Search results for: black scholes model

Authors: Manas Shah

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Black Scholes option pricing model is one of the most important concepts in modern world of computational finance. However, its practical use can be challenging as one of the input parameters must be estimated; implied volatility of the underlying security. The more precisely these values are estimated, the more accurate their corresponding estimates of theoretical option prices would be. Here, we present a novel model based on Cuckoo Search Optimization (CS) which finds more precise estimates of implied volatility than Particle Swarm Optimization (PSO) and Genetic Algorithm (GA).

Keywords: black scholes model, cuckoo search optimization, particle swarm optimization, genetic algorithm

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Authors: Changhong Guo, Shaomei Fang, Yong He

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In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional g-Brownian motion, Taylor's series of fractional order, uncertain volatility

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Authors: Dchieche Amina, Aboulaich Rajae

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In this work, we will modelize Waad Bil Mourabaha contract. This islamic contract provides the right to buy goods at a future date with a Mourabaha. Waad is a promise of sale or purchase of goods, declared in a unilateral way. In spite of the divergence between some schools of Islamic law about the Waad, this contract will allow us to study sophisticated and interesting contract: Waad Bil Mourabaha that can be used for hedging. In order to price Waad Bil Mourabaha contract, we will use an adapted Black and Scholes model using the Shariah compliant assumptions.

Keywords: Islamic finance, Black-Scholes model, call option, risks, hedging

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Authors: Muhammad Sheraz, Vasile Preda, Silvia Dedu

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Concepts of econophysics are usually used to solve problems related to uncertainty and nonlinear dynamics. In the theory of option pricing the risk neutral probabilities play very important role. The application of entropy in finance can be regarded as the extension of both information entropy and the probability entropy. It can be an important tool in various financial methods such as measure of risk, portfolio selection, option pricing and asset pricing. Gulko applied Entropy Pricing Theory (EPT) for pricing stock options and introduced an alternative framework of Black-Scholes model for pricing European stock option. In this article, we present solutions to maximum entropy problems based on Tsallis, Weighted-Tsallis, Kaniadakis, Weighted-Kaniadakies entropies, to obtain risk-neutral densities. We have also obtained the value of European call and put in this framework.

Keywords: option pricing, Black-Scholes model, Tsallis entropy, Kaniadakis entropy, weighted entropy, risk-neutral density

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Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

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A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic

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Authors: Ceren Vardar Acar, Mine Caglar

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In finance, the price of a volatile asset can be modeled using fractional Brownian motion (fBm) with Hurst parameter H>1/2. The Black-Scholes model for the values of returns of an asset using fBm is given as, 〖Y_t=Y_0 e^((r+μ)t+σB)〗_t^H, 0≤t≤T where Y_0 is the initial value, r is constant interest rate, μ is constant drift and σ is constant diffusion coefficient of fBm, which is denoted by B_t^H where t≥0. Black-Scholes model can be constructed with some Markov processes such as Brownian motion. The advantage of modeling with fBm to Markov processes is its capability of exposing the dependence between returns. The real life data for a volatile asset display long-range dependence property. For this reason, using fBm is a more realistic model compared to Markov processes. Investors would be interested in any kind of information on the risk in order to manage it or hedge it. The maximum possible loss is one way to measure highest possible risk. Therefore, it is an important variable for investors. In our study, we give some theoretical bounds on the distribution of maximum possible loss of fBm. We provide both asymptotical and strong estimates for the tail probability of maximum loss of standard fBm and fBm with drift and diffusion coefficients. In the investment point of view, these results explain, how large values of possible loss behave and its bounds.

Keywords: maximum drawdown, maximum loss, fractional brownian motion, large deviation, Gaussian process

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Authors: H. D. Ibrahim, H. C. Chinwenyi, T. Danjuma

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An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.

