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1. Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_0_j_idt591",{id:"formSmash:items:resultList:0:j_idt591",widgetVar:"widget_formSmash_items_resultList_0_j_idt591",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:0:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:0:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Asymptotic Methods for Pricing European Option in a Market Model With Two Stochastic Volatilities2016Doctoral thesis, comprehensive summary (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_0_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:0:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_0_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Modern financial engineering is a part of applied mathematics that studies market models. Each model is characterized by several parameters. Some of them are familiar to a wide audience, for example, the price of a risky security, or the risk free interest rate. Other parameters are less known, for example, the volatility of the security. This parameter determines the rate of change of security prices and is determined by several factors. For example, during the periods of stable economic growth the prices are changing slowly, and the volatility is small. During the crisis periods, the volatility significantly increases. Classical market models, in particular, the celebrated Nobel Prize awarded Black–Scholes–Merton model (1973), suppose that the volatility remains constant during the lifetime of a financial instrument. Nowadays, in most cases, this assumption cannot adequately describe reality. We consider a model where both the security price and the volatility are described by random functions of time, or stochastic processes. Moreover, the volatility process is modelled as a sum of two independent stochastic processes. Both of them are mean reverting in the sense that they randomly oscillate around their average values and never escape neither to very small nor to very big values. One is changing slowly and describes low frequency, for example, seasonal effects, another is changing fast and describes various high frequency effects. We formulate the model in the form of a system of a special kind of equations called stochastic differential equations. Our system includes three stochastic processes, four independent factors, and depends on two small parameters. We calculate the price of a particular financial instrument called European call option. This financial contract gives its holder the right (but not the obligation) to buy a predefined number of units of the risky security on a predefined date and pay a predefined price. To solve this problem, we use the classical result of Feynman (1948) and Kac (1949). The price of the instrument is the solution to another kind of problem called boundary value problem for a partial differential equation. The resulting equation cannot be solved analytically. Instead we represent the solution in the form of an expansion in the integer and half-integer powers of the two small parameters mentioned above. We calculate the coefficients of the expansion up to the second order, find their financial sense, perform numerical studies, and validate our results by comparing them to known verified models from the literature. The results of our investigation can be used by both financial institutions and individual investors for optimization of their incomes.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:0:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)fulltext$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_0_j_idt854_0_j_idt857",{id:"formSmash:items:resultList:0:j_idt854:0:j_idt857",widgetVar:"widget_formSmash_items_resultList_0_j_idt854_0_j_idt857",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:0:j_idt854:0:fullText"});}); 2. Numerical Studies on Asymptotics of European Option under Multiscale Stochastic Volatility Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_1_j_idt591",{id:"formSmash:items:resultList:1:j_idt591",widgetVar:"widget_formSmash_items_resultList_1_j_idt591",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_1_j_idt594",{id:"formSmash:items:resultList:1:j_idt594",widgetVar:"widget_formSmash_items_resultList_1_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:1:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Murara, Jean-PaulMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:1:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Numerical Studies on Asymptotics of European Option under Multiscale Stochastic Volatility2015In: ASMDA 2015 Proceedings: 16th Applied Stochastic Models and Data Analysis International Conference with 4th Demographics 2015 Workshop / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2015, p. 53-66Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_1_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:1:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_1_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Multiscale stochastic volatilities models relax the constant volatility assumption from Black-Scholes option pricing model. Such model can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. Christoffersen et al. [3] presented a model where the underlying priceis governed by two volatility components, one changing fast and another changing slowly. Chiarella and Ziveyi [2] transformed Christoffersen’s model and computed an approximate formula for pricing American options. They used Duhamel’s principle to derive an integral form solution of the boundary value problem associated to the option price. Using method of characteristics, Fourier and Laplace transforms, they obtained with good accuracy the American options prices. In a previous research of the authors (Canhanga et al. [1]), a particular case of Chiarella and Ziveyi [2] model is used for pricing of European options. The novelty of this earlier work is to present an asymptotic expansion for the option price. The present paper provides experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi [2].

1. Canhanga B., Malyarenko, A., Ni, Y. and Silvestrov S. Perturbation methods for pricing European options in a model with two stochastic volatilities. 3rd SMTDA Conference Proceedings. 11-14 June 2014, Lisbon Porturgal, C. H. Skiadas (Ed.) 489-500 (2014).

2. Chiarella, C, and Ziveyi, J. American option pricing under two stochastic volatility processes. J. Appl. Math. Comput. 224:283–310 (2013).

3. Christoffersen, P.; Heston, S.; Jacobs, K. The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well. Manage. Sci. 55 (2) 1914-1932; (2009).

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:1:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 3. Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_2_j_idt591",{id:"formSmash:items:resultList:2:j_idt591",widgetVar:"widget_formSmash_items_resultList_2_j_idt591",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_2_j_idt594",{id:"formSmash:items:resultList:2:j_idt594",widgetVar:"widget_formSmash_items_resultList_2_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); DMI, Eduardo Mondlane University, Maputo, Mozambique.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:2:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Murara, Jean-PaulMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:2:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Numerical Studies on Asymptotics of European Option Under Multiscale Stochastic Volatility2017In: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 19, no 4, p. 1075-1087Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_2_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:2:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_2_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Multiscale stochastic volatilities models relax the constant volatility assumption from Black-Scholes option pricing model. Such models can capture the smile and skew of volatilities and therefore describe more accurately the movements of the trading prices. Christoffersen et al. Manag Sci 55(2):1914–1932 (2009) presented a model where the underlying price is governed by two volatility components, one changing fast and another changing slowly. Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) transformed Christoffersen’s model and computed an approximate formula for pricing American options. They used Duhamel’s principle to derive an integral form solution of the boundary value problem associated to the option price. Using method of characteristics, Fourier and Laplace transforms, they obtained with good accuracy the American option prices. In a previous research of the authors (Canhanga et al. 2014), a particular case of Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013) model is used for pricing of European options. The novelty of this earlier work is to present an asymptotic expansion for the option price. The present paper provides experimental and numerical studies on investigating the accuracy of the approximation formulae given by this asymptotic expansion. We present also a procedure for calibrating the parameters produced by our first-order asymptotic approximation formulae. Our approximated option prices will be compared to the approximation obtained by Chiarella and Ziveyi Appl Math Comput 224:283–310 (2013).

