• Journal of applied mathematics & informatics
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• 제42권3호
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• pp.695-708
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• 2024

In this paper we present a non-standard finite difference method for solving a fractional decay model. The proposed NSFDM is constructed by incorporating a non-standard denominator function, resulting in an explicit numerical scheme as easy as the conventional Euler method, but it provides very accurate solutions and has unconditional stability. Two examples from the literature are presented to demonstrate the performance of the proposed numerical scheme, which is compared to three methods from the literature. It is found that the method's estimated errors are extremely minimal, such as within the machine precision.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.685-695
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• 2021

This study explores the impact of stochastic volatility in option pricing. To be more specific, we compare the option pricing performance between stochastic volatility option pricing model, namely, Heston option pricing model and standard Black-Scholes option pricing. Our finding, based on the market price of SET50 index option between May 2011 and September 2020, demonstrates stochastic volatility of underlying asset return for all level of moneyness. We find that both deep in the money and deep out of the money option exhibit higher volatility comparing with out of the money, at the money, and in the money option. Hence, our finding confirms the existence of volatility smile in Thai option markets. Further, based on calibration technique, the Heston option pricing model generates smaller pricing error for all level of moneyness and time to expiration than standard Black-Scholes option pricing model, though both Heston and Black-Scholes generate large pricing error for deep-in-the-money option and option that is far from expiration. Moreover, Heston option pricing model demonstrates a better pricing accuracy for call option than put option for all level and time to expiration. In sum, our finding supports the outperformance of the Heston option pricing model over standard Black-Scholes option pricing model.

• 산업기술연구
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• 제24권A호
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• pp.227-238
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• 2004

This paper is results of experimental and nunerical works on the behavior of the cut-and-cover tunnel. Centrifuge model tests were performed to simulate the behavior of the cut-and-cover tunnels having cross sections of national road and subway tunnels. Model experiments were carried out with changing the cut slope and the slope of filling ground surface. Displacements of tunnel lining resulted from artificially accelerated gravitational force up to 40g of covered material used in model tests, were measured during centrifuge model tests. In model tests, Jumunjin Standard Sand with the relative density of 80 % and the zinc plates were used for the covered material and the flexible tunnel lining, respectively. Basic soil property tests were performed to obtain it's the property of Jumumjin Standard Sand. Shear strength parameters of Jumunjin Standard Sand were obtained by performing the triaxial compression tests. Direct shear tests were also carried out to find the mechanical properties of the interface between the lining and the covered material. Numerical analysis with the commercially available program of FLAC were performed to compare with results of centrifuge model experiment In numerical modelling. Mohr-Coulomb elasto-plastic constitutive model was used to simulaye the behavoor of Jumunjin Standard Sand and the interface element between the lining and the covered material was implemented to simulate the interaction between them. Compared results between model tests and numerical estimation with respect to displacement of the lining showed in good agreements.

• 한국환경보건학회지
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• 제46권5호
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• pp.588-598
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• 2020

Objectives: Human indices were developed to determine returning point of residents and damage restoration after the chemical accident Methods: To determine the returning point of residents after the chemical accident, a new concept, the standard man model was introduced as a human index, in which both H-code and its acute effects were main idea. To evaluate the applicability, a hydrogen fluoride leakage accident in Gumi was applied. The returning point were suggested as the conservative remission period of acute effects among relevant hazard effects and compared with actual returning point. The coverage of each age group were considered with reflecting average daily dose expected for actual residents. In addition, a relief-index as a social-scientific approach was reflected as well to apply the damage restoration Results: Actual returning point of residents in Gumi was 88 days; and that of standard man model suggested was 84 days. The expected amount of exposure at aged 12 or under was at least 2.35 times greater than that of this model, 40s, theoretically. However, their population ratio was less than 1%, so 99% of residents could be applied when the standard man model was applied. The relief-index was as an objective and quantitative methodology to apply the qualitative aspect. Conclusions: Although evaluated as a relatively positive result, there was a limitation such as the number of accident applied to the verification of standard man model. The relief index was also considered, but further research should be carried out to find threshold level for the relief.

• 한국경영과학회지
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• 제38권4호
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• pp.35-52
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• 2013

Markowitz's portfolio selection model is used to construct an optimal portfolio which has minimum variance, while satisfying a minimum required expected return. The model uses estimators based on analysis of historical data to estimate the returns, standard deviations, and correlation coefficients of individual stocks being considered for investment. However, due to the inaccuracies involved in estimations, the true optimality of a portfolio constructed using the model is questionable. To investigate the effect of estimation inaccuracy on actual portfolio performance, we study the changes in a portfolio's realized return and standard deviation as the accuracy of the estimations for each stock's return, standard deviation, and correlation coefficient is increased. Furthermore, we empirically analyze the portfolio's performance by comparing it with the performance of active mutual funds that are being traded in the Korean stock market and the KOSPI benchmark index, in terms of portfolio returns, standard deviations of returns, and Sharpe ratios. Our results suggest that, among the three input parameters, the accuracy of the estimated returns of individual stocks has the largest effect on performance, while the accuracy of the estimates of the standard deviation of each stock's returns and the correlation coefficient between different stocks have smaller effects. In addition, it is shown that even a small increase in the accuracy of the estimated return of individual stocks improves the portfolio's performance substantially, suggesting that Markowitz's model can be more effectively applied in real-life investments with just an incremental effort to increase estimation accuracy.

