2 papers
q-fin.PR2017
Gibbs sampler with jump diffusion model: application in European call option and annuity
Kein Joe Lau, Yong Kheng Goh, An-Chow Lai
In this paper, we are presenting a method for estimation of market parameters modeled by jump diffusion process. The method proposed is based on Gibbs sampler, while the market par…
cond-mat.stat-mech2002
A simulation on vertically shaken granular layers
Y. K. Goh, R. L. Jacobs
A hybrid model of molecular dynamics and continuum mechanics is introduced to study a system of vertically shaken granular layers. Despite the simplicity the model shows pattern fo…