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Full-Text Articles in Applied Mathematics
Exploring Delay Dispersal In Us Airport Network, Brandon Sripimonwan, Arun Sathanur
Exploring Delay Dispersal In Us Airport Network, Brandon Sripimonwan, Arun Sathanur
STAR Program Research Presentations
The modeling of delay diffusion in airport networks can potentially help develop strategies to prevent the spread of such delays and disruptions. With this goal, we used the publicly-available historical United States Federal Aviation Administration (FAA) flight data to model the spread of delays in the US airport network. For the major (ASPM-77) airports for January 2017, using a threshold on the volume of flights, we sparsify the network in order to better recognize patterns and cluster structure of the network. We developed a diffusion simulator and greedy optimizer to find the top influential airport nodes that propagate the most …
The Martingale Approach To Financial Mathematics, Jordan M. Rowley
The Martingale Approach To Financial Mathematics, Jordan M. Rowley
Master's Theses
In this thesis, we will develop the fundamental properties of financial mathematics, with a focus on establishing meaningful connections between martingale theory, stochastic calculus, and measure-theoretic probability. We first consider a simple binomial model in discrete time, and assume the impossibility of earning a riskless profit, known as arbitrage. Under this no-arbitrage assumption alone, we stumble upon a strange new probability measure Q, according to which every risky asset is expected to grow as though it were a bond. As it turns out, this measure Q also gives the arbitrage-free pricing formula for every asset on our market. In …