• 대한공간정보학회지
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• 제17권4호
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• pp.113-119
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• 2009

유비쿼터스(Ubiquitous) 정보화 사회에서는 공간정보에 대한 실제적인 모습과 정확한 위치정보가 요구되고 있다. 공간정보의 대국민 서비스가 이뤄지기 위해서는 공간정보의 표준화가 필요하다. 국제표준(International Standard)은 세계 각국에서의 각종 규격 기술 용어 등의 호환성을 확보하고 상호교역을 촉진시키기 위해 일정한 기준과 표준 형태를 국제 간 합의를 통해 규정해 놓은 것을 말한다. 국제표준안은 국제표준화기구(ISO : International Organization for Standardization)에서 제정하고, 지리정보분야의 국제 표준안은 ISO TC(Technical Committee) 211 에서 담당한다. ISO TC 211에서 추진 중인 토지행정도메인 모델(LADM : Land Administration Domain Model)은 토지와 관련된 행정 법, 공간 측량 등의 국제표준화를 제정하여 각 국가의 토지 관련 시스템과 데이터를 효율적으로 관리하고자한다. 본 논문에서는 토지행정도메인 모델 부분 중에서 측량과 관련된 표준화 진행 상황과 내용을 소개하고 국내지적정보모델을 비교 연구하였다.

• Journal of the Korean Statistical Society
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• 제25권1호
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• pp.1-24
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• 1996

In selecting a final tree, Breiman, Friedman, Olshen, and Stone(1984) compare the prediction risks of a pair of tree, where one contains the other, using the standard error of the prediction risk of the larger one. This paper proposes an approach to selection of a final tree by using the standard error of the difference of the prediction risks between a pair of trees rather than the standard error of the larger one. This approach is compared with CART's for simulated data from a simple regression model. Asymptotic results of the approaches are also derived and compared to each other. Both the asymptotic and the simulation results indicate that final trees by CART tend to be smaller than desired.

• 한국환경과학회지
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• 제6권6호
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• pp.645-658
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• 1997

A study on ventilation design using the spreadsheet model is carried out to propose means of available design. A sample of complex ventilation system In the non-standard condition Is used to illustrate thins spreadsheet model. In developing the spreadsheet model, this study has attempted to it general by using computional equations and design parameters that can be readily applied to any spreadsheet software. Also, most design data is contained in the spreadsheet template. This template provides the same design information as the ACGIH worksheet, and operates Quickly and emclenuy, and is fiexible enough to use under different conditions. This spreadsheet model allows the ventilation engineer to design quickly and accurately the ventilation system, without spending too much effort In the design process. By storing on computer and diskette, the design data computed finally can be used as a permanent record of specific ventilation system, and because of finally to be able to design over and over again while making only slight changes to the Input data, the spreadsheet model is used availably to accomplish the design optimazation by redesign and troubleshooting by review from field measurements. Also, the spreadsheet model is available for designing ventilation system under different condition or evaluating existing system or design drawing, because changes In the layout or formulae can be readily made to fit the needs of the designer.

• 산업기술연구
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• 제24권B호
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• pp.107-116
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• 2004

This thesis is results of experimental works on the behavior of the cut-and-cover tunnel. Centrifuge model tests were performed to simulate the behavior of the cut-and-cover tunnels having cross sections of national road and subway tunnels. Model experiments were carried out with changing the cut slope and the slope of filling ground surface. Displacements of tunnel lining resulted from artificially accelerated gravitational force up to 40g of covered material used in model tests, were measured during centrifuge model tests. In model tests, Jumunjin Standard Sand with the relative density of 80 % and the zinc plates were used for the covered material and the flexible tunnel lining, respectively. Basic soil property tests were performed to obtain it's the property of Jumumjin Standard Sand. Shear strength parameters of Jumunjin Standard Sand were obtained by performing the triaxial compression tests. Direct shear tests were also carried out to find the mechanical properties of the interface between the lining and the covered material. Compared results model tests estimation with respect to displacements of the lining.

• 한국IT서비스학회지
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• 제16권3호
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• pp.47-65
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• 2017

The reference guide for the cost of establishing the digital documents has been used as a basis for establishing the budget for the construction of the knowledge information resource. However, due to the abolition of the nominal unit price notification in terms of IT projects, it is necessary to conduct research to convert the standard of the current labor force grade standard to the national incompetency standard (NCS). In this study, we investigate and revise the system and contents of the current knowledge information cost estimation model. In specific, i) we conducted gap analysis of cost estimation model and existing NCS model. As the contents conforming for the construction of the knowledge information resource were not adoptable, we define the description of the construction of the knowledge information resource and to identify the core elements of NCS prior to the improvement of the cost model. ⅱ) then we proposed improve the cost model considering integration with newly proposed NCS model for knowledge information construction job. In order to ensure the validity of the application of NCS development and cost estimation model, the experts reviewed relevant contents and made plans for improvement by using experts from supply and demand groups of various fields of national knowledge informatization projects.