to quantify the risk, or danger, associated with traveling. Airports have suffered greatly for being unable to define potential risks and protect against them. Intelligent adversary risk is a complicated high-level issue for many airports. Airports are targeted because of the large amount of people in a confined space and the social, economic, and psychological impact of terrorist attacks on the American people. In the months following September 11th, 2001, the airline industry in the United States lost $1.1 billion in revenue. The American people stayed grounded, for fear ...


Benchmarking Estonia's Cyber Security: An On-Ramping Methodology For Rapid Adoption And Implementation, Ernest Wong, Nan Porter, McKinnon Hokanson, Bing Bing Xie 2017 United States Military Academy

Benchmarking Estonia's Cyber Security: An On-Ramping Methodology For Rapid Adoption And Implementation, Ernest Wong, Nan Porter, Mckinnon Hokanson, Bing Bing Xie

Research Papers

In April of 2007, Estonia fell victim to a series of distributed denial of service (DDoS) attacks that crippled its government websites, email servers, media outlets, and banking system for nearly a month. Due to the devastating effects of these cyber attacks, Estonia took great efforts to strengthen its cyber security protocols. This research analyzes the reforms that Estonia has implemented in its domestic and foreign policies and attempts to determine if any of it systemic improvements can help to also bolster cyber security in the United States (US). The findings from this research are that Estonia’s policy reforms ...


Identification Of Reverse Engineering Candidates Utilizing Machine Learning And Aircraft Cannibalization Data, Marc Banghart 2017 Embry Riddle Aeronautical University

Identification Of Reverse Engineering Candidates Utilizing Machine Learning And Aircraft Cannibalization Data, Marc Banghart

International Journal of Aviation, Aeronautics, and Aerospace

As military aircraft continue to remain in service and age, cannibalization of parts is increasing. Proactive identification of parts that are at high risk for cannibalization will inform engineering processes such as reverse engineering, thus allowing potentially reducing lead time to develop new parts. The research objective was to develop a causal structure that can be used for prediction of when cannibalization actions may occur. Bayesian networks allow encoding of causality between various descriptive features given a data set. The method utilized a tabu search algorithm, identified the underlying causal structure and the associated node probabilities. The method is then ...


Examining Accident Reports Involving Autonomous Vehicles In California, Francesca Favaro, Nazanin Nader, Sky Eurich, Michelle Tripp, Naresh Varadaraju 2017 San Jose State University

Examining Accident Reports Involving Autonomous Vehicles In California, Francesca Favaro, Nazanin Nader, Sky Eurich, Michelle Tripp, Naresh Varadaraju

Faculty Publications

Autonomous Vehicle technology is quickly expanding its market and has found in Silicon Valley, California, a strong foothold for preliminary testing on public roads. In an effort to promote safety and transparency to consumers, the California Department of Motor Vehicles has mandated that reports of accidents involving autonomous vehicles be drafted and made available to the public. The present work shows an in-depth analysis of the accident reports filed by different manufacturers that are testing autonomous vehicles in California (testing data from September 2014 to March 2017). The data provides important information on autonomous vehicles accidents’ dynamics, related to the ...


Hispanic Maternal And Children's Perceptions Of Neighborhood Safety Related To Walking And Cycling, Norma Olvera, Dennis W. Smith, Chanam Lee, Jian Liu, Jay Lee, Stephanie Kellam, Jun-Hyun Kim 2017 Marshall University

Hispanic Maternal And Children's Perceptions Of Neighborhood Safety Related To Walking And Cycling, Norma Olvera, Dennis W. Smith, Chanam Lee, Jian Liu, Jay Lee, Stephanie Kellam, Jun-Hyun Kim

Jian Liu

This study examined neighborhood safety as perceived by children (mean age=10 years) and their mothers, and its association with children's physical activity. For all eight safety items examined, children perceived their environment as less dangerous than mothers (p<0.05). None of the multiple regression models predicting children's physical activity by safety perceptions were significant (p>0.10). The maternal perception model explained the highest percentage of variance (R2=0.26), compared to the children's perception model (R2=0.22). Findings suggest that future studies should explore relations between self-reported and objectively measured safety barriers to Hispanic youth walking and cycling.


