• The Korean Journal of Financial Management
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• v.19 no.2
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• pp.27-48
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• 2002

본 논문은 이자율의 기간 구조가 차익 거래의 기회가 없도록 움직일 때 새로운 평균만기 측 정치인 AR 평균만기(arbitrage-free duration)을 도출하고 선물가격과 선도가격과의 관계를 분석한다. 지금까지 평균만기에 관한 많은 연구들은 수익률 곡선이 특정한 형태로 이동한다는 가정 하에서 평균만기를 유도하고 이에 근거하여 채권가격의 변동치를 측정하고 있다. 본 논문에서는 기존의 평균만기의 가정을 완화한 AR 평균만기를 도출하였다. 여기서 제시하는 AR 평균만기는 기존의 Macaulay 평균만기를 포함하는 일반화한 측정치라고 할 수 있다. 아울러 본 논문에서는 선물가격과 선도가격사이에 존재하는 이론적 관계를 규명하고자 하였다. 선물가격은 선도가격에 비해 할인된 가격이라는 것을 보이고 이자율 변동위험이 선물가격의 할인정도에 미치는 영향을 모형화 하였다. 최근 들어 선물을 이용한 채권 면역화에 대한 실증연구에 관심이 지속적으로 증가하고 있다. 전통적 실증연구 방법론에서는 먼저, 선물가격과 기초채권 가격사이에 존재하는 분산-공분산 행렬을 추정한다. 그런 후 추정된 분산-공분산 행렬을 바탕으로 이자율 위험 헤징 전략을 수립한 후 이 전략에 대한 실증 분석을 수행하였다. 그러나, 전통적 접근법의 가장 큰 문제는 비안정적(non-stationary)인 분산-공분산 행렬을 적절히 고려할 수 없었다는 점이다. 따라서, 본 연구의 결과를 기반으로 하면 최적의 헷징 전략을 수립하기 위한 이론적 기틀을 수립할 수 있을 것이다.

• The KIPS Transactions:PartC
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• v.15C no.6
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• pp.531-538
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• 2008

With the dynamic and mobile nature of ad hoc networks, links may fail due to topology changes. So, a major challenge in ad hoc network is dynamically to search paths from a source to destination with an efficient routing method, which is an important issue for delay-sensitive real-time application. The main concerns of graph theory in communications are finding connectivity and searching paths using given nodes. A topology of the nodes in ad hoc networks can be modeled as an adjacency matrix. In this paper, based on this adjacency matrix, we propose new path search algorithms using a sequence of matrix calculation. The proposed algorithms can search paths from a destination to a source using connectivity matrix. Two matrix-based algorithms for two different purposes are proposed. Matrix-Based Backward Path Search(MBBS) algorithm is designed for shortest path discovery and Matrix-Based Backward Multipath Search(MBBMS) algorithm is for multipath search.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.15 no.3
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• pp.15-24
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• 2015

Jacket matrices which are defined to be $m{\times}m$ matrices $J^{\dagger}=[J_{ik}^{-1}]^T$ over a Galois field F with the property $JJ^{\dagger}=mI_m$, $J^{\dagger}$ is the transpose matrix of element-wise inverse of J, i.e., $J^{\dagger}=[J_{ik}^{-1}]^T$, were introduced by Lee in 1984 and are used for Digital Signal Processing and Coding theory. This paper presents some square matrices $A_2$ which can be eigenvalue decomposed by Jacket matrices. Specially, $A_2$ and its extension $A_3$ can be used for modifying the properties of hyperbola and hyperboloid, respectively. Specially, when the hyperbola has n times transformation, the final matrices $A_2^n$ can be easily calculated by employing the EVD[7] of matrices $A_2$. The ideas that we will develop here have applications in computer graphics and used in many important numerical algorithms.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.15 no.3
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• pp.25-33
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• 2015

As a reversible Jacket is having the compatibility of two sided wearing, the matrix that both the inside and the outside are compatible is called Jacket matrix, and the matrix is having both inside and outside by the processes of element-wise inverse and block-wise inverse. This concept had been completed by one of the authors Moon Ho Lee in 1989, and finally that resultant matrix has been christened as Jacket matrix, in 2000. This is the most generalized extension of the well known Hadamard matrices, which includes both orthogonal and non-orthogonal matrices. This matrix addresses many problems in information and communication theories. we investigate the properties of the Jacket matrix, i.e. determinants, eigenvalues, and kronecker product. These computations are very useful for signal processing and orthogonal codes design. In our proposal, we provide some results to calculate these values by using a very simple mathematical model with less complexity.

