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Application of Homomorpic Encryption in Black-Scholes Equation : 블랙숄츠 방정식에서 동형암호이론의 적용
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 이기암 | - |
dc.contributor.author | 권민우 | - |
dc.date.accessioned | 2017-07-19T09:00:11Z | - |
dc.date.available | 2017-07-19T09:00:11Z | - |
dc.date.issued | 2014-08 | - |
dc.identifier.other | 000000021830 | - |
dc.identifier.uri | https://hdl.handle.net/10371/131489 | - |
dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 수리과학부, 2014. 8. 이기암. | - |
dc.description.abstract | This paper propose the method that is the calculation for price of option to apply a fully homomorphic encryption.
In chapter 1,we provide a brief introduction about how to apply that information. In chapter 2, we describe a typical option pricing model which is the Black-Scholes equation and derive its solution. In chapter 3, we introduce CRT-based FHE [8] published at Seoul National University, and BGV algorithm[7] that used in the design of HElib. Finally, In chapter 4, we show that the results of calculated by modifying c++ code of [8] implementd NTL written by Dr. Lee Hyung-Tae (Nanyang Technological University). And we discuss to improve ways. | - |
dc.description.tableofcontents | Contents
1. Introduction 1.1 Homomorphic encryption 1.2 Option of Stock 1.3 Our Work 2. Option pricing 2.1 Continuous model 2.2 Ito integral formula 2.3 Black-scholes equation 2.4 Option Greeks 2.4.1 Delta 2.4.2 Gamma 2.4.3 Theta 2.4.4 Vega 2.4.5 Rho 3. Fully homomorphic encryption 3.1 Basic Definitions 3.2 CRT-based fully homomorphic encryption over the integers 3.2.1 Notations 3.2.2 The construction 3.2.3 Corretness and the multiplicative depth 3.3 Fully homomorphic encryption without Bootstrapping (BGV) 3.3.1 Notations 3.3.2 Construction (with no homomorphic opertaions) 3,3,3 Key Switching 3.3.4 Modulus Switching 3.3.5 (Leveled) FHE base on GLWE without Bootstrapping 4. Computations using NTL 4.1 Computation method 4.2 Performance 4.3 Discussion | - |
dc.format | application/pdf | - |
dc.format.extent | 978809 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | black-scholes | - |
dc.subject | option | - |
dc.subject | homomorphic encryption | - |
dc.subject.ddc | 510 | - |
dc.title | Application of Homomorpic Encryption in Black-Scholes Equation | - |
dc.title.alternative | 블랙숄츠 방정식에서 동형암호이론의 적용 | - |
dc.type | Thesis | - |
dc.contributor.AlternativeAuthor | Minwoo Kwon | - |
dc.description.degree | Master | - |
dc.citation.pages | ii, 36 | - |
dc.contributor.affiliation | 자연과학대학 수리과학부 | - |
dc.date.awarded | 2014-08 | - |
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