• Journal of the Korea Academia-Industrial cooperation Society
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• v.12 no.2
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• pp.712-717
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• 2011

Option issuers generally utilize Dynamic Delta Hedging(DDH) technique to avoid the risk resulting from continuously changing option value. DDH duplicates payoff of option position by adjusting hedge position according to the delta value from Black-Scholes(BS) model in order to maintain risk neutral state. DDH, however, is not able to guarantee optimal hedging performance because of the weaknesses caused by impractical assumptions inherent in BS model. Therefore, this study presents a methodology for dynamic option hedge using artificial neural network(ANN) to enhance hedging performance and show the superiority of the proposed method using various computational experiments.

• The Transactions of the Korea Information Processing Society
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• v.5 no.3
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• pp.633-648
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• 1998

Rapid computing environment, change of the application structure, and various user demand will increase the demand of the software development. Version control is helpful to improve productivity using delta, and useful to establish component from existing data of source code. This paper presents the design and implementation of the version control system. which is composed of retrieval system and delta management system. In retrieval system, vanous retrieve methods arc proposed. This methods provides the process methodology with filename, content, size and date. Various retrieve methods arc important for the effective delta management. Meta data can be easily composed for the delta management by these methods. Compared with other systems, this implemented version control system has some advantage. First, for delta management, version maintenance for delta management becomes easier by integrating the forward and back-ward methods. Second, delta managent part of a project is to unite the forward and backward method. the effieiency of this system is to increased in management. Also, this system supports a thechnique of using the database and files for project repository and makes the version management more effective.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.13 no.3
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• pp.1091-1098
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• 2012

From the perspective of risk management, financial organization that have issued ELW require an efficient hedging methodology due to recently increased trade volume of ELW. This study presents an ELW hedging methodology using artificial neural network(ANN) to minimize hedging costs. The performance of the presented methodology in this study is examined by analysis utilizing the prices and volatilities of underlying assets, risk free interest rates, and maturities and computational experiments show that the proposed method is superior to existing dynamic delta hedging(DDH) technique in terms of hedging costs ranged from 25% to 250%.

• Journal of Korean Society of Environmental Engineers
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• v.31 no.6
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• pp.428-433
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• 2009

Dissolved oxygen is considered as one of the important water-quality constituents in streams from one century ago and fishes perish in low dissolved oxygen concentration. Environmental scientists and engineers have introduced the deterministic model to estimate dissolved oxygen concentration of streams and recommended the use of the Delta Method (DM), Approximate Delta Method (ADM), Extreme Value Method (EVM) and Optimization Method (OPT) which can be applied in no spatial variation of dissolved oxygen. The diurnal or annual variation of dissolved oxygen is mainly determined from the parameters such as reaeration rate, 1st production rate and respiration rate which are related to dissolved oxygen. Each method was briefly introduced and applied to two sampling sites of Anseong Stream watershed in this paper. The limitation, advantages and disadvantages of each method were reviewed and analyzed after running the each method. From these analyses, the benefit-cost approach to estimate dissolved oxygen effectively in streams was recommended.

• Journal of the Korean Data and Information Science Society
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• v.22 no.6
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• pp.1041-1051
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• 2011

The development of information technology provides us with more useful information but it arose to protect such information from inappropriate users. In the course of analyzing and managing the risks associated with information, it should be needed to accurately measure the value of information. We try to consider the contingent valuation method for this purpose. The contingent valuation method which is used to assess the value of public goods or nonmarket goods makes an statistical estimation for the willingness-to-pay. We show with an example how we can estimate the value of information by calculating the amount we are willing to pay the value of information that exists on the information system. Calculation is carried out by using R.

• The Journal of the Korea institute of electronic communication sciences
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• v.11 no.9
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• pp.827-840
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• 2016

In recent years, our society, because of the arrival of a new paradigm according to the rapid changes in ICT has entered into future smart society and the ubiquitous era. So it can be a notable turning point in the city disaster prevention system with big data, aspects of the era change. Therefore, this study was to derive a desirable vision for the big data city disaster prevention informatization in terms of ICT city disaster prevention system development as preparedness for the city disaster by applying 'scenario planning' as a foresight method. Soon this study derived a successful city disaster prevention informatization strategy as preparedness for the city disaster, for example, in terms of water pollution and disaster prevention of Busan Ecodeltacity. It proposed the big data city disaster prevention informatization system with the use of the administrative aspects of information with spatial informatization as big data information. Also this study explored the future leadership strategy of the big data city disaster prevention informatization in smart society and smart eco-city. Eventually in 2030 to around, in order to still remain our city disaster prevention informatization as a leading ICT nation, this study suggested the following strategy. It is important to ready the advanced ubiquitous administrative spatial informatization and ICT disaster prevention system with big data in terms of water pollution and disaster prevention of Busan Ecodeltacity.

