Mathematics Commons^™

Practical Modelling Of The Vanilla Option Volatility Smile, Jacob E. Shanley

Mathematics & Statistics ETDs

Many discussions on how best to model the standard American Option derivative focus solely upon the volatility smile modelling itself from a mathematical perspective. This thesis instead closely examines both the practical and mathematical implications of processing market data, modelling the volatility smile, and making real-world trading decisions from the results. In particular, it contains an analysis of market data processing algorithms, new volatility smile models, multiple empirically-driven weighting schemes, Gauss-Newton and Levenberg-Marquardt optimization algorithms, and various trading strategies. The top performing combinations found were those that involved the Smile and Twist volatility smile models, Volatility Width Vega Multiplier weighting …

On Optimal Stopping And Impulse Control With Constraint, J. L. Menaldi, M. Robin

Mathematics Faculty Research Publications

The optimal stopping and impulse control problems for a Markov-Feller process are considered when the controls are allowed only when a signal arrives. This is referred to as control problems with constraint. In [28, 29, 30], the HJB equation was solved and an optimal control (for the optimal stopping problem, the discounted impulse control problem and the ergodic impulse control problem, respectively) was obtained, under suitable conditions, including a setting on a compact metric state space. In this work, we extend most of the results to the situation where the state space of the Markov process is locally compact.

Large And Small Data Blow-Up Solutions In The Trojan Y Chromosome Model, Rana D. Parshad, Matthew Beauregard, Eric M. Takyi, Thomas Griffin, Landrey Bobo

Faculty Publications

The Trojan Y Chromosome Strategy (TYC) is an extremely well investigated biological control method for controlling invasive populations with an XX-XY sex determinism. In [35, 36] various dynamical properties of the system are analyzed, including well posedness, boundedness of solutions, and conditions for extinction or recovery. These results are derived under the assumption of positive solutions. In the current manuscript, we show that if the introduction rate of trojan fish is zero, under certain large data assumptions, negative solutions are possible for the male population, which in turn can lead to finite time blow-up in the female and male populations. …

A Deep Learning Approach To Uncertainty Quantification, Mst Afroja Akter

Mathematics & Statistics ETDs

In this thesis we consider ordinary differential equations (ODEs) with random parameters. We focus on Monte Carlo (MC) sampling for computing the statistics of some quantities of interest (QoIs) given by the solution of the ODE problems. We use the 4th order accurate Runge-Kutta (RK4) method as the deterministic ODE solver. We then develop a hybrid MC sampling method that combines RK4 with neural network models to efficiently compute the statistics of QoIs within a desired accuracy. We present several numerical examples to verify the accuracy and efficiency of the proposed hybrid method compared to classical MC sampling. The hybrid …

Quenching Estimates For A Non-Newtonian Filtration Equation With Singular Boundary Conditions, Matthew Beauregard, Burhan Selcuk

Faculty Publications

In this paper, the quenching behavior of the non-Newtonian filtration equation (φ(u))t = (|ux| r−2 ux)x with singular boundary conditions, ux (0, t) = u −p (0, t), ux (a, t) = (1 − u(a, t))−q is investigated. Various conditions on the initial condition are shown to guarantee quenching at either the left or right boundary. Theoretical quenching rates and lower bounds to the quenching time are determined when φ(u) = u and r = 2. Numerical experiments are provided to illustrate and provide additional validation of the theoretical estimates to the quenching rates and times.

L^{\Infty}-Estimates Of The Solution Of The Navier-Stokes Equations For Periodic Initial Data, Santosh Pathak

Mathematics & Statistics ETDs

In this doctoral dissertation, we consider the Cauchy problem for the 3D incompressible Navier-Stokes equations. Here, we are interested in a smooth periodic solution of the problem which happens to be a special case of a paper by Otto Kreiss and Jens Lorenz. More precisely, we will look into a special case of their paper by two approaches. In the first approach, we will try to follow the similar techniques as in the original paper for smooth periodic solution. Because of the involvement of the Fourier expansion in the process, we encounter with some intriguing factors in the periodic case …

Mittag–Leffler Stability Of Systems Of Fractional Nabla Difference Equations, Paul W. Eloe, Jaganmohan Jonnalagadda

Mathematics Faculty Publications

Mittag-Leffler stability of nonlinear fractional nabla difference systems is defined and the Lyapunov direct method is employed to provide sufficient conditions for Mittag-Leffler stability of, and in some cases the stability of, the zero solution of a system nonlinear fractional nabla difference equations. For this purpose, we obtain several properties of the exponential and one parameter Mittag-Leffler functions of fractional nabla calculus. Two examples are provided to illustrate the applicability of established results.

