Implementing The Heston Option Pricing Model In Object-Oriented Cython, 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 ...
High Consequence Scenarios For North Korean Atmospheric Nuclear Tests With Policy Recommendations For The U.S. Government, 2017 James Madison University
High Consequence Scenarios For North Korean Atmospheric Nuclear Tests With Policy Recommendations For The U.S. Government, Thomas S. Popik, Jordan T. Kearns, George H. Baker Iii, Henry F. Cooper, William R. Harris
Department of Integrated Science and Technology - Faculty Scholarship
The government of North Korea has declared high-altitude EMP-capability to be a “strategic goal” and has also threatened an atmospheric test of a hydrogen bomb. Atmospheric nuclear tests have the potential to cripple satellites and the undersea cable networks critical to communication, and navigation necessary for trans-Pacific trade among the U.S., China, and other nations. When a nuclear warhead is detonated at high altitude, a series of electromagnetic pulses radiate downward within the line of sight of the blast. These pulses can disable equipment with miniature electronics and long conductors. Electric grid controls and transmission systems are especially vulnerable ...
Benchmarking Estonia's Cyber Security: An On-Ramping Methodology For Rapid Adoption And Implementation, 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
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 ...
Quantitative Analysis Of Regenerative Energy In Electric Rail Traction Systems, 2017 CUNY City College
Quantitative Analysis Of Regenerative Energy In Electric Rail Traction Systems, Mahmoud Saleh, Oindrilla Dutta, Yusef Esa, Ahmed Mohamed
Publications and Research
This paper aims at determining the influential factors affecting regenerative braking energy in DC rail transit systems. This has been achieved by quantitatively evaluating the dependence of regenerative energy on various parameters, such as vehicle dynamics, train scheduling, ground inclination and efficiency of the electrical devices. The recuperated power and energy have been presented by a mathematical model, comprising of a set of empirical forms, which allows for thorough analysis. A detailed simulation model of a typical DC-traction system has been developed to validate the developed empirical forms. The results verified the validity of the proposed mathematical model, and demonstrated ...
Identification Of Reverse Engineering Candidates Utilizing Machine Learning And Aircraft Cannibalization Data, 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, 2017 San Jose State University
Examining Accident Reports Involving Autonomous Vehicles In California, Francesca Favaro, Nazanin Nader, Sky Eurich, Michelle Tripp, Naresh Varadaraju
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, 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
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, 2017 Marshall University
A Review Focujsed On The Psychological Effectiveness Of Tai Chi On Different Populations, Long Zhang, Thomas Lowder, Jian Liu
No abstract provided.
Aging Effect On Foot Dynamics During Unexpected Slips, 2017 Marshall University
Aging Effect On Foot Dynamics During Unexpected Slips, Jian Liu, Thurmon E. Lockhart
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, 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 ...
Processus De Décision Et Complexité: Le Feu De Yarnell Hill Du 30 Juin 2013 [Decision-Making Processes And Complexity: The Yarnell Hill Fire Of June 30th, 2013], 2017 Embry-Riddle Aeronautical University
Processus De Décision Et Complexité: Le Feu De Yarnell Hill Du 30 Juin 2013 [Decision-Making Processes And Complexity: The Yarnell Hill Fire Of June 30th, 2013], Karim Hardy, Louise K. Comfort
Re-forming the information stream in decision processes after severe accidents allows scientists aRecréer les flux d’information au sein des processus de décision après une catastrophe permet aux chercheurs ainsi qu’aux décideurs d’identifier les points à partir desquels une action défaillante débute ainsi que les écarts dans les processus d’information qui pourraient être corrigés afin de réduire les futurs lors de futurs incidents. Le 30 juin 2013, le feu de Yarnell Hill en Arizona (Etats-Unis) évolue rapidement dans des conditions environnementale et managériale très difficiles menant à l’effondrement de la stratégie de lutte et à la ...
Development Of An Unmanned Aerial System For Radiation Mapping In Nuclear Facilities, 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 ...