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:2:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 4. Pricing European Options Under Stochastic Volatilities Models Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_3_j_idt591",{id:"formSmash:items:resultList:3:j_idt591",widgetVar:"widget_formSmash_items_resultList_3_j_idt591",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_3_j_idt594",{id:"formSmash:items:resultList:3:j_idt594",widgetVar:"widget_formSmash_items_resultList_3_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:3:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Murara, Jean-PaulMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:3:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Pricing European Options Under Stochastic Volatilities Models2016In: Engineering Mathematics I: Electromagnetics, Fluid Mechanics, Material Physics and Financial Engineering / [ed] Sergei Silvestrov; Milica Rancic, Springer, 2016, p. 315-338Chapter in book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_3_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:3:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_3_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Interested by the volatility behavior, different models have been developed for option pricing. Starting from constant volatility model which did not succeed on capturing the effects of volatility smiles and skews; stochastic volatility models appearas a response to the weakness of the constant volatility models. Constant elasticity of volatility, Heston, Hull and White, Schöbel-Zhu, Schöbel-Zhu-Hull-Whiteand many others are examples of models where the volatility is itself a random process. Along the chapter we deal with this class of models and we present the techniques of pricing European options. Comparing single factor stochastic volatility models to constant factor volatility models it seems evident that the stochastic volatility models represent nicely the movement of the asset price and its relations with changes in the risk. However, these models fail to explain the large independent fluctuations in the volatility levels and slope. Christoffersen et al. in [4] proposed a model with two-factor stochastic volatilities where the correlation between the underlying asset price and the volatilities varies randomly. In the last section of this chapter we introduce a variation of Chiarella and Ziveyi model, which is a subclass of the model presented in [4] and we use the first order asymptotic expansion methods to determine the price of European options.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:3:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 5. Analytical and Numerical Studies on the Second Order Asymptotic Expansion Method for European Option Pricing under Two-factor Stochastic Volatilities Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_4_j_idt591",{id:"formSmash:items:resultList:4:j_idt591",widgetVar:"widget_formSmash_items_resultList_4_j_idt591",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_4_j_idt594",{id:"formSmash:items:resultList:4:j_idt594",widgetVar:"widget_formSmash_items_resultList_4_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Faculty of Sciences, Department of Mathematics and Computer Sciences, Eduardo Mondlane University, Maputo, Mozambique.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:4:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:4:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Analytical and Numerical Studies on the Second Order Asymptotic Expansion Method for European Option Pricing under Two-factor Stochastic Volatilities2018In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 47, no 6, p. 1328-1349Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_4_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:4:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_4_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The celebrated Black–Scholes model made the assumption of constant volatility but empirical studies on implied volatility and asset dynamics motivated the use of stochastic volatilities. Christoffersen in 2009 showed that multi-factor stochastic volatilities models capture the asset dynamics more realistically. Fouque in 2012 used it to price European options. In 2013 Chiarella and Ziveyi considered Christoffersen's ideas and introduced an asset dynamics where the two volatilities of the Heston type act separately and independently on the asset price, and using Fourier transform for the asset price process and double Laplace transform for the two volatilities processes, solved a pricing problem for American options. This paper considers the Chiarella and Ziveyi model and parameterizes it so that the volatilities revert to the long-run-mean with reversion rates that mimic fast(for example daily) and slow(for example seasonal) random effects. Applying asymptotic expansion method presented by Fouque in 2012, we make an extensive and detailed derivation of the approximation prices for European options. We also present numerical studies on the behavior and accuracy of our first and the second order asymptotic expansion formulas.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:4:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 6. Perturbation Methods for Pricing European Options in a Model with Two Stochastic Volatilities Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_5_j_idt591",{id:"formSmash:items:resultList:5:j_idt591",widgetVar:"widget_formSmash_items_resultList_5_j_idt591",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_5_j_idt594",{id:"formSmash:items:resultList:5:j_idt594",widgetVar:"widget_formSmash_items_resultList_5_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:5:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:5:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Perturbation Methods for Pricing European Options in a Model with Two Stochastic Volatilities2015In: New Trends in Stochastic Modelling and Data Analysis / [ed] Raimondo Manca, Sally McClean, Christos H Skiadas, ISAST , 2015, p. 199-210Chapter in book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_5_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:5:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_5_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Financial models have to reflect the characteristics of markets in which they are developed to be able to predict the future behavior of a financial system. The nature of most trading environments is characterized by uncertainties which are expressed in mathematical models in terms of volatilities. In contrast to the classical Black-Scholes model with constant volatility, our model includes one fast-changing and another slow-changing stochastic volatilities of mean-reversion type. The different changing frequencies of volatilities can be interpreted as the effects of weekends and effects of seasons of the year (summer and winter) on the asset price.

We perform explicitly the transition from the real-world to the risk-neutral probability measure by introducing market prices of risk and applying Girsanov Theorem. To solve the boundary value problem for the partial differential equation that corresponds to the case of a European option, we perform both regular and singular multiscale expansions in fractional powers of the speed of mean-reversion factors. We then construct an approximate solution given by the two-dimensional Black-Scholes model plus some terms that expand the results obtained by Black and Scholes.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:5:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 7. Second Order Asymptotic Expansion for Pricing European Options in a Model with Two Stochastic Volatilities Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_6_j_idt591",{id:"formSmash:items:resultList:6:j_idt591",widgetVar:"widget_formSmash_items_resultList_6_j_idt591",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_6_j_idt594",{id:"formSmash:items:resultList:6:j_idt594",widgetVar:"widget_formSmash_items_resultList_6_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Faculty of Sciences, Department of Mathematics and Computer Sciences, Eduardo Mondlane University, Maputo, Mozambique.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:6:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:6:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Second Order Asymptotic Expansion for Pricing European Options in a Model with Two Stochastic Volatilities2015In: ASMDA 2015 Proceedings: 16th Applied Stochastic Models and Data Analysis International Conference with 4th Demographics 2015 Workshop, 30 June – 4 July 2015 University of Piraeus, Greece / [ed] C. H. Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2015, p. 37-52Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_6_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:6:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_6_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Asset price processes with stochastic volatilities have been actively used by researchers in financial mathematics for valuing derivative securities. This type of models allows characterizing the uncertainties in the asset price process in financial markets. In a recent paper Chiarella and Ziveyi analyzed a model with two stochastic volatilities of mean reversion type with one variable changing fast and the other changing slowly. They used method of characteristics to solve the obtained partial differential equation and determine the price of an American option. Fouque et al presented also a similar model in which the volatility of the underlying asset is governed by two diffusion processes which are not of mean reversion type. They developed a first-order asymptotic expansion for the European option price via a perturbation method.

