• The Korean Journal of Applied Statistics
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• v.30 no.2
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• pp.243-257
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• 2017

In this paper, we compare several methods to approximate option prices: Edgeworth expansion, A-type and C-type Gram-Charlier expansions, a method using normal inverse gaussian (NIG) distribution, and an asymptotic method using nonlinear regression. We used two different types of approximation. The first (called the RNM method) approximates the risk neutral probability density function of the log return of the underlying asset and computes the option price. The second (called the OPTIM method) finds the approximate option pricing formula and then estimates parameters to compute the option price. For simulation experiments, we generated underlying asset data from the Heston model and NIG model, a well-known stochastic volatility model and a well-known Levy model, respectively. We also applied the above approximating methods to the KOSPI200 call option price as a real data application. We then found that the OPTIM method shows better performance on average than the RNM method. Among the OPTIM, A-type Gram-Charlier expansion and the asymptotic method that uses nonlinear regression showed relatively better performance; in addition, among RNM, the method of using NIG distribution was relatively better than others.

• Proceedings of the Korea Water Resources Association Conference
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• 2004.05b
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• pp.777-783
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• 2004

하천 세내지 주변은 급속한 시가지 조성과 인구밀집으로 유역의 불투수층이 증가하여 홍수도달시간이 짧아지고 홍수유출량이 증가하고 있다. 또한 엘리뇨${\cdot}$라니냐 등의 이상기후로 홍수사상의 발생 빈도와 규모가 증가하면서 홍수피해도 대형화되어 가고 있다. 그러나 치수사업은 다른 공공사업에 비해 경제성이 저평가 되어 투자우선순위가 밀려 사업시행이 지연되고 예방적 차원의 대책도 미흡하여 피해가 증가하는 악순환이 계속되고 있다. 따라서 본 인구에서는 우리나라의 치수경제성 분석에 있어 계량화하지 못하고 있는 자산이용고도화 효과를 치수안전도와 더불어 분석하고자 한다. 자산이용고도화는 치수사업 시행으로 해당지역의 치수안전도 향상에 따른 자산가치의 상승을 말하는데, 특정지역의 자산가치를 가장 객관적으로 표현할 수 있는 공시지가를 근거로 분석을 수행하였다. 치수사업 시행으로 인한 편익과 하천 특성에 따른 지가변동률의 차이가 통계적으로 유의성이 있는지를 분산분석을 통해 검증하였으면, 자산가치의 상승을 순수 연평균지가변동률로 나타내었다. 치수안전도는 홍수피해 잠재성과 홍수방어능력으로 구분하였는데 홍수피해 잠재성은 도시화율에 따라 구분하였고, 홍수방어능력은 홍수량의 빈도해석과 불확실성을 고려하여 조건부 비초과확률로 나타내었다. 본 연구에서는 소도시 지역(경안천, 복하천, 청미천)을 대상으로 200년 빈도의 홍수사상에 내해 10년, 50년 설계빈도로 건설된 제방의 조건부 비초과확률을 산정하여 지가변동률의 추이를 비교 분석하였다. 분석 결과, 소도시 지역에서는 조건부 비초과확률이 $10\%$ 상승했을 때 순수 연평균지가변동률이 5배정도 상승함을 알 수 있었다.다시 입력자료로 사용하는 업데이트 방식을 사용하기 때문에 예측결과의 오차가 완전하게 보정되지 않으면 다음 결과에 역시 오차를 주게 되어 오차보정이 상당히 중요하다는 것을 알 수 있었다. 오차를 보다 효과적으로 보정하기 위해서는 퍼지제어에 사용되는 퍼지규칙의 수를 늘리고, 유입량에 직접적인 영향을 주는 강우량과 연계한 2변수의 Fuzzy-Grey 모형을 이용한다면 보다 정확한 유입량 예측이 가능할 것으로 사료된다.이 작은 오차를 발생하였으며, 전체적으로 퍼프 모형이 입자모형보다는 훨씬 적은 수의 계산을 통해서도 작은 오차를 나타낼 수 있다는 것을 알 수 있었다. 그러나 Gaussian 분포를 갖는 퍼프모형은 전단흐름에서의 긴 유선형 농도분포를 모의할 수 없었고, 이에 관한 오차는 전단계수가 증가함에 따라 비선형적으로 증가하였다. 향후, 보다 다양한 흐름영역에서 장${\cdot}$단점 분석 및 오차해석을 수행한 후에 각각의 Lagrangian 모형의 장점만을 갖는 모형결합 방법을 제시할 수 있을 것으로 판단된다.mm/$m^{2}$로 감소한 소견을 보였다. 승모판 성형술은 전 승모판엽 탈출증이 있는 두 환아에서 동시에 시행하였다. 수술 후 1년 내 시행한 심초음파에서 모든 환아에서 단지 경등도 이하의 승모판 폐쇄 부전 소견을 보였다. 수술 후 조기 사망은 없었으며, 합병증으로는 유미흉이 한 명에서 있었다. 술 후 10개월째 허혈성 확장성 심근증이 호전되지 않아 Dor 술식을 시행한 후 사망한 예를 제외한 나머지 6명은 특이 증상 없이 정상 생활 중이다 결론: 좌관상동맥 페동맥이상 기시증은 드물기는 하나, 영유아기에 심근경색 및 허혈성 심근증 또는 선천성 승모

