Physical Sciences and Mathematics Commons^™

Stochastic Modeling Of Earthquakes And Option Pricing Using Bns-Gamma-Ou Model, Mandela Bright Quashie

Open Access Theses & Dissertations

High frequency data are becoming increasingly popular these days. They are fundamental in basically every facet of people’s lives. They are the determining factors in hedging in the field of finance. In geology, they help in the accurate prediction of earthquakes’ magnitude which goes along way to help save lives and properties.

High frequency data are also used more and more frequently for speculations. For this reason, it is important not only for scientists to apply models allowing correct quantification of these data, but also to improve the eciency of these models.

The Black-Scholes model, which is widely used because …

Defining Historical Earthquake Rupture Parameters And Proposed Slip Distributions Through Tsunami Modeling In South-Central Chile, Alexander Dolcimascolo

All Master's Theses

Reliable tsunami early warning forecasts rely on accurate initial modeling conditions and interpretations of subduction zone behavior in a multi-century perspective. GPS and seismologic data were introduced this past century to study rupture dynamics in detail, however limited information is known about ruptures that pre-date the 20^th century. I propose a methodology that uses statistics to better understand these pre-20^th century ruptures. This methodology applies the historical and geologic tsunami record as a means to select a suite of tsunami simulations from earthquake source solutions. I chose south-central Chile (46°S to 30°S) to test this new methodology; it …