Keywords: Black-Scholes partial differential equations, Ito process, option price valuation, partial differential equations

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Authors: Petarpa Boonserm, Tritos Ngampitipan, Matt Visser

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A 'clean' black hole is a black hole in vacuum such as the Schwarzschild black hole. However in real physical systems, there are matter fields around a black hole. Such a black hole is called a 'dirty black hole'. In this paper, The effect of matter fields on the black hole and the greybody factor is investigated. The results show that matter fields make a black hole smaller. They can increase the potential energy to a black hole to obstruct Hawking radiation to propagate. This causes the greybody factor of a dirty black hole to be less than that of a clean black hole.

Keywords: dirty black hole, greybody factor, hawking radiation, matter fields.

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Authors: B. F. Nteumagne, E. Pindza, E. Mare

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We apply Lie symmetries analysis to price and hedge options in the fractional Brownian framework. The reputation of Lie groups is well spread in the area of Mathematical sciences and lately, in Finance. In the presence of transactions costs and under fractional Brownian motions, analytical solutions become difficult to obtain. Lie symmetries analysis allows us to simplify the problem and obtain new analytical solution. In this paper, we investigate the use of symmetries to reduce the partial differential equation obtained and obtain the analytical solution. We then proposed a hedging procedure and calibration technique for these types of options, and test the model on real market data. We show the robustness of our methodology by its application to the pricing of digital options.

Keywords: fractional brownian model, symmetry, transaction cost, option pricing

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Authors: Nqobile Muleya, Winston Garira, Godwin Mchau

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Citrus Black Spot (CBS) is a fungal disease that is responsible for huge economical loss and poses a threat to the citrus industry worldwide. We construct a mathematical model framework for citrus black spot between fruits to characterise the dynamics of the disease development, paying attention to the pathogen life cycle. We have made an observation from the model analysis that the initial inoculum from ascomata is very important for disease development and thereafter it is no longer important due to conidia which is responsible for secondary infection. Most importantly, the model indicated that ascospores and conidia are very important parameters in developing citrus black spot within a short distance. The basic reproductive number and its importance in relation to citrus black spot persistence are outlined. A numerical simulation of the model was done to explain the theoretical findings.

Keywords: epidemiological modelling, Guidnardia citricarpa, life cycle stage, fungal, disease development

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Authors: Rachid Belhachemi, Pierre Rostan, Alexandra Rostan

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This paper develops a discrete-time option pricing model for index options. The model consists of two key ingredients. First, daily stock return innovations are driven by a continuous hidden threshold mixed skew-normal (HTSN) distribution which generates conditional non-normality that is needed to fit daily index return. The most important feature of the HTSN is the inclusion of a latent state variable with a continuum of states, unlike the traditional mixture distributions where the state variable is discrete with little number of states. The HTSN distribution belongs to the class of univariate probability distributions where parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution has an interpretation in terms of a mixture distribution with time-varying mixing probabilities. It has been shown empirically that this distribution outperforms its main competitor, the mixed normal (MN) distribution, in terms of capturing the stylized facts known for stock returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence. Second, heteroscedasticity in the model is captured by a threeexogenous-factor GARCH model (GARCHX), where the factors are taken from the principal components analysis of various world indices and presents an application to option pricing. The factors of the GARCHX model are extracted from a matrix of world indices applying principal component analysis (PCA). The empirically determined factors are uncorrelated and represent truly different common components driving the returns. Both factors and the eight parameters inherent to the HTSN distribution aim at capturing the impact of the state of the economy on price levels since distribution parameters have economic interpretations in terms of conditional volatilities and correlations of the returns with the hidden continuous state. The PCA identifies statistically independent factors affecting the random evolution of a given pool of assets -in our paper a pool of international stock indices- and sorting them by order of relative importance. The PCA computes a historical cross asset covariance matrix and identifies principal components representing independent factors. In our paper, factors are used to calibrate the HTSN-GARCHX model and are ultimately responsible for the nature of the distribution of random variables being generated. We benchmark our model to the MN-GARCHX model following the same PCA methodology and the standard Black-Scholes model. We show that our model outperforms the benchmark in terms of RMSE in dollar losses for put and call options, which in turn outperforms the analytical Black-Scholes by capturing the stylized facts known for index returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence.

