• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.1-43
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• 2007

The traditional Black-Scholes model for option pricing is based on the assumption that the log-return of the underlying asset follows a Brownian motion. But this assumption has been criticized for being unrealistic. Thus, for the last 20 years, many attempts have been made to adopt different stochastic processes to derive new option pricing models. The option pricing models based on L$\acute{e}$vy processes are being actively studied originating from the Gerber-Shiu model driven by H. U. Gerber and E. S. W. Shiu in 1994. In 2004, G. H. L. Cheang derived an option pricing model under multiple L$\acute{e}$vy processes, enabling us to adopt drift and jumps to the Gerber-Shiu model, while Gerber and Shiu derived their model under one L$\acute{e}$vy process. We derive the Gerber-Shiu model which includes drift and jumps under L$\acute{e}$vy processes. By adopting a Gamma distribution, we expand the Heston model which was driven in 1993 to include jumps. Then, using KOSPI200 index option data, we analyze the price-fitting performance of our model compared to that of the Black-Scholes model. It shows that our model shows a better price-fitting performance.

• Proceedings of the Computational Structural Engineering Institute Conference
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• 2003.10a
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• pp.153-160
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• 2003

The objective of optimal placement of dampers for a structure is to maximize the effective-ness of the vibration control with the same number of dampers. While many optimal placement methods of linear viscous dampers have been proposed and used, there are only a few methods for MR dampers. Here some optimal location indices for M dampers are proposed, which are similar to those for linear viscous dampers and show how large the structural responses on each floor are. Every time an additional MR damper is implemented, the optimal location index on each floor is measured, and then the next damper is installed on the floor with the maximum location index. In these sequential procedures, the peak interstory drift, the peak interstory velocity and the absolute acceleration of each floor are selected as the optimal location indeices. Four different earthquakes with various scales are loaded to the 20-story nonlinear benchmark building model (Otori et al. 2000, 2002). Passive On/on algorithms are used in order to represent the control algorithm of M dampers.

• Structural Engineering and Mechanics
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• v.45 no.2
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• pp.211-232
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• 2013

In this study a multi-objective optimization problem is solved. The objectives used here include simultaneous minimum construction cost in term of sections weight, minimum structural damage using a damage index, and minimum non-structural damage in term of inter-story drift under the applied ground motions. A high-speed and low-error neural network is trained and employed in the process of optimization to estimate the results of non-linear time history analysis. This approach can be utilized for all steel or concrete frame structures. In this study, the optimal design of a planar eccentric braced steel frame is performed with great detail, using the presented multi-objective algorithm with a discrete population and then a moment resisting frame is solved as a supplementary example.

• Proceedings of the Earthquake Engineering Society of Korea Conference
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• 2003.09a
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• pp.467-472
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• 2003

The objective of optimal placement of dampers for a structure is to maximize the effectiveness of the vibration control with the same number of dampers. While many optimal placement methods of linear viscous dampers have been proposed and used, there are only a few methods for MR dampers. Here some optimal location indices for MR dampers are proposed, which are similar to those for linear viscous dampers and show how large the structural responses on each floor we. Every time an additional MR damper is implemented, the optimal location index on each floor is measured, and then the next damper is installed on the floor with the maximum location index. In these sequential procedures, the peak interstory drift, the peak interstory velocity and the absolute acceleration of each floor are selected as the optimal location indeices. Four different earthquakes with various scales are loaded to the 20-story nonlinear benchmark building model (Otori et at. 2000, 2002). Passive On/Off algorithms are used in order to represent the control algorithm of MR dampers.

• Proceedings of the Earthquake Engineering Society of Korea Conference
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• 2006.03a
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• pp.209-216
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• 2006

For evaluation of building performance, a nonlinear dynamic capacity of the building is a key parameter. In this study, an reinforced concrete special moment resisting frame building was chosen to study the process of determining the nonlinear dynamic capacity. The building, which was designed by IBC 2003 representing new codes, was composed of special moment resisting frames in the perimeter and internal frames inside the building. The capacity, which is inter-story drift capacity, consists of two categories, local and global collapses. Global collapse capacity was determined by incremental dynamic analysis. Local collapse capacity was determined by the same method except for utilizing damage index. In audition to this, it was also investigated that the effect of including internal frames designed by gravity load in the analysis. Results showed that the damage index is a useful tool for determining local collapse. Furthermore, including the internal frames with special frames in the analysis is very important in determining the capacity of a building so both must be considered at the same time.

