Robust Numerical Scheme for Pricing American Options under Jump Diffusion Models

The goal of option pricing theory is to help the investors to manage their money, enhance returns and control their financial future by theoretically valuing their options. However, most of the option pricing models have no analytical solution. Furthermore, not all the numerical methods are efficient to solve these models because they have nonsmoothing payoffs or discontinuous derivatives at the exercise price. In this paper, we solve the American option under jump diffusion models by using efficient time-dependent numerical methods. several techniques are integrated to reduced the overcome the computational complexity. Fast Fourier Transform (FFT) algorithm is used as a matrix-vector multiplication solver, which reduces the complexity from O(M2) into O(M logM). Partial fraction decomposition technique is applied to rational approximation schemes to overcome the complexity of inverting polynomial of matrices. The proposed method is easy to implement on serial or parallel versions. Numerical results are presented to prove the accuracy and efficiency of the proposed method.

Pricing European Options under Jump Diffusion Models with Fast L-stable Padé Scheme

The goal of option pricing theory is to help the investors to manage their money, enhance returns and control their financial future by theoretically valuing their options. Modeling option pricing by Black-School models with jumps guarantees to consider the market movement. However, only numerical methods can solve this model. Furthermore, not all the numerical methods are efficient to solve these models because they have nonsmoothing payoffs or discontinuous derivatives at the exercise price. In this paper, the exponential time differencing (ETD) method is applied for solving partial integrodifferential equations arising in pricing European options under Merton’s and Kou’s jump-diffusion models. Fast Fourier Transform (FFT) algorithm is used as a matrix-vector multiplication solver, which reduces the complexity from O(M2) into O(M logM). A partial fraction form of Pad`e schemes is used to overcome the complexity of inverting polynomial of matrices. These two tools guarantee to get efficient and accurate numerical solutions. We construct a parallel and easy to implement a version of the numerical scheme. Numerical experiments are given to show how fast and accurate is our scheme.

Sediment Wave and Cyclic Steps as Mechanism for Sediment Transport in Submarine Canyons Thalweg

Seismic analysis of bedforms has proven to be one of the best ways to study deepwater sedimentary features. Canyons are known to be sediment transportation conduit. Sediment wave are large-scale depositional bedforms in various parts of the world's oceans formed predominantly by suspended load transport. These undulating objects usually have tens of meters to a few kilometers in wavelength and a height of several meters. Cyclic steps have long long-wave upstream-migrating bedforms confined by internal hydraulic jumps. They usually occur in regions with high gradients and slope breaks. Cyclic steps and migrating sediment waves are the most common bedform on the seafloor. Cyclic steps and related sediment wave bedforms are significant to the morpho-dynamic evolution of deep-water depositional systems architectural elements, especially those located along tectonically active margins with high gradients and slope breaks that can promote internal hydraulic jumps in turbidity currents. This report examined sedimentary activities and sediment transportation in submarine canyons and provided distinctive insight into factors that created a complex seabed canyon system in the Ceara Fortaleza basin Brazilian Equatorial Margin (BEM). The growing importance of cyclic steps made it imperative to understand the parameters leading to their formation, migration, and architecture as well as their controls on sediment transport in canyon thalweg. We extracted the parameters of the observed bedforms and evaluated the aspect ratio and asymmetricity. We developed a relationship between the hydraulic jump magnitude, depth of the hydraulic fall and the length of the cyclic step therein. It was understood that an increase in the height of the cyclic step increases the magnitude of the hydraulic jump and thereby increases the rate of deposition on the preceding stoss side. An increase in the length of the cyclic steps reduces the magnitude of the hydraulic jump and reduces the rate of deposition at the stoss side. Therefore, flat stoss side was noticed at most preceding cyclic step and sediment wave.