A “Rule-Of-Five” Framework For Models And Modeling To Unify Mathematicians And Biologists And Improve Student Learning, C. Diaz Eaton, H. C. Highlander, K. D. Dahlquist, G. Ledder, M.D. Lamar, R.C. Schugart

Department of Mathematics: Faculty Publications

Despite widespread calls for the incorporation of mathematical modeling into the undergraduate biology curriculum, there is lack of a common understanding around the definition of modeling, which inhibits progress. In this paper, we extend the “Rule-of-Four,” initially used in calculus reform efforts, to a “Rule-of-Five” framework for models and modeling that is inclusive of varying disciplinary definitions of each. This unifying framework allows us to both build on strengths that each discipline and its students bring, but also identify gaps in modeling activities practiced by each discipline. We also discuss benefits to student learning and interdisciplinary collaboration.

Design Of Metamaterials For Optics, Abiti Adili

LSU Doctoral Dissertations

First part of this dissertation studies the problem of designing metamaterial crystals with double negative effective properties for applications in optics by investigating the conditions necessary for generating novel dispersion properties in a metamaterial crystal with subwavelength microstructure. This provides novel optical properties created through local resonances tied to the geometry of the media in subwavelength regime.

In the second part, this dissertation studies the representation formula used to describe band structures in photonic crystals with plasmonic inclusions. By using layer potential techniques, a magnetic dipole operator describing the tangential component of the electrical field generated by magnetic distribution is …

Navigating Around Convex Sets, J. J. P. Veerman

Mathematics and Statistics Faculty Publications and Presentations

We review some basic results of convex analysis and geometry in Rn in the context of formulating a differential equation to track the distance between an observer flying outside a convex set K and K itself.

Closing Banquet Eulogies, Russell Howell, C. Ray Rosentrater

ACMS Conference Proceedings 2019

A tribute to David Lay; A tribute to John Roe

Generalized Bagley-Torvik Equation And Fractional Oscillators, Mark Naber, Lucas Lymburner

Applications and Applied Mathematics: An International Journal (AAM)

In this paper the Bagley-Torvik Equation is considered with the order of the damping term allowed to range between one and two. The solution is found to be representable as a convolution of trigonometric and exponential functions with the driving force. The properties of the effective decay rate and the oscillation frequency with respect to the order of the fractional damping are also studied. It is found that the effective decay rate and oscillation frequency have a complex dependency on the order of the derivative of the damping term and exhibit properties one might expect of a thermodynamic Equation of …

Generalized Differential Transform Method For Solving Some Fractional Integro-Differential Equations, S. Shahmorad, A. A. Khajehnasiri

Applications and Applied Mathematics: An International Journal (AAM)

In this paper, we use a generalized form of two-dimensional Differential Transform (2D-DT) to solve a new class of fractional integro-differential equations. We express some useful properties of the new transform as a proposition and prove a convergence theorem. Then we illustrate the method with numerical examples.

On The Lucas Difference Sequence Spaces Defined By Modulus Function, Murat Karakaş, Tayfur Akbaş, Ayşe M. Karakaş

Applications and Applied Mathematics: An International Journal (AAM)

In this paper, firstly, we define the Lucas difference sequence spaces by the help of Lucas sequence and a sequence of modulus function. Besides, we give some inclusion relations and examine geometrical properties such as Banach-Saks type p, weak fixed point property.

Functional Dimension Of Solution Space Of Differential Operators Of Constant Strength, Morteza Shafii-Mousavi

Applications and Applied Mathematics: An International Journal (AAM)

A differential operator with constant coefficients is hypoelliptic if and only if its solution space is of finite functional dimension. We extend this property to operators with variable coefficient. We prove that an equally strong differential operator with variable coefficients has the same property. In addition, we extend the Zielezny’s result to operators with variable coefficients; prove that an operator with analytic coefficients on ℝⁿ is elliptic if and only if locally the functional dimension of its solution space is the same as the Euclidean dimension n.

