• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제20권4호
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• pp.277-293
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• 2016

We develop an efficient numerical method for pricing the Derivative Linked Securities (DLS). The payoff structure of the hybrid DLS consists with a standard 2-Star step-down type ELS and the range accrual product which depends on the number of days in the coupon period that the index stay within the pre-determined range. We assume that the 2-dimensional Geometric Brownian Motion (GBM) as the model of two equities and a no-arbitrage interest model (One-factor Hull and White interest rate model) as a model for the interest rate. In this study, we employ the Monte Carlo simulation method with the Compute Unified Device Architecture (CUDA) parallel computing as the General Purpose computing on Graphic Processing Unit (GPGPU) technology for fast and efficient numerical valuation of DLS. Comparing the Monte Carlo method with single CPU computation or MPI implementation, the result of Monte Carlo simulation with CUDA parallel computing produces higher performance.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제25권3호
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• pp.82-92
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• 2021

In this study, we present a fast option pricing method for four asset equity-linked securities (ELS) using Brownian bridge. The proposed method is based on Monte Carlo simulation (MCS) and a Brownian bridge approach. Currently, three asset ELS is the most popular ELS among multi-asset ELSs. However, four asset ELS emerged as an alternative to three asset ELS under low interest rate environment to give higher coupon rate to investors. We describe in detail the computational solution algorithm for the four underlying asset step-down ELS. The numerical tests confirm the accuracy and speed of the method.

• 대한환경공학회지
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• 제33권4호
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• pp.258-266
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• 2011

수중 경도물질에 의해 유발된 스케일은 수질 저해는 물론 배관의 기능에 막대한 손실을 초래할 수 있어 관리가 필요하다. 특히 온수시스템의 경우, 온도에 의해 스케일화작용이 가속화되므로 관리가 필요한 시설 중 하나이다. 현재까지는 화학약품이나 에너지가 소모되는 화학적, 물리적, 전자기적 방법과는 다른 무전원방식의 Frequency Driver (FD)를 이용하여 스케일 생성 방지 효과를 확인하고자 하였다. 500 mg/L의 경수에 33일간 3종류의 관 시편을 침지시켜 관 재질별 스케일 형성도를 비교하기 위해 XRD와 SEM을 이용하여 표면을 분석하였다. 주철관에서는 경도에서 유발된 스케일인 calcite ($CaCO_3$)가 형성되었고, 구리나 스테인리스관에 비해 부식율이 높았다. 온수순환장치를 제작하여 경도 300 mg/L로 $50^{\circ}C$의 조건에서 FD 설치 유무에 따른 주철관의 스케일 형성도와 수질 변화를 비교하였다. XRD 결과에서 FD를 설치하였을 경우 calcite의 생성은 비교적 적은 반면, 좋은 부식생성물인 magnetite ($Fe_3O_4$)의 생성을 확인할 수 있었으며, SEM 사진에서도 FD의 스케일 저감 효과를 확인할 수 있었다. 관 내부의 스케일 양의 경우, FD를 설치하지 않은 경우에 비해 FD를 설치하였을 경우 관 연결부분에서는 16%, 관 전체길이에서는 14%, 열교환기에서는 42%의 적은 스케일이 형성되어 FD의 스케일 저감효과를 확인할 수 있었다. 또한 FD 설치 유무에 따른 수질분석 결과를 토대로 FD가 수질의 화학적 변화 없이 경도물질의 결정화를 방지하는 것으로 나타나 환경적으로도 안전함을 확인하였다.

• 상하수도학회지
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• 제22권3호
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• pp.379-387
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• 2008

The pH & alkalinity adjustment method by lime and carbon dioxide($CO_2$) for corrosion control in water distribution system was investigated to evaluate the corrosion characteristics of metal pipes, such as galvanized iron, copper, stainless steel, and carbon steel. When the pH in sand filtered and ozone+GAC treated water was increased with lime and $CO_2$ from 7.5 to 8.0, the concentration of residual chlorine decreased at higher pH and longer reaction time; the concentration of trihalomethane increased. The corrosion rate of coupons with corrosion control using lime and carbon dioxide was showed much smaller than those without corrosion control using pilot-scale simulated distribution system. The galvanized iron was corroded much faster than carbon steel, copper, and stainless steel. Especially, copper and stainless steel coupons were hardly corroded. The galvanized iron and carbon steel coupons with corrosion control were produced the corrosion products less than those without corrosion control by the results of environmental scanning electron microscope(ESEM) and energy dispersive x-ray spectroscopy(EDS) analyses. The galvanized iron coupon with pH and alkalinity adjustment by lime and carbon dioxide was detected about 30 percent of zinc, when the carbon steel was detected about 30 percent of calcium by calcium carbonate products formation. For the results of X-ray diffraction(XRD) analyses, the goethite(${\alpha}$-FeOOH) was identified as primary corrosion product of galvanized iron without corrosion control, while the Zinc oxide(ZnO) was found on corrosion products of galvanized iron coupon with corrosion control as the results of EDS analyses. However, the carbon steel corrosion products regardless of corrosion control were composed predominantly of maghemite(${\gamma}-Fe_2O_3$) and hematite(${\alpha}-Fe_2O_3$).