In this chapter we consider the model given in Chiarella and Ziveyi. Instead of pricing American options we price European options by generalizing the techniques presented in Fouque et al to a more complex model with mean reverting stochastic volatility factors. We analyse both regular and singular perturbations to obtain an asymptotic expansion up to second order which can serve as an approximation for the price of non-path-dependent European options. Similar work is done in authors earlier work Canhanga et al where a first-order asymptotic expansion has been developed. Involving the second order terms has the advantage of capturing more accurately the effects of volatility smile and skew on the option pricing. Analytical approximation formula for pricing European Option is presented.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:6:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 8. Numerical Methods on European Options Second Order Asymptotic Expansions for Multiscale Stochastic Volatility Canhanga, Betuel PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_7_j_idt591",{id:"formSmash:items:resultList:7:j_idt591",widgetVar:"widget_formSmash_items_resultList_7_j_idt591",onLabel:"Canhanga, Betuel ",offLabel:"Canhanga, Betuel ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_7_j_idt594",{id:"formSmash:items:resultList:7:j_idt594",widgetVar:"widget_formSmash_items_resultList_7_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:7:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:7:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Numerical Methods on European Options Second Order Asymptotic Expansions for Multiscale Stochastic Volatility2017In: INCPAA 2016 Proceedings: 11th International Conference on Mathematical Problems in Engineering, Aerospace, and Sciences, ICNPAA 2016, La Rochelle, France, 4 - 8 July 2016. / [ed] S. Sivasundaram, 2017, Vol. 1798, p. 020035-1-020035-10, article id 020035Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_7_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:7:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_7_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); After Black-Scholes proposed a model for pricing European Option in 1973, Cox, Ross and Rubinstein in 1979, and Heston in 1993, showed that the constant volatility assumption in the Black-Scholes model was one of the main reasons for the model to be unable to capture some market details. Instead of constant volatilities, they introduced non-constant volatilities to the asset dynamic modeling. In 2009, Christoffersen empirically showed "why multi-factor stochastic volatility models work so well". Four years later, Chiarella and Ziveyi solved the model proposed by Christoffersen. They considered an underlying asset whose price is governed by two factor stochastic volatilities of mean reversion type. Applying Fourier transforms, Laplace transforms and the method of characteristics they presented an approximate formula for pricing American option.The huge calculation involved in the Chiarella and Ziveyi approach motivated us to investigate another approach to compute European option prices on a Christoffersen type model. Using the first and second order asymptotic expansion method we presented a closed form solution for European option, and provided experimental and numerical studies on investigating the accuracy of the approximation formulae given by the first order asymptotic expansion. In the present chapter we will perform experimental and numerical studies for the second order asymptotic expansion and compare the obtained results with results presented by Chiarella and Ziveyi.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:7:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 9. Brackets with (τ,σ)-derivations and (p,q)-deformations of Witt and Virasoro algebras Elchinger, O. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_8_j_idt591",{id:"formSmash:items:resultList:8:j_idt591",widgetVar:"widget_formSmash_items_resultList_8_j_idt591",onLabel:"Elchinger, O. ",offLabel:"Elchinger, O. ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_8_j_idt594",{id:"formSmash:items:resultList:8:j_idt594",widgetVar:"widget_formSmash_items_resultList_8_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Laboratoire de Mathématiques, Informatique et Applications, Université de Haute Alsace, Mulhouse, France.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:8:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Makhlouf, A.Laboratoire de Mathématiques Informatique et Applications, Université de Haute Alsace, Mulhouse, France.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:8:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Brackets with (τ,σ)-derivations and (p,q)-deformations of Witt and Virasoro algebras2016In: Forum mathematicum, ISSN 0933-7741, E-ISSN 1435-5337, Vol. 28, no 4, p. 657-673Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_8_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:8:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_8_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The aim of this paper is to study some brackets defined on (τ,σ)-derivations satisfying quasi-Lie identities. Moreover, we provide examples of (p, q)-deformations of Witt and Virasoro algebras as well as sl(2) algebra. These constructions generalize the results obtained by Hartwig, Larsson and Silvestrov on σ-derivations, arising in connection with discretizations and deformations of algebras of vector fields.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:8:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 10. Modelling of measured lightning discharge currents to tall towers Javor, V. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_9_j_idt591",{id:"formSmash:items:resultList:9:j_idt591",widgetVar:"widget_formSmash_items_resultList_9_j_idt591",onLabel:"Javor, V. ",offLabel:"Javor, V. ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_9_j_idt594",{id:"formSmash:items:resultList:9:j_idt594",widgetVar:"widget_formSmash_items_resultList_9_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); University of Niš, Faculty of Electronic Engineering, Niš, Serbia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:9:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Javor, D.University of Niš, Faculty of Electronic Engineering, Niš, Serbia.Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:9:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Modelling of measured lightning discharge currents to tall towers2017In: Conference Proceedings - 2017 17th IEEE International Conference on Environment and Electrical Engineering and 2017 1st IEEE Industrial and Commercial Power Systems Europe, EEEIC / I and CPS Europe 2017, Institute of Electrical and Electronics Engineers Inc. , 2017, article id 7977795Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_9_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:9:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_9_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Lightning discharge currents and their derivatives have been measured at instrumented tall towers for a few decades already. Results of those measurements are used for lightning research purposes, modelling of lightning discharges and making improvements in lightning protection. Some of the measured lightning currents are represented in this paper by the multi-peaked analytically extended function (MP-AEF). The same function may be used for lightning current derivatives, thus providing their analytical integration.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:9:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 11. A Study on Frequency Spectrum of Electrostatic Discharge Currents and Lightning Currents Javor, V. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_10_j_idt591",{id:"formSmash:items:resultList:10:j_idt591",widgetVar:"widget_formSmash_items_resultList_10_j_idt591",onLabel:"Javor, V. ",offLabel:"Javor, V. ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_10_j_idt594",{id:"formSmash:items:resultList:10:j_idt594",widgetVar:"widget_formSmash_items_resultList_10_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); University of Nis, Nis, Serbia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:10:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:10:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); A Study on Frequency Spectrum of Electrostatic Discharge Currents and Lightning Currents2019In: 2019 14th International Conference on Advanced Technologies, Systems and Services in Telecommunications, TELSIKS 2019 - Proceedings, Institute of Electrical and Electronics Engineers Inc. , 2019, p. 198-201Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_10_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:10:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_10_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Electrostatic discharges (ESD) consequences are not only damages, but also very fast transients in electric circuits and devices, as well as in large power systems. This paper presents frequency spectrum analysis of the IEC 61000-4-2 standard current approximated by multi-peaked analytically extended function (MP-AEF) and of typical lightning currents according to the IEC 62305 standard. This analysis is important for the choice of protective devices and frequency range of measurement equipment used in experiments. A comparison of the measured and theoretical results is also given.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:10:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 12. Modeling of Artificially-Triggered Lightning Currents by Multi-Peaked Analytically Extended Functions Javor, Vesna PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_11_j_idt591",{id:"formSmash:items:resultList:11:j_idt591",widgetVar:"widget_formSmash_items_resultList_11_j_idt591",onLabel:"Javor, Vesna ",offLabel:"Javor, Vesna ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_11_j_idt594",{id:"formSmash:items:resultList:11:j_idt594",widgetVar:"widget_formSmash_items_resultList_11_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); University of Nis, Faculty of Electronic Eng., Serbia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:11:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:11:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Modeling of Artificially-Triggered Lightning Currents by Multi-Peaked Analytically Extended Functions2018In: Compel, ISSN 0332-1649, Vol. 37, no 4, p. 1354-1365Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_11_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:11:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_11_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Purpose: This paper aims to present the approximation of lightning currents waveshapes by the multi-peaked analytically extended function (MP-AEF) for the experimentally measured channel-base currents in the artificially triggered lightning discharges. Modified transmission line model of lightning return strokes having the channel current both linearly decaying and sinusoidally changing with height (MTLSIN) is used to calculate the lightning electromagnetic field. Design/methodology/approach: MP-AEF’s parameters for the artificially triggered lightning channel-base currents are calculated by using Marquardt least squares method (MLSM). Lightning electromagnetic fields are calculated based on electromagnetic theory relations, thin-wire antenna model of the vertical lightning channel and the assumption of the perfectly conducting ground. MTLSIN model as an engineering model of lightning strokes is used to obtain the electric field results as these are simultaneously measured in rocket-triggered lightning experiments together with the channel-base currents. Findings: MP-AEF approximates multi-peaked pulse waveshapes. Some important function parameters are chosen prior to the approximation procedure, such as current peaks and the corresponding time moments of those peaks, which presents an advantage in comparison to other functions. The desired accuracy of approximation is obtained by choosing an adequate number of function terms. MLSM is used for the estimation of unknown parameters. Using MTLSIN model, the influence of the channel height and return stroke speed on the lightning electromagnetic field waveshape is analyzed in this paper. Research limitations/implications: MP-AEF may be used for approximation of various multi-peaked waveshapes. It has no errors in the points of maxima which is important for the lightning protection systems design. MTLSIN model may be validated by using simultaneously measured lightning electromagnetic fields at various distances from the channel and for channel heights estimated in the experiments. It is also possible to approximate measured current derivatives by MP-AEF and use them for further computation. Originality/value: MTLSIN model is proposed in this paper for the evaluation of lightning electromagnetic fields induced by artificially triggered lightning discharges. The procedure is based on the approximation of lightning channel-base currents by the multi-peaked analytically extended function previously proposed by the authors. This function may be used not only for representing lightning currents but also for other waveshapes as current derivatives, electric and magnetic fields and their derivatives, which are all important for the lightning protection design. MTLSIN gives lightning electromagnetic fields results which are in better agreement with measured fields than those obtained by other models from literature.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:11:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 13. Analytical Representation of Measured Lightning Currents and Its Application to Electromagnetic Field Estimation Javor, Vesna PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_12_j_idt591",{id:"formSmash:items:resultList:12:j_idt591",widgetVar:"widget_formSmash_items_resultList_12_j_idt591",onLabel:"Javor, Vesna ",offLabel:"Javor, Vesna ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_12_j_idt594",{id:"formSmash:items:resultList:12:j_idt594",widgetVar:"widget_formSmash_items_resultList_12_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Faculty of Electronic Engineering, Department of Power Engineering, University of Niš, Niš 18000, Serbia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:12:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:12:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Analytical Representation of Measured Lightning Currents and Its Application to Electromagnetic Field Estimation2017In: 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)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_12_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:12:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_12_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); 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.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:12:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 14. Application of Genetic Algorithm to Estimation of Function Parameters in Lightning Currents Approximations Javor, Vesna PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_13_j_idt591",{id:"formSmash:items:resultList:13:j_idt591",widgetVar:"widget_formSmash_items_resultList_13_j_idt591",onLabel:"Javor, Vesna ",offLabel:"Javor, Vesna ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_13_j_idt594",{id:"formSmash:items:resultList:13:j_idt594",widgetVar:"widget_formSmash_items_resultList_13_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); University of Nis, Faculty of Electronic Eng., Serbia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:13:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:13:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Application of Genetic Algorithm to Estimation of Function Parameters in Lightning Currents Approximations2017In: International Journal of Antennas and Propagation, ISSN 1687-5869, E-ISSN 1687-5877, Vol. 2017, article id 4937943Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_13_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:13:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_13_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); 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.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:13:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 15. Electrostatic discharge currents and their derivatives' approximation by piecewise power-exponential functions Javor, Vesna PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_14_j_idt591",{id:"formSmash:items:resultList:14:j_idt591",widgetVar:"widget_formSmash_items_resultList_14_j_idt591",onLabel:"Javor, Vesna ",offLabel:"Javor, Vesna ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_14_j_idt594",{id:"formSmash:items:resultList:14:j_idt594",widgetVar:"widget_formSmash_items_resultList_14_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); University of Nis, Faculty of Electronic Eng., Serbia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:14:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:14:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Electrostatic discharge currents and their derivatives' approximation by piecewise power-exponential functions2018In: 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)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_14_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:14:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_14_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); 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 C