Keywords: continuous hidden threshold, factor models, GARCHX models, option pricing, risk-premium

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Authors: Ali Safdari-Vaighani

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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.

Keywords: basket option, jump diffusion, ‎radial basis function, RBF-PUM

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Authors: Aref Yazdani, Ali Tofighi

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We study a simulative model for production of stable micro black holes based on investigation on thermodynamics of LHC experiment. We show that how this production can be achieved through a thermodynamic process of stability. Indeed, this process can be done through a very small amount of powerful fuel. By applying the second law of black hole thermodynamics at the scale of quantum gravity and perturbation expansion of the given entropy function, a time-dependent potential function is obtained which is illustrated with exact numerical values in higher dimensions. Seeking for the conditions for stability of micro black holes is another purpose of this study. This is proven through an injection method of putting the exact amount of energy into the final phase of the production which is equivalent to the same energy injection into the center of collision at the LHC in order to stabilize the produced particles. Injection of energy into the center of collision at the LHC is a new pattern that it is worth a try for the first time.

Keywords: micro black holes, LHC experiment, black holes thermodynamics, extra dimensions model

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Authors: A. Hidalgo, A. Desportes, E. Bonin, A. Kadaoui, T. Bouaricha

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Present paper is concerned with portfolio management with Black-Litterman (B-L) model. Considered stocks are exclusively limited to large companies stocks on US market. Results obtained by application of the model are presented. From analysis of collected Dow Jones stock data, remarkable explicit analytical expression of optimal B-L parameter τ, which scales dispersion of normal distribution of assets mean return, is proposed in terms of standard deviation of covariance matrix. Implementation has been developed in Matlab environment to split optimization in Markovitz sense from specific elements related to B-L representation.

Keywords: Black-Litterman, Markowitz, market data, portfolio manager opinion

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Authors: Sukru Merey, Caglar Sinayuc

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Gas hydrate deposits which are found in deep ocean sediments and in permafrost regions are supposed to be a fossil fuel reserve for the future. The Black Sea is also considered rich in terms of gas hydrates. It abundantly contains gas hydrates as methane (CH₄~80 to 99.9%) source. In this study, by using the literature, seismic and other data of the Black Sea such as salinity, porosity of the sediments, common gas type, temperature distribution and pressure gradient, the optimum gas production method for the Black Sea gas hydrates was selected as mainly depressurization method. Numerical simulations were run to analyze gas production from gas hydrate deposited in turbidites in the Black Sea by depressurization.

Keywords: CH4 hydrate, Black Sea hydrates, gas hydrate experiments, HydrateResSim

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Authors: U. V. S. Seshavatharam, S. Lakshminarayana

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In a unified approach observed cosmic red shift can be re-interpreted as an index of cosmological galactic atomic light emission phenomenon. By increasing the applications of Hubble volume in cosmology as well as in quantum physics, concepts of ‘Black Hole Cosmology’ can be well-confirmed. Clearly speaking ‘quantum mechanics’ can be shown to be a branch of ‘black hole cosmology’. In Big Bang Model, confirmation of all the observations directly depend on the large scale galactic distances that are beyond human reach and raise ambiguity in all respects. The subject of modern black hole physics is absolutely theoretical. Advantage of Black hole cosmology lies in confirming its validity through the ground based atomic and nuclear experimental results.

Keywords: Hubble volume, black hole cosmology, CMBR energy density, Planck’s constant, fine structure ratio, cosmic time, nuclear charge radius, unification

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Authors: A. Chateauneuf, M. Mostoufi, D. Vyncke

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Monte Carlo (MC) simulation is a technique that provides approximate solutions to a broad range of mathematical problems. A drawback of the method is its high computational cost, especially in a high-dimensional setting, such as estimating the Tail Value-at-Risk for large portfolios or pricing basket options and Asian options. For these types of problems, one can construct an upper bound in the convex order by replacing the copula by the comonotonic copula. This comonotonic upper bound can be computed very quickly, but it gives only a rough approximation. In this paper we introduce the Comonotonic Monte Carlo (CoMC) simulation, by using the comonotonic approximation as a control variate. The CoMC is of broad applicability and numerical results show a remarkable speed improvement. We illustrate the method for estimating Tail Value-at-Risk and pricing basket options and Asian options when the logreturns follow a Black-Scholes model or a variance gamma model.

