• East Asian mathematical journal
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• v.40 no.1
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• pp.63-74
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• 2024

Timer options are financial instruments proposed by Société Générale Corporate and Investment Banking in 2007. Unlike vanilla options, where the expiry date is fixed, the expiry date of timer options is determined by the investor's choice, which is in linked to a variance budget. In this study, we derive a pricing formula for hybrid options that combine timer options, digital options, and power options, considering an environment where volatility of an underlying asset follows a fast-mean-reverting process. Additionally, we aim to validate the pricing accuracy of these analytical formulas by comparing them with the results obtained from Monte Carlo simulations. Finally, we conduct numerical studies on these options to analyze the impact of stochastic volatility on option's price with respect to various model parameters.

• Journal of the Korean Physical Society
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• v.80
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• pp.117-122
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• 2022

The Belle II detector at the SuperKEKB e⁺e^- collider in Japan is designed for precise measurements of weak interaction parameters and new physics beyond the Standard Model; therefore, it requires very high instantaneous luminosity. To handle such high luminosity, the level-1 trigger system in the Belle II experiment is designed to efficiently trigger events of interest with the highest efficiency. Among many sub-detectors, track reconstruction of charged particles is performed using information collected from the central drift chamber. Therefore, the central drift chamber-based trigger plays a central role in distinguishing specific types of physics based on fast track reconstruction. To improve the longitudinal position resolution of a track vertex and for the fine-tuning of trigger signal timing, the time of the collision, which we call event time, is necessary. We developed an event time finding algorithm using the wire hit time information obtained from the central drift chamber and validated our algorithm through Monte Carlo simulation.

• Journal of Positioning, Navigation, and Timing
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• v.4 no.4
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• pp.161-171
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• 2015

Alternative binary offset carrier (AltBOC) signals can be approximated by four synchronized direct sequence spread spectrum (DSSS) signals, each pair of which is a quadrature phase shift keyed (QPSK) signal at a different frequency. Therefore, depending on the strength of an incoming AltBOC signal, an acquisition technique can reduce the mean acquisition time (MAT) by searching the four DSSS signals asynchronously; the search for each of the four DSSS signals can start at one of the evenly separated hypotheses on the two-dimensional hypothesis space. And detection sensitivity can be improved by multiple levels when different numbers of search results for the same hypothesis are combined. In this paper, we propose a fast AltBOC acquisition technique that has an asynchronous search strategy and efficiently utilizes the output of the four search results to increase the sensitivity level when sensitivity improvement is needed. We provide a complete theoretical analysis and demonstrate with numerous Monte Carlo simulations that the MAT of the proposed technique is much smaller than conventional AltBOC acquisition techniques.

• IEIE Transactions on Smart Processing and Computing
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• v.6 no.3
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• pp.220-227
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• 2017

Technology development is leading to the invention of more sophisticated electronics appliances that require long battery life. Therefore, saving power is a major concern in current-day scenarios. A notable source of power dissipation in sequential structures of integrated circuits is due to the continuous switching of high-frequency clock signals, which do not carry any information, and hence, their switching is eliminated by a method called clock gating. In this paper, we have incorporated a recent clock-gating style named Leakage Control Transistor (LECTOR)-based clock gating to drive a multi-stage sequential architectures, and we focus on its performance under three different process corners (fast-fast, slow-slow, typical-typical) through Monte Carlo simulation at 18 GHz clock with 90 nm technology. This gating is found to be one of the best gated approaches for multi-stage architectures in terms of total power consumption.

• Journal of Communications and Networks
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• v.7 no.3
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• pp.307-312
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• 2005

In this work, we study the performance of a serial concatenated scheme comprising a convolutional code (CC) and an orthogonal space-time block code (STBC) separated by an inter-leaver. Specifically, we derive performance bounds for this concatenated scheme, clearly quantify the impact of using a CC in conjunction with a STBC, and compare that to using a STBC code only. Furthermore, we examine the impact of performing antenna selection at the receiver on the diversity order and coding gain of the system. In performing antenna selection, we adopt a selection criterion that is based on maximizing the instantaneous signal-to­noise ratio (SNR) at the receiver. That is, we select a subset of the available receive antennas that maximizes the received SNR. Two channel models are considered in this study: Fast fading and quasi-static fading. For both cases, our analyses show that substantial coding gains can be achieved, which is confirmed through Monte-Carlo simulations. We demonstrate that the spatial diversity is maintained for all cases, whereas the coding gain deteriorates by no more than $10\;log_{10}$ (M / L) dB, all relative to the full complexity multiple-input multiple-output (MIMO) system.

• Nuclear Engineering and Technology
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• v.54 no.7
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• pp.2635-2649
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• 2022

CEFR is a small core-size sodium-cooled fast reactor (SFR) using high enrichment fuel with stainless-steel reflectors, which brings a significant challenge to the deterministic methodologies due to the strong spectral effect. The neutronic simulation of the start-up experiments conducted at the CEFR have been performed with a deterministic code system RAST-F, which is based on the two-step approach that couples a multi-group cross-section generation Monte-Carlo (MC) code and a multi-group nodal diffusion solver. The RAST-F results were compared against the measurement data. Moreover, the characteristic of neutron spectrum in the fuel rings, and adjacent reflectors was evaluated using different models for generation of accurate nuclear libraries. The numerical solution of RAST-F system was verified against the full core MC solution MCS at all control rods fully inserted and withdrawn states. A good agreement between RAST-F and MCS solutions was observed with less than 120 pcm discrepancies and 1.2% root-mean-square error in terms of k_eff and power distribution, respectively. Meanwhile, the RAST-F result agreed well with the experimental values within two-sigma of experimental uncertainty. The good agreement of these results indicating that RAST-F can be used to neutronic steady-state simulations for small core-size SFR, which was challenged to deterministic code system.

