Time filter

Source Type

Singapore, Singapore

Horng T.-L.,Feng Chia University | Tien C.-Y.,ST Asset Management
Lecture Notes in Engineering and Computer Science | Year: 2013

The early exercise property of American option changes the original Black-Scholes equation to an inequality that cannot be solved via traditional finite difference method. Therefore, finding the early exercise boundary prior to spatial discretization is a must in each time step. This overhead slows down the computation and the accuracy of solution relies on if the early exercise boundary can be accurately located. A simple numerical method based on finite difference and method of lines is proposed here to overcome this difficulty in American option valuation. Our method averts the otherwise necessary procedure of locating the optimal exercise boundary before applying finite difference discretization. The method is efficient and flexible to all kinds of pay-off. Computations of American put, American call with dividend, American strangle options are demonstrated to show the efficiency of the current method.

Lee J.H.,ST Asset Management
Journal of Performance of Constructed Facilities | Year: 2015

A bridge-deterioration approach is to predict the condition ratings and the deterioration pattern of bridge elements for determining optimal maintenance strategies and estimating future funding requirements. To effectively predict long-term bridge performance, an advanced integrated deterioration approach has been developed that incorporates a time-based model, a state-based model with the Elman neural network (ENN) and a backward prediction model (BPM). The proposed approach involves the categorization of the selected inspection records by bridge components, material types, traffic volume, and the construction era. The primary advantage of such categorization is to group similar components together, thereby identifying the common deterioration patterns. A selection process embedded in the proposed approach offers the ability to automatically select the most appropriate model for predicting future bridge condition ratings. To demonstrate the advantage of the proposed approach in predicting long-term bridge performances, case studies are performed using available inspection records. To compare the performance of the proposed approach against the standard Markovian-based deterioration procedure in predicting future bridge condition ratings, a total of 40 bridges with 464 bridge substructure inspection records are selected and used as input. The predicted outcomes are validated by a cross-validation process, which demonstrates that the proposed approach is more accurate than the standard Markovian-based procedure. © 2014 American Society of Civil Engineers.

Zaghloul S.,ST Asset Management | Al-Hazmi A.,Ministry of Municipal and Rural Affairs MOMRA | Al-Harthi S.,Ministry of Municipal and Rural Affairs MOMRA
International Journal of Pavement Research and Technology | Year: 2013

Despite the fact that long-term pavement performance is highly dependent on the quality of construction, construction quality has rarely been addressed or considered in Pavement Management Systems (PMS). In this paper the impact of construction quality on pavement performance predictions, and hence the accuracy of PMS analysis, such as priority analysis and capital investment programs, is presented. This impact is demonstrated in this paper and found to be significant. A practical approach to integrate construction quality into PMS analysis is also presented in the paper. © Chinese Society of Pavement Engineering.

ST Asset Management | Entity website

60B Orchard Road #06-18 Tower 2, The Atrium@OrchardSingapore 238891

ST Asset Management | Entity website

Risk Management The Risk Management Unit works with the business units to establish and maintain effective risk management in the various areas of responsibility. STAM takes an integrated, organisation-wide perspective of its risk exposure in order to develop and maintain the ability to react to emerging and growing risks in a timely and effective manner ...

Discover hidden collaborations