Survey of Epidemiology and Mechanisms of Badminton Injury Using Medical Check-Up and Questionnaire of School Age Badminton Players

Badminton is one type of racket sports that requires repetitive overhead motion, with the shoulder in abduction/external rotation and requires players to perform jumps, lunges, and quick directional changes. These characteristics could be stressful for body regions that may cause badminton injuries. Regarding racket players including badminton players, there have not been any studies that have utilized medical check-up to evaluate epidemiology and mechanism of injuries. In addition, epidemiology of badminton injury in school age badminton players is unknown. The first purpose of this study was to investigate the badminton injuries, physical fitness parameters, and intensity of shoulder pain using medical check-up so that the mechanisms of shoulder injuries might be revealed. The second purpose of this study was to survey the distribution of badminton injuries in elementary school age players so that injury prevention can be implemented as early as possible. The results of this study revealed that shoulder pain occurred in all players, and present shoulder pain players had smaller weight, greater shoulder external rotation (ER) gain, significantly thinner circumference of upper limbs and greater trunk extension. Identifying players with specific of these factors may enhance the prevention of badminton injury. This study also shows that there are high incidences of knee, ankle, plantar, and shoulder injury or pain in elementary school age badminton players. Injury prevention program might be implemented for elementary school age players.

Morphology of Indian Female Athletes of Different Track and Field Events

Participation in games and sports in the contemporary times has become more competing with the developed scientific knowledge, skills and methods, along with the equipment and applied research in the field. In spite of India being a large country having vast resources and potential, its performance in the world of sports on the whole needs sincere attention for better achievements. Beside numerous factors responsible for the dismal performance of a sportsperson, the physique and body composition, including the size, shape and form are known to play a significant role. The present investigation was undertaken to study the specific morphological characteristics of Indian female Track and Field athletes. A total of 300 athletes were randomly selected as sample for the purpose of the study from the six events having 50 athletes in each event including 100m., 400m., Shot Put, Discus Throw, Long Jump and High Jump. The study included body weight, body fat percentage, lean body weight, endomorphy, mesomorphy and ectomorphy as variables. The data were computed statistically by using Mean, Standard Deviation and Analysis of Variance. The post-hoc analysis was conducted where the F-ratio was found to be significant at .05 level. The study concluded that there is a significant difference with regard to the selected variables among the Indian female athletes of different track and field events.

A Cross-Sectional Study on Board Certified Pharmacists in Arab Countries 2018 Update

Board certification is a voluntary process that confirms a pharmacist's capability, competency, education, skills, and proficiency beyond what is essential for licensure. This analysis was intended to investigate the prevalence of board-certified pharmacists in the Arab countries and compare the Board of Pharmacy Specialties (BPS) between Egypt, Saudi Arabia, and Canada. A cross-sectional study was conducted. The data were mined from the BPS website. Data were managed by IBM SPSS Statistics 23.0 and presented as descriptive statistics. Of 36918 Board certified pharmacists (BCPs) until February 2018, only 4038 (10.9%) were from the outside United States of America. From 4038 BCPs, about 1782 (44.1%) were from Arab nations. Egypt has the top prevalence of the BPS among the Arab countries 937 (52.6%) BCPs. However, the Kingdom of Saudi Arabia comes in the second position 442 (24.8%). Pharmacotherapy (BCPS), nutrition support pharmacy (BCNSP), critical care pharmacy (BCCCP) and oncology pharmacy (BCOP) are the highest specialties by 1474 (82.7%), 114 (6.4%), 61 (3.42%) and 60 (3.37%) respectively, while, infectious diseases pharmacy (AQID), cardiology pharmacy (AQCD) and nuclear pharmacy (BCNP) are the lowest prevalence of specialties by 7 (0.4%), 6 (0.3%) and 1 (0.06%) respectively. Added qualifications were canceled and became a new specialty in BPS as the rest of the specialties. Both infectious diseases and cardiology specialties exams are not conducted yet all over the world from the beginning of 2018. Egypt has the second prevalence 937 (2.54%), before Canada 920 (2.49%) and after United States of America 32880 (89.06%) in the worldwide in terms of BCPs. In conclusion the BCPS is the uppermost specialty; however, there is still a need for all the other specialties. In a short period, BCCCP jumped to the third position. Cardiology and infectious disease will be new specialties. Egyptian pharmacists are in the top of Arab countries, and 2nd in worldwide BCPs.