Hazard Mitigation Through A Systemic Model Of Accident To A Socio-Technical System: A Case Study, 2017 Embry-Riddle Aeronautical University
Hazard Mitigation Through A Systemic Model Of Accident To A Socio-Technical System: A Case Study, Karim Hardy, Franck Guarnieri
This paper presents the STAMP (systems-theoretic accident modeling and processes) accident model, based on systems theory, and describes its application in the context of risk prevention related to the remediation of contaminated sediments. The implementation of the model is described, and results are presented both in methodological and technical terms. The goal of this article is to emphasize the need of new approaches to take into account hazards and accidents within socio-technical systems.
Decisions Management During Wildland Fires: Accidents Viewed As A Spatiotemporal Inadequacy, 2017 Embry-Riddle Aeronautical University
Decisions Management During Wildland Fires: Accidents Viewed As A Spatiotemporal Inadequacy, Karim Hardy
Extreme situations as wildland fires are a source of stress and pressure. In such events, decision-makers and incident commanders need to address a specific problem: how to manage time and resources to make meaningful decisions? Current models of accidents that exist to explain and manage catastrophes and disasters are inadequate and insufficient to deal with resources and time pressure due to uncertainty within a complex organization. Current incident response structures are incompetent and impotent to handle effectively a dynamic evolution of space and time in order to bring a situation back to stability adequately.
Modelling And Hazard Analysis For Contaminated Sediments Using Stamp Model, 2017 Mines ParisTech
Modelling And Hazard Analysis For Contaminated Sediments Using Stamp Model, Karim Hardy, Franck Guarnieri
Processes for remediation (removal of pollution or contaminants) of contaminated sediments have been very efficient. These technologies, which are particularly complex, call for a comprehensive approach to risk analysis which characterises all threats (to humans, equipment, local residents, the environment, etc.) . The STAMP accident model (Systems-Theoretic Accident Model and Processes) is an example of such a comprehensive approach, and it has been chosen to characterise the risks associated with Novosol (registered trademark), an innovative remediation process.
Modelling And Hazard Analysis For Contaminated Sediments Using Stamp Model And Stpa Tool, 2017 University of California - Berkeley
Modelling And Hazard Analysis For Contaminated Sediments Using Stamp Model And Stpa Tool, Karim Hardy, Franck Guarnieri
The goal of this article is dual: first, introducing a new model of accident named STAMP (systems-theoretic accident modeling and processes); then applying the model to an innovative process for the treatment of contaminated substances and the re-use of treated substances. This article is a demonstration for a need of a new tool to take into account hazards and safety within socio-technical systems.
Integrating Disparate Nuclear Data Sources For Improved Predictive Maintenance Modeling: Maintenance-Based Prognostics For Long-Term Equipment Operation, 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
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” . One would expect US nuclear power plants to constantly upgrade, improve, and expand their operations and maintenance departments and tactics. Since the early 1990s ...
Flight Risk Management And Crew Reserve Optimization, 2017 University of Tennessee, Knoxville
Flight Risk Management And Crew Reserve Optimization, Ying Zhang
There are two key concerns in the development process of aviation. One is safety, and the other is cost. An airline running with high safety and low cost must be the most competitive one in the market. This work investigates two research efforts respectively relevant to these two concerns.
When building support of a real time Flight Risk Assessment and Mitigation System (FRAMS), a sequential multi-stage approach is developed. The whole risk management process is considered in order to improve the safety of each flight by integrating AHP and FTA technique to describe the framework of all levels of risks ...
Nuclear Weapons In A Changing Climate: Probability, Increasing Risks, And Perception, 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 ...
Top-Down Construction Cost Estimating Model Using An Artificial Neural Network, 2017 Iowa State University
Top-Down Construction Cost Estimating Model Using An Artificial Neural Network, Douglas D. Gransberg, H. David Jeong, Ilker Karaca, Brendon Gardner
This report contains the information and background on top-down cost estimating using artificial neural networks (ANN)_to enhance the accuracy of MDT early estimates of construction costs. Upon conducting an extensive review of MDT’s budgeting and cost estimating efforts, and following a survey of agency experts on the identification of the most salient project attributes with the dual-objectives of low effort and high accuracy, a rational method for top-down variable selection is proposed. Selected variables were further tested in their explanatory power of construction costs through the application of two cost estimating methodologies—multiple regression and artificial neural network ...