• Advances in concrete construction
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• v.9 no.3
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• pp.313-326
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• 2020

Glass fiber-reinforced polymer (GFRP) bars have been introduced as an effective alternative for the conventional steel reinforcement in concrete structures to mitigate the costly consequences of steel corrosion. However, despite the superior performance of these composite materials in terms of corrosion, the effect of replacing steel reinforcement with GFRP on the seismic performance of concrete structures is not fully covered yet. To address some of the key parameters in the seismic behavior of GFRP-reinforced concrete (RC) structures, two full-scale beam-column joints reinforced with GFRP bars and stirrups were constructed and tested under two phases of loading, each simulating a severe ground motion. The objective was to investigate the effect of damage due to earthquakes on the service and ultimate behavior of GFRP-RC moment-resisting frames. The main parameters under investigation were geometrical configuration (interior or exterior beam-column joint) and joint shear stress. The performance of the specimens was measured in terms of lateral load-drift response, energy dissipation, mode of failure and stress distribution. Moreover, the effect of concrete damage due to earthquake loading on the performance of beam-column joints under service loading was investigated and a modified damage index was proposed to quantify the magnitude of damage in GFRP-RC beam-column joints under dynamic loading. Test results indicated that the geometrical configuration significantly affects the level of concrete damage and energy dissipation. Moreover, the level of residual damage in GFRP-RC beam-column joints after undergoing lateral displacements was related to reinforcement ratio of the main beams.

• Journal of the Semiconductor & Display Technology
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• v.17 no.3
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• pp.70-74
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• 2018

In typical spectroscopic ellipsometry, the optical and geometrical properties of thin film and nano pattern can be obtained by measuring the polarization state of light reflected/transmitted from the object by rotating a analyzer or a compensator. We proposed a snapshot spectroscopic ellipsometric system based on a modified Michelson interferometer to overcome the time-consuring measurement principle due to rotating part. The proposed system provides spectral ellipsometric parameters (psi, delta) in real time by using a single spectral interference signal generated in the interferometric polarization module. However, it has a long-term stability problem resulting in delta(k) drift. In this paper, it is experimentally proved that the drift problem is caused by anisotropic refractive index change of the beam intersection layer in beam splitter of interferometer.

• Earthquakes and Structures
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• v.24 no.6
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• pp.429-437
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• 2023

This paper studied the prediction of structural damage indices to buildings after earthquake occurrence using Multiple Linear Regression (MLR) and Fuzzy Linear Regression (FLR) methods. Particularly, the structural damage degree, represented by the Maximum Inter Story Drift Ratio (MISDR), is an essential factor that ensures the safety of the building. Thus, the seismic response of a steel building was evaluated, utilizing 65 seismic accelerograms as input signals. Among the several response quantities, the focus is on the MISDR, which expresses the postseismic damage status. Using MLR and FLR methods and comparing the outputs with the corresponding evaluated by nonlinear dynamic analyses, it was concluded that the FLR method had the most accurate prediction results in contrast to the MLR method. A blind prediction applying a set of another 10 artificial accelerograms also examined the model's effectiveness. The results revealed that the use of the FLR method had the smallest average percentage error level for every set of applied accelerograms, and thus it is a suitable modeling tool in earthquake engineering.

• Journal of Navigation and Port Research
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• v.32 no.8
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• pp.577-582
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• 2008

In order to ascertain the effect of ship's speeds, in maneuver under the condition of strong cross current in the breakwater channel of Busan port, this paper is to deal with the analyses of vessel proximity measures, vessel controllability measures, and ship handlers' subjective evaluation measures of simulated maneuvers, which were carried out by 76 ship handlers who conned Panamax bulk carrier of 60,000 DWT, The set and drift of current are southwesterly and 2 knots. The speeds of the model ship are 5 knots & 10 knots respectively. The followings are concluded. ${(1)}$ In the approaches of the breakwater of Busan port, ship handlers psychologically tend not to give the drift angle of more than $10^{\circ}$ bemuse ship's head points out of the entrance. ${(2)}$ Ship handlers' subjective evaluation, vessel proximity and controllability measures are relatively larger under the speed of 5 knots than under that of 10 knots. due to direct pressure of strong current. ${(3)}$ A single index of controllability measures was suggested, by removing their units.

• Structural Engineering and Mechanics
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• v.86 no.4
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• pp.503-518
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• 2023

In tall constructions, the outriggers are regarded as a structural part capable of effectively resisting lateral loads. This study analyses the efficacy of hybrid outrigger system in high rise RCC building for various structural parameters identified. For variations in α, which is defined as the ratio of the relative flexural stiffness of the core to the axial rigidity of the column, static and dynamic analyses of hybrid outrigger system having a virtual and a conventional outrigger at two distinct levels were conducted in the present study. An investigation on the optimal outrigger position was performed by taking the results from absolute maximum inter storey drift ratio (ISD_max), roof acceleration (acc_roof), roof displacement (disp_roof), and base bending moment under both wind and seismic loads on analytical models having 40, 60 and 80 storeys. An ideal performance index parameter was introduced and was utilized to obtain the optimal position of the hybrid outrigger system considering the combined response of ISD_max, acc_roof, disp_roof and, criteria required for the structure under wind and seismic loads. According to the behavioural study, increasing the column area and outrigger arm length will maximise the performance of the hybrid outrigger system. The analysis results are summarized in a flowchart which provides the optimal positions obtained for each dependent parameter and based on ideal performance index which can be used to make initial suggestions for installing a hybrid outrigger system.