^{1}L . 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.PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:14:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 16. Measured electrostatic discharge currents modeling and simulation Javor, Vesna PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_15_j_idt591",{id:"formSmash:items:resultList:15:j_idt591",widgetVar:"widget_formSmash_items_resultList_15_j_idt591",onLabel:"Javor, Vesna ",offLabel:"Javor, Vesna ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_15_j_idt594",{id:"formSmash:items:resultList:15:j_idt594",widgetVar:"widget_formSmash_items_resultList_15_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); University of Nis, Faculty of Electronic Eng., Serbia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:15:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:15:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Measured electrostatic discharge currents modeling and simulation2015In: Proceedings of 12th International Conference on Telecommunication in Modern Satellite, Cable and Broadcasting Services (TELSIKS), 2015 / [ed] Bratislav D. Milovanović, Nebojša S. Dončov, Zoran Ž. Stanković, IEEE conference proceedings, 2015, p. 209-212Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_15_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:15:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_15_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Analytically extended function (AEF) for modeling measured electrostatic discharge (ESD) currents is presented in this paper. This function is used for the IEC 61000-4-2 Standard current and AEF parameters are calculated using least-squares method. Procedure of obtaining function parameters is simple for experimentally measured multi-peaked functions, such as lightning and other ESD currents. Simulation of ESD currents is done by simple electric circuits and using MATLAB.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:15:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 17. Modelling of Rocket-Triggered Lightning Currents by Multi-Peaked Analytically Extended Function Javor, Vesna PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_16_j_idt591",{id:"formSmash:items:resultList:16:j_idt591",widgetVar:"widget_formSmash_items_resultList_16_j_idt591",onLabel:"Javor, Vesna ",offLabel:"Javor, Vesna ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_16_j_idt594",{id:"formSmash:items:resultList:16:j_idt594",widgetVar:"widget_formSmash_items_resultList_16_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); University of Nis, Faculty of Electronic Eng., Serbia.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:16:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:16:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Modelling of Rocket-Triggered Lightning Currents by Multi-Peaked Analytically Extended Function2017Conference paper (Refereed)18. Extreme points of the Vandermonde determinant and phenomenological modelling with power exponential functions Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_17_j_idt591",{id:"formSmash:items:resultList:17:j_idt591",widgetVar:"widget_formSmash_items_resultList_17_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:17:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:17:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Extreme points of the Vandermonde determinant and phenomenological modelling with power exponential functions2019Doctoral thesis, comprehensive summary (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_17_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:17:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_17_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); This thesis discusses two topics, finding the extreme points of the Vandermonde determinant on various surfaces and phenomenological modelling using power-exponential functions. The relation between these two problems is that they are both related to methods for curve-fitting. Two applications of the mathematical models and methods are also discussed, modelling of electrostatic discharge currents for use in electromagnetic compatibility and modelling of mortality rates for humans. Both the construction and evaluation of models is discussed.

In the first chapter the basic theory for later chapters is introduced. First the Vandermonde matrix, a matrix whose rows (or columns) consists of monomials of sequential powers, its history and some of its properties are discussed. Next, some considerations and typical methods for a common class of curve fitting problems are presented, as well as how to analyse and evaluate the resulting fit. In preparation for the later parts of the thesis the topics of electromagnetic compatibility and mortality rate modelling are briefly introduced.

The second chapter discusses some techniques for finding the extreme points for the determinant of the Vandermonde matrix on various surfaces including spheres, ellipsoids and cylinders. The discussion focuses on low dimensions, but some results are given for arbitrary (finite) dimensions.

In the third chapter a particular model called the

*p*-peaked Analytically Extended Function (AEF) is introduced and fitted to data taken either from a standard for electromagnetic compatibility or experimental measurements. The discussion here is entirely focused on currents originating from lightning or electrostatic discharges.The fourth chapter consists of a comparison of several different methods for modelling mortality rates, including a model constructed in a similar way to the AEF found in the third chapter. The models are compared with respect to how well they can be fitted to estimated mortality rate for several countries and several years and the results when using the fitted models for mortality rate forecasting is also compared.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:17:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)fulltext$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_17_j_idt854_0_j_idt857",{id:"formSmash:items:resultList:17:j_idt854:0:j_idt857",widgetVar:"widget_formSmash_items_resultList_17_j_idt854_0_j_idt857",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:17:j_idt854:0:fullText"});}); 19. Generalized Vandermonde matrices and determinants in electromagnetic compatibility Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_18_j_idt591",{id:"formSmash:items:resultList:18:j_idt591",widgetVar:"widget_formSmash_items_resultList_18_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:18:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:18:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Generalized Vandermonde matrices and determinants in electromagnetic compatibility2017Licentiate thesis, comprehensive summary (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_18_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:18:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_18_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Matrices whose rows (or columns) consists of monomials of sequential powers are called Vandermonde matrices and can be used to describe several useful concepts and have properties that can be helpful for solving many kinds of problems. In this thesis we will discuss this matrix and some of its properties as well as a generalization of it and how it can be applied to curve fitting discharge current for the purpose of ensuring electromagnetic compatibility.

In the first chapter the basic theory for later chapters is introduced. This includes the Vandermonde matrix and some of its properties, history, applications and generalizations, interpolation and regression problems, optimal experiment design and modelling of electrostatic discharge currents with the purpose to ensure electromagnetic compatibility.

The second chapter focuses on finding the extreme points for the determinant for the Vandermonde matrix on various surfaces including spheres, ellipsoids, cylinders and tori. The extreme points are analysed in three dimensions or more.

