Journal of
Systemics, Cybernetics and Informatics
 



ISSN: 1690-4524 (Online)


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Honorary Editorial Advisory Board's Chair
William Lesso (1931-2015)

Editor-in-Chief
Nagib C. Callaos


Sponsored by
The International Institute of
Informatics and Systemics

www.iiis.org
 

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Detection of Minimal Set of Trips Causing the Necessity to Use Extra Vehicle for Vehicle Scheduling Problem
Katerina Pastircáková, Jaromír Šulc
(pages: 1-4)

Key Factors in the Success of Self - Directed Learning of Military Personnel - Taking Smartphone as an Example
Yen-Hsi Lo, Yen-Fen Lo, Po-Yun Chiang, Jung Hsiao
(pages: 5-8)

Machine Learning Based IP Network Traffic Classification Using Feature Significance Analysis
Te-Shun Chou, John Pickard, Ciprian Popoviciu
(pages: 9-12)

The Information System for US Stock Market: Fundamental and Technical Analysis
Sergejs Hilkevics, Galina Hilkevica
(pages: 13-24)

The Impact of Environmental and Social Performance on the Market Value of Shares of Czech Joint-Stock Corporations
Alena Kocmanova, Marie Pavlakova Docekalova, Iveta Simberova
(pages: 25-31)

Play the Game! Analogue Gamification for Raising Information Security Awareness (Invited Paper)
Margit Scholl
(pages: 32-35)

Using Informatics and Technology Practices for Academic Performance Review
Kim Moorning
(pages: 36-41)

Multiple Research Perspectives as a Paradigm to Co-Create Meaningful Real-life Experiences
Jan Detand, Marina Emmanouil
(pages: 42-46)

A Methodology to Integrate Regulatory Expertise, Research and Education to Accelerate Biomedical Device Translation
Diana Easton
(pages: 47-52)

Active Learning through Smart Grid Model Site in Challenge Based Learning Course
Ellen A. Kalinga, Kwame S. Ibwe, Nerey H. Mvungi, Hannu Tenhunen
(pages: 53-64)

Non-Linear Static Analysis of Masonry Buildings under Seismic Actions
Maria Luisa Beconcini, Paolo Cioni, Pietro Croce, Paolo Formichi, Filippo Landi, Caterina Mochi
(pages: 65-70)

Toward an Engaging Hands-on Environment for a Beginning Networking and Security Class
Lopamudra Roychoudhuri
(pages: 71-76)

Designing Representations, Affecting Reality: A Meta-Model Proposal to Address the Question of Design Epistemology from the Perspective of Cognitive Science
Andrea Zammataro
(pages: 77-80)

Dielectrophoretic Movement of Cell around Surface Electrodes in Flow Channel
Yusuke Takahashi, Shigehiro Hashimoto, Manabu Watanabe
(pages: 81-87)


 

Abstracts

 


ABSTRACT


Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method

Fei Lung Yuen, Hailiang Yang


In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b) and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM). The MRSM allows the parameters of the market model depending on a Markovian process, and the model can reflect the information of the market environment which cannot be modeled solely by linear Gaussian process. However, when the parameters of the stock price model are not constant but governed by a Markovian process, the pricing of the options becomes complex. We present a fast and simple trinomial tree model to price options in MRSM. In recent years, the pricing of modern insurance products, such as Equity-Indexed annuity (EIA) and variable annuities (VAs), has become a popular topic. We show here that our trinomial tree model can been used to price EIA with strong path dependent exotic options in the regime switching model.

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