• 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 Academy of Nursing
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• v.45 no.2
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• pp.240-250
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• 2015

Purpose: The purpose of this study was to validate the Korean version of the Ethical Leadership at Work questionnaire (K-ELW) that measures RNs' perceived ethical leadership of their nurse managers. Methods: The strong validation process suggested by Benson (1998), including translation and cultural adaptation stage, structural stage, and external stage, was used. Participants were 241 RNs who reported their perceived ethical leadership using both the pre-version of K-ELW and a previously known Ethical Leadership Scale, and interactional justice of their managers, as well as their own demographics, organizational commitment and organizational citizenship behavior. Data analyses included descriptive statistics, Pearson correlation coefficients, reliability coefficients, exploratory factor analysis, and confirmatory factor analysis. SPSS 19.0 and Amos 18.0 versions were used. Results: A modified K-ELW was developed from construct validity evidence and included 31 items in 7 domains: People orientation, task responsibility fairness, relationship fairness, power sharing, concern for sustainability, ethical guidance, and integrity. Convergent validity, discriminant validity, and concurrent validity were supported according to the correlation coefficients of the 7 domains with other measures. Conclusion: The results of this study provide preliminary evidence that the modified K-ELW can be adopted in Korean nursing organizations, and reliable and valid ethical leadership scores can be expected.

• Proceedings of the Safety Management and Science Conference
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• 2012.04a
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• pp.667-678
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• 2012

Internet and information technology due to the development of rapid changes in the investment environment, the existing securities, or by disassembling the combined financial engineering to create new securities with the development of enlarged minimize losses to investors in financial markets more stable that can be and need a way to invest in this paper, such as individual stocks or a specific index of those derivatives that are linked to the December 1, 2005 and 2010 the market began trading from the phone call attention off new measures to gauge the individual through ELW underlying assets such as stocks or a specific index to minimize the loss of a stable hedge for investors to evaluate the possibility of studying for.

• Journal of the Korean Society of Food Science and Nutrition
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• v.40 no.1
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• pp.1-6
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• 2011

This study was conducted to evaluate the antioxidant activity of liquid beni-koji (LBK), 70% ethanol extracts of beni-koji (EEB) and water extract of Hwangki (WEH). The yields of freeze dried powder of LBK, EEB and WEH were 32.17 g/L, 23.61 g/kg and 196.33 g/kg, respectively. Electron donating ability at 1% (w/v) of LBK, EEB and WEH were 82.67%, 15.71% and 8.60%; reducing power (OD700) were 2.06, 1.64 and 0.45, respectively. SOD-like activities were 24.32%, 11.11%, and 17.94%; nitrite scavenging activities were 74.92%, 72.31% and 31.83%, respectively. TBARS (%) were in order of LBK (69.65%)> EEB (67.32%)> WEH (4.42%). Electron donating ability at 1% (w/v) of EEB : WEH (1:1, w/w. EW), LBK : WEH (1:1, w/w. LW), EEB : LBK: WEH (1:1:1, w/w. ELW) were 14.58%, 60.66% and 20.42%; reducing power ($OD_{700}$) were 1.06, 2.01 and 1.71; SOD-like activities were 18.50%, 26.94% and 18.25%, respectively. While nitrite scavenging activities and TBARS (%) of ELW was higher than those of other materials. Total polyphenol content of LBK, EEB, WEH, EW, LW, ELW were 3.98%, 3.61%, 3.02%, 3.23%, 3.46% and 3.38%; total flavonoid content were 0.89%, 3.91%, 0.30%, 2.59%, 0.46% and 2.33%, respectively. In conclusion, this study provides experimental evidence that mixture of LBK, EEB and WEH could be used as a source of antioxidant ingredients in the food industry.

• Management Science and Financial Engineering
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• v.20 no.1
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• pp.21-26
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• 2014

A lot of researches have been conducted to estimate the volatility smile effect shown in the option market. This paper proposes a method to approximate an implied volatility function, given noisy real market option data. To construct an implied volatility function, we use Gaussian Processes (GPs). Their output values are implied volatilities while moneyness values (the ratios of strike price to underlying asset price) and time to maturities are as their input values. To show the performances of our proposed method, we conduct experimental simulations with Korean Equity-Linked Warrant (ELW) market data as well as toy data.

• Journal of the Korean Operations Research and Management Science Society
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• v.39 no.4
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• pp.137-152
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• 2014

In this paper, I suggest several techniques to estimate covariance matrix and compare the performance of the global minimum variance portfolio (GMVP) in terms of out of sample mean standard deviation and return. As a result, the return differences among the GMVPs are insignificant. The mean standard deviation of the GMVP using historical covariance is sensitive to the estimation window and the number of assets in the portfolio. Among the model covariance, the GMVP using constant systematic risk ratio model or using short sale restriction shows the best performance. The performance difference between the GMVPs using historical covariance and model covariance becomes insignificant as the historical covariance is estimated with longer estimation window. Lastly, the implied volatilities from ELW prices do not lead to superior performance to the historical variance.

• Korean Management Science Review
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• v.33 no.2
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• pp.117-131
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• 2016

This study introduces the concepts on the phase-shifting phenomenon of financial markets, which was firstly used in econophysics area and explains how the phase-shifting behavior is studied in the fields of business management and finance. Specifically, we explain how the phases of financial markets are extremely changed under some external conditions, do an extensive literature review, and carry out case studies focusing on the 3 major financial crisis events including the 87 October crash, 97 Asian financial crisis, and 2007 global financial crisis. We also empirically examine the phase-shifting behavior of the Korean ELW products that has a similar payoff structure to the KOSPI200 options.

• Industrial Engineering and Management Systems
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• v.8 no.2
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• pp.93-100
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• 2009

In this paper, we review widely used methods to extract local volatility surfaces (LVSs) from implied volatility surfaces (IVSs) and suggest a model averaging method for constructing implied and local volatility surfaces weighted by trading volumes. It makes use of model averaging method by means of bandwidth priors, and then produces a robust LVS estimation. The method is shown to provide the information about the confidence interval of estimators as well as a rather less variable weighted mean value for the IVS and LVS. To show the merits of our proposed method, we conduct simulations on equity-linked warrants (ELWs) with reasonable and acceptable results.

• Management & Information Systems Review
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• v.35 no.1
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• pp.273-286
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• 2016

This study investigated the information contents of KOSPI200 Options for intraday big market movement by using minute by minute data. The major findings are summarized as follows; First, big market movement occurred more frequently during 9:00~10:00 and 14:00~14:50. These phenomena reflect market unstability just after opening and near closing. Second, VKSOPI is most closely associated with extreme changes such as KOSPI200 jumps. Third, VKOSPI is showed more predictive power with negative KOSPI200 jumps than KOSPI200 jumps. Fourth, VKOSPI showed predictive power for the positive and negative jumps up to 30 minutes before the jumps occurs. The purpose of this study is to explore the most recent topics in the field of finance, research on market microstructure. This study is an important contribution to investigate intraday information comprehensively in terms of market microstructure effects using the 15-year long-term and the high-frequency data(minute by minute). The results of this study are expected to contribute to detect intraday true jumps, proactive development of market risk indicators, risk management, derivatives investment strategy.