mdh.sePublications
Change search
Link to record
Permanent link

Direct link
BETA
Silvestrov, Sergei, ProfessorORCID iD iconorcid.org/0000-0003-4554-6528
Alternative names
Publications (10 of 151) Show all publications
Betuel, C., Malyarenko, A., Ni, Y., Rancic, M. & Silvestrov, S. (2018). Calibration of Multiscale Two-Factor Stochastic Volatility Models: A Second-Order Asymptotic Expansion Approach. In: Christos H Skiadas (Ed.), : . Paper presented at SMTDA2018 5th Stochastic Modeling Techniques and Data Analysis International Conference - SMTDA 2018, Crete, Greece. ISAST: International Society for the Advancement of Science and Technology
Open this publication in new window or tab >>Calibration of Multiscale Two-Factor Stochastic Volatility Models: A Second-Order Asymptotic Expansion Approach
Show others...
2018 (English)In: / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2018Conference paper, Oral presentation with published abstract (Refereed)
Abstract [en]

The development of financial markets imposes more complex models on the option pricing problems. On the previous papers by the authors, we consider a model under which the underlying asset is driven by two independent Heston-type stochastic volatility processes of multiscale (fast and slow) mean-reverting rates and we compute an approximate solution for the option pricing problem, using asymptotic expansion method. In the present paper, we aim to calibrate the model using the market prices of options on Euro Stoxx 50 index and an equity stock in the European market. Our approach is to use the market implied volatility surface for calibrating directly a set of new parameters required in our second-order asymptotic expansion pricing formula for European options. This secondorder asymptotic expansion formula provides a better approximation formula for European option prices than the first-order formula, as explained in an earlier work of the authors.

Place, publisher, year, edition, pages
ISAST: International Society for the Advancement of Science and Technology, 2018
Keywords
Option pricing model, asymptotic expansion of option price, stochastic volatility model, multiscale stochastic volatility, calibration
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-41091 (URN)978-618-5180-27-0 (ISBN)978-618-5180-29-4 (ISBN)
Conference
SMTDA2018 5th Stochastic Modeling Techniques and Data Analysis International Conference - SMTDA 2018, Crete, Greece
Available from: 2018-09-30 Created: 2018-09-30 Last updated: 2018-10-01Bibliographically approved
Javor, V., Lundengård, K., Rancic, M. & Silvestrov, S. (2018). Electrostatic discharge currents and their derivatives' approximation by piecewise power-exponential functions. Turkish Journal of Electrical Engineering and Computer Sciences, 26(2), 1093-1102
Open this publication in new window or tab >>Electrostatic discharge currents and their derivatives' approximation by piecewise power-exponential functions
2018 (English)In: Turkish Journal of Electrical Engineering and Computer Sciences, ISSN 1300-0632, E-ISSN 1303-6203, Vol. 26, no 2, p. 1093-1102Article in journal (Refereed) Published
Abstract [en]

An analytically extended function based on power-exponential functions is used in this paper for approxi- mation of electrostatic discharge (ESD) currents and their derivatives. The Marquardt least-squares method (MLSM) is applied for obtaining nonlinear function parameters. IEC 61000-4-2 Standard ESD current is approximated, as well as some measured ESD currents' wave shapes. Power-exponential terms are extended at the local maxima and minima of the represented wave shape, so that this approximation is done from peak to peak. ESD current derivative is approxi- mated using the same procedure in order to obtain the continuous second order derivative of the current, as all piecewise functions are of differentiability class C1L . Currents and their derivatives are often measured in ESD experiments so that their analytical representation is needed for simulation of ESD phenomena, better definition of standard requirements, and computation of the transient fields and induced effects.

Keywords
Electrostatic discharge currents, N-peaked analytically extended function, Marquardt least-squares method, power-exponential function
National Category
Computational Mathematics Other Electrical Engineering, Electronic Engineering, Information Engineering
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-36536 (URN)10.3906/elk-1707-95 (DOI)000428723200037 ()2-s2.0-85044990579 (Scopus ID)
Note

