Search results for: stochastic transformation

Authors: Bassem Roushdy, Nahed Sobhy, Abdelrhim Abdelhamid, Ahmed Mahmoud

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Most papers model Joint Replenishment Problem (JRP) as a (kT,S) where kT is a multiple value for a common review period T,and S is a predefined order up to level. In general the (T,S) policy is characterized by a long out of control period which requires a large amount of safety stock compared to the (R,Q) policy. In this paper a probabilistic model is built where an item, call it item(i), with the shortest order time between interval (T)is modeled under (R,Q) policy and its inventory is continuously reviewed, while the rest of items (j) are periodically reviewed at a definite time corresponding to item

Keywords: Inventory management, Joint replenishment, policy evaluation, stochastic process

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Authors: Arpita Soni, Sapna Mittal

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Austenite and Martensite indicate the phases of solids undergoing phase transformation which we usually associate with materials and not with living organisms. This article provides an overview of bacterial proteins and structures that are undergoing phase transformation and suggests its probable effect on mechanical behavior. The context is mainly within the role of phase transformations occurring in the flagellum of bacteria. The current knowledge of molecular mechanism leading to phase variation in living organisms is reviewed. Since in bacteria, each flagellum is driven by a separate motor, similarity to a Differential drive in case of four-wheeled vehicles is suggested. It also suggests the application of the mechanism in which bacteria changes its direction of movement to facilitate single point turning of a multi-wheeled vehicle. Finally, examples are presented to illustrate that the motion due to phase transformation of flagella in bacteria can start a whole new research on motion mechanisms.

Keywords: Flagella, Phase Transformation, Nanobots, Differential Drive, Single point turn, Biomimetics

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Authors: Jihad S. Daba (Jean-Pierre Dubois), Philip Jreije

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Speckled images arise when coherent microwave, optical, and acoustic imaging techniques are used to image an object, surface or scene. Examples of coherent imaging systems include synthetic aperture radar, laser imaging systems, imaging sonar systems, and medical ultrasound systems. Speckle noise is a form of object or target induced noise that results when the surface of the object is Rayleigh rough compared to the wavelength of the illuminating radiation. Detection and estimation in images corrupted by speckle noise is complicated by the nature of the noise and is not as straightforward as detection and estimation in additive noise. In this work, we derive stochastic models for speckle noise, with an emphasis on speckle as it arises in medical ultrasound images. The motivation for this work is the problem of segmentation and tissue classification using ultrasound imaging. Modeling of speckle in this context involves partially developed speckle model where an underlying Poisson point process modulates a Gram-Charlier series of Laguerre weighted exponential functions, resulting in a doubly stochastic filtered Poisson point process. The statistical distribution of partially developed speckle is derived in a closed canonical form. It is observed that as the mean number of scatterers in a resolution cell is increased, the probability density function approaches an exponential distribution. This is consistent with fully developed speckle noise as demonstrated by the Central Limit theorem.

Keywords: Doubly stochastic filtered process, Poisson point process, segmentation, speckle, ultrasound

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Authors: Hidemi Ogasawara, Kiyoshi Akama, Hiroshi Mabuchi

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The purpose of this paper is to propose a framework for constructing correct parallel processing programs based on Equivalent Transformation Framework (ETF). ETF regards computation as In the framework, a problem-s domain knowledge and a query are described in definite clauses, and computation is regarded as transformation of the definite clauses. Its meaning is defined by a model of the set of definite clauses, and the transformation rules generated must preserve meaning. We have proposed a parallel processing method based on “specialization", a part of operation in the transformations, which resembles substitution in logic programming. The method requires “Memo-tree", a history of specialization to maintain correctness. In this paper we proposes the new method for the specialization-base parallel processing without Memo-tree.

Keywords: Parallel processing, Program correctness, Equivalent transformation, Specializer generation rule

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Authors: Karolína Vozková, Matěj Kuc

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This paper analyzes recent trends in cost efficiency of European cooperative banks using efficient frontier analysis. Our methodology is based on stochastic frontier analysis which is run on a set of 649 European cooperative banks using data between 2006 and 2015. Our results show that average inefficiency of European cooperative banks is increasing since 2008, smaller cooperative banks are significantly more efficient than the bigger ones over the whole time period and that share of net fee and commission income to total income surprisingly seems to have no impact on bank cost efficiency.

Keywords: Cooperative banks, cost efficiency, efficient frontier analysis, stochastic frontier analysis, net fee and commission income.