The third chapter discusses fitting a particular model called the p-peaked Analytically Extended Function (AEF) to data taken either from a standard for electromagnetic compatibility or experimental measurements. More specifically the AEF will be fitted to discharge currents from the IEC 62305-1 and IEC 61000-4-2 standards for lightning protection and electrostatic discharge immunity as well as some experimentally measured data of similar phenomena.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:18:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Download full text (pdf)fulltext$(function(){PrimeFaces.cw("Tooltip","widget_formSmash_items_resultList_18_j_idt854_0_j_idt857",{id:"formSmash:items:resultList:18:j_idt854:0:j_idt857",widgetVar:"widget_formSmash_items_resultList_18_j_idt854_0_j_idt857",showEffect:"fade",hideEffect:"fade",target:"formSmash:items:resultList:18:j_idt854:0:fullText"});}); 20. Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_19_j_idt591",{id:"formSmash:items:resultList:19:j_idt591",widgetVar:"widget_formSmash_items_resultList_19_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_19_j_idt594",{id:"formSmash:items:resultList:19:j_idt594",widgetVar:"widget_formSmash_items_resultList_19_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:19:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Ogutu, CarolyneMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. University of Nairobi, Kenya.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Ni, YingMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Weke, P.University of Nairobi, Kenya.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:19:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases2017In: AIP Conference Proceedings / [ed] Sivasundaram, S, American Institute of Physics (AIP), 2017, Vol. 1798, p. 020094-1-020094-7, article id 020094Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_19_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:19:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_19_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); In order to describe and analyze the quantitative behavior of stochastic processes, such as the process followed by a financial asset, various discretization methods are used. One such set of methods are lattice models where a time interval is divided into equal time steps and the rate of change for the process is restricted to a particular set of values in each time step. The well-known binomial- and trinomial models are the most commonly used in applications, although several kinds of higher order models have also been examined. Here we will examine various ways of designing higher order lattice schemes with different node placements in order to guarantee moment-matching with the process.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:19:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 21. Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_20_j_idt591",{id:"formSmash:items:resultList:20:j_idt591",widgetVar:"widget_formSmash_items_resultList_20_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_20_j_idt594",{id:"formSmash:items:resultList:20:j_idt594",widgetVar:"widget_formSmash_items_resultList_20_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:20:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Ogutu, CarolyneMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. University of Nairobi, Nairobi, Kenya.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Weke, PatrickUniversity of Nairobi, Nairobi, Kenya.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:20:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices2014In: Modern Problems in Insurance Mathematics / [ed] Silvestrov, Dmitrii, Martin-Löf, Anders, Springer International Publishing , 2014, p. 335-363Chapter in book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_20_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:20:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_20_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Asian options are options whose value depends on the average asset price during its lifetime. They are useful because they are less subject to price manipulations. We consider Asian option pricing on a lattice where the underlying asset follows the Merton–Bates jump-diffusion model. We describe the construction of the lattice using the moment matching technique which results in an equation system described by a Vandermonde matrix. Using some properties of Vandermonde matrices we calculate the jump probabilities of the resulting system. Some conditions on the possible jump sizes in the lattice are also given.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:20:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 22. An examination of the multi-peaked analytically extended function for approximation of lightning channel-base currents Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_21_j_idt591",{id:"formSmash:items:resultList:21:j_idt591",widgetVar:"widget_formSmash_items_resultList_21_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_21_j_idt594",{id:"formSmash:items:resultList:21:j_idt594",widgetVar:"widget_formSmash_items_resultList_21_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:21:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Niš, Faculty of Electronic Engineering, Niš, Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:21:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); An examination of the multi-peaked analytically extended function for approximation of lightning channel-base currents2016Manuscript (preprint) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_21_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:21:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_21_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); A multi-peaked version of the analytically extended function (AEF) intended for approximation of multi-peaked lightning current wave-forms will be presented along with some of its basic properties. A general framework for estimating the parameters of the AEF using the Marquardt least-squares method (MLSM) for a waveform with an arbitrary (finite) number of peaks as well as a given charge trans-fer and specific energy will also be described. This framework is used to find parameters for some common single-peak wave-forms and some advantages and disadvantages of the approach will be discussed.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:21:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 23. Application of the Marquardt Least Square Method to the Estimation of Pulse Function Parameters Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_22_j_idt591",{id:"formSmash:items:resultList:22:j_idt591",widgetVar:"widget_formSmash_items_resultList_22_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_22_j_idt594",{id:"formSmash:items:resultList:22:j_idt594",widgetVar:"widget_formSmash_items_resultList_22_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:22:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:22:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Application of the Marquardt Least Square Method to the Estimation of Pulse Function Parameters2014In: 10TH INTERNATIONAL CONFERENCE ON MATHEMATICAL PROBLEMS IN ENGINEERING, AEROSPACE AND SCIENCES: ICNPAA 2014Conference date: 15–18 July 2014 Location: Narvik, Norway ISBN: 978-0-7354-1276-7 Editor: Seenith Sivasundaram Volume number: 1637 Published: 10 december 2014, 2014, p. 637-646Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_22_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:22:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_22_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Application of the Marquardt least-squares method (MLSM) to the estimation of non-linear parameters of functionsused for representing various lightning current waveshapes is presented in this paper. Parameters are determined for the Pulse,Heidler’s and DEXP function representing the first positive, first and subsequent negative stroke currents as given in IEC62305-1 Standard Ed.2, and also for some other fast- and slow-decaying lightning current waveshapes. The results prove theability of the MLSM to be used for the estimation of parameters of the functions important in lightning discharge modeling.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:22:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 24. Application of the multi-peaked analytically extended function to representation of some measured lightning currents Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_23_j_idt591",{id:"formSmash:items:resultList:23:j_idt591",widgetVar:"widget_formSmash_items_resultList_23_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_23_j_idt594",{id:"formSmash:items:resultList:23:j_idt594",widgetVar:"widget_formSmash_items_resultList_23_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:23:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Niš, Faculty of Electronic Engineering, Niš, Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:23:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Application of the multi-peaked analytically extended function to representation of some measured lightning currents2016In: Serbian Journal of Electrical Engineering, ISSN 1451-4869, Vol. 13, no 2, p. 145-155Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_23_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:23:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_23_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); A multi-peaked form of the analytically extended function (AEF) is used for approximation of lightning current waveforms in this paper. The AEF function's parameters are estimated using the Marquardt least-squares method (MLSM), and the general procedure for fitting the p-peaked AEF function to a waveform with an arbitrary (finite) number of peaks is briefly described. This framework is used for obtaining parameters of 2-peaked waveforms typically present when measuring first negative stroke currents. Advantages, disadvantages and possible improvements of the approach are also discussed.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:23:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 25. Electrostatic discharge current modelling using multi-peaked analytically extended function Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_24_j_idt591",{id:"formSmash:items:resultList:24:j_idt591",widgetVar:"widget_formSmash_items_resultList_24_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_24_j_idt594",{id:"formSmash:items:resultList:24:j_idt594",widgetVar:"widget_formSmash_items_resultList_24_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:24:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:24:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Electrostatic discharge current modelling using multi-peaked analytically extended function2017In: Proceedings of 2nd International Multidisciplinary Conference on Computer and Energy Science (SpliTech), IEEE conference proceedings, 2017, p. 272-277, article id 8019264Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_24_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:24:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_24_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); In order to establish realistic requirements for ESD generators used in equipment and device testing, as well as to ensure and improve the repeatability of tests, an analytical expression of real electrostatic discharge (ESD) currents is sought for. It should be adoptable to various test levels, test set-ups and procedures, and also various ESD conditions (approach speeds, types of electrodes, relative arc length, humidity, etc). A mathematical function is necessary for computer simulation of such phenomena, for verification of test generators and for improving standard waveshape definition.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:24:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 26. Electrostatic discharge currents representation using the analytically extended function with P peaks by interpolation on a D-optimal design Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_25_j_idt591",{id:"formSmash:items:resultList:25:j_idt591",widgetVar:"widget_formSmash_items_resultList_25_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_25_j_idt594",{id:"formSmash:items:resultList:25:j_idt594",widgetVar:"widget_formSmash_items_resultList_25_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:25:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniv Nis, Dept Power Engn, Fac Elect Engn, Nish, Serbia..Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:25:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Electrostatic discharge currents representation using the analytically extended function with P peaks by interpolation on a D-optimal design2019In: Facta Universitatis Series: Electronics and Energetics, ISSN 0353-3670, Vol. 32, no 1, p. 25-49Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_25_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:25:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_25_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); In this paper the Analytically Extended Function (AEF) with p peaks is used for representation of the electrostatic discharge (ESD) currents and lightning discharge currents. The fitting to data is achieved by interpolation of certain data points. In order to minimize unstable behaviour, the exponents of the AEF are chosen from a certain arithmetic sequence and the interpolated points are chosen according to a D-optimal design. The method is illustrated using several examples of currents taken from standards and measurements.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:25:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 27. Electrostatic Discharge Currents Representation using the Multi-Peaked Analytically Extended Function by Interpolation on a D-Optimal Design Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_26_j_idt591",{id:"formSmash:items:resultList:26:j_idt591",widgetVar:"widget_formSmash_items_resultList_26_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_26_j_idt594",{id:"formSmash:items:resultList:26:j_idt594",widgetVar:"widget_formSmash_items_resultList_26_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:26:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia..Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:26:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Electrostatic Discharge Currents Representation using the Multi-Peaked Analytically Extended Function by Interpolation on a D-Optimal DesignManuscript (preprint) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_26_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:26:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_26_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Multi-peaked analytically extended function (AEF), previously applied by the authors to modelling of lightning discharge currents, is used in this paper for representation of the electrostatic discharge (ESD) currents. The fitting to data is achieved by interpolation of certain data points. In order to minimize unstable behaviour, the exponents of the AEF are chosen from a certain arithmetic sequence and the interpolated points are chosen according to a D-optimal design. ESD currents' modelling is illustrated through two examples: one corresponding to an approximation of the IEC Standard 61000-4-2 waveshape, and the other to representation of some measured ESD current.