• 도시과학
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• 제7권1호
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• pp.23-27
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• 2018

This research was carried out to investigate the corrosion prevention effect in the water distribution system by galvanized zinc-brass pipe which is using potential between brass and zinc. As a result of this study, pH and conductivity of influent were constant in spite of its installation, and it was difficult to estimate the effect of the installation with temporary increased and reduced concentration of Zn and Fe ions, respectively. However, since the corrosion rate of the steel coupon with galvanized zinc-brass pipe was relatively low, it has an effect of inhibiting corrosion.

• 대한전자공학회:학술대회논문집
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• 대한전자공학회 2002년도 하계종합학술대회 논문집(5)
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• pp.51-54
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• 2002

As digital systems continue to use components with faster edge rate and clock speeds, transmission of the digital information can take place many troubles. The increasing requirement for controlled impedance PCBs becomes both a critical success factor and a design challenge. Especially, the noise sources in digital system include the noise in power supply, ground and packaging due to simultaneous switching of signal, signal reflections and distortions on single and multiple transmission lines. This paper simulates the tracks controlled impedance with the test coupon. So, it can saves the design time and supports the economical PCB design.

• Korean Journal of Mathematics
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• 제29권2호
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• pp.409-424
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• 2021

In this paper, we investigate a pricing model for mortgage-backed securities (MBSs) of a pay-through type of collateral mortgage obligation (CMO), embedded call options, which can be exercised by the intermediary, and pass-through MBSs. We suggest a prepayment-risk-neutral pricing model, applying a reduced-form prepayment rate model, and then compute and investigate the appropriate prices and spreads in the coupon rates between CMOs and PT MBSs. We believe that this study contributes in that it provides a sophisticated pricing model for MBSs, especially to the financial markets which are not advanced enough to finance with a simple type of MBSs.

• Journal of Advanced Research in Ocean Engineering
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• 제2권1호
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• pp.28-39
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• 2016

This paper provides theoretical and experimental results to verify the crashworthiness of FH32 high-strength steel for arctic marine structures against ice impact. Assuming that side-shell structures of the Korean arctic research vessel, ARAON, with ice-notation PL10, collide with sheet ice, one-third-scale test specimens with a single transverse frame are manufactured. Impact-bending tests were conducted using a rigid steel striker that mimics sheet ice. Drop height was calculated by considering the speed at which sheet ice is rammed. Prior to impact-bending tests, tensile coupon tests were conducted at various temperatures. The impact-bending tests were carried out using test specimens fully fixed to the inside bottom frame of a cold chamber. The drop-weight velocity and test specimen deformation speed were measured using a high-speed camera and digital image correlation analysis (DICA). Numerical simulations were carried out under the same conditions as the impact-bending tests. The simulation results were in agreement with the test results, and strain rate was a key factor for the accuracy of numerical simulations.

• 상하수도학회지
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• 제25권2호
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• pp.193-199
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• 2011

A method to improve internal corrosion control efficiency by adding lime and carbon dioxide, which, in turn increases the Langelier Index (LI) for filtered water at a conventional drinking water treatment plant (WTP) was investigated. The SJ WTP (Q=100,000 $m^{3}$/d) has been operating an internal corrosion control system since 2006. The system has achieved stable operation through technical development and trial and error over a period of several years. As a result of the operation, the LI of treated water has increased up to 29% by adjusting pH of filtered water to 7.8 with the addition of lime and carbon dioxide. Coupon tests in the distribution system indicated that the corrosion rate has been delayed by 24% when the internal corrosion method was implemented. The increase of LI by lime and carbon dioxide has been proven to be a practical method for controlling corrosion.

• Advanced Composite Materials
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• 제17권1호
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• pp.57-73
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• 2008

The present paper focuses on experimental verification of the ply-by-ply basis inelastic analysis of multidirectional laminates. First of all, rate dependence of the tensile behavior of balanced symmetric cross-ply T800H/epoxy laminates with a $[0/90]_{3S}$ lay-up under off-axis loading conditions at $100^{\circ}C$ is examined. Uniaxial tension tests are performed on plain coupon specimens with various fiber orientations $[{\theta}/(90-{\theta})]_{3S}$ ($\theta$ = 0, 5, 15, 45 and $90^{\circ}C$) at two different strain rates (1.0 and 0.01%/min). The off-axis stress.strain curves exhibit marked nonlinearity for all the off-axis fiber orientations except for the on-axis fiber orientations $\theta$ = 0 and $90^{\circ}$, regardless of the strain rates. Strain rate has significant influences not only on the off-axis flow stress in the regime of nonlinear response but also on the apparent off-axis elastic modulus in the regime of initial linear response. A macromechanical constitutive model based on a ply viscoplasticity model and the classical laminated plate theory is applied to predictions of the rate-dependent off-axis nonlinear behavior of the cross-ply CFRP laminate. The material constants involved by the ply viscoplasticity model are identified on the basis of the experimental results on the unidirectional laminate of the same carbon/epoxy system. It is demonstrated that good agreements between the predicted and observed results are obtained by taking account of the fiber rotation induced by deformation as well as the rate dependence of the initial Young's moduli.