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Authors: Hamze Torabian, Mohammad Mehrabioun Mohammadi

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Like many other industries, the payment industry has been affected by digital transformation. The importance of digital transformation in the payment industry is very crucial. Because the payment industry is considered a leading industry in digital and emerging technologies, and the digitalization of other industries such as retail, health, and telecommunication, it also depends on the growth rate of digitalized payment systems. One of the technological innovations in service management is Field Service Management (FSM). Despite the widespread use of FSM in various industries such as petrochemical, health, maintenance, etc., this technology can also be recruited in the payment industry, transforming the payment industry into a more agile and efficient one. Accordingly, the present study pays close attention to the application of FSM in the payment industry. Given the importance of merchants' bargaining power in the payment industry, this study aims to use FSM in the digital transformation initiative with a targeted focus on providing real-time services to merchants. The research method consists of three parts. Firstly, conducting the review of past research, applications of FSM in the payment industry are considered. In the next step, merchants' benefits such as emotional, functional, economic, and social benefits in using FSM are identified using in-depth interviews and content analysis methods. The related business model in helping the payment industry transforming into a more agile and efficient industry is considered in the following step. The results revealed the 10 main pillars required to realize the digital transformation of payment systems using FSM.

Keywords: Digital transformation, field service management, merchant support systems, payment industry.

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Authors: Rosita Suhaimi, Firdaus Abdullah, Chong Fen Nee, Nurhani Aba Ibrahim

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This paper attempts to identify the significance of Information and Communications Technology (ICT) and competitiveness to the profit efficiency of commercial banks in Malaysia. The profit efficiency of commercial banks in Malaysia, the dependent variable, was estimated using the Stochastic Frontier Approach (SFA) on a sample of unbalanced panel data, covering 23 commercial banks, between 1995 to 2007. Based on the empirical results, ICT was not found to exert a significant impact on profit efficiency, whereas competitiveness, non ICT stock expenditure and ownership were significant contributors. On the other hand, the size of banks was found to have significantly reduced profit efficiency, opening up for various interpretations of the interrelated role of ICT and competition.

Keywords: Competitiveness, Profit Efficiency, Stochastic Frontier Analysis

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Authors: Karim Hamidi Machekposhti, Hossein Sedghi

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This study was designed to find the best stochastic model (using of time series analysis) for annual extreme streamflow (peak and maximum streamflow) of Karkheh River at Iran. The Auto-regressive Integrated Moving Average (ARIMA) model used to simulate these series and forecast those in future. For the analysis, annual extreme streamflow data of Jelogir Majin station (above of Karkheh dam reservoir) for the years 1958–2005 were used. A visual inspection of the time plot gives a little increasing trend; therefore, series is not stationary. The stationarity observed in Auto-Correlation Function (ACF) and Partial Auto-Correlation Function (PACF) plots of annual extreme streamflow was removed using first order differencing (d=1) in order to the development of the ARIMA model. Interestingly, the ARIMA(4,1,1) model developed was found to be most suitable for simulating annual extreme streamflow for Karkheh River. The model was found to be appropriate to forecast ten years of annual extreme streamflow and assist decision makers to establish priorities for water demand. The Statistical Analysis System (SAS) and Statistical Package for the Social Sciences (SPSS) codes were used to determinate of the best model for this series.

Keywords: Stochastic models, ARIMA, extreme streamflow, Karkheh River.

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Authors: Z. D. Mansor, C. P. Mun, B. S. Nurul Farhana, Wan Aisyah Nasuha Wan Mohamed Tarmizi

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The aim of this research is to determine the influence of transformation leadership style on employee engagement among Generation Y. The growing of Generation Y employees in Malaysia has raised concerns about how to engage and motivate this cohort. Transformation Leadership style is one of the key factors to increase employee engagement levels in the organization. This study has proven to be important for the researchers and the organization to properly understand the concept of employee engagement, transformation leadership style and their relationship. The samples in this study included 221 respondents of Generation Y who are currently working in Selangor and Klang Valley area in Malaysia. The data were collected using questionnaires and analyzed by using Statistical Package for Social Science (SPSS). The results show that there is a significant relationship between the dimension of intellectual stimulation, inspiration motivation and individual consideration on employee engagement. In contrast, the results have revealed that there is no significant relationship between idealized influences of a leader on employee engagement among Generation Y.

Keywords: Employee engagement, gen Y, transformational leadership styles, survey.