• Sleep Medicine and Psychophysiology
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• v.9 no.1
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• pp.24-33
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• 2002

Objectives: Nasal continuous positive airway pressure (CPAP) corrected elevated blood pressure (BP) in some studies of obstructive sleep apnea syndrome (OSAS) but not in others. Such inconsistent results in previous studies might be due to differences in factors influencing the effects of CPAP on BP. The factors referred to include BP monitoring techniques, the characteristics of subjects, and method of CPAP application. Therefore, we evaluated the effects of one night CPAP application on BP and heart rate (HR) reactivity using non-invasive beat-to-beat BP measurement in normotensive and hypertensive subjects with OSAS. Methods: Finger arterial BP and oxygen saturation monitoring with nocturnal polysomnography were performed on 10 OSAS patients (mean age $52.2{\pm}12.4\;years$; 9 males, 1 female; respiratory disturbance index (RDI)>5) for one baseline night and another CPAP night. Beat-to-beat measurement of BP and HR was done with finger arterial BP monitor ($Finapres^{(R)}$) and mean arterial oxygen saturation ($SaO_2$) was also measured at 2-second intervals for both nights. We compared the mean values of cardiovascular and respiratory variables between baseline and CPAP nights using Wilcoxon signed ranks test. Delta ($\Delta$) BP, defined as the subtracted value of CPAP night BP from baseline night BP, was correlated with age, body mass index (BMI), baseline night values of BP, BP variability, HR, HR variability, mean $SaO_2$ and respiratory disturbance index (RDI), and CPAP night values of TWT% (total wake time%) and CPAP pressure, using Spearman's correlation. Results: 1) Although increase of mean $SaO_2$ (p<.01) and decrease of RDI (p<.01) were observed on the CPAP night, there were no significant differences in other variables between two nights. 2) However, delta BP tended to increase or decease depending on BP values of the baseline night and age. Delta systolic BP and baseline systolic BP showed a significant positive correlation (p<.01), but delta diastolic BP and baseline diastolic BP did not show a significant correlation except for a positive correlation in wake stage (p<.01). Delta diastolic BP and age showed a significant negative correlation (p<.05) during all stages except for REM stage, but delta systolic BP and age did not. 3) Delta systolic and diastolic BPs did not significantly correlate with other factors, such as BMI, baseline night values of BP variability, HR, HR variability, mean SaO2 and RDI, and CPAP night values of TWT% and CPAP pressure, except for a positive correlation of delta diastolic pressure and TWT% of CPAP night (p<.01). Conclusions: We observed that systolic BP and diastolic BP tended to decrease, increase or remain still in accordance with the systolic BP level of baseline night and aging. We suggest that BP reactivity by CPAP be dealt with as a complex phenomenon rather than a simple undifferentiated BP decrease.

• Transactions of the Korean Society of Mechanical Engineers
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• v.16 no.7
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• pp.1223-1233
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• 1992

Chemical and mechanical properties of workpieces and tools are important factors for selecting machining parameters in machining process planning. As there is no universal rule representing the machinability defined by metal removal rate, the selection of machining parameters still requires experience-oriented methods. In this paper, a new approach is presented to develop mathematical models for generating optimum machinability in turning processes based on chemical and mechanical properties of workpieces. Neural-Network methodology is introduced to identify mathematical models for machinability. It is confirmed by simulations that the proposed methodology can be used for developing numerical controllers with adaptive control performance.

• Composites Research
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• v.12 no.5
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• pp.65-79
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• 1999

This paper descrives the method to analyzed the free vibratioin of supported composite cylindrical shells with a longitudinal, interior rectangular plate. To obtain the free vibration characteristics before the combination of two structures, the energy principle based on the classical plate theory and Love's thin shell theory is adopted. The frequency equation of the combined system is formulated using the receptance method. When the line load and moment applied along the joint are assumed as the the Dirac delta and sinusolidal function, the continuity conditions at the joint of the plate and shell are proven to be satisfied. The effects on the combined shell frequencies of the length-no-radius ratios and radius-to-thickness ratios of the shell, fiber orientation angles and orthotropic modulus ratios of the composite are also examined.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.7 no.8
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• pp.1767-1775
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• 2003

The SAW device is extensively used as a electro$.$mechanical band­pass filter in which a two­pairs of interdigital transducers are provided over the surface of the piezoelectric substrate. For the design requirement, the central frequency and the bandwidth of the passband, and the attenuation level of the stopband region are specified. The configuration is made so as to satisfy the specification given. The central frequency is mainly determined by the distance between the pair of the finger electrodes. The design is considered as an optimization problem with which the error norm, the distance between the desired characteristics and the calculated for a given model is to be minimized. The delta function model and the electrical equivalent circuit model are utilized to represent the SAW filter characteristics. Genetic algorithm is used for optimization in which apodization of the transducer fingers is chosen as a design variable.