Numerical Modeling of Flow in USBR II Stilling Basin with End Adverse Slope

Hydraulic jump is one of the effective ways of energy dissipation in stilling basins that the ‎energy is highly dissipated by jumping. Adverse slope surface at the end stilling basin is ‎caused to increase energy dissipation and stability of the hydraulic jump. In this study, the adverse slope ‎has been added to end of United States Bureau of Reclamation (USBR) II stilling basin in hydraulic model of Nazloochay dam with scale 1:40, and flow simulated into stilling basin using Flow-3D ‎software. The numerical model is verified by experimental data of water depth in ‎stilling basin. Then, the parameters of water level profile, Froude Number, pressure, air ‎entrainment and turbulent dissipation investigated for discharging 300 m3/s using K-Ɛ and Re-Normalization Group (RNG) turbulence ‎models. The results showed a good agreement between numerical and experimental model‎ as ‎numerical model can be used to optimize of stilling basins.‎

Calculation of the Thermal Stresses in an Elastoplastic Plate Heated by Local Heat Source

The work is devoted to solving the problem of temperature stresses, caused by the heating point of the round plate. The plate is made of elastoplastic material, so the Prandtl-Reis model is used. A piecewise-linear condition of the Ishlinsky-Ivlev flow is taken as the loading surface, in which the yield stress depends on the temperature. Piecewise-linear conditions (Treska or Ishlinsky-Ivlev), in contrast to the Mises condition, make it possible to obtain solutions of the equilibrium equation in an analytical form. In the problem under consideration, using the conditions of Tresca, it is impossible to obtain a solution. This is due to the fact that the equation of equilibrium ceases to be satisfied when the two Tresca conditions are fulfilled at once. Using the conditions of plastic flow Ishlinsky-Ivlev allows one to solve the problem. At the same time, there are also no solutions on the edge of the Ishlinsky-Ivlev hexagon in the plane-stressed state. Therefore, the authors of the article propose to jump from the edge to the edge of the mine edge, which gives an opportunity to obtain an analytical solution. At the same time, there is also no solution on the edge of the Ishlinsky-Ivlev hexagon in a plane stressed state; therefore, in this paper, the authors of the article propose to jump from the side to the side of the mine edge, which gives an opportunity to receive an analytical solution. The paper compares solutions of the problem of plate thermal deformation. One of the solutions was obtained under the condition that the elastic moduli (Young's modulus, Poisson's ratio) which depend on temperature. The yield point is assumed to be parabolically temperature dependent. The main results of the comparisons are that the region of irreversible deformation is larger in the calculations obtained for solving the problem with constant elastic moduli. There is no repeated plastic flow in the solution of the problem with elastic moduli depending on temperature. The absolute value of the irreversible deformations is higher for the solution of the problem in which the elastic moduli are constant; there are also insignificant differences in the distribution of the residual stresses.

Anthropometric and Physical Fitness Ability Profile of Elite and Non-Elite Boxers of Manipur

Background: Boxing is one of the oldest combat sports where different anthropological and fitness ability parameters determine performance. It is characterized by short duration, high intensity bursts of activity. The purpose of this research was to determine anthropometric and physical fitness profile of male elite and non-elite boxers of Manipur and to compare the two groups. Materials and Methods: Nineteen subjects were selected as elite boxers and twenty-four were non-elite boxers of Manipur. A cross-sectional study was conducted on anthropometric measurements and physical fitness ability tests on 33 subjects (elite and non-elite boxers). Statistical analysis was done using descriptive statistics, t-test and logistic regression with the help of SPSS version 15 software. Results: Results showed elite boxers have significantly reduced neck girth and calf girth as compare to non-elite boxers. Elite boxers have significantly lower sub scapular skin fold (SSF) and supra iliac skin fold (SISF) than their counterparts. Higher stature, larger BTB and lower percent fat are associated with higher performance in boxing. Sit ups (SU), standing Broad Jump (SBJ), Plat taping (PT), Sit and reach (SAR) and Harvard Step Test (HST) are predicted as most contributing factors enhancing performance level among the physical fitness components. Elite boxers are found to have more functional strength (sit ups), higher explosive strength (SBJ), more agility (PT), cardio-vascular endurance and flexibility (SAR) than non-elite boxers. Conclusion: In conclusion, lower fat, higher lean body mass, larger bi-trochantric breadth, high explosive strength, agility and flexibility are significantly associated with higher performance and chance of becoming elite boxers.