Keywords: control variate Monte Carlo, comonotonicity, option pricing, scientific computing

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Authors: Elena M. Kopteva, Pavlina Jaluvkova, Zdenek Stuchlik

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The question of constructing a consistent model of the cosmological black hole remains to be unsolved and still attracts the interest of cosmologists as far as it is important in a wide set of research problems including the problem of the black hole horizon dynamics, the problem of interplay between cosmological expansion and local gravity, the problem of structure formation in the early universe etc. In this work, the model of the cosmological black hole is built on the basis of the exact solution of the Einstein equations for the spherically symmetric inhomogeneous dust distribution in the approach of the mass function use. Possible trajectories for massive particles and photons near the black hole immersed in the nonstatic dust cosmological background are investigated in frame of the obtained model. The reference system of distant galaxy comoving to cosmological expansion combined with curvature coordinates is used, so that the resulting metric becomes nondiagonal and involves both proper ‘cosmological’ time and curvature spatial coordinates. For this metric the geodesic equations are analyzed for the test particles and photons, and the respective trajectories are built.

Keywords: exact solutions for Einstein equations, Lemaitre-Tolman-Bondi solution, cosmological black holes, particle and photon trajectories

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Authors: Wajih Abbassi, Zouhaier Ben Khelifa

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The present research points towards the empirical validation of three options valuation models, the ad-hoc Black-Scholes model as proposed by Berkowitz (2001), the constant elasticity of variance model of Cox and Ross (1976) and the Kou jump-diffusion model (2002). Our empirical analysis has been conducted on a sample of 26,974 options written on three indexes, the S&P 500, Nasdaq 100 and the Russell 2000 that were negotiated during the year 2007 just before the sub-prime crisis. We start by presenting the theoretical foundations of the models of interest. Then we use the technique of trust-region-reflective algorithm to estimate the structural parameters of these models from cross-section of option prices. The empirical analysis shows the superiority of the Kou jump-diffusion model. This superiority arises from the ability of this model to portray the behavior of market participants and to be closest to the true distribution that characterizes the evolution of these indices. Indeed the double-exponential distribution covers three interesting properties that are: the leptokurtic feature, the memory less property and the psychological aspect of market participants. Numerous empirical studies have shown that markets tend to have both overreaction and under reaction over good and bad news respectively. Despite of these advantages there are not many empirical studies based on this model partly because probability distribution and option valuation formula are rather complicated. This paper is the first to have used the technique of nonlinear curve-fitting through the trust-region-reflective algorithm and cross-section options to estimate the structural parameters of the Kou jump-diffusion model.

Keywords: jump-diffusion process, Kou model, Leptokurtic feature, trust-region-reflective algorithm, US index options

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Authors: Anjushi Verma, Tirthankar Gayen

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Although, reliability is an important attribute of quality, especially for mission critical systems, yet, there does not exist any versatile model even today for the reliability assessment of component-based software. The existing Black Box models are found to make various assumptions which may not always be realistic and may be quite contrary to the actual behaviour of software. They focus on observing the manner in which the system behaves without considering the structure of the system, the components composing the system, their interconnections, dependencies, usage frequencies, etc.As a result, the entropy (uncertainty) in assessment using these models is much high.Though, there are some models based on operation profile yet sometimes it becomes extremely difficult to obtain the exact operation profile concerned with a given operation. This paper discusses the drawbacks, deficiencies and limitations of Black Box approaches from the perspective of various authors and finally proposes a conceptual model for the reliability assessment of software.