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Authors: Salinee Thumronglaohapun

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The proper number and appropriate locations of service centers can save cost, raise revenue and gain more satisfaction from customers. Establishing service centers is high-cost and difficult to relocate. In long-term planning periods, several factors may affect the service. One of the most critical factors is uncertain demand of customers. The opened service centers need to be capable of serving customers and making a profit although the demand in each period is changed. In this work, the capacitated location-allocation problem with stochastic demand is considered. A mathematical model is formulated to determine suitable locations of service centers and their allocation to maximize total profit for multiple planning periods. Two heuristic methods, a local search and genetic algorithm, are used to solve this problem. For the local search, five different chances to choose each type of moves are applied. For the genetic algorithm, three different replacement strategies are considered. The results of applying each method to solve numerical examples are compared. Both methods reach to the same best found solution in most examples but the genetic algorithm provides better solutions in some cases.

Keywords: Location-allocation problem, stochastic demand, local search, genetic algorithm.

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Authors: Nora Taghavi, Ali Sadr

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System identification is the process of creating models of dynamic process from input- output signals. The aim of system identification can be identified as “ to find a model with adjustable parameters and then to adjust them so that the predicted output matches the measured output". This paper presents a method of modeling and simulating with system identification to achieve the maximum fitness for transformation function. First by using optimized KLM equivalent circuit for PVDF piezoelectric transducer and assuming different inputs including: sinuside, step and sum of sinusides, get the outputs, then by using system identification toolbox in MATLAB, we estimate the transformation function from inputs and outputs resulted in last program. Then compare the fitness of transformation function resulted from using ARX,OE(Output- Error) and BJ(Box-Jenkins) models in system identification toolbox and primary transformation function form KLM equivalent circuit.

Keywords: PVDF modeling, ARX, BJ(Box-Jenkins), OE(Output-Error), System Identification.

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Authors: László Lengyel, Tihamér Levendovszky, Hassan Charaf

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This paper presents the visual control flow support of Visual Modeling and Transformation System (VMTS), which facilitates composing complex model transformations out of simple transformation steps and executing them. The VMTS Visual Control Flow Language (VCFL) uses stereotyped activity diagrams to specify control flow structures and OCL constraints to choose between different control flow branches. This work discusses the termination properties of VCFL and provides an algorithm to support the termination analysis of VCFL transformations.

Keywords: Control Flow, Metamodel-Based Visual Model Transformation, OCL, Termination Properties, UML.

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Authors: Guangpu Chen

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When the failure function is monotone, some monotonic reliability methods are used to gratefully simplify and facilitate the reliability computations. However, these methods often work in a transformed iso-probabilistic space. To this end, a monotonic simulator or transformation is needed in order that the transformed failure function is still monotone. This note proves at first that the output distribution of failure function is invariant under the transformation. And then it presents some conditions under which the transformed function is still monotone in the newly obtained space. These concern the copulas and the dependence concepts. In many engineering applications, the Gaussian copulas are often used to approximate the real word copulas while the available information on the random variables is limited to the set of marginal distributions and the covariances. So this note catches an importance on the conditional monotonicity of the often used transformation from an independent random vector into a dependent random vector with Gaussian copulas.

Keywords: Monotonic, Rosenblatt, Nataf transformation, dependence concepts, completely positive matrices, Gaussiancopulas

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Authors: Irwin Ma, Tony Wong, Thiagas Sankar

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By systematically applying different engineering methods, difficult financial problems become approachable. Using a combination of theory and techniques such as wavelet transform, time series data mining, Markov chain based discrete stochastic optimization, and evolutionary algorithms, this work formulated a strategy to characterize and forecast non-linear time series. It attempted to extract typical features from the volatility data sets of S&P100 and S&P500 indices that include abrupt drops, jumps and other non-linearity. As a result, accuracy of forecasting has reached an average of over 75% surpassing any other publicly available results on the forecast of any financial index.

Keywords: Discrete stochastic optimization, genetic algorithms, genetic programming, volatility forecast

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Authors: Changzhao Li, Juan Zhang

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In this paper, we investigate a class of fuzzy Cohen- Grossberg neural networks with time delays and impulsive effects. By virtue of stochastic analysis, Halanay inequality for stochastic differential equations, we find sufficient conditions for the global exponential square-mean synchronization of the FCGNNs under noise perturbation. In particular, the traditional assumption on the differentiability of the time-varying delays is no longer needed. Finally, a numerical example is given to show the effectiveness of the results in this paper.