• Journal of Korea Water Resources Association
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• v.32 no.1
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• pp.15-29
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• 1999

A new methodology to analyze and quantify regional meteorological drought based on annual precipitation data has been introduced in this paper In this study, based on posterior probability estimator and Bayesian classifier in Spatial Analysis Neural Network (SANN), point drought probabilities categorized as extreme, severe, mild, and non drought events has been defined, and a Bayesian Drought Severity Index (BPSI) has been introduced to classify the region of interest into four drought severities. In addition, to estimate the regional drought severity for the entire region, regional extreme, severe, mild, and non drought probabilities which are the areal averages of point drought probabilities over the region has been computed and applied. In this study, the proposed methodology has been applied to analyze the regional drought of South Korea during 1967-1996 years. The drought severity for the whole South Korea was defined spatially at each year and each year was classified in a drought severity criterion. The results may be useful for water manager to understand the South Korean drought with respect to the spatial and temporal variation.

• Journal of Korea Water Resources Association
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• v.40 no.1 s.174
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• pp.25-38
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• 2007

A grid-based urban surface runoff model for simulating the temporal variation and spatial distribution of overland flow in a drainage area was developed. The process of routing of overland flow is modeled by the nonlinear storage equation which is composed of the continuity equation and the Manning's equation. For model operation, the drainage area is divided into grid areas, and spatially distributed topographical and hydrological information for model inputs is provided. Then overland flow is routed for each of the discretized cells of the area. In order to test the applicability of this model, temporal variations and spatial distributions of flow depth and overland flow was simulated in a fictitious and a real urbanized Kunja drainage area. Results indicate that the model can simulate reasonably well the urban runoff hydrograph.

• Journal of Wetlands Research
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• v.21 no.3
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• pp.236-243
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• 2019

Hydrologic time series has been analyzed and forecasted by using classical linear models. However, there is growing evidence of nonlinear structure in natural phenomena and hydrologic time series associated with their patterns and fluctuations. Therefore, the classical linear techniques for time series analysis and forecasting may not be appropriate for nonlinear processes. Daily streamflow series at St. Johns river near Cocoa, Florida, USA showed an interesting result of a low dimensional, nonlinear dynamical system but daily inflow at Soyang reservoir, South Korea showed stochastic property. Based on the chaotic dynamical characteristic, DVS (deterministic versus stochastic) algorithm is used for short-term forecasting, as well as for exploring the properties of the system. In addition to the use of DVS algorithm, a neural network scheme for the forecasting of the daily streamflow series can be used and the two techniques are compared in this study. As a result, the daily streamflow which has chaotic property showed much more accurate result in short term forecasting than stochastic data.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.31 no.5
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• pp.278-293
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• 2019

The joint distribution of wave height and period has been maltreated despite of its great engineering value due to the absence of any analytical model for wave period, and as a result, no consensus has been reached about the effect of nonlinearity on these joint distribution. On the other hand, there was a great deal of efforts to study the effects of non-linearity on the wave height distribution over the last decades, and big strides has been made. However, these achievements has not been extended to the joint distribution of wave height and period. In this rationale, we first express the joint distribution of wave height and period as the product of the marginal distribution of wave heights with the conditional distribution of associated periods, and proceed to derive the joint distribution of wave heights and periods utilizing the models of Longuet-Higgins (1975, 1983), and Cavanie et al. (1976) for conditional distribution of wave periods, and height distribution derived in this study. The verification was carried out using numerically simulated data based on the Wallops spectrum, and the nonlinear wave data obtained via the numerical simulation of random waves approaching toward the uniform beach of 1:15 slope. It turns out that the joint distribution based on the height distribution for finite banded nonlinear waves, and Cavanie et al.'s model (1976) is most promising.