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:26:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 28. Electrostatic Discharge Currents Representation using the Multi-Peaked Analytically Extended Function by Interpolation on a D-Optimal Design Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_27_j_idt591",{id:"formSmash:items:resultList:27:j_idt591",widgetVar:"widget_formSmash_items_resultList_27_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_27_j_idt594",{id:"formSmash:items:resultList:27:j_idt594",widgetVar:"widget_formSmash_items_resultList_27_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:27:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:27:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Electrostatic Discharge Currents Representation using the Multi-Peaked Analytically Extended Function by Interpolation on a D-Optimal Design2017Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_27_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:27:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_27_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Multi-peaked analytically extended function (AEF), previously applied by the authors to modelling of lightning discharge currents, is used in this paper for representation of the electrostatic discharge (ESD) currents. The fitting to data is achieved by interpolation of certain data points. In order to minimize unstable behaviour, the exponents of the AEF are chosen from a certain arithmetic sequence and the interpolated points are chosen according to a D-optimal design. ESD currents’ modelling is illustrated through two examples: one corresponding to an approximation of the IEC Standard 61000-4-2 waveshape, and the other to representation of some measured ESD current.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:27:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 29. Estimation of Parameters for the Multi-peaked AEF Current Functions Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_28_j_idt591",{id:"formSmash:items:resultList:28:j_idt591",widgetVar:"widget_formSmash_items_resultList_28_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_28_j_idt594",{id:"formSmash:items:resultList:28:j_idt594",widgetVar:"widget_formSmash_items_resultList_28_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:28:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:28:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Estimation of Parameters for the Multi-peaked AEF Current Functions2015In: ASMDA 2015 Proceedings: 16th Applied Stochastic Models and Data Analysis International Conference with 4th Demographics 2015 Workshop / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2015, p. 623-636Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_28_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:28:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_28_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Examination of how the analytically extended function (AEF) can be used to approximate multi-peaked lightning current waveforms, is performed in the paper. A general framework for estimating the parameters of the AEF using the Marquardt least-squares method (MLSM) for a waveform with an arbitrary (finite) number of peaks is presented. This framework is used to find parameters for some common waveforms with a single peak, such as one-peaked Standard IEC 62305 lightning currents.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:28:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 30. Estimation of Parameters for the Multi-peaked AEF Current Functions Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_29_j_idt591",{id:"formSmash:items:resultList:29:j_idt591",widgetVar:"widget_formSmash_items_resultList_29_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_29_j_idt594",{id:"formSmash:items:resultList:29:j_idt594",widgetVar:"widget_formSmash_items_resultList_29_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:29:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:29:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Estimation of Parameters for the Multi-peaked AEF Current Functions2017In: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 19, no 4, p. 1107-1121Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_29_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:29:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_29_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); An examination of how the analytically extended function (AEF) can be used to approximate multi-peaked lightning current waveforms, is presented in the paper. A general framework for estimating the parameters of the AEF using the Marquardt least-squares method (MLSM) for a waveform with an arbitrary (finite) number of peaks is presented. This framework is used to find parameters for some common waveforms with a single peak, such as Standard IEC 62305 lightning currents. Illustration of fitting a p-peak AEF to recorded lightning current data is also presented.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:29:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 31. Estimation of Pulse Function Parameters for Approximating Measured Lightning Currents Using the Marquardt Least Squares Method Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_30_j_idt591",{id:"formSmash:items:resultList:30:j_idt591",widgetVar:"widget_formSmash_items_resultList_30_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_30_j_idt594",{id:"formSmash:items:resultList:30:j_idt594",widgetVar:"widget_formSmash_items_resultList_30_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:30:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:30:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Estimation of Pulse Function Parameters for Approximating Measured Lightning Currents Using the Marquardt Least Squares Method2014In: IEEE International Symposium on Electromagnetic Compatibility, 2014, p. 571-576Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_30_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:30:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_30_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The Marquardt least-squares method is applied in this paper for estimation of the Pulse function’s non-linear parameters in order to approximate measured lightning currents. Such procedure is generalized so it could be used for other pulse functions representing lightning current waveshapes. The obtained results show that this method provides good results for the IEC 62305-1 standard lightning current waveshapes of the first and subsequent return stroke currents, and also for some measured fast- and slow-decaying current waveshapes.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:30:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 32. Multi-Peaked Analytically Extended Function Representing Electrostatic Discharge (ESD) Currents Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_31_j_idt591",{id:"formSmash:items:resultList:31:j_idt591",widgetVar:"widget_formSmash_items_resultList_31_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_31_j_idt594",{id:"formSmash:items:resultList:31:j_idt594",widgetVar:"widget_formSmash_items_resultList_31_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:31:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:31:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Multi-Peaked Analytically Extended Function Representing Electrostatic Discharge (ESD) Currents2017In: AIP Conference Proceedings, Volume 1798 / [ed] Seenith Sivasundaram, American Institute of Physics (AIP), 2017, Vol. 1798, p. 020093-1-020093-10, article id 020093Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_31_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:31:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_31_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); A multi-peaked analytically extended function (AEF), previously applied by the authors to modeling of lightning dischargecurrents, is used in this paper for representation of the electrostatic discharge (ESD) currents. In order to estimate itsnon-linear parameters, the Marquardt least-squares method (MLSM) is used. ESD currents’ modelling is illustrated through anessential example corresponding to approximation of the IEC Standard 61000-4-2 waveshape.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:31:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 33. Novel Approach to Modelling of Lightning Current Derivative Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_32_j_idt591",{id:"formSmash:items:resultList:32:j_idt591",widgetVar:"widget_formSmash_items_resultList_32_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_32_j_idt594",{id:"formSmash:items:resultList:32:j_idt594",widgetVar:"widget_formSmash_items_resultList_32_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:32:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:32:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Novel Approach to Modelling of Lightning Current Derivative2017In: Facta Universitatis Series: Electronics and Energetics, ISSN 0353-3670, E-ISSN 2217-5997, Vol. 30, no 2, p. 245-256Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_32_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:32:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_32_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); A new approach to mathematical modelling of lightning current derivative is proposed in this paper. It builds on the methodology, previously developed by the authors, for representing lightning currents and electrostatic discharge (ESD) currents waveshapes. It considers usage of a multi-peaked form of the analytically extended function (AEF) for approximation of current derivative waveshapes. The AEF function parameters are estimated using the Marquardt least-squares method (MLSM) and the framework for fitting the multi-peaked AEF to a waveshape with an arbitrary number of peaks is briefly described. This procedure is validated performing a few numerical experiments, including fitting the AEF to single- and multi-peaked waveshapes corresponding to measured current derivatives.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:32:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 34. On Some Properties of the Multi-Peaked Analytically Extended Function for Approximation of Lightning Discharge Currents Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_33_j_idt591",{id:"formSmash:items:resultList:33:j_idt591",widgetVar:"widget_formSmash_items_resultList_33_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_33_j_idt594",{id:"formSmash:items:resultList:33:j_idt594",widgetVar:"widget_formSmash_items_resultList_33_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:33:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Nis, Faculty of Electronic Eng., Serbia.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:33:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); On Some Properties of the Multi-Peaked Analytically Extended Function for Approximation of Lightning Discharge Currents2016In: Engineering Mathematics I: Electromagnetics, Fluid Mechanics, Material Physics and Financial Engineering, Series: Springer Proceedings in Mathematics & Statistics / [ed] Sergei Silvestrov, Milica Rančić, Heidelberg: Springer, 2016, p. 151-172Chapter in book (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_33_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:33:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_33_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); According to experimental results for lightning discharge currents, they are classified in the IEC 62305 Standard into waveshapes representing the first positive, first and subsequent negative strokes, and long-strokes. These waveshapes, especially shot-term pulses, are approximated with a few mathematical functions in literature, in order to be used in lightning discharge models for calculations of electromagnetic field and lightning induced effects. An analytically extended function (AEF) is presented in this paper and used for lightning currents modeling. The basic properties of this function with a finite number of peaks are examined. A general framework for estimating the parameters of the AEF using the Marquardt least-squares method (MLSM) for a waveform with an arbitrary (finite) number of peaks as well as for the given charge transfer and specific energy is described. This framework is used to find parameters for some common single-peak wave-forms and some advantages and disadvantages of the approach are also discussed.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:33:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 35. Modelling mortality rates using the powerexponential function Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_34_j_idt591",{id:"formSmash:items:resultList:34:j_idt591",widgetVar:"widget_formSmash_items_resultList_34_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_34_j_idt594",{id:"formSmash:items:resultList:34:j_idt594",widgetVar:"widget_formSmash_items_resultList_34_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:34:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:34:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Modelling mortality rates using the powerexponential function2017In: Booklet of abstracts of SPAS2017 - International Conference on Stochastic Processes and Algebraic Structures– From Theory Towards Applications, 2017Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_34_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:34:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_34_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); There are many models for the mortality rates of humans and other organisms. A phenomenon that complicates the modelling of human mortality rates is a rapid increase in mortality rate for young adults (in western Europe this is especially pronounced at the age of 25). We will examine models for mortality rates based on power-exponential functions, compare them to empirical data for mortality rates and other models.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:34:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 36. An Examination of the Multi-Peaked Analytically Extended Function for Approximation of Lightning Channel-Base Currents Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_35_j_idt591",{id:"formSmash:items:resultList:35:j_idt591",widgetVar:"widget_formSmash_items_resultList_35_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_35_j_idt594",{id:"formSmash:items:resultList:35:j_idt594",widgetVar:"widget_formSmash_items_resultList_35_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:35:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Rancic, MilicaMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Javor, VesnaUniversity of Niš, Niš, Serbien.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:35:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); An Examination of the Multi-Peaked Analytically Extended Function for Approximation of Lightning Channel-Base Currents2015In: 12TH INTERNATIONAL CONFERENCE ON APPLIED ELECTROMAGNETICS PES2015: Proceedings of extended abstracts / [ed] Dr Dragan Tasic, Faculty of Electronic Engineering (Niš) , 2015Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_35_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:35:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_35_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); A multi-peaked version of the analytically extendedfunction (AEF) intended for approximation of multi-peaked light-ning current waveforms will be presented along with some of itsbasic properties. A general framework for estimating the parame-ters of the AEF using the Marquardt least-squares method(MLSM) for a waveform with an arbitrary (finite) number ofpeaks as well as a given charge transfer and specific energy willalso be described. This framework is used to find parameters forsome common single-peak wave-forms and some advantages anddisadvantages of the approach will be discussed.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:35:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 37. Extreme points of the Vandermonde determinant on the sphere and some limits involving the generalized Vandermonde determinant Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_36_j_idt591",{id:"formSmash:items:resultList:36:j_idt591",widgetVar:"widget_formSmash_items_resultList_36_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_36_j_idt594",{id:"formSmash:items:resultList:36:j_idt594",widgetVar:"widget_formSmash_items_resultList_36_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:36:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Österberg, JonasSilvestrov, SergeiMälardalen University, School of Education, Culture and Communication.