A Review Focujsed On The Psychological Effectiveness Of Tai Chi On Different Populations, Long Zhang, Thomas Lowder, Jian Liu 2017 Marshall University

A Review Focujsed On The Psychological Effectiveness Of Tai Chi On Different Populations, Long Zhang, Thomas Lowder, Jian Liu

Jian Liu

No abstract provided.


Examining Accident Reports Involving Autonomous Vehicles In California, Francesca M. Favaro, Nazanin Nader, Sky O. Eurich, Michelle Tripp, Naresh Varadaraju 2017 San Jose State University

Examining Accident Reports Involving Autonomous Vehicles In California, Francesca M. Favaro, Nazanin Nader, Sky O. Eurich, Michelle Tripp, Naresh Varadaraju

Francesca M. Favarò

Autonomous Vehicle technology is quickly expanding its market and has found in Silicon Valley, California, a strong foothold for preliminary testing on public roads. In an effort to promote safety and transparency to consumers, the California Department of Motor Vehicles has mandated that reports of accidents involving autonomous vehicles be drafted and made available to the public. The present work shows an in-depth analysis of the accident reports filed by different manufacturers that are testing autonomous vehicles in California (testing data from September 2014 to March 2017). The data provides important information on autonomous vehicles accidents’ dynamics, related to the ...


Aging Effect On Foot Dynamics During Unexpected Slips, Jian Liu, Thurmon E. Lockhart 2017 Marshall University

Aging Effect On Foot Dynamics During Unexpected Slips, Jian Liu, Thurmon E. Lockhart

Jian Liu

Slip-induced fall accidents have been recognized as a serious threat to the health of the elderly.The objective of the current study was to investigate the aging effect on the biomechanical reactions of both perturbed foot and unperturbed foot to the unexpected slips. Nineteen younger (mean age: 25.0 years old) and twenty-one older (mean age: 71.2 years old) adults were involved in a laboratory study,in which slippery surface was induced during walking without their awareness.The reactive responses of both slipping foot and unperturbed foot were quantified by optical motion capture system and force platforms.The results ...


A Systems-Based Framework For Design And Analysis Of An R And D Structure, Polinpapilinho F. Katina, Charles B. Keating, Luna M. Magpili 2017 Old Dominion University

A Systems-Based Framework For Design And Analysis Of An R And D Structure, Polinpapilinho F. Katina, Charles B. Keating, Luna M. Magpili

Engineering Management & Systems Engineering Faculty Publications

A critical challenge for managerial effectiveness and competitive advantage in research and development (R and D) organizations is developing an appropriate structural configuration. However, in finding an appropriate structural configuration, R and D managers are faced with unprecedented levels of uncertainty, ambiguity, and accelerating complexity, coupled with demands for increased productivity. This paper develops a systems-based framework to support rigorous design, analysis, and transformation of the structure for R and D organizations. The framework development includes: (1) a review of the literature for the nature and role of the structure in R and D management; (2) setting of the R ...


Scoring Design-Build Proposals For Military Construction Projects, Douglas D. Gransberg 2017 Iowa State University

Scoring Design-Build Proposals For Military Construction Projects, Douglas D. Gransberg

Douglas D. Gransberg

No abstract provided.


Development Of An Unmanned Aerial System For Radiation Mapping In Nuclear Facilities, Jackson Ball, Guangying Jiang, Robert Bean 2017 Purdue University

Development Of An Unmanned Aerial System For Radiation Mapping In Nuclear Facilities, Jackson Ball, Guangying Jiang, Robert Bean

The Summer Undergraduate Research Fellowship (SURF) Symposium

Efficiently planning a decontamination and decommissioning (D&D) operation at a nuclear facility requires detailed information on the conditions present. In the wake of a disaster, or just years of abandonment, a facility’s layout may have dramatically changed, making previous facility drawings unreliable, and radioactive particles may have been spread over the site, contaminating equipment and structures. Rather than tasking workers with mapping and characterizing the contamination, which can take days or weeks and poses a health and safety risk to the workers, mapping the site and locating contamination can be done remotely by an unmanned aerial vehicle (UAV ...