• Nuclear Engineering and Technology
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• v.55 no.9
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• pp.3506-3513
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• 2023

In this paper, we demonstrate the neutron attenuation of dry cask shielding materials using the S670e helium-4 detector manufactured by Arktis Radiation Ltd. In particular, two materials expected to be applied to the TN-32 dry cask manufactured by ORANO Korea and KORAD-21 by the Korea Radioactive Waste Agency (KORAD) were utilized. The measured neutron attenuation was compared with our Monte Carlo N-Particle Transport simulation results, and the difference is given as the root mean square (RMS). For the fast neutron case, a rapid decline in neutron counts was observed as a function of increasing material thickness, exhibiting an exponential relationship. The discrepancy between the experimentally acquired data and simulation results for the fast neutron was maintained within a 2.3% RMS. In contrast, the observed thermal neutron count demonstrated an initial rise, attained a maximum value, and exhibited an exponential decline as a function of increasing thickness. In particular, the discrepancy between the measured and simulated peak locations for thermal neutrons displayed an RMS deviation of approximately 17.3-22.4%. Finally, the results suggest that a minimum thickness of 5 cm for Li-6 is necessary to achieve a sufficiently significant cross-section, effectively capturing incoming thermal neutrons within the dry cask.

• Nuclear Engineering and Technology
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• v.56 no.9
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• pp.3626-3643
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• 2024

One of the issues in the development of the sodium-cooled fast reactor (SFR) using transuranic (TRU) metallic fuel is the absence of criticality benchmark experiment that faithfully mocks up the nuclear characteristics of the target design for validation of the reactor core design code and its uncertainty quantification (UQ). This study aims to quantify the criticality uncertainty of a typical TRU burner with metallic fuel by using the standard upper safety limit (USL) estimation framework based on the similarity analysis of existing benchmark experiments but elaborated in two aspects:1) application of two-sided rather than one-sided tolerance interval and 2) inclusion of additional uncertainty to account for fission products and minor actinides not included in the benchmark experiments. To conduct the similarity analysis and evaluate the nuclear-data induced uncertainty, existing, well-verified computing codes were integrated, including the nuclear data sampling code SANDY, the nuclear data processing code NJOY, and the continuous-energy Monte Carlo code McCARD. Finally, using the SFR benchmark database comprising both publicly available and proprietary benchmark experiments, the criticality uncertainty of the TRU core model with metallic fuel was evaluated.

• Nuclear Engineering and Technology
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• v.51 no.8
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• pp.1871-1885
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• 2019

The deterministic MOC code STREAM of the Computational Reactor Physics and Experiment (CORE) laboratory of Ulsan National Institute of Science and Technology (UNIST), was initially designed for the calculation of pressurized water reactor two- and three-dimensional assemblies and cores. Since fast reactors play an important role in the generation-IV concept, it was decided that the code should be upgraded for the analysis of fast neutron spectrum reactors. This paper presents a coupled code - TULIP/STREAM, developed for the fast reactor assembly and core calculations. The TULIP code produces self-shielded multi-group cross-sections using a one-dimensional cylindrical model. The generated cross-section library is used in the STREAM code which solves eigenvalue problems for a two-dimensional assembly and a multi-assembly whole reactor core. Multiplication factors and steady-state power distributions were compared with the reference solutions obtained by the continuous energy Monte-Carlo code MCS. With the developed code, a sensitivity study of the number of energy groups, the order of anisotropic P_N scattering, and the multi-group cross-section generation model was performed on the k_eff and power distribution. The 2D core simulation calculations show that the TULIP/STREAM code gives a k_eff error smaller than 200 pcm and the root mean square errors of the pin-wise power distributions within 2%.

• Nuclear Engineering and Technology
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• v.56 no.4
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• pp.1204-1212
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• 2024

To accurately calculate the heating distribution of the fast reactor, a neutron-photon library in MATXS format named Knight-B7.1-1968n × 94γ was processed based on the ENDF/B-VII.1 library for ultrafine groups. The neutron cross-section processing code MGGC2.0 was used to generate few-group neutron cross sections in ISOTXS format. Additionally, the self-developed photon cross-section processing code NGAMMA was utilized to generate photon libraries for neutron-photon coupled heating calculations, including photo-atom cross sections for the ISOTXS format, prompt photon production cross sections, and kinetic energy release in materials (KERMA) factors for neutrons and photons, and the self-shielding effect from the capture and fission cross sections of neutron to photon have been taken into account when the photon source generated by neutron is calculated. The interface code GSORCAL was developed to generate the photon source distribution and interface with the DIF3D code to calculate the neutron-photon coupling heating distribution of the fast reactor core. The neutron-photon coupled heating calculation route was verified using the ZPPR-9 benchmark and the RBEC-M benchmark, and the results of the coupled heating calculations were analyzed in comparison with those obtained from the Monte Carlo code MCNP. The calculations show that the library was accurately processed, and the results of the fast reactor neutron-photon coupled heating calculations agree well with those obtained from MCNP.