• Journal of Korea Water Resources Association
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• v.33 no.6
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• pp.733-744
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• 2000

Due to the randomness of reservoir inflow and supply demand it is not easy to establish an optimal reservoir operation rule. However, the operation rule can be derived by the implicit stochastic optimization approach using synthetic inflow data with some demand satisfied. In this study the optimal reservoir operation which was reasonably formulated as Linear Tracking model for maximizing the hydro-energy of seven reservoirs system in the Han river was performed by use of the optimal control theory. Here the operation model made to satisfy the 2001st year demand in the capital area inputted the synthetic inflow data generated by multi-site Markov model. Based on the regressions and statistic analyses of the optimal operation results, monthly reservoir operation rules were developed with the seasonal probabilities of the reservoir stages. The comparatively larger dams which would have more controllability such as Hwacheon, Soyanggang, and Chungju had better regressions between the storages and outflows. The effectiveness of the rules was verified by the simulation during actually operating period.period.

• Journal of Korea Technology Innovation Society
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• v.10 no.2
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• pp.183-205
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• 2007

An investigation was undertaken of the optimal discriminant model for predicting the likelihood of insolvency in advance for medium-sized firms based on the technology evaluation. The explanatory variables included in the discriminant model were selected by both factor analysis and discriminant analysis using stepwise selection method. Five explanatory variables were selected in factor analysis in terms of explanatory ratio and communality. Six explanatory variables were selected in stepwise discriminant analysis. The effectiveness of linear discriminant model and logistic discriminant model were assessed by the criteria of the critical probability and correct classification rate. Result showed that both model had similar correct classification rate and the linear discriminant model was preferred to the logistic discriminant model in terms of criteria of the critical probability In case of the linear discriminant model with critical probability of 0.5, the total-group correct classification rate was 70.4% and correct classification rates of insolvent and solvent groups were 73.4% and 69.5% respectively. Correct classification rate is an estimate of the probability that the estimated discriminant function will correctly classify the present sample. However, the actual correct classification rate is an estimate of the probability that the estimated discriminant function will correctly classify a future observation. Unfortunately, the correct classification rate underestimates the actual correct classification rate because the data set used to estimate the discriminant function is also used to evaluate them. The cross-validation method were used to estimate the bias of the correct classification rate. According to the results the estimated bias were 2.9% and the predicted actual correct classification rate was 67.5%. And a threshold value is set to establish an in-doubt category. Results of linear discriminant model can be applied for the technology financing banks to evaluate the possibility of insolvency and give the ranking of the firms applied.

• Journal of Korean Society of Transportation
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• v.16 no.1
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• pp.151-164
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• 1998

본 논문은 통행배정과 교통신호제어기의 결합문제를 풀기 위한 새로운 해법의 제시를 목적으로 한다. 통행배정과 신호제어 결합모형은 네트웍 디자인 문제(Network Design Problem)로 비선형 비분리 목적함수(Nonlinear and Nonseparable Objective Function)와 비선형제약 및 비컴백스 집합(Nonlinear and Non-Convex Set)형태로 인해 다수의 국지해(Multiple Local Optima)를 갖는 특징이 있다. 따라서 이렇게 복잡하고 난해한 문제를 푸는 해법은 많은 국지해중에 가장 최소한 값(Global Optima)을 찾을수 있는 방법을 제공하여야한다. 전체최적해(Global Optima)를 찾 을 수 있는 기존의 방법들은 확률적최적화방법(Stochastic Optimization Methods)에 속한다. 본연구에서는 이러한 방법중 금속공학에서 발 견된 모의담금빌법(Simulated Annealing Method)에 근거한 해법을 제시한다. 이방법이 통행배정과 신호제어 결합문제에 적용되는지 검토하기 위해 이해법의 수렴성(Convergence)을 증명했으며 또한 실제 프로그램된 모형을 작은 고안된 네트워크에 적 용했다. 마지막으로는 개발된 해법의 실용성을 실험하기 위해 두 가지의 보다 큰 도로망에 적용 및 분석을 했다.

• Proceedings of the KAIS Fall Conference
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• 2010.05b
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• pp.923-927
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• 2010

본 연구는 가격 및 수요 불확실성하의 강건한 (robust) 생산 및 수송 전략을 수립함으로써 수요 및 가격 불확실성이 존재하는 TFT-LCD 제조업 공급사슬망의 의사결정 문제를 해결하고자 한다. 품질로 구분되는 제품들의 생산, 재고 및 물류에 관한 의사결정을 조정하기 위해, 본 연구에서는 생산용량 제약, 해상/항공 수송 리드타임 및 용량 제약 등의 현실적인 제약조건들 이외에 시나리오 모델을 이용하여 수요 및 가격 불확실성을 함께 반영하는 확률적 혼합정수선형계획법모형들을 개발한다. 또한 이들 모형들의 효율적 솔루션을 위해 제안한 휴리스틱 알고리즘의 성능을 평가하도록 한다.