Integrating Disparate Nuclear Data Sources For Improved Predictive Maintenance Modeling: Maintenance-Based Prognostics For Long-Term Equipment Operation, Zachary Allen Welz 2017 University of Tennessee, Knoxville

Integrating Disparate Nuclear Data Sources For Improved Predictive Maintenance Modeling: Maintenance-Based Prognostics For Long-Term Equipment Operation, Zachary Allen Welz

Doctoral Dissertations

The United States (US) nuclear industry is one of the most heavily regulated businesses in the world, creating a culture of world-class design, operation, and maintenance. In an article published on modern maintenance technologies, Terrence OHanlon (past Chief Asset Manager for Reliabilityweb.com) stated, “world class companies often devote up to 50 percent of their entire maintenance resources to condition based monitoring and the planned work that is required as a result of the findings” [1]. One would expect US nuclear power plants to constantly upgrade, improve, and expand their operations and maintenance departments and tactics. Since the early 1990s ...


Hyper-Connectivity: Intricacies Of National And International Cyber Securities (Part 1), Maurice Dawson 2017 University of Missouri - St Louis

Hyper-Connectivity: Intricacies Of National And International Cyber Securities (Part 1), Maurice Dawson

Maurice Dawson

This thesis examined the three core themes: the role of education in cyber security, the role of technology in cyber security, and the role of policy in cyber security in which the papers are published. The associated works are published in referred journals, peer reviewed book chapters, and conference proceedings. Research can be found in the following outlets; 1. Security Solutions for Hyperconnectivity and the Internet of Things, 2. Developing Next-Generation Countermeasures for Homeland Security Threat Prevention, 3. New Threats and Countermeasures in Digital Crime and Cyber Terrorism, 4. International Journal of Business Continuity and Risk Management, 5. Handbook of ...


Nuclear Weapons In A Changing Climate: Probability, Increasing Risks, And Perception, Adam Liska, Tyler R. White, Eric Holley, Robert J. Oglesby 2017 University of Nebraska - Lincoln

Nuclear Weapons In A Changing Climate: Probability, Increasing Risks, And Perception, Adam Liska, Tyler R. White, Eric Holley, Robert J. Oglesby

Adam Liska Papers

Many people tend to think that the outcome of any nuclear weapons use today will result in an escalatory situation with apocalyptic outcomes for the countries involved. Yet many factors are increasing the probability of the limited use of nuclear weapons (e.g., 1 to 20 warheads) in a range of conflict scenarios. Previous atmospheric model simulations of regional nuclear conflicts employing many relatively small bombs have been estimated to cause a global “nuclear autumn,” with great reductions in agricultural productivity, stratospheric ozone loss, and spread of hazardous radioactive fallout. The totality of these effects would result in widespread ...


Capturing Cognitive Fingerprints From Keystroke Dynamics, J. Morris Chang, Chi-Chen Fang, Kuan-Hsing Ho, Norene Kelly, Pei-Yuan Wu, Yixiao Ding, Chris Chu, Stephen B. Gilbert, Amed E. Kamal, Sun-Yuan Kung 2017 Iowa State University

Capturing Cognitive Fingerprints From Keystroke Dynamics, J. Morris Chang, Chi-Chen Fang, Kuan-Hsing Ho, Norene Kelly, Pei-Yuan Wu, Yixiao Ding, Chris Chu, Stephen B. Gilbert, Amed E. Kamal, Sun-Yuan Kung

Morris Chang

Conventional authentication systems identify a user only at the entry point. Keystroke dynamics can continuously authenticate users by their typing rhythms without extra devices. This article presents a new feature called cognitive typing rhythm (CTR) to continuously verify the identities of computer users. Two machine techniques, SVM and KRR, have been developed for the system. The best results from experiments conducted with 1,977 users show a false-rejection rate of 0.7 percent and a false-acceptance rate of 5.5 percent. CTR therefore constitutes a cognitive fingerprint for continuous. Its effectiveness has been verified through a large-scale dataset. This article ...