The Use of the Limit Cycles of Dynamic Systems for Formation of Program Trajectories of Points Feet of the Anthropomorphous Robot

The movement of points feet of the anthropomorphous robot in space occurs along some stable trajectory of a known form. A large number of modifications to the methods of control of biped robots indicate the fundamental complexity of the problem of stability of the program trajectory and, consequently, the stability of the control for the deviation for this trajectory. Existing gait generators use piecewise interpolation of program trajectories. This leads to jumps in the acceleration at the boundaries of sites. Another interpolation can be realized using differential equations with fractional derivatives. In work, the approach to synthesis of generators of program trajectories is considered. The resulting system of nonlinear differential equations describes a smooth trajectory of movement having rectilinear sites. The method is based on the theory of an asymptotic stability of invariant sets. The stability of such systems in the area of localization of oscillatory processes is investigated. The boundary of the area is a bounded closed surface. In the corresponding subspaces of the oscillatory circuits, the resulting stable limit cycles are curves having rectilinear sites. The solution of the problem is carried out by means of synthesis of a set of the continuous smooth controls with feedback. The necessary geometry of closed trajectories of movement is obtained due to the introduction of high-order nonlinearities in the control of stabilization systems. The offered method was used for the generation of trajectories of movement of point’s feet of the anthropomorphous robot. The synthesis of the robot's program movement was carried out by means of the inverse method.

Basket Option Pricing under Jump Diffusion Models

Pricing financial contracts on several underlying assets received more and more interest as a demand for complex derivatives. The option pricing under asset price involving jump diffusion processes leads to the partial integral differential equation (PIDEs), which is an extension of the Black-Scholes PDE with a new integral term. The aim of this paper is to show how basket option prices in the jump diffusion models, mainly on the Merton model, can be computed using RBF based approximation methods. For a test problem, the RBF-PU method is applied for numerical solution of partial integral differential equation arising from the two-asset European vanilla put options. The numerical result shows the accuracy and efficiency of the presented method.

Rule Based Architecture for Collaborative Multidisciplinary Aircraft Design Optimisation

In aircraft design, the jump from the conceptual to preliminary design stage introduces a level of complexity which cannot be realistically handled by a single optimiser, be that a human (chief engineer) or an algorithm. The design process is often partitioned along disciplinary lines, with each discipline given a level of autonomy. This introduces a number of challenges including, but not limited to: coupling of design variables; coordinating disciplinary teams; handling of large amounts of analysis data; reaching an acceptable design within time constraints. A number of classical Multidisciplinary Design Optimisation (MDO) architectures exist in academia specifically designed to address these challenges. Their limited use in the industrial aircraft design process has inspired the authors of this paper to develop an alternative strategy based on well established ideas from Decision Support Systems. The proposed rule based architecture sacrifices possibly elusive guarantees of convergence for an attractive return in simplicity. The method is demonstrated on analytical and aircraft design test cases and its performance is compared to a number of classical distributed MDO architectures.