• International Journal of Highway Engineering
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• v.11 no.1
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• pp.145-151
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• 2009

Current highway design standards is based on the safety under the free flow condition. The length of deceleration lane is also determined in terms of the deceleration distance which is necessary for the driers to adjust the vehicle speed from the speed limit on the main road to that on the exit ramp of the interchange. However, the queues are frequently developed on the deceleration, and the following vehicles to exit must decelerate on the main road. It may cause delay on the main road and traffic accidents. This study is to suggest a methodology to minimize such problems with the shock-wave theory. The queue length of exiting vehicles can be estimated by the design speeds, traffic volumes of main road and the exiting ramp, and the countermeasures to the operational problems. According to the results, the queue length can be shortened to 80% by upgrading the design speed of exit ramp as the amount of 10km/h. Fifty percent of queue length can be shortened by adding an additional lane on the ramp to two lanes.

• Journal of Korean Society of Transportation
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• v.19 no.3
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• pp.101-113
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• 2001

Since late 1970s. one of the principal research areas in transportation problem is dynamic traffic assignment (DTA). Although many models have been developed regarding DTA, yet they have some limits of describing real traffic patterns. This reason comes from the fact that DTA model has the time varying constraints such as state equation, flow propagation constraint, first in first out(FIFO) rule and queuing evolution. Thus, DTA model should be designed to satisfy these constraints as well as dynamic route choice condition, dynamic user equilibrium. In this respect, link-based DTA models have difficulty in satisfying such constraints because they have to satisfy the constraints for each link, while path-based DTA models may easily satisfy them. In this paper we develop a path-based DTA model. The model includes point queue theory to describe the queue evolution and simulation loading method for depicting traffic patterns in more detail. From a numerical test, the model shows promising results.

• Journal of KIISE:Computer Systems and Theory
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• v.28 no.1_2
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• pp.64-72
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• 2001

이 논문은 행렬 탐색 방법을 이용하여 평면상의 η개의 점에 대한 모든 L$_{p}$, 1$\leq$P$\leq$$\infty$ 거리의 양방향 각도제한 근접 점 문제를 0(nlogn) 시간에 계산하는 알고리즘을 고안한다. 이 방법은 최적의 시간 복잡도를 가지며 궤적추적 법을 쓰지 않기 때문에 수치오차가 적으며 구현이 용이하고 실용적이다.

• Proceedings of the Korean Statistical Society Conference
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• 2003.10a
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• pp.239-244
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• 2003

본 연구에서는 확률모형의 모수로부터 얻어지는 여러형태의 함수간의 크기를 다중비교 하는 방법을 제안하고자 한다. 이 방법은 비교대상인 모수 함수간의 선호확률을 베이지안 방법으로 추정하고, 이들로부터 얻어지는 선호행렬을 이용한 새로운 다중비교법이다. 이러한 방법의 제안에 필요한 이론과 비교기준을 고안하였으며, 응용 예로, 제안된 방법을 s개의 독립인 지수분포 모수의 기하평균 크기비교에 적용하였다.

• Nuclear Engineering and Technology
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• v.5 no.2
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• pp.77-82
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• 1973

A method of obtaining the partition function for a system of electrons is developed by defining a new density matrix, in which the Fermi statistics is explicitly incorporated. The corresponding Bloch equation is formulated and a practical method of solving the equation is obtained for weak potential. This theory is applied to structurally disordered ststems which might be reasonable models for liquid metals.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 1992.04b
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• pp.105-116
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• 1992

이 논문에서는 discrete-event모의실험을 사용해서 대기행렬모형에서 대기시간이 길어지는 확률을 추정하는 문제를 연구했습니다. 단 한번의 모의실험에서 확률의 신뢰구간을 구할 수 있는 방법인, binary bootstrap을 개발했습니다. Bernoulli trial과 first-order Markov processes에 적용하여 본 결과 이론치에 별 차이없이 추정하였습니다. 또한 M/M/1 대기행렬모형에서 대기시간이 길 확률을 추정했을 때 batch means방법보다 binary bootstrap이 월등히 우수한 결과를 보였습니다.