• Journal of applied mathematics & informatics
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• 제28권5_6호
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• pp.1239-1248
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• 2010

In this paper, an implementable BFGS bundle algorithm for solving a nonsmooth convex optimization problem is presented. The typical method minimizes an approximate Moreau-Yosida regularization using a BFGS algorithm with inexact function and the approximate gradient values which are generated by a finite inner bundle algorithm. The approximate subgradient of the objective function is used in the algorithm, which can make the algorithm easier to implement. The convergence property of the algorithm is proved under some additional assumptions.

• 충청수학회지
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• 제27권3호
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• pp.495-502
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• 2014

In this paper, we show the ${\psi}$-uniform stability for linear impulsive differential equations and their perturbations by using the impulsive Gronwall's inequalities.

• Kyungpook Mathematical Journal
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• 제60권4호
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• pp.797-803
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• 2020

The Brück conjecture is still open for an entire function f with hyper order of no less than 1/2, which is not an integer. In this paper, it is proved that the hyper order of solutions of a linear complex differential equation that is related to the Brüuck Conjecture is infinite. The results show that the conjecture holds in a special case when the hyper order of f is 1/2.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제22권2호
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• pp.159-168
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• 2015

Abstract. We propose a fast and robust finite difference method for Merton's jump diffusion model, which is a partial integro-differential equation. To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. Also, we use non-uniform grids to increase efficiency. We present numerical experiments such as evaluation of the option prices and Greeks to demonstrate a performance of the proposed numerical method. The computational results are in good agreements with the exact solutions of the jump-diffusion model.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제26권4호
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• pp.296-309
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• 2022

Timer options are one of the contingent claims that, for given the variance budget, its payoff depends on a random maturity in terms of the realized variance unlike the standard European vanilla option with a fixed time maturity. Since it was first launched by Société Générale Corporate and Investment Banking in 2007, the valuation of the timer options under several stochastic environment for the volatility has been conducted by many researches. In this study, we propose the pricing of timer power options combined with standard timer options and the index of the power to the underlying asset for the investors to actualize lower risks and higher returns at the same time under the uncertain markets. By using the asymptotic analysis, we obtain the first-order approximation of timer power options. Moreover, we demonstrate that our solution has been derived accurately by comparing it with the solution from the Monte-Carlo method. Finally, we analyze the impact of the stochastic volatility with regards to various parameters on the timer power options numerically.

• Journal of applied mathematics & informatics
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• 제26권5_6호
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• pp.1021-1035
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• 2008

In this paper, we analyze an N-design call center with skill-based routing, in which one pool of agents handles two types of calls and another pool of agents handles only one type of calls. The approximate analysis is motivated by a computational complexity that has been observed in the direct stochastic approach and numerical method for finding performance measures. The workforce staffing policy is very important to the successful management of call centers. So the allocation scheduling of the agents can be considered as the optimization problem of the corresponding queueing system to the call center. We use a decomposition algorithm which divides the state space of the queueing system into the subspaces for the approximate analysis of the N-design call center with two different types of agents. We also represent some numerical examples and show the impact of the system parameters on the performance measures.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2003년도 춘계 학술발표회 논문집
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• pp.43-48
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• 2003

We consider a consumption and investment problem where an investor's investment opportunity gets enlarged when she becomes rich enough, i.e., when her wealth touches a critical level. We derive optimal consumption and investment rules assuming that the investor has a time-separable von Neumann-Morgenstern utility function. An interesting feature of optimal rules is that the investor consumes less and takes more risk in risky assets if the investor expects that she will have a better investment opportunity when her wealth reaches a critical level.

• Journal of applied mathematics & informatics
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• 제29권1_2호
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• pp.173-190
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• 2011

In this paper, we construct a new approach of affine scaling interior algorithm using the affine scaling conjugate gradient and Lanczos methods for bound constrained nonlinear optimization. We get the iterative direction by solving quadratic model via affine scaling conjugate gradient and Lanczos methods. By using the line search backtracking technique, we will find an acceptable trial step length along this direction which makes the iterate point strictly feasible and the objective function nonmonotonically decreasing. Global convergence and local superlinear convergence rate of the proposed algorithm are established under some reasonable conditions. Finally, we present some numerical results to illustrate the effectiveness of the proposed algorithm.

• Journal of applied mathematics & informatics
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• 제38권5_6호
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• pp.439-461
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• 2020

A step-up option is a newly developed financial instrument that simultaneously provides higher security and profitability. This paper introduces two step-up options: step-up type1 and step-up type2 options, and derives the option pricing formulas using the Laplace transform. We assume that the underlying equity price follows a regime-switching model that reflects the long-term maturity of these options. The option prices are calculated for the two types of funds, a pure stock fund composed of risky assets only and a mixed fund composed of stocks and bonds, to reflect possible variety in the fund underlying asset mix. The impact of changes in the model parameters on the option prices is analyzed. This paper provides information crucial to product developments.

• 대한수학회지
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• 제45권2호
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• pp.559-573
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• 2008

In this paper, two classes of functions, involving a parameter and the classical Euler gamma function, and two functions, involving the classical Euler gamma function, are verified to be logarithmically completely monotonic in $(-\frac{1}{2},\infty)$ or $(0,\infty)$; some inequalities involving the classical Euler gamma function are deduced and compared with those originating from certain problems of traffic flow, due to J. Wendel and A. Laforgia, and relating to the well known Stirling's formula.