Discontinuous Spacetime with Vacuum Holes as Explanation for Gravitation, Quantum Mechanics and Teleportation

Hole Vacuum theory is based on discontinuous spacetime that contains vacuum holes. Vacuum holes can explain gravitation, some laws of quantum mechanics and allow teleportation of matter. All massive bodies emit a flux of holes which curve the spacetime; if we increase the concentration of holes, it leads to length contraction and time dilation because the holes do not have the properties of extension and duration. In the limited case when space consists of holes only, the distance between every two points is equal to zero and time stops - outside of the Universe, the extension and duration properties do not exist. For this reason, the vacuum hole is the only particle in physics capable of describing gravitation using its own properties only. All microscopic particles must 'jump' continually and 'vibrate' due to the appearance of holes (impassable microscopic 'walls' in space), and it is the cause of the quantum behavior. Vacuum holes can explain the entanglement, non-locality, wave properties of matter, tunneling, uncertainty principle and so on. Particles do not have trajectories because spacetime is discontinuous and has impassable microscopic 'walls' due to the simple mechanical motion is impossible at small scale distances; it is impossible to 'trace' a straight line in the discontinuous spacetime because it contains the impassable holes. Spacetime 'boils' continually due to the appearance of the vacuum holes. For teleportation to be possible, we must send a body outside of the Universe by enveloping it with a closed surface consisting of vacuum holes. Since a material body cannot exist outside of the Universe, it reappears instantaneously in a random point of the Universe. Since a body disappears in one volume and reappears in another random volume without traversing the physical space between them, such a transportation method can be called teleportation (or Hole Teleportation). It is shown that Hole Teleportation does not violate causality and special relativity due to its random nature and other properties. Although Hole Teleportation has a random nature, it can be used for colonization of extrasolar planets by the help of the method called 'random jumps': after a large number of random teleportation jumps, there is a probability that the spaceship may appear near a habitable planet. We can create vacuum holes experimentally using the method proposed by Descartes: we must remove a body from the vessel without permitting another body to occupy this volume.

Non-Local Behavior of a Mixed-Mode Crack in a Functionally Graded Piezoelectric Medium

In this paper, the problem of a mixed-Mode crack embedded in an infinite medium made of a functionally graded piezoelectric material (FGPM) with crack surfaces subjected to electro-mechanical loadings is investigated. Eringen’s non-local theory of elasticity is adopted to formulate the governing electro-elastic equations. The properties of the piezoelectric material are assumed to vary exponentially along a perpendicular plane to the crack. Using Fourier transform, three integral equations are obtained in which the unknown variables are the jumps of mechanical displacements and electric potentials across the crack surfaces. To solve the integral equations, the unknowns are directly expanded as a series of Jacobi polynomials, and the resulting equations solved using the Schmidt method. In contrast to the classical solutions based on the local theory, it is found that no mechanical stress and electric displacement singularities are present at the crack tips when nonlocal theory is employed to investigate the problem. A direct benefit is the ability to use the calculated maximum stress as a fracture criterion. The primary objective of this study is to investigate the effects of crack length, material gradient parameter describing FGPMs, and lattice parameter on the mechanical stress and electric displacement field near crack tips.

BECOME: Body Experience-Based Co-Operation between Juveniles through Mutually Excited Team Gameplay

We aim to develop a full-body interaction game that could let children cooperate and interact with other children in small groups. As the first step for our aim, the objective of the full-body interaction game developed in this study is to make interaction between children. The game requires two children to jump together with the same timing. We let children experience the game and answer the questionnaires. The children using several strategies to coordinate the timing of their jumps were observed. These included shouting time, watching each other, and jumping in a constant rhythm as if they were skipping rope. In this manner, we observed the children playing the game while cooperating with each other. The results of a questionnaire to evaluate the proposed interactive game indicate that the jumping game was a very enjoyable experience in which the participants could immerse themselves. Therefore, the game enabled children to experience cooperation with others by using body movements.

Human Action Recognition System Based on Silhouette

Human action is recognized directly from the video sequences. The objective of this work is to recognize various human actions like run, jump, walk etc. Human action recognition requires some prior knowledge about actions namely, the motion estimation, foreground and background estimation. Region of interest (ROI) is extracted to identify the human in the frame. Then, optical flow technique is used to extract the motion vectors. Using the extracted features similarity measure based classification is done to recognize the action. From experimentations upon the Weizmann database, it is found that the proposed method offers a high accuracy.