Keywords: Fuzzy Cohen-Grossberg neural networks (FCGNNs), complete synchronization, time delays, impulsive, noise perturbation.

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Authors: András Király, Tamás Varga, János Abonyi

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Since supply chains highly impact the financial performance of companies, it is important to optimize and analyze their Key Performance Indicators (KPI). The synergistic combination of Particle Swarm Optimization (PSO) and Monte Carlo simulation is applied to determine the optimal reorder point of warehouses in supply chains. The goal of the optimization is the minimization of the objective function calculated as the linear combination of holding and order costs. The required values of service levels of the warehouses represent non-linear constraints in the PSO. The results illustrate that the developed stochastic simulator and optimization tool is flexible enough to handle complex situations.

Keywords: stochastic processes, empirical distributions, Monte Carlo simulation, PSO, supply chain management

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Authors: Paola Lecca, Lorenzo Dematte

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Reactiondiffusion systems are mathematical models that describe how the concentration of one or more substances distributed in space changes under the influence of local chemical reactions in which the substances are converted into each other, and diffusion which causes the substances to spread out in space. The classical representation of a reaction-diffusion system is given by semi-linear parabolic partial differential equations, whose general form is ÔêétX(x, t) = DΔX(x, t), where X(x, t) is the state vector, D is the matrix of the diffusion coefficients and Δ is the Laplace operator. If the solute move in an homogeneous system in thermal equilibrium, the diffusion coefficients are constants that do not depend on the local concentration of solvent and of solutes and on local temperature of the medium. In this paper a new stochastic reaction-diffusion model in which the diffusion coefficients are function of the local concentration, viscosity and frictional forces of solvent and solute is presented. Such a model provides a more realistic description of the molecular kinetics in non-homogenoeus and highly structured media as the intra- and inter-cellular spaces. The movement of a molecule A from a region i to a region j of the space is described as a first order reaction Ai k- → Aj , where the rate constant k depends on the diffusion coefficient. Representing the diffusional motion as a chemical reaction allows to assimilate a reaction-diffusion system to a pure reaction system and to simulate it with Gillespie-inspired stochastic simulation algorithms. The stochastic time evolution of the system is given by the occurrence of diffusion events and chemical reaction events. At each time step an event (reaction or diffusion) is selected from a probability distribution of waiting times determined by the specific speed of reaction and diffusion events. Redi is the software tool, developed to implement the model of reaction-diffusion kinetics and dynamics. It is a free software, that can be downloaded from http://www.cosbi.eu. To demonstrate the validity of the new reaction-diffusion model, the simulation results of the chaperone-assisted protein folding in cytoplasm obtained with Redi are reported. This case study is redrawing the attention of the scientific community due to current interests on protein aggregation as a potential cause for neurodegenerative diseases.

Keywords: Reaction-diffusion systems, Fick's law, stochastic simulation algorithm.

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Authors: Marko Popovic

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There are three possible effects of Special Theory of Relativity (STR) on a thermodynamic system. Planck and Einstein looked upon this process as isobaric; on the other hand Ott saw it as an adiabatic process. However plenty of logical reasons show that the process is isotherm. Our phenomenological consideration demonstrates that the temperature is invariant with Lorenz transformation. In that case process is isotherm, so volume and pressure are Lorentz covariant. If the process is isotherm the Boyles law is Lorentz invariant. Also equilibrium constant and Gibbs energy, activation energy, enthalpy entropy and extent of the reaction became Lorentz invariant.

Keywords: STR, relativistic temperature transformation, Boyle'slaw, equilibrium constant, Gibbs energy.

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Authors: Umut Tuğlu Karslı

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Istanbul-Karakoy Port, field of this study, has lost its former significance in time due to the transformation of urban functions. Today, activities for regeneration of this region continue in two forms and scales. First of these activities is the "planned transformation projects," which also includes “Galataport project”, and the second one is "spontaneous transformation," which consists of individual interventions. Galataport project that based on the idea of arranging the area specifically for tourists was prepared in 2005 and became a topic of tremendous public debate. On the other hand, the "spontaneous transformation" that is observed in Karakoy District starts in 2004 with the foundation of “Istanbul Modern Museum” which allowed the cultural integration of old naval warehouses of the port to the daily life. Following this adaptive reuse intervention, the district started to accommodate numerous art galleries, studios, caféworkshops and design stores. In this context, this paper first examines regeneration studies in obsolete port regions, analyzes the planned and ongoing socio-spatial transformations in the specific case of Karakoy and performs a critical review of the sustainability of the proposals on how to reinstate the district in the active life of Istanbul.