Keywords: black box, faults, failure, software reliability

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Authors: Maryam Kiani

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The aim of this study was to investigate the influence of carbon black additive on the properties of fly ash-based geopolymer. The geopolymer samples were prepared using fly ash as the primary source material, along with an alkali activator solution and different concentrations of carbon black additive. The effects of carbon black on the geopolymer binder were evaluated by analyzing the compressive strength, flexural strength, water absorption, and microstructural properties of the cured samples. The results revealed that the inclusion of carbon black additive significantly enhanced the mechanical properties of the geopolymer binder. The compressive and flexural strengths were found to increase with the addition of carbon black, showing improvements of up to 25% and 15%, respectively. Moreover, the water absorption of the geopolymer samples reduced due to the presence of carbon black, indicating improved resistance against water permeability. Microstructural analysis using scanning electron microscopy (SEM) revealed a more compact and homogenous structure in the geopolymer samples with carbon black. The dispersion of carbon black particles within the geopolymer matrix was observed, suggesting improved interparticle bonding and increased densification. Overall, this study demonstrates the positive impact of carbon black additive on the qualities of fly ash-based geopolymer, emphasizing its potential as an effective enhancer for geopolymer binder applications.

Keywords: fly-ash, carbon black, nanotechnology, geopolymer

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Authors: Brianna Z. Ross, Jonathan N. Livingston

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Given that discussions of racism and racial tensions have become more salient, there is a need to evaluate the impacts of racialization among Black individuals. Racial discrimination has become one of the most common experiences within the Black American population. Likewise, Black individuals have indicated a need to address their racial identities at an earlier age than their non-Black peers. Further, Black individuals have been found at the forefront of multiple social and political movements, including but not limited to the Civil Rights Movement, Black Lives Matter, MeToo, and Say Her Name. Moreover, the present study sought to explore the predictive relationships that exist between racial discrimination, racial identity, and activism in the Black community. The results of standard and hierarchical regression analyses revealed that racial discrimination and racial identity significantly predict each other, but only racial discrimination is a significant predictor for the relationship to activism. Nonetheless, the results from this study will provide a basis for social scientists to better understand the impacts of racialization on the Black American population.

Keywords: activism, racialization, racial discrimination, racial identity

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Authors: Mercedeh Malekzadeh

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Scrap tires are the source of wastes that cause the environmental problems. The major components of these tires are rubber and carbon black. These components can be used again for different applications by utilizing physical and chemical processes. Pyrolysis is a way that converts rubber portion of scrap tires to oil and gas and the carbon black recovers to pyrolytic carbon black. This pyrolytic carbon black can be used to reinforce rubber and metal, coating preparation, electronic thermal manager and so on. The porous structure of this carbon black also makes it as a suitable choice for heavy metals removal from water. In this work, the application of base treated pyrolytic carbon black was studied as an adsorbent for chromium (III) removal from water in a batch process. Pyrolytic carbon blacks in two natural and base treated forms were characterized by scanning electron microscopy and energy dispersive analysis x-ray. The effects of adsorbent dosage, contact time, initial concentration of chromium (III) and pH were considered on the adsorption process. The adsorption capacity was 19.76 mg/g. Maximum adsorption was seen after 120 min at pH=3. The equilibrium data were considered and better fitted to Langmuir model. The adsorption kinetic was evaluated and confirmed with the pseudo second order kinetic. Results have shown that the base treated pyrolytic carbon black obtained from scrap tires can be used as a cheap adsorbent for removal of chromium (III) from the water.

Keywords: chromium (III), pyrolytic carbon, scrap tire, water

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Authors: Rokeshia Renné Ashley

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The purpose of this study is to understand the perception of historical figure Saartjie 'Sara/Sarah' Baartman from a cross cultural perspective of black women in the United States and black women in South Africa. Semi-structured interviews (n = 30) uncover that many women in both countries did not have an accurate representation, recollection, or have been exposed to the story of Baartman. Nonetheless, those who were familiar with Baartman’s story, those participants compared her to modern examples of black women who are showcased in a contemporary familiarity. The women are described by participants as women who reveal their bodies in a sexualized manner and have the curves that are similar to Baartman’s historic figure. This comparison emphasized a connection to popular images of black women who represent the curvaceous ideal. Findings contribute to social comparison theory by providing a lens for examining black women’s body image.

