• Korean System Dynamics Review
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• v.13 no.2
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• pp.5-23
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• 2012

This paper studies dynamic relationship between cash market, forward market, and options market, from the perspective of systems thinking. It is shown that an exogenous shock to forward market can yield almost the same impact to the cash market, given a practically reasonable condition, but not vice versa. As far as options market is concerned, it matters what kind of options we deal with, who are long the option, and whether the option market maker performs dynamic hedging or not. In some cases, it is possible for the spot price to become unstable and diverge rather violently due to a strong negative feedback between the markets.

• Journal of the Korea Society for Simulation
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• v.28 no.3
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• pp.49-56
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• 2019

In this paper, we deal with two pricing of bond options using the relationship between the forward rate model and the Libor rate model. First, we derive a formula for obtaining discounted bond prices using the restrictive condition of the Ritchken and Sankarasubramanian (RS), and then use the volatility function relationship of the forward rate and the Libor rate models to find the analytic solution (AS) of bond options pricing. Second, the price of the bond options is calculated by simulating several scenarios from the presented condition using Monte Carlo Simulation (MCS). Comparing the results of the implementation of the above two pricing methods, the relative error (RE) is obtained, which means the ratio of AS and MCS. From the results, we can confirm that the RE is around 3.9%, which means that the price of the bond options can be predicted very accurately using the MCS as well as AS.

• Korea Trade Review
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• v.47 no.2
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• pp.103-120
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• 2022

This paper studies the possibility of options as an instrument for central bank to intervene foreign exchange market. As opposed to spot transaction or forward transaction, which impacts spot exchange rate only once, currency options can continuously resist a directional speculative pressure on spot market due to the dynamic delta hedging of OTC currency options market maker. This research also analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that short position rather than long position in options will result in market makers dynamically hedging their long option exposure in a stabilizing manner, consistent with the first objective. Selling a "Strangle" allows a central bank to increase the credibility of its commitment to a target zone, and could have a lower expected cost than spot market interventions. However, this strategy also exposes the central bank to an unlimited loss potential. Therefore these kinds of intervention strategies must be used in the short run and temporarily.

• Proceedings of the Korean Radioactive Waste Society Conference
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• 2005.06a
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• pp.56-66
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• 2005

In response to the increasing emphasis being placed on the importance of international cooperation as part of global efforts to cope with growing non proliferation, and security, concerns in the nuclear field, the Director General of the International Atomic Energy Agency (IAEA), Mohamed ElBaradei, appointed an international group of experts to consider possible multilateral approaches to the nuclear fuel cycle. The mandate of the Expert Group was three fold: ${\bullet}$ To identify and provide an analysis of issues and options relevant to multilateral approaches to the front and back ends of the nuclear fuel cycle; ${\bullet}$ To provide an overview of the policy, legal, security, economic, institutional and technological incentives and disincentives for cooperation in multilateral arrangements for the front and back ends of the nuclear fuel cycle; and ${\bullet}$ To provide a brief review of the historical and current experiences and analyses relating to multilateral fuel cycle arrangements relevant to the work of the Expert Group. The overall purpose was to assess MNAs in the framework of a double objective: strengthening the international nuclear non proliferation regime and making the peaceful uses of nuclear energy more economical and attractive. The Group identifies options for MNAs - options in terms of policy, institutional and legal factors - for those parts of the nuclear fuel cycle of greatest sensitivity from the point of view of proliferation risk. It also reflects the Groups deliberations on the corresponding benefits and disadvantages (pros and cons) of the various options and approaches. Although the Expert Group was able to agree to forward the resulting report to the Director General, it is important to note that the report does not reflect agreement by all of the experts on any of the options, nor a consensus assessment of their respective value. It is intended only to present options for MNAs, and to reflect on the range of considerations which could impact on the desirability and feasibility of those options.

• Journal of Distribution Science
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• v.13 no.2
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• pp.15-24
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• 2015

Purpose - Foreign exchange risk control is in an important component in the international supply chain management. This study shows the importance of the reference period in forecasting future exchange rates with a specific illustration of KIKO currency option contracts, and suggests feasible preventive measures. Research design, data, and methodology - Using monthly Won-Dollar exchange rate data for January 1995~July 2007, I evaluate the statistical characteristics of the exchange rate for two sub-periods; 1) a shorter period after the East Asian financial crisis and 2) a longer period including the financial crisis. The key instrument of analysis is the basic normal distribution theory. Results - The difference in the reference period could lead to an unexpected development in contract implementation and a consequent financial loss. We may avoid foreign exchange loss by using derivatives such as forwards or currency options. Conclusions - We should consider not only level values but also the volatilities of financial variables in making a binding financial contract. Appropriate measures may differ depending on the specific supply chain pattern. We may extend the study with surveys on actual risk measures.