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:36:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Extreme points of the Vandermonde determinant on the sphere and some limits involving the generalized Vandermonde determinant2013Report (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_36_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:36:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_36_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The values of the determinant of Vandermonde matrices with real elements are analyzed both visually and analytically over the unit sphere in various dimensions. For three dimensions some generalized Vandermonde matrices are analyzed visually. The extreme points of the ordinary Vandermonde determinant on finite-dimensional unit spheres are given as the roots of rescaled Hermite polynomials and a recursion relation is provided for the polynomial coefficients. Analytical expressions for these roots are also given for dimension three to seven. A transformation of the optimization problem is provided and some relations between the ordinary and generalized Vandermonde matrices involving limits are discussed.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:36:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 38. Optimization of the determinant of the Vandermonde matrix and related matrices Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_37_j_idt591",{id:"formSmash:items:resultList:37:j_idt591",widgetVar:"widget_formSmash_items_resultList_37_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_37_j_idt594",{id:"formSmash:items:resultList:37:j_idt594",widgetVar:"widget_formSmash_items_resultList_37_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:37:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Österberg, JonasMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:37:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Optimization of the determinant of the Vandermonde matrix and related matrices2014In: 10TH INTERNATIONAL CONFERENCE ON MATHEMATICAL PROBLEMS IN ENGINEERING, AEROSPACE AND SCIENCES: ICNPAA 2014 Conference date: 15–18 July 2014 Location: Narvik, Norway ISBN: 978-0-7354-1276-7 Editor: Seenith Sivasundaram Volume number: 1637 Published: 10 december 2014 / [ed] Seenith Sivasundaram, American Institute of Physics (AIP), 2014, Vol. 1637, p. 627-636Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_37_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:37:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_37_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Various techniques for interpolation of data, moment matching in stochastic applications and various methods in numerical analysis can be described using Vandermonde matrices. For this reason the properties of the determinant of the Vandermonde matrix and related matrices are interesting. Here the extreme points of the Vandermonde determinant, and related determinants, on some simple surfaces such as the unit sphere are analyzed, both numerically and analytically. Some results are also visualized in various dimensions. The extreme points of the Vandermonde determinant are also related to the roots of certain orthogonal polynomials such as the Hermite polynomials.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:37:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 39. Optimization of the Determinant of the Vandermonde Matrix and Related Matrices Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_38_j_idt591",{id:"formSmash:items:resultList:38:j_idt591",widgetVar:"widget_formSmash_items_resultList_38_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_38_j_idt594",{id:"formSmash:items:resultList:38:j_idt594",widgetVar:"widget_formSmash_items_resultList_38_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:38:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Österberg, JonasMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:38:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Optimization of the Determinant of the Vandermonde Matrix and Related Matrices2018In: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 20, no 4, p. 1417-1428Article in journal (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_38_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:38:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_38_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The value of the Vandermonde determinant is optimized over various surfaces, including the sphere, ellipsoid and torus. Lagrange multipliers are used to find a system of polynomial equations which give the local extreme points in its solutions. Using Grobner basis and other techniques the extreme points are given either explicitly or as roots of polynomials in one variable. The behavior of the Vandermonde determinant is also presented visually in some interesting cases.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:38:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 40. Optimization of the determinant of the Vandermonde matrix on the sphere and related surfaces Lundengård, Karl PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_39_j_idt591",{id:"formSmash:items:resultList:39:j_idt591",widgetVar:"widget_formSmash_items_resultList_39_j_idt591",onLabel:"Lundengård, Karl ",offLabel:"Lundengård, Karl ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_39_j_idt594",{id:"formSmash:items:resultList:39:j_idt594",widgetVar:"widget_formSmash_items_resultList_39_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:39:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Österberg, JonasMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:39:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Optimization of the determinant of the Vandermonde matrix on the sphere and related surfaces2015In: ASMDA 2015 Proceedings: 16th Applied Stochastic Models and Data Analysis International Conference with 4th Demographics 2015 Workshop / [ed] Christos H Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2015, p. 637-648Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_39_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:39:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_39_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); The value of the Vandermonde determinant is optimized over various surfaces, including the sphere, ellipsoid and torus. Lagrange multipliers are used to find a system of polynomial equations which give the local extreme points in its solutions. Using Gröbner basis and other techniques the extreme points are given either explicitly or as roots of polynomials in one variable. The behavior of the Vandermonde determinant is also presented visually in some interesting cases.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:39:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 41. Properties of the extreme points of the joint eigenvalue probability density function of the Wishart matrix Muhumuza, Asaph Keikara PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_40_j_idt591",{id:"formSmash:items:resultList:40:j_idt591",widgetVar:"widget_formSmash_items_resultList_40_j_idt591",onLabel:"Muhumuza, Asaph Keikara ",offLabel:"Muhumuza, Asaph Keikara ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_40_j_idt594",{id:"formSmash:items:resultList:40:j_idt594",widgetVar:"widget_formSmash_items_resultList_40_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Department of Mathematics, Busitema University, Kampala, Uganda.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:40:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Mango, John MageroDepartment of Mathematics, School of Physical Sciences, Makerere University, Kampala, Uganda.Kakuba, GudwinDepartment of Mathematics, School of Physical Sciences, Makerere University, Kampala, Uganda.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:40:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Properties of the extreme points of the joint eigenvalue probability density function of the Wishart matrix2019In: Proceedings of 18th Applied Stochastic Models and Data Analysis International Conference with the Demographics 2019 Workshop, Florence, Italy: 11-14 June, 2019 / [ed] Christos H. Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2019, p. 559-571Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_40_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:40:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_40_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); We will examine some properties of the extreme points of the probability density distribution of the Wishart matrix using properties of the Vandermonde determinant and show examples of applications of these properties.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:40:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 42. Extreme points of the Vandermonde determinant on surfaces implicitly determined by a univariate polynomial Muhumuza, Asaph Keikara PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_41_j_idt591",{id:"formSmash:items:resultList:41:j_idt591",widgetVar:"widget_formSmash_items_resultList_41_j_idt591",onLabel:"Muhumuza, Asaph Keikara ",offLabel:"Muhumuza, Asaph Keikara ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_41_j_idt594",{id:"formSmash:items:resultList:41:j_idt594",widgetVar:"widget_formSmash_items_resultList_41_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Department of Mathematics, Busitema University, Kampala, Uganda.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:41:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Österberg, JonasMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Mango, JohnDepartment of Mathematics, Makerere University, Kampala, Uganda.Kakuba, GodwinDepartment of Mathematics, Makerere University, Kampala, Uganda.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:41:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Extreme points of the Vandermonde determinant on surfaces implicitly determined by a univariate polynomialManuscript (preprint) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_41_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:41:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_41_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); In this paper some results on optimising the Vandermonde determinanton a few different surfaces defined by univariate polynomials are discussed. The coordinates of the extreme points are given as roots of polynomials. Applications in curve-fitting and electrostatics are also briefly discussed.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:41:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 43. Optimization of the Wishart Joint Eigenvalue Probability Density Distribution Based on the Vandermonde Determinant. Muhumuza, Asaph Keikara PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_42_j_idt591",{id:"formSmash:items:resultList:42:j_idt591",widgetVar:"widget_formSmash_items_resultList_42_j_idt591",onLabel:"Muhumuza, Asaph Keikara ",offLabel:"Muhumuza, Asaph Keikara ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_42_j_idt594",{id:"formSmash:items:resultList:42:j_idt594",widgetVar:"widget_formSmash_items_resultList_42_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Department of Mathematics, Busitema University, Kampala, Uganda.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:42:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Österberg, JonasMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Mango, JohnCollege of Natural Science, Makerere University, Kampala, Uganda.Kakuba, GoodwinCollege of Natural Science, Makerere University, Kampala, Uganda.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:42:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Optimization of the Wishart Joint Eigenvalue Probability Density Distribution Based on the Vandermonde Determinant.Manuscript (preprint) (Other academic)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_42_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:42:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_42_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); A number of models from mathematics, physics, probability theory and statistics can be described in terms of Wishart matrices and their eigenvalues. The most prominent example being the Laguerre ensembles of the spectrum of Wishart matrix. We aim to express extreme points of the joint eigenvalue probability densitydistribution of a Wishart matrix using optimisation techniques for the Vandermondedeterminant over certain surfaces implicitly defined by univariate polynomials.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:42:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 44. Pricing European Options under two-dimensional Black-Scholes Equation by two different approaches Murara, Jean-Paul PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_43_j_idt591",{id:"formSmash:items:resultList:43:j_idt591",widgetVar:"widget_formSmash_items_resultList_43_j_idt591",onLabel:"Murara, Jean-Paul ",offLabel:"Murara, Jean-Paul ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_43_j_idt594",{id:"formSmash:items:resultList:43:j_idt594",widgetVar:"widget_formSmash_items_resultList_43_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:43:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Canhanga, BetuelMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Department of Mathematics and Computer Sciences, Faculty of Sciences, Eduardo Mondlane University, Maputo, Mozambique.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:43:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Pricing European Options under two-dimensional Black-Scholes Equation by two different approaches2019In: Proceedings of 18th Applied Stochastic Models and Data Analysis International Conference with the Demographics 2019 Workshop, Florence, Italy: 11-14 June, 2019 / [ed] Christos H. Skiadas, ISAST: International Society for the Advancement of Science and Technology , 2019, p. 573-582Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_43_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:43:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_43_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); In the option pricing process, Black-Scholes (1973) solved a partial differential equation and introduced a model to determine the price of an option. While dealing with many problems in financial engineering, the application of Partial Differential Equations (PDEs) is fundamental to explain the changes that occur in the evolved systems. In this paper, we consider the European call option pricing problem that involves a two-dimensional Black-Scholes PDE. We transform the final time condition presented in [7] and compare the numerical prices using Crank-Nicolson scheme with analytic approximation prices obtained for a European basket option. Conclusions related to different parameters effects are given based on obtained results.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:43:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 45. Approximation Methods of European Option Pricing in Multiscale Stochastic Volatility Model Ni, Ying PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_44_j_idt591",{id:"formSmash:items:resultList:44:j_idt591",widgetVar:"widget_formSmash_items_resultList_44_j_idt591",onLabel:"Ni, Ying ",offLabel:"Ni, Ying ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_44_j_idt594",{id:"formSmash:items:resultList:44:j_idt594",widgetVar:"widget_formSmash_items_resultList_44_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:44:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Canhanga, BetuelMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Malyarenko, AnatoliyMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:44:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Approximation Methods of European Option Pricing in Multiscale Stochastic Volatility Model2017In: INCPAA 2016 Proceedings: 11th International Conference on Mathematical Problems in Engineering, Aerospace, and Sciences, ICNPAA 2016, La Rochelle, France, 4 - 8 July 2016. / [ed] S. Sivasundaram, American Institute of Physics (AIP), 2017, Vol. 1798, p. 020112-1-020112-10, article id 020112Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_44_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:44:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_44_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model , in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown by Christoffersen, Heston and Jacobs. We consider one specific type of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this chapter is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi using method of characteristics, Fourier and bivariate Laplace transforms.