Keywords: Port Cities, Socio-Spatial Transformation, Urban Regeneration, Urban Revitalization.

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Authors: Ho Yuan-Hong, Hunag Chiung-Ju

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This study conducts simulation analyses to find the optimal debt ceiling of Taiwan, while factoring in welfare maximization under a dynamic stochastic general equilibrium framework. The simulation is based on Taiwan's 2001 to 2011 economic data and shows that welfare is maximized at a debt/GDP ratio of 0.2, increases in the debt/GDP ratio leads to increases in both tax and interest rates and decreases in the consumption ratio and working hours. The study results indicate that the optimal debt ceiling of Taiwan is 20% of GDP, where if the debt/GDP ratio is greater than 40%, the welfare will be negative and result in welfare loss.

Keywords: Debt sustainability, optimal debt ceiling, dynamic stochastic general equilibrium, welfare maximization.

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Authors: M. Foroutan, H. Dalayeli, M. Sadeghian

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In this paper processes including large deformations of a rubber with hyperelastic material behavior are simulated by the RKPM method. Due to the loss of kronecker delta properties in the mesh less shape functions, the imposition of essential boundary conditions consumes significant CPU time in mesh free computations. In this work transformation method is used for imposition of essential boundary conditions. A RKPM material shape function is used in this analysis. The support of the material shape functions covers the same set of particles during material deformation and hence the transformation matrix is formed only once at the initial stages. A computer program in MATLAB is developed for simulations.

Keywords: RKPM, large deformations, transformation, essentialboundary conditions.

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Authors: Peter Yang

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Green incentives are included in the “American Recovery and Reinvestment Act of 2009" (ARRA). It is, however, unclear how these government incentives can be carried out most effectively according to market-based principles and if they can serve as a catalyst for an accelerated green transformation and an ultimate solution to the current U.S. and global economic and financial crisis. The article will compare the existing U.S. green economic policies with those in Germany, identify problems, and suggest improvements to allow the green stimulus incentives to achieve the best results in the process of an accelerated green transformation. The author argues that the current U.S. green stimulus incentives can only be most successful if they are carried out as part of a visionary, comprehensive, long-term, and consistent strategy of the green economic transformation.

Keywords: Green incentives, financial crisis, green economy, renewable energy sources, energy efficiency.

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Authors: Akbar Banitalebi, Mohd Ismail Abd Aziz, Rohanin Ahmad

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A new stochastic algorithm called Probabilistic Global Search Johor (PGSJ) has recently been established for global optimization of nonconvex real valued problems on finite dimensional Euclidean space. In this paper we present convergence guarantee for this algorithm in probabilistic sense without imposing any more condition. Then, we jointly utilize this algorithm along with control parameterization technique for the solution of constrained optimal control problem. The numerical simulations are also included to illustrate the efficiency and effectiveness of the PGSJ algorithm in the solution of control problems.

Keywords: Optimal Control Problem, Constraints, Direct Methods, Stochastic Algorithm

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Authors: Youngmee Shin, Hyunjoo Bae

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In order to provide existing SOAP (Simple Object Access Protocol)-based Web services with users who are familiar with REST (REpresentational State Transfer)-style Web services, this paper proposes Web service providing method using Web service transformation. This enables SOAP-based service providers to define rules for mapping from RESTful Web services to SOAP-based ones. Using these mapping rules, HTTP request messages for RESTful services are converted automatically into SOAP-based service invocations. Web service providers need not develop duplicate RESTful services and they can avoid programming mediation modules per service. Furthermore, they need not equip mediation middleware like ESB (Enterprise Service Bus) only for the purpose of transformation of two different Web service styles.

Keywords: REST, SOAP, Web Services, Web ServiceTransformation.

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Authors: Maria E. de Boyrie, Darlene Nelson, James A. Nelson

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The history of money is described in relationship to the history of computing. With the transformation and acceptance of money as information, major challenges to the security of money have involved engineering, computer science, and management. Research opportunities and challenges are described as money continues its transformation into information.

Keywords: Electronic, information, money, risk.