• Environmental and Resource Economics Review
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• v.15 no.2
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• pp.319-353
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• 2006

This paper shows how weather derivatives can be used to hedge against the price risk and volume risk of purchasing relatively large amounts of electricity. Our specific approach to designing new contracts for electricity is to focus on the return over a summer season rather than on the daily levels of demand and price. It is shown that correct market signals can be preserved in a contract and the associated financial risk can be offset by weather options. The advantage of combining a forward contract with a weather derivative is that the high prices on hot days or when the temperature is high reflect the underlying high cost of producing power when the load is high and that the combined contract with a weather derivative substantially reduces the volatility of the return.

• Journal of the Korean Data and Information Science Society
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• v.23 no.2
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• pp.365-374
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• 2012

Weather derivatives designed to manage casual changes of weather, as opposed to catastrophic risks of weather, are relatively a new class of financial instruments. There are still many theoretical and practical challenges to the effective use of these instruments. The objective of this paper is to develop a pricing approach for valuing weather derivatives and presents a case study that is practical enough to be used by the risk managers of electrical utility firms. Utilizing daily average temperature data of Guangzhou, China from $1^{st}$ January 1978 to $31^{st}$ December 2010, this paper adopted a univariate time series model to describe weather behavior dynamics and calculates equilibrium prices for weather futures and options for an electrical utility firm in the region. The results imply that the risk premium is an important part of derivatives prices and the market price of risk affects option values much more than forward prices. It also demonstrates that weather innovation as well as weather risk management significantly affect the utility's financial outcomes.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2023.05a
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• pp.351-352
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• 2023

In order to respond to changes in the industrial environment such as the 4th industrial revolution, university education also needs active educational innovation efforts. This study proposed a construction construction hybrid curriculum that can actively utilize online education in the direction of educational innovation in domestic universities. The hybrid curriculum was based on online learning through lecture videos used in team-based learning. The hybrid curriculum additionally allows learners to choose their learning methods. In a hybrid class, learners can choose the class participation method they want from offline classroom or online real-time. Hybrid classes are considered to strengthen learners' options and take a step forward in learner-centered education.

• Strategy21
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• s.36
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• pp.94-120
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• 2015

The Asia-Pacific Region has emerged as a arena of geopolitical competition between the U.S. and China. The Obama administration of the U.S. had laid out the concept of rebalancing strategy toward the region, concentrating its 60 percent of Naval Forces to the region till 2020 and consolidating its network of allies and partners. Whereas Chinese leader Xi Jinping also put forward the concept of new type of major power relations concerning its relations with the U.S. and a concept of 'the Asian Community of Common Destiny' aiming at a more intensified mutual relation among countries in the region. In doing so, Asia-Pacific region gradually became the arena where mutual competition and cooperation between the U.S. and China has crossfired. As a close ally to the U.S. and a partner to Japan, South Korea should develop trilateral naval cooperation by holding joint naval drill with the aim of humanitarian support and disaster relief. At the same time, Seoul also should make efforts to proceed mutual confidence building with Beijing by deepening military-to-military cooperation. These policy options will be helpful to enhance Seoul's security posture in the region.

• Computers and Concrete
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• v.10 no.4
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• pp.331-347
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• 2012

This paper describes the varying material model, the analysis method and the software development for reinforced concrete circular columns confined by spiral or hoop transverse steel reinforcement and subjected to eccentric loading. The widely used Mander model of concentric loading is adapted here to eccentric loading by developing an auto-adjustable stress-strain curve based on the eccentricity of the axial load or the size of the compression zone to generate more accurate interaction diagrams. The prediction of the ultimate unconfined capacity is straight forward. On the other hand, the prediction of the actual ultimate capacity of confined concrete columns requires specialized nonlinear analysis. This nonlinear procedure is programmed using C-Sharp to build efficient software that can be used for design, analysis, extreme event evaluation and forensic engineering. The software is equipped with an elegant graphics interface that assimilates input data, detail drawings, capacity diagrams and demand point mapping in a single sheet. Options for preliminary design, section and reinforcement selection are seamlessly integrated as well. Improvements to KDOT Bridge Design Manual using this software with reference to AASHTO LRFD are made.