Study Of Specially And Temporally Dependent Adsorption Coefficient In Heterogeneous Porous Medium, Dilip K. Jaiswal, Gulrana _

Applications and Applied Mathematics: An International Journal (AAM)

One-dimensional advection-dispersion equation (ADE) is studied along unsteady longitudinal flow through a semi-infinite heterogeneous medium. Adsorption coefficient is considered temporally and spatially–dependent function i.e., expressed in degenerate form. The dispersion parameter is considered as inversely proportional to adsorption coefficient. The input source is of pulse type. The Laplace Transformation Technique (LTT) is used to obtain the analytical solution by introducing certain new independent variables through separate transformations. The effects of adsorption, heterogeneity and unsteadiness are investigated and discussed with the help of various graphs.

On Nonlinear Contractions In New Extended 𝒃-Metric Spaces, Hassen Aydi, Abdelbasset Felhi, Tayyab Kamran, Erdal Karapınar, Muhammad U. Ali

Applications and Applied Mathematics: An International Journal (AAM)

Very recently, the notion of extended 𝑏-metric spaces was introduced by replacing the modified triangle inequality with a functional triangle inequality and the analog of the renowned Banach fixed point theorem was proved in this new structure. In this paper, continuing in this direction, we further refine the functional inequality and establish some fixed point results for nonlinear contractive mappings in the new setting. A nontrivial example for the new extended 𝑏-metric space is given.

Transient Thermal Stresses Due To Axisymmetric Heat Supply In A Semi-Infinite Thick Circular Plate, S. D. Warbhe, K. C. Deshmukh

Applications and Applied Mathematics: An International Journal (AAM)

The present paper deals with the determination of thermal stresses in a semi-infinite thick circular plate of a finite length and infinite extent subjected to an axisymmetric heat supply. A thick circular plate is considered having constant initial temperature and arbitrary heat flux is applied on the upper and lower face. The governing heat conduction equation has been solved by using integral transform technique. The results are obtained in terms of Bessel’s function. The thermoelastic behavior has been computed numerically and illustrated graphically for a steel plate.

Generalized Growth And Faber Polynomial Approximation Of Entire Functions Of Several Complex Variables In Some Banach Spaces, Devendra Kumar, Manisha Vijayran

Applications and Applied Mathematics: An International Journal (AAM)

In this paper the relationship between the generalized order of growth of entire functions of many complex variables m(m ≥ 2) over Jordan domains and the sequence of Faber polynomial approximations in some Banach spaces has been investigated. Our results improve the various results shown in the literature.

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 …

Pascal's Triangle, Pascal's Pyramid, And The Trinomial Triangle, Antonio Saucedo Jr.

Electronic Theses, Projects, and Dissertations

Many properties have been found hidden in Pascal's triangle. In this paper, we will present several known properties in Pascal's triangle as well as the properties that lift to different extensions of the triangle, namely Pascal's pyramid and the trinomial triangle. We will tailor our interest towards Fermat numbers and the hockey stick property. We will also show the importance of the hockey stick properties by using them to prove a property in the trinomial triangle.

Unified Ball Convergence Of Inexact Methods For Finding Zeros With Multiplicity, Ioannis K. Argyros, Santhosh George

Applications and Applied Mathematics: An International Journal (AAM)

We present an extended ball convergence of inexact methods for approximating a zero of a nonlinear equation with multiplicity m; where m is a natural number. Many popular methods are special cases of the inexact method.

Developing Mathematicians: The Benefits Of Weaving Spiritual And Disciplinary Discipleship, Patrick Eggleton

ACMS Conference Proceedings 2019

Part of the goal of discipleship at the Christian university is for faith development to seep into the hearts of the students. Similarly, the goal of the development of future mathematicians is for the mathematical proficiencies, the practices like problem solving and analytical reasoning that permeate each of the courses, to seep into the hearts of our majors. This presentation shares how the weaving of our spiritual and disciplinary discipleship efforts benefits the faith development of our students while also helping them to think like a mathematician.