Published:

online november 2017

print march 2018

Available from: 2017-09-28 Created: 2017-09-28 Last updated: 2018-10-01Bibliographically approved
Bäck, P., Richter, J. & Silvestrov, S. (2018). Hom-associative Ore extensions. Paper presented at 25th International Conference on Integrable Systems and Quantum Symmetries, ISQS 2017; Czech Technical UniversityPrague; Czech Republic; 6 June 2017 through 10 June 2017; Code 134824. Journal of Physics, Conference Series, 965(1), Article ID 012006.
Open this publication in new window or tab >>Hom-associative Ore extensions
2018 (English)In: Journal of Physics, Conference Series, ISSN 1742-6588, E-ISSN 1742-6596, Vol. 965, no 1, article id 012006Article in journal (Refereed) Published
Abstract [en]

We introduce hom-associative Ore extensions as non-associative, non-unital Ore extensions with a hom-associative multiplication, as well as give some necessary and sufficient conditions when such exist. Within this framework, we also construct a family of hom-associative Weyl algebras as generalizations of the classical analogue, and prove that they are simple.

Place, publisher, year, edition, pages
Institute of Physics Publishing, 2018
National Category
Mathematics Algebra and Logic
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-38849 (URN)10.1088/1742-6596/965/1/012006 (DOI)000446028000006 ()2-s2.0-85042922463 (Scopus ID)
Conference
25th International Conference on Integrable Systems and Quantum Symmetries, ISQS 2017; Czech Technical UniversityPrague; Czech Republic; 6 June 2017 through 10 June 2017; Code 134824
Available from: 2018-03-15 Created: 2018-03-15 Last updated: 2018-10-18Bibliographically approved
Bäck, P., Richter, J. & Silvestrov, S. (2018). Hom-associative Ore extensions and weak unitalizations. International Electronic Journal of Algebra, 24, 174-194
Open this publication in new window or tab >>Hom-associative Ore extensions and weak unitalizations
2018 (English)In: International Electronic Journal of Algebra, ISSN 1306-6048, E-ISSN 1306-6048, Vol. 24, p. 174-194Article in journal (Refereed) Published
Abstract [en]

We introduce hom-associative Ore extensions as non-unital, nonassociative Ore extensions with a hom-associative multiplication, and give some necessary and sucient conditions when such exist. Within this framework, we construct families of hom-associative quantum planes, universal enveloping algebras of a Lie algebra, and Weyl algebras, all being hom-associative generalizations of their classical counterparts, as well as prove that the latter are simple. We also provide a way of embedding any multiplicative hom-associative algebra into a multiplicative, weakly unital hom-associative algebra, which we call a weak unitalization.

Keywords
hom-associative Ore extensions, hom-associative Weyl algebras, hom-associative algebras
National Category
Algebra and Logic
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-40202 (URN)10.24330/ieja.440245 (DOI)000438336600013 ()2-s2.0-85051115772 (Scopus ID)
Available from: 2018-07-05 Created: 2018-07-05 Last updated: 2018-08-16Bibliographically approved
Tumwesigye, A. B., Richter, J. & Silvestrov, S. (2018). Ore extensions of function algebras. In: : . Paper presented at International Conference "Stochastic Processes and Algebraic Structures" (SPAS2017).
Open this publication in new window or tab >>Ore extensions of function algebras
2018 (English)Conference paper, Oral presentation with published abstract (Refereed)
National Category
Mathematics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-38999 (URN)
Conference
International Conference "Stochastic Processes and Algebraic Structures" (SPAS2017)
Available from: 2018-04-13 Created: 2018-04-13 Last updated: 2018-11-05Bibliographically approved
Engström, C. & Silvestrov, S. (2018). PageRank for networks, graphs and Markov chains. Theory of Probability and Mathematical Statistics, 96, 59-82
Open this publication in new window or tab >>PageRank for networks, graphs and Markov chains
2018 (English)In: Theory of Probability and Mathematical Statistics, ISSN 0868-6904, Vol. 96, p. 59-82Article in journal (Refereed) Published
Abstract [en]

In this work it is described how a partitioning of a graph into components can be used to calculate PageRank in a large network and how such a partitioning can be used to re-calculate PageRank as the network changes. Although considered problem is that of calculating PageRank, it is worth to note that the same partitioning method could be used when working with Markov chains in general or solving linear systems as long as the method used for solving a single component is chosen appropriately. An algorithm for calculating PageRank using a modified partitioning of the graph into strongly connected components is described. Moreover, the paper focuses also on the calculation of PageRank in a changing graph from two different perspectives, by considering specific types of changes in the graph and calculating the difference in rank before and after certain types of edge additions or removals between components. Moreover, some common specific types of graphs for which it is possible to find analytic expressions for PageRank are considered, and in particular the complete bipartite graph and how PageRank can be calculated for such a graph. Finally, several open directions and problems are described.

