• Communications for Statistical Applications and Methods
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• 제23권1호
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• pp.21-32
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• 2016

We study asymptotic expansion formulae for numerical computation of Greeks (i.e. sensitivity) in finance. Our approach is based on the integration-by-parts formula of the Malliavin calculus. We propose asymptotic expansion of Greeks for a stochastic volatility model using the Greeks formula of the Black-Scholes model. A singular perturbation method is applied to derive asymptotic Greeks formulae. We also provide numerical simulation of our method and compare it to the Monte Carlo finite difference approach.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제11권3호
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• pp.189-196
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• 2004

In this article, using the L'Hospital rule, mathematical induction, the trigonometric power formulae and integration by parts, some integral formulae for the improper integrals ${\int}_0^{\infty}$[sin$^{2m}({\alpha}x)]/(x^{2n})dx$ AND ${\int}_0^{\infty}$[sin$^{2m+1}({\alpha}x)]/(x^{2n+1})dx$ are established, where m $\geq$ n are all positive integers and $\alpha$$\neq$ 0.

• 호남수학학술지
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• 제29권4호
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• pp.701-721
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• 2007

Recently, a new singular function(NSF) method was posed to get accurate numerical solution on quasi-uniform grids for two-dimensional Poisson and interface problems with domain singularities by the first author and his coworkers. Using the singular function representation of the solution, dual singular functions, and an extraction formula for stress intensity factors, the method poses a weak problem whose solution is in $H^2({\Omega})$ or $H^2({\Omega}_i)$. In this paper, we show that the singular functions, which are not in $H^2({\Omega})$, also satisfy the integration by parts and note that this fact suggests the possibility of different choice of the weak formulations. We show that the original choice of weak formulation of NSF method is critical.

• Structural Engineering and Mechanics
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• 제25권2호
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• pp.181-200
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• 2007

A decoupling technique for simulating near-field wave motions in two-phase media is introduced in this paper. First, an equivalent but direct weighted residual method is presented in this paper to solve boundary value problems more explicitly. We applied the Green's theorem for integration by parts on the equivalent integral statement of the field governing equations and then introduced the Neumann conditions directly. Using this method and considering the precision requirement in wave motion simulation, a lumped-mass FEM for two-phase media with clear physical concepts and convenient implementation is derived. Then, considering the innate attenuation character of the wave in two-phase media, an attenuation parameter is introduced into Liao's Multi-Transmitting Formula (MTF) to simulate the attenuating outgoing wave in two-phase media. At last, two numerical experiments are presented and the numerical results are compared with the analytical ones demonstrating that the lumped-mass FEM and the generalized MTF introduced in this paper have good precision.