• Industrial Engineering and Management Systems
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• 제9권4호
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• pp.323-338
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• 2010

In this paper, we introduce the implied volatility from Black-Scholes model and suggest a model for constructing implied volatility surfaces by using the two-dimensional cubic (bi-cubic) spline. In order to utilize a spline method, we acquire grid (knot) points. To this end, we first extract implied volatility curves weighted by trading contracts from market option data and calculate grid points from the extracted curves. At this time, we consider several conditions to avoid arbitrage opportunity. Then, we establish an implied volatility surface, making use of the two-dimensional cubic spline method with previously estimated grid points. The method is shown to satisfy several properties of the implied volatility surface (smile, skew, and flattening) as well as avoid the arbitrage opportunity caused by simple match with market data. To show the merits of our proposed method, we conduct simulations on market data of S&P500 index European options with reasonable and acceptable results.

• 유체기계공업학회:학술대회논문집
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• 유체기계공업학회 1999년도 유체기계 연구개발 발표회 논문집
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• pp.163-169
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• 1999

The numerical procedure has been developed for simulating incompressible viscous flow around a turbine stage with rotor-stator interaction. This study solves 2-D unsteady incompressible Navier-Stokes equations on a non-orthogonal curvilinear coordinate system. The Marker-and-Cell concept is applied to efficiently solve continuity equation. To impose an accurate boundary condition, O-H multiblocked grid system is generated. O-type grid and H-type grid is generated near and outer rotor-stator The cubic-spline interpolation is applied to handle a relative motion of a rotor to the stator. Turbulent flows have been modeled by the Baldwin- Lomax turbulent model. To validate present procedure, the time averaged pressure coefficients around the rotor and stator are compared with experiment and a good agreement obtained.

• Journal of Advanced Marine Engineering and Technology
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• 제30권3호
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• pp.369-375
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• 2006

Large eddy simulation has been applied to simulate turbulent flow around a cubic obstacle mounted on a channel surface for a Reynolds number of 40000(based on the incoming bulk velocity and the obstacle height) using a Smagorinsky model and a Lagrangian dynamic model. In order to develop the LES to the practical engineering application, the effect of upwind scheme, turbulent sub-grid scale model were investigated. The computed velocities. turbulence quantifies, separation and reattachment length were evaluated by compared with the previous experimental results.

• 한국전산유체공학회지
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• 제13권3호
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• pp.28-34
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• 2008

In engineering application of large eddy simulation, there are still questions as follows grid dependency on numerical results, the effect of upwind scheme against a calculation instability, appropriate boundary conditions dealing with turbulence fluctuation and the performance of SGS models. In this study, in order to develop the LES to the engineering application, large eddy simulation was carried out to investigate the effect of upwind scheme, turbulent subgrid model and the grid dependancy of the flow around a wall-mounted cube in a channel at Re=40,000 based on cubic height and bulk mean velocity. The computed velocities, turbulence quantities, separation and reattachment length were evaluated compared with the experimental results of R. Matinuzzi and C. Tropea.

• 한국항공우주학회지
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• 제45권3호
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• pp.226-232
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• 2017

본 연구에서는 RAE "A" 날개-축대칭 동체 형상을 이용하여 유동흐름 방향, Span 방향과 동체 둘레 방향(${\phi}$ 방향)에 따라 격자에 대한 수렴성 및 비행체의 압력 분포 변화를 수치적으로 연구하였다. 아음속 및 천음속 영역 조건에서 $k-{\omega}$ Wilcox-Durbin+ 난류 모델을 사용하여 2차 정확도의 수치적 해를 예측하는 유동해석을 수행하였다. 아음속 유동 조건에서는 해석결과가 실험결과와 매우 잘 일치하였으나, 충격파가 존재하는 천음속 유동에서는 약간의 차이가 발생하였다. Cubic spline을 사용하는 외삽 방법으로 격자 수렴성을 검토하였다. 외삽 방법을 통해 회전 방향의 격자 조밀도가 격자 수렴성에 가장 큰 영향을 미침을 알 수 있었다. 격자 수렴성에 대한 검토 결과를 바탕으로 더 조밀한 격자를 생성하였다. 이를 통해 특히 RAE-A 형상의 축대칭 동체 표면에서 더 정확한 해석 결과를 얻을 수 있음을 보였다.