Comparison Of Intrusive And Non-Intrusive Methods For Corrosion Monitoring Of Fuel Processing Systems, Armando Jacob Espinoza, Thomas Conner Field 2017 California Polytechnic State University, San Luis Obispo

Comparison Of Intrusive And Non-Intrusive Methods For Corrosion Monitoring Of Fuel Processing Systems, Armando Jacob Espinoza, Thomas Conner Field

Materials Engineering

This presentation contains an assessment of the best overall corrosion monitoring device, intrusive or non-intrusive, for use in the petrochemical industry. Corrosion in the petrochemical industry is a large issue because it causes a deterioration of pipe integrity in fuel processing systems. A reduction of pipe wall integrity due to corrosion could result in a leak or an explosion of fuel processing lines since those systems function at high pressures. The use of corrosion monitoring systems in the petrochemical industry helps to detect early signs of corrosion prior to failure so that proper maintenance can be performed to prevent catastrophe ...


Motion Dynamics Of Dropped Cylindrical Objects, Gong Xiang 2017 University of New Orleans

Motion Dynamics Of Dropped Cylindrical Objects, Gong Xiang

University of New Orleans Theses and Dissertations

Dropped objects are among the top ten causes of fatalities and serious injuries in the oil and gas industry. Objects may be dropped during lifting or any other offshore operation. Concerns of health, safety, and the environment (HSE) as well as possible damages to structures require the prediction of where and how a dropped object moves underwater. This study of dropped objects is subdivided into three parts. In the first part, the experimental and simulated results published by Aanesland (1987) have been successfully reproduced and validated based on a two-dimensional (2D) theory for a dropped drilling pipe model. A new ...


Who R U? Identity Theft And Unl Students, Marcia L. Dority Baker, Cheryl O'Dell 2017 University of Nebraska-Lincoln

Who R U? Identity Theft And Unl Students, Marcia L. Dority Baker, Cheryl O'Dell

Publications from Information Technology Services

How can academic institutions help educate their students about the risks of identity theft? Or teach students to better understand how one’s online presence can hold so much joy and angst? For one campus, the University of Nebraska–Lincoln, the opportunity came from a middle school teacher engaging his students in a future problem-solving activity. UNL had the opportunity to create a 45-minute presentation on identity theft for local public school students who would be spending the day on campus researching this topic.

While preparing the presentation, we realized a top 10 list on identity theft for UNL students ...


Contributing Causes Of Injury Or Death In Grain Entrapment, Engulfment, And Extrication, Salah Fuad Issa, William E. Field, Charles V. Schwab, Fadi S. Issa, Eric A. Nauman 2017 Purdue University

Contributing Causes Of Injury Or Death In Grain Entrapment, Engulfment, And Extrication, Salah Fuad Issa, William E. Field, Charles V. Schwab, Fadi S. Issa, Eric A. Nauman

Agricultural and Biosystems Engineering Publications

Objectives: Grain entrapments and engulfments are one of most common hazards associated with grain storage facilities, with over 1,140 such entrapments/engulfments documented since the 1970s. The objective of the study was to determine the factors that contribute to injury or death in grain entrapment, engulfment, and extrication cases. Methods: A literature review, including data contained in the Purdue Agricultural Confined Spaces Incident Database (PACSID), was conducted to determine the conditions that the body experiences during an entrapment or engulfment in grains and during extrication efforts. Results: Based on the review, the conditions a human body faces during an ...


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