From Perfect Shuffles To Landau's Function, Brian D. Beasley

ACMS Conference Proceedings 2019

If we view a given shuffle of a deck of cards as a permutation, then repeatedly applying this same shuffle will eventually return the deck to its original order. In general, how many steps will that take? What happens in the case of so-called perfect shuffles? What type of shuffle will require the greatest number of applications before restoring the original deck? This talk will address those questions and provide a brief history of the work of Edmund Landau on the maximal order of a permutation in the symmetric group on n objects. It will also note some recent progress …

Replacing Remedial Mathematics With Corequisites In General Education Mathematics Courses, Alana Unfried

ACMS Conference Proceedings 2019

Many colleges and universities offer courses, such as Remedial Mathematics or Elementary Algebra, that underprepared students must complete before they can take a college-level mathematics course. However, nationally there is a push to replace remedial mathematics courses with corequisite courses instead. This design allows students to enter directly into their general education mathematics course instead of first overcoming the barrier of a remedial course. Corequisite mathematics courses were implemented across the 23-campus California State University system during the 2018-19 academic year. I will discuss the design and implementation of a corequisite structure at California State University, Monterey Bay, in particular …

Charles Babbage And Mathematical Aspects Of The Miraculous, Courtney K. Taylor

ACMS Conference Proceedings 2019

Charles Babbage is widely known as the father of the computer, but he is lesser known for his contributions to natural theology and apologetics. In 1837 Babbage wrote the Ninth Bridgewater Treatise in response to a series of writings concerning faith and science that had been commissioned by the Royal Society. Among the remarkable features of the Ninth Bridgewater are mathematical analogies concerning the miraculous. We will explore these ideas, which range from the difference engine to a family of fourth degree curves, illustrating that for Babbage, miracles are not exceptions to natural law, but rather instances of a larger …

The Applicability Of Mathematics And The Naturalist Die, Ricardo J. Cordero-Soto

ACMS Conference Proceedings 2019

Philosopher and Christian apologist William Lane Craig has proposed a valid deductive argument for God’s existence that is rooted in the applicability of mathematics to the physical universe. This argument was presented by Craig during a debate with philosopher and atheist Alex Rosenberg. During the debate, Rosenberg presented a rebuttal to the soundness of this argument by appealing to chance as an explanation to the applicability of mathematics to the physical universe. In this talk, the presenter will discuss how the naturalist die is unable to produce “chance application” of mathematics while defending the soundness of the argument in light …

Faith, Mathematics, And Science: The Priority Of Scripture In The Pursuit And Acquisition Of Truth, Bob Mallison

ACMS Conference Proceedings 2019

This research will examine some approaches for identifying truth as well as some issues involved in recognizing reliable sources of information. We will proceed from a decidedly Christian perspective including the conviction that God created an orderly universe (and that studying nature provides valuable information about Him) and that His Word, the Bible, even more clearly expresses in- formation about Him. We will discuss some of the essential tools used by mathematicians and scientists for the discovery of truth – namely, models. We will examine some valuable models from history, and briefly discuss that as additional scientific information became available, …

Teaching Mathematics At An African University -- My Experience, Kathleen Lewis

ACMS Conference Proceedings 2019

For eight years (2010-2018), I was the head of the math department at The University of The Gambia, a small, new (started in 1999) university in a very small, mostly Muslim, West African country that most Americans have never heard of. During that time, a number of other Americans and Europeans came to teach for shorter periods of time. I will talk about what this experience was like for us, both the good and the bad. I will describe the possibilities for others to spend either a sabbatical or an extended period of time at such a university and suggest …

Lagrange's Interpolation, Chinese Remainder, And Linear Equations, Jesús Jiménez

ACMS Conference Proceedings 2019

Consider a finite set of points {(x1, y1), (x2, y2), . . . , (xk , yk )} in R2. The Lagrange’s interpolation problem is to find a polynomial p(x) of degree k − 1 satisfying p(xi) = yi for 1 ≤ i ≤ k. We will recall the solution to Lagrange’s interpolation problems as an instance of the Chinese Remainder Theorem. Next, we will show that a similar approach can be used to construct solutions to a system of linear equations.