Keywords
PageRank, random walk, Markov chain, graph, strongly connected component
National Category
Probability Theory and Statistics Computational Mathematics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-36589 (URN)10.1090/tpms/1034 (DOI)000412769200006 ()
Available from: 2017-09-30 Created: 2017-09-30 Last updated: 2018-11-08Bibliographically approved
Guariglia, E. & Silvestrov, S. (2017). A functional equation for the Riemann zeta fractional derivative. In: Sivasundaram, S (Ed.), Proceedings of INCPAA 2016, 11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences: . Paper presented at ICNPAA 2016 World Congress "Mathematical Problems in Engineering, Aerospace and Sciences", La Rochelle, France, 05-08 July 2016. (pp. 020063-1-020063-10). American Institute of Physics (AIP), 1798, Article ID UNSP 020063.
Open this publication in new window or tab >>A functional equation for the Riemann zeta fractional derivative
2017 (English)In: Proceedings of INCPAA 2016, 11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences / [ed] Sivasundaram, S, American Institute of Physics (AIP), 2017, Vol. 1798, p. 020063-1-020063-10, article id UNSP 020063Conference paper, Published paper (Refereed)
Abstract [en]

In this paper a functional equation for the fractional derivative of the Riemann zeta function is presented. The fractional derivative of the zeta function is computed by a generalization of the Grunwald-Letnikov fractional operator, which satisfies the generalized Leibniz rule. It is applied to the asymmetric functional equation of the Rieman zeta function in order to obtain the result sought. Moreover, further properties of this fractional derivative are proposed and discussed.

Place, publisher, year, edition, pages
American Institute of Physics (AIP), 2017
Keywords
Riemann zeta function, generalized Grunwald-Letnikov fractional derivative, generalized Leibniz rule, functional equation.
National Category
Computational Mathematics Mathematical Analysis
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-33255 (URN)10.1063/1.4972655 (DOI)000399203000063 ()2-s2.0-85013631765 (Scopus ID)9780735414648 (ISBN)
Conference
ICNPAA 2016 World Congress "Mathematical Problems in Engineering, Aerospace and Sciences", La Rochelle, France, 05-08 July 2016.
Available from: 2016-09-26 Created: 2016-09-26 Last updated: 2018-01-29Bibliographically approved
Ghimire, S., Gyan, B. T., Ghimire, R. P. & Silvestrov, S. (2017). A Survey on Queueing Systems with Mathematical Models and Applications. American Journal of Operational Research, 7(1), 1-14
Open this publication in new window or tab >>A Survey on Queueing Systems with Mathematical Models and Applications
2017 (English)In: American Journal of Operational Research, ISSN 2324-6537, E-ISSN 2324-6545, ISSN 2324-6537, Vol. 7, no 1, p. 1-14Article in journal (Refereed) Published
Abstract [en]

Queuing systems consist of one or more servers that provide some sort of services to arriving customers. Almost everyone has some experience of tedious time being in a queue during several daily life activities. It is reasonable to accept that service should be provided to the one who arrives first in the queue. But this rule always may not work. Sometimes the last comer or the customer in the high priority gets service earlier than the one who is waiting in the queue for a long time. All these characteristics are the interesting areas of research in the queueing theory. In this paper, we present some of the previous works of various researchers with brief explanations. We then carry out some of the mathematical expressions which represent the different queueing behaviors. In almost all the literatures, these queueing behaviors are examined with the help of mathematical simulations. Based on the previous contributions of researchers, our specific point of attraction is to study the finite capacity queueing models in which limited number of customers are served by a single or multiple number of servers and the batch queueing models where arrival or service or both occur in a bulk. Furthermore, we present some performance measure equations of some queueing models together with necessary components used in the queueing theory. Finally, we report some applications of queueing systems in supply chain management pointing out some areas of research as further works.