Segmentation of Piecewise Polynomial Regression Model by Using Reversible Jump MCMC Algorithm

Piecewise polynomial regression model is very flexible model for modeling the data. If the piecewise polynomial regression model is matched against the data, its parameters are not generally known. This paper studies the parameter estimation problem of piecewise polynomial regression model. The method which is used to estimate the parameters of the piecewise polynomial regression model is Bayesian method. Unfortunately, the Bayes estimator cannot be found analytically. Reversible jump MCMC algorithm is proposed to solve this problem. Reversible jump MCMC algorithm generates the Markov chain that converges to the limit distribution of the posterior distribution of piecewise polynomial regression model parameter. The resulting Markov chain is used to calculate the Bayes estimator for the parameters of piecewise polynomial regression model.

Breast Cancer Survivability Prediction via Classifier Ensemble

This paper presents a classifier ensemble approach for predicting the survivability of the breast cancer patients using the latest database version of the Surveillance, Epidemiology, and End Results (SEER) Program of the National Cancer Institute. The system consists of two main components; features selection and classifier ensemble components. The features selection component divides the features in SEER database into four groups. After that it tries to find the most important features among the four groups that maximizes the weighted average F-score of a certain classification algorithm. The ensemble component uses three different classifiers, each of which models different set of features from SEER through the features selection module. On top of them, another classifier is used to give the final decision based on the output decisions and confidence scores from each of the underlying classifiers. Different classification algorithms have been examined; the best setup found is by using the decision tree, Bayesian network, and Na¨ıve Bayes algorithms for the underlying classifiers and Na¨ıve Bayes for the classifier ensemble step. The system outperforms all published systems to date when evaluated against the exact same data of SEER (period of 1973-2002). It gives 87.39% weighted average F-score compared to 85.82% and 81.34% of the other published systems. By increasing the data size to cover the whole database (period of 1973-2014), the overall weighted average F-score jumps to 92.4% on the held out unseen test set.

Computing Transition Intensity Using Time-Homogeneous Markov Jump Process: Case of South African HIV/AIDS Disposition

This research provides a technical account of estimating Transition Probability using Time-homogeneous Markov Jump Process applying by South African HIV/AIDS data from the Statistics South Africa. It employs Maximum Likelihood Estimator (MLE) model to explore the possible influence of Transition Probability of mortality cases in which case the data was based on actual Statistics South Africa. This was conducted via an integrated demographic and epidemiological model of South African HIV/AIDS epidemic. The model was fitted to age-specific HIV prevalence data and recorded death data using MLE model. Though the previous model results suggest HIV in South Africa has declined and AIDS mortality rates have declined since 2002 – 2013, in contrast, our results differ evidently with the generally accepted HIV models (Spectrum/EPP and ASSA2008) in South Africa. However, there is the need for supplementary research to be conducted to enhance the demographic parameters in the model and as well apply it to each of the nine (9) provinces of South Africa.

Developing New Algorithm and Its Application on Optimal Control of Pumps in Water Distribution Network

In recent years, new techniques for solving complex problems in engineering are proposed. One of these techniques is JPSO algorithm. With innovative changes in the nature of the jump algorithm JPSO, it is possible to construct a graph-based solution with a new algorithm called G-JPSO. In this paper, a new algorithm to solve the optimal control problem Fletcher-Powell and optimal control of pumps in water distribution network was evaluated. Optimal control of pumps comprise of optimum timetable operation (status on and off) for each of the pumps at the desired time interval. Maximum number of status on and off for each pumps imposed to the objective function as another constraint. To determine the optimal operation of pumps, a model-based optimization-simulation algorithm was developed based on G-JPSO and JPSO algorithms. The proposed algorithm results were compared well with the ant colony algorithm, genetic and JPSO results. This shows the robustness of proposed algorithm in finding near optimum solutions with reasonable computational cost.