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나병권,민찬호 한국정보기술학회 2024 한국정보기술학회논문지 Vol.22 No.6
본 논문은 미국형 풋 옵션 평가에 물리정보 신경망(PINN)을 적용하는 방법을 탐구한다. 유한 차분법 및 이항 트리와 같은 전통적인 방법은 일반적으로 사용되지만, 계산 효율성 관련된 문제에 직면한다. PINN은 블랙-숄즈 편미분방정식 및 경계 조건을 신경망 훈련 과정에 직접 통합함으로써 유망한 대안을 제공한다. 우리 PINN 모델은 미분 가능성과 목표 데이터 샘플링을 위해 Softplus 함수를 포함한 기술을 사용하여 성능을 향상시킨다. 우리는 모델을 유한 차분법 및 이항 방법과 비교하여 동등한 정확성을 입증했다. 또한, 제거 연구는 손실함수의 미분 가능성과 충격 영역 근처의 목표 데이터의 중요성을 강조한다. 이러한 결과는 복잡한 금융 모델링 작업에 대해 전통적인 수치 방법과 현대적인 기계 학습 접근 방식의 잠재력을 보여준다. This paper explores the application of Physics-Informed Neural Networks(PINNs) to the valuation of American put options. Traditional methods such as the finite difference method and binomial trees are commonly used but face challenges related to computational efficiency. PINNs offer a promising alternative by incorporating the Black-Scholes partial differential equation(PDE) and its boundary conditions directly into the neural network training process. Our PINN model uses advanced techniques, including the Softplus function for smoothing and targeted data sampling, to enhance performance. We benchmarked our model against finite difference methods and binomial methods, demonstrating comparable accuracy. Additionally, an ablation study highlights the importance of smoothness of loss functions and targeted data near shock regions. The results underscore the potential of combining traditional numerical methods with modern machine learning approaches for complex financial modeling tasks.
Physiological Characterization of an n-Butane-Utilizing Bacterium, Alcaligenes sp.
황태식,박두현,나병권 한국환경분석학회 2007 환경분석과 독성보건 Vol.10 No.3
An n-butane-utilizing bacterium was isolated from soil contaminated with petroleum and identified as Alcaligenes sp. by 16S-rDNA sequence homology. The bacterial isolate grew on gaseous alkane (n-butane), liquid alkane (n-hexane, n-octane or n-decane) or liquid alkane mixture (kerosene, C10~C16) as the sole carbon source, but did not grow on glucose, lactate or pyruvate. The specific activities of butane monooxygenase, butanol dehydrogenase, butyraldehyde dehydrogenase, lactate dehydrogenase, pyruvate dehydrogenase, isocitrate dehydrogenase and malate dehydrogenase were 6.97±0.42, 2.54±0.28, 3.78±0.31, 0.003±0.00, 0.007±0.00, 0.51±0.03 and 0.65±0.04 μM mg protein-1 min-1, respectively. In tests of n-butane, n-hexane, n-octane and ndecane oxygenation with crude enzyme extracted from bacterial cells grown on kerosene, NADH was oxidized to NAD+ coupled to production of n-butanol, n-hexanol, n-octanol and n-decanol. However, monooxygenase activity was relatively higher when the substrate for the enzyme assay was same as that used for growth than when the substrate and growth medium differed. This suggests that Alcaligenes sp. may produce specific monooxygenases dependent on the n-alkane species used as the growth substrate.