PrimeFaces.cw("Panel","tryPanel",{id:"formSmash:items:resultList:44:j_idt629:0:abstractPanel",widgetVar:"tryPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); 46. Pricing Asian Options using Moment Matching on a Multinomial Lattice Ogutu, Carolyne PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_45_j_idt591",{id:"formSmash:items:resultList:45:j_idt591",widgetVar:"widget_formSmash_items_resultList_45_j_idt591",onLabel:"Ogutu, Carolyne ",offLabel:"Ogutu, Carolyne ",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); et al. PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_45_j_idt594",{id:"formSmash:items:resultList:45:j_idt594",widgetVar:"widget_formSmash_items_resultList_45_j_idt594",onLabel:"et al.",offLabel:"et al.",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:45:orgPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Lundengård, KarlMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Silvestrov, SergeiMälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.Weke, PatrickUniversity of Nairobi, Kenya.PrimeFaces.cw("Panel","testPanel",{id:"formSmash:items:resultList:45:etAlPanel",widgetVar:"testPanel",toggleable:true,toggleSpeed:500,collapsed:false,toggleOrientation:"vertical",closable:true,closeSpeed:500}); Pricing Asian Options using Moment Matching on a Multinomial Lattice2014In: 10TH INTERNATIONAL CONFERENCE ON MATHEMATICAL PROBLEMS IN ENGINEERING, AEROSPACE AND SCIENCES: ICNPAA 2014 Conference date: 15–18 July 2014 Location: Narvik, Norway ISBN: 978-0-7354-1276-7 Editor: Seenith Sivasundaram Volume number: 1637 Published: 10 december 2014 / [ed] Seenith Sivasundaram, 2014, p. 759-765Conference paper (Refereed)Abstract [en] PrimeFaces.cw("SelectBooleanButton","widget_formSmash_items_resultList_45_j_idt629_0_j_idt630",{id:"formSmash:items:resultList:45:j_idt629:0:j_idt630",widgetVar:"widget_formSmash_items_resultList_45_j_idt629_0_j_idt630",onLabel:"Abstract [en]",offLabel:"Abstract [en]",onIcon:"ui-icon-triangle-1-s",offIcon:"ui-icon-triangle-1-e"}); Pricing Asian options is often done using bi- or trinomial lattice methods. Here some results for generalizing these methods to lattices with more nodes are presented. We consider Asian option pricing on a lattice where the underlying asset follows Merton–Bates jump-diffusion model and describe the construction of a lattice using the moment matching technique which results in an equation system described by a rectangular Vandermonde matrix. The system is solved using the explicit expression for the inverse of the Vandermonde matrix and some restrictions on the jump sizes of the lattice and the distribution of moments are identified. The consequences of these restrictions for the suitability of the multinomial lattice methods are also discussed.

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