Keywords: black women, body modification, media, South Africa

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Authors: Manuel Urueña Palomo

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In this paper, we introduce the study of a new solution to gravitational singularities by violating the energy conditions of the Penrose Hawking singularity theorems. We consider that a shift to negative energies, and thus, to negative masses, takes place at the event horizon of a black hole, justified by the original, singular and exact Schwarzschild solution. These negative energies are supported by relativistic particle physics considering the negative energy solutions of the Dirac equation, which states that a time transformation shifts to a negative energy particle. In either general relativity or full Newtonian mechanics, these negative masses are predicted to be repulsive. It is demonstrated that the model fits actual observations, and could possibly clarify the size of observed and unexplained supermassive black holes, when considering the inflation that would take place inside the event horizon where massive particles interact antigravitationally. An approximated solution of the model proposed could be simulated in order to compare it with these observations.

Keywords: black holes, CPT symmetry, negative mass, time transformation

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Authors: Hassan M. Baioumy, Yuniarti Ulfa

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Paleozoic, Mesozoic and Cenozoic black shales that can be a potential source of energy and precious metals are widely distributed in Malaysia Peninsula, Sarawak and Sabah. Two Paleozoic black shales outcrops were reported in the Langkawi Island belonging to the Cambrian fluvial Machinchang Formation and the Silurian glaciomarine Singa Formation. More the seventeen occurrences of Paleozoic black shales outcrops have been found in the Peninsular Malaysia that range in age from Devonian, Carboniferous, and Permian in the Terengganu, Perlis, Pahang, and Perak States. Mesozoic black shales outcrops occur in several places in both the Peninsular Malaysia and Sarawak. In the Peninsular Malaysia, Triassic black shales occur in the Nami area, Northern Kedah and in the Pahang area. In Sarawak, Triassic black shales have been reported in the Bau area. Cenozoic black shales outcrops were reported in both Sarawak at Miri area and Sabah at the Ranau and Tenom areas. Preliminary mineralogical and geochemical investigations on some of these black shales outcrops showed distinct compositional variations among these black shales outcrops probably due to variations in their source area composition and/or depositional and diagenetic settings of these shales. Some of these shalese also subjected to post-depositional hydrothermal mineralization that enriched these shales with Au-bearing minerals such as pyrite, calchopyrite, and arsenopyrite. Many of the studied black shales outcrops look rich in organic matter, which increase the possibility of using these black shales as an unconventional energy resource.

Keywords: black shales, energy, mineralization, Malaysia

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Authors: Vinayak Bassi, Rajpreet Singh

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Over the years, with the emergence of sophisticated computers and algorithms, finance has been quantified using computational prowess. Asset valuation has been one of the key components of quantitative finance. In fact, it has become one of the embryonic steps in determining risk related to a portfolio, the main goal of quantitative finance. This study comprises a drawing comparison between valuation output generated by two stochastic dynamic models, namely Black-Scholes and Dupire’s bi-dimensionality model. Both of these models are formulated for computing the valuation function for a portfolio of European options using Monte Carlo simulation methods. Although Monte Carlo algorithms have a slower convergence rate than calculus-based simulation techniques (like FDM), they work quite effectively over high-dimensional dynamic models. A fidelity gap is analyzed between the static (historical) and stochastic inputs for a sample portfolio of underlying assets. In order to enhance the performance efficiency of the model, the study emphasized the use of variable reduction methods and customizing random number generators to implement parallelization. An attempt has been made to further implement the Dupire’s model on a GPU to achieve higher computational performance. Furthermore, ideas have been discussed around the performance enhancement and bottleneck identification related to the implementation of options-pricing models on GPUs.