• 환경영향평가
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• 제19권5호
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• pp.465-473
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• 2010

This study was carried out to investigate the effect of EFDC hydrodynamic result on the WASP7.3 water quality modeling result in accordance with the change of number of grid for the dam reservoir to be constructed. The simulated flow and BOD, T-N and T-P loads by the HSPF watershed model was used for boundary conditions and the hydrodynamic modeling results was linked with WASP model to predict future water quality after dam construction. The scenarios for EFDC modeling were composed of Scenario 1(141 grid cells) and Scenario 2(568 grid cells). The results of Scenario 2 showed that BOD, T-N, T-P and Chl-a concentrations were decreased 0.073mg/L(8.5%), 0.032mg/L(2.6%), 0.003mg/L(6.8%), 0.644mg/L(4.2%) compared with those of Scenario 1, respectively. As number of grid cell increased, water quality concentrations were decreased and also it caused the longer running time. Therefore, this study suggests that the consideration of the geometry of water body is more important than the number of grid cells for the prediction of water quality of a dam reservoir in EIA.

• 전자공학회논문지SC
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• 제45권6호
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• pp.26-34
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• 2008

차량의 접근 가능한 구역에 대한 판단과 경로 계획은 무인 차량의 자율 주행에 있어서 필수적이다 차량의 접근 가능한 구역과 경로계획을 위한 정보는 3차원 지형형상을 분석하여 얻을 수 있다. 이 논문에서는 카메라의 색 정보와 2차원 레이저 거리센서(2D LRF)를 융합하여 모바일 로봇의 휠 인코더를 통해 복원한 3차원 지형형상과, GPS/IMU 정보와 2차원 레이저 거리 센서로 복원한 3차원 지형형상을 적은 데이터로 표현하는 방법을 제시하였다. 카메라의 색 정보와 2차원 레이저 거리센서의 융합을 위해 카메라의 좌표계와 LRF의 좌표계 사이의 기하학적인 관계를 격자무의 평면을 이용하여 구하였다. 카메라와 2차원 레이저 거리센서의 융합을 통한 3차원 지형형상 복원은 모바일 로봇을 이용하여 실내에서 실험하였고, GPS/IMU 정보와 2차원 레이저 거리센서를 통한 3차원 지형형상 복원은 차량을 이용하여 실외에서 실험하였다. 이런 시스템에서 복원한 3차원 지형형상은 점군 기반으로 되어있고, 이는 매우 많은 양의 정보를 필요로 한다. 정보의 양을 줄이기 위해 점군 기반을 대신하여 입방형 격자 기반의 지형형상으로 복원하였다.

• 한국화재소방학회논문지
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• 제11권4호
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• pp.3-14
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• 1997

The smoke filling process for the atrium space containing a fire source is simulated using two types of deterministic fire model : Zone model and Field model. The zone model used is the CFAST(version 1.6) model developed at the Building and Fire Research Laboratories, NIST in the USA. The field model is a self-developed frie field model based on Computational Fluid Dynamic (CFD) theories. This article is focused on finding out the smoke movement and temperature distribution in atrium space which is cubic in shape. For solving the liked set of velocity and pressure equation, the PISO algorithm, which strengthened the velocity-pressure coupling, was used. Since PISO algorithm is a time-marching procedure, computing time si very fast. A computational procedure for predicting velocity and temperature distribution in fire-induced flow is based on the solution, in finite volume method and non-staggered grid system, of 3-dimensional equations for the conservation of mass, momentum, energy, species and so forth. The fire model i.e Zone model and Field model predicted similar results for clear heights and the smoke layer temperature.

• 대한기계학회논문집B
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• 제23권8호
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• pp.1063-1071
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• 1999

Fine grid calculations are reported for the developing turbulent flow in a curved duct of square cross-section with a radius of curvature to hydraulic diameter ratio ${\delta}=Rc/D_H=3.357 $ and a bend angle of 720 deg. A sequence of modeling refinements is introduced; the replacement of wall function by a fine mesh across the sublayer and a low Reynolds number algebraic second moment closure up to the near wall sublayer in which the non-linear return to isotropy model and the cubic-quasi-isotropy model for the pressure strain are adopted; and the introduction of a multiple source model for the exact dissipation rate equation. Each refinement is shown to lead to an appreciable improvement in the agreement between measurement and computation.

• 한국환경과학회지
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• 제11권9호
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• pp.907-914
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• 2002

Various Eulerian-Lagrangian models for the one-dimensional longitudinal dispersion equation in nonuniform flow were studied comparatively. In the models studied, the transport equation was decoupled into two component parts by the operator-splitting approach; one part is governing advection and the other is governing dispersion. The advection equation has been solved by using the method of characteristics following fluid particles along the characteristic line and the results were interpolated onto an Eulerian grid on which the dispersion equation was solved by Crank-Nicholson type finite difference method. In the solution of the advection equation, Lagrange fifth, cubic spline, Hermite third and fifth interpolating polynomials were tested by numerical experiment and theoretical error analysis. Among these, Hermite interpolating polynomials are generally superior to Lagrange and cubic spline interpolating polynomials in reducing both dissipation and dispersion errors.