Keywords
Queueing, Performance, Server, Customer, Capacity, Supply chain
National Category
Computational Mathematics Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-36592 (URN)
Available from: 2017-09-30 Created: 2017-10-01 Last updated: 2018-01-26Bibliographically approved
Javor, V., Lundengård, K., Rancic, M. & Silvestrov, S. (2017). Analytical Representation of Measured Lightning Currents and Its Application to Electromagnetic Field Estimation. IEEE transactions on electromagnetic compatibility (Print), 60(5), 1415-1426
Open this publication in new window or tab >>Analytical Representation of Measured Lightning Currents and Its Application to Electromagnetic Field Estimation
2017 (English)In: IEEE transactions on electromagnetic compatibility (Print), ISSN 0018-9375, E-ISSN 1558-187X, ISSN 0018-9375, Vol. 60, no 5, p. 1415-1426Article in journal (Refereed) Published
Abstract [en]

Lightning discharge currents waveshapes and their derivatives with multiple peaks are measured in artificially triggered lightning experiments and at instrumented tall towers. Such waveshapes are represented in this paper by the N-peaked analytically extended function (NP-AEF) and Marquardt least-squares method is applied for the estimation of its nonlinear parameters. Typical channel-base currents of the first negative, subsequent negative strokes, and positive strokes, based on comprehensive measurements by Berger et al. at Monte San Salvatore in Switzerland, are approximated by NP-AEFs and used in the computation of lightning electromagnetic fields. A new attenuation factor introducing nonlinear current attenuation along the channel is applied within the modified transmission line model (MTLSIN). A lightning return stroke is assumed to have a vertical discharge channel at the perfectly conducting ground. In order to validate this model, calculated lightning electromagnetic fields are compared with the typical, as measured by Lin et al. at various distances from the discharges. Lightning currents and their derivatives measured at the tall towers are also approximated by NP-AEFs. For the measured artificially triggered lightning currents, MTLSIN is applied for the calculation of their electromagnetic fields. These are compared with the measured fields of specific lightning strokes, so as to results of other models.

Place, publisher, year, edition, pages
IEEE, 2017
Keywords
Lightning measurement and modeling, natural and man-made electromagnetic noise, near-field modeling and measurements
National Category
Computational Mathematics Electrical Engineering, Electronic Engineering, Information Engineering
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-38039 (URN)10.1109/TEMC.2017.2768549 (DOI)000438903100033 ()2-s2.0-85038364781 (Scopus ID)
Note

Paper has been published:

online december 2017

print october 2018

Available from: 2018-01-15 Created: 2018-01-15 Last updated: 2018-10-01Bibliographically approved
Javor, V., Lundengård, K., Rancic, M. & Silvestrov, S. (2017). Application of Genetic Algorithm to Estimation of Function Parameters in Lightning Currents Approximations. International Journal of Antennas and Propagation, 2017, Article ID 4937943.
Open this publication in new window or tab >>Application of Genetic Algorithm to Estimation of Function Parameters in Lightning Currents Approximations
2017 (English)In: International Journal of Antennas and Propagation, ISSN 1687-5869, E-ISSN 1687-5877, Vol. 2017, article id 4937943Article in journal (Refereed) Published
Abstract [en]

Genetic algorithm (GA) is applied for the estimation of two-peaked analytically extended function (2P-AEF) parameters in this paper. 2P-AEF is used for approximation of measured and typical lightning discharge currents. Lightning discharge channel is often modeled as thin-wire vertical antenna at perfectly conducting ground. Engineering lightning stroke models assume that the current along that channel is related to the channel-base current which may be measured at the instrumented tall towers and in triggered lightning experiments. Mathematical modeling of lightning currents is important in verification of lightning strokes models based on simultaneously measured electromagnetic fields at various distances, so as in lightning protection studies, computation of lightning induced effects and simulation of overvoltages in power systems. Typical lightning discharge currents of the first positive, first negative, and subsequent negative strokes are defined by IEC 62305 Standard based on comprehensive measurements. Parameters of 2P-AEF’s approximation of the typical negative first stroke current are determined by GA and compared to approximations obtained by other functions. Measured currents at Monte San Salvatore in Switzerland, at Morro de Cachimbo Station in Brazil, and in rocket-triggered lightning experiments at Camp Blanding in Florida are approximated by 2P-AEFs, and good agreement with experimentally measured waveshapes is obtained.

National Category
Computational Mathematics Electrical Engineering, Electronic Engineering, Information Engineering
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-36530 (URN)10.1155/2017/4937943 (DOI)000410335700001 ()2-s2.0-85029809348 (Scopus ID)
Available from: 2017-09-28 Created: 2017-09-28 Last updated: 2017-10-05Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0003-4554-6528