Keywords: monte carlo, stochastic models, computational finance, parallel programming, scientific computing

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Authors: C. D. Chen, H. Takaoka, Z. Ya’cob, V. L. Low, K. W. Lau, M. Sofian-Azirun

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Adult black flies (Diptera: Simuliidae) are small (1.5-6.0 mm long), two-winged insects, and are well known as one of the biting flies of medical and veterinary importance. Female of certain species, when they bite and take blood, not only cause severe skin diseases to human and cattle but also play a role as vectors of viral, protozoan and filarial diseases in humans and animals. Black flies also attract environmental biologist and ecologist because their immature states breed only in clean running fresh waters, and larvae are one of the principal processors of plant debris in streams. All these researches on medical and ecological aspects of black flies could not be reliably proceeded without sufficient basic knowledge of the fauna of black flies established by traditional but still important morphotaxonomy. Previously, only 39 species of black flies were recorded from Peninsular Malaysia, all of which are classified into four subgenus (Daviesellum, Gomphostilbia, Nevermannia and Simulium) of the genus Simulium. We carried out faunal surveys and taxonomic works of black flies in Peninsular Malaysia since November 2010. A total of 17 new species and 4 newly recorded species were collected. This increased the number of the described species of black flies in Peninsular Malaysia from 39 to 60. Our results suggest that a much higher diverse nature of black flies in Peninsular Malaysia will be clarified by further extensive surveys.

Keywords: black flies, Simulium, Nevermannia, feuerborni species-group

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Authors: Fekadu L. Bayisa, Elvan Ceyhan, Todd D. Steury

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Interaction between individuals within the same species is an important component of population dynamics. An interaction can be either static (based on spatial overlap) or dynamic (based on movement interactions). Using GPS collar data, we can quantify both static and dynamic interactions between black bears. The goal of this work is to determine the level of black bear interactions using the 95% and 50% home ranges, as well as to model black bear spatial interactions, which could be attraction, avoidance/repulsion, or a lack of interaction at all, to gain new insights and improve our understanding of ecological processes. Recent methodological developments in home range estimation, inhomogeneous multitype/cross-type summary statistics, and envelope testing methods are explored to study the nature of black bear interactions. Our findings, in general, indicate that the black bears of one type in our data set tend to cluster around another type.

Keywords: autocorrelated kernel density estimator, cross-type summary function, inhomogeneous multitype Poisson process, kernel density estimator, minimum convex polygon, pointwise and global envelope tests

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Authors: Hassan Baioumy, Yuniarti Ulfa, Mohd Nawawi, Mohammad Noor Akmal Anuar

Abstract:

Paleozoic, Mesozoic and Cenozoic black shales that can be a potential source of energy and precious metals are widely distributed in Malaysia Peninsula, Sarawak and Sabah. Two Paleozoic black shales outcrops were reported in the Langkawi Island belonging to the Cambrian fluvial Machinchang Formation and the Silurian glaciomarine Singa Formation. More the seventeen occurrences of Paleozoic black shales outcrops have been found in the Peninsular Malaysia that range in age from Devonian, Carboniferous, and Permian in the Terengganu, Perlis, Pahang, and Perak States. Mesozoic black shales outcrops occur in several places in both the Peninsular Malaysia and Sarawak. In the Peninsular Malaysia, Triassic black shales occur in the Nami area, Northern Kedah and in the Pahang area. In Sarawak, Triassic black shales have been reported in the Bau area. Cenozoic black shales outcrops were reported in both Sarawak at Miri area and Sabah at the Ranau and Tenom areas. Preliminary mineralogical and geochemical investigations on some of these black shales outcrops showed distinct compositional variations among these black shales outcrops probably due to variations in their source area composition and/or depositional and diagenetic settings of these shales. Some of these shalese also subjected to post-depositional hydrothermal mineralization that enriched these shales with Au-bearing minerals such as pyrite, calchopyrite, and arsenopyrite. Many of the studied black shales outcrops look rich in organic matter, which increase the possibility of using these black shales as an unconventional energy resource.

Keywords: black shales, energy, mineralization, Malaysia

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