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Authors: Faramarz Khosravi, Gokhan Izbirak

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A weighted statistical stochastic based Analytical Hierarchy Process (AHP) model for modeling the potential barriers and enablers of sustainability for measuring and assessing the sustainability level is proposed. For context-dependent potential barriers and enablers, the proposed model takes the basis of the properties of the variables describing the sustainability functions and was developed into a realistic analytical model for the sustainable behavior of an organization. This thus serves as a means for measuring the sustainability of the organization. The main focus of this paper was the application of the AHP tool in a statistically-based model for measuring sustainability. Hence a strong weighted stochastic AHP based procedure was achieved. A case study scenario of a widely reported major Canadian electric utility was adopted to demonstrate the applicability of the developed model and comparatively examined its results with those of an equal-weighted model method. Variations in the sustainability of a company, as fluctuations, were figured out during the time. In the results obtained, sustainability index for successive years changed form 73.12%, 79.02%, 74.31%, 76.65%, 80.49%, 79.81%, 79.83% to more exact values 73.32%, 77.72%, 76.76%, 79.41%, 81.93%, 79.72%, and 80,45% according to priorities of factors that have found by expert views, respectively. By obtaining relatively necessary informative measurement indicators, the model can practically and effectively evaluate the sustainability extent of any organization and also to determine fluctuations in the organization over time.

Keywords: AHP, sustainability fluctuation, environmental indicators, performance measurement, environmental sustainability.

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Authors: H. D. Ibrahim, H. C. Chinwenyi, A. H. Usman

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Valuing derivatives (options, futures, swaps, forwards, etc.) is one uneasy task in financial mathematics. The two ways this problem can be effectively resolved in finance is by the use of two methods (Martingales and Partial Differential Equations (PDEs)) to obtain their respective options price valuation formulas. This research paper examined two different stochastic financial models which are Constant Elasticity of Variance (CEV) model and Black-Karasinski term structure model. Assuming their respective option price valuation formulas, we proved the analogous of the Martingales and PDEs options price valuation formulas for the two different Stochastic Differential Equation (SDE) models. This was accomplished by using the applications of Girsanov theorem for defining an Equivalent Martingale Measure (EMM) and the Feynman-Kac theorem. The results obtained show the systematic proof for analogous of the two (Martingales and PDEs) options price valuation formulas beginning with the Martingales option price formula and arriving back at the Black-Scholes parabolic PDEs and vice versa.

Keywords: Option price valuation, Martingales, Partial Differential Equations, PDEs, Equivalent Martingale Measure, Girsanov Theorem, Feyman-Kac Theorem, European Put Option.

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Authors: Abdulfatah A Raji

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This paper started with the definitions of literature, Arabic literature, transformation and went further to highlight the components of educational transformation. The general history of Arabic literature was discussed with focus on how it undergoes some transformations from pre-Islamic period through Quranic era, Abbasid literature to renaissance period in which the modernization of Arabic literature started in Egypt. It also traces the spread of Arabic literature in Nigeria from the pre-colonial era during the Kanuri rulers to Jihad of Usman Dan Fodio and the development of literature which manifested to the Teacher’s Colleges and Bayero University in Northern Nigeria. Also, the establishment of primary and post-primary schools by Muslim organizations in many cities and towns of the Western part of Nigeria. Literary criticism was also discussed in line with Arabic literature. Poetry work of eminent poets were cited to show its importance in line with educational transformation in Nigerian literature and lessons from the cited Arabic poetry works were also highlighted to include: motivation to behave well and to tolerate others, better spirits of interaction, love and co-existence among different sexes, religion etc. All these can help in developing a better educational transformation in Nigeria which can in turn help in how to conduct researches for national development. The paper recommended compulsory Arabic literature at all levels of the nations’ educational system as well as publication of Arabic books and journals to encourage peace in this era of conflicts and further transform Nigeria’s educational system for better.

Keywords: Arabic, literature, peace, development, Nigeria

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Authors: Siamak Rasulzadeh

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Graph transformation has recently become more and more popular as a general visual modeling language to formally state the dynamic semantics of the designed models. Especially, it is a very natural formalism for languages which basically are graph (e.g. UML). Using this technique, we present a highly understandable yet precise approach to formally model and analyze the behavioral semantics of UML 2.0 Activity diagrams. In our proposal, AGG is used to design Activities, then using our previous approach to model checking graph transformation systems, designers can verify and analyze designed Activity diagrams by checking the interesting properties as combination of graph rules and LTL (Linear Temporal Logic) formulas on the Activities.

Keywords: UML 2.0 Activity, Verification, Model Checking, Graph Transformation, Dynamic Semantics.

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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: Option price valuation, Partial Differential Equations, Black-Scholes PDEs, Ito process.

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