• 한국산학기술학회논문지
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• 제12권2호
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• pp.712-717
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• 2011

동적 델타 헤징(Dynamic Delta Hedging)이란 옵션 발행자가 옵션의 만기정산금액(payoff)을 지급하기 위해 주기적으로 델타에 근거한 헤지 포지션을 조절함으로써 옵션의 payoff를 복제하고 옵션 가치변화에 따른 위험을 회피하는 방법이다. 본 연구에서는 헤지에 있어서 주요 변수인 블랙-숄즈의 모형에 의해 산출된 델타의 대체 값을 찾기 위해 기계학습의 일종인 인공신경망 학습을 적용하여 옵션의 만기 시 헤지 비용의 최소화 및 차익 실현을 위한 방법론을 제시하고자 한다. 기초자산의 현재가격, 변동성, 무위험이자율, 만기 등의 시장 상황 변화에 따른 다양한 시나리오에 대한 실험을 통해 본 연구에서 제시하는 방법론의 성능을 분석하고 그 우수성을 보인다.

• 대한전기학회논문지:전력기술부문A
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• 제53권7호
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• pp.414-419
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• 2004

In TWBP new uncertainty will be increased. Risk management is risen to a important problem. Vesting contract makes market Players trade at fixed price in TWBP early stages. In the case of advanced country, market players manage risk with a future contract. When a risk management method moves from vesting contract to future contract, it may have to use together two contracts for schedule period. In this paper, risk management strategy that use vesting contract and forward contract at the same time is proposed.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제14권4호
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• pp.211-224
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• 2010

We define some asset models which are useful for portfolio construction in various terms of time. Our asset models are geometric jump-diffusions defined by the solutions of stochastic differential equations which are decomposed by various terms of time basically. We also can study pricing and hedging strategy of options in our models roughly.

• 무역학회지
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• 제47권2호
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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.

• International Journal of Advanced Culture Technology
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• 제11권2호
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• pp.82-108
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• 2023

As tension escalates between the US and China, scenarios for maintaining peace in Northeast Asia imply that secondary powers will perceive increasing incentives to reappraise their respective international roles. This analysis proposes that an analysis of France's Cold War role in Europe and the world under President Charles de Gaulle provides insights into conflict management in an increasingly multipolar international political environment. Their respective interests in preventing a so-called new Cold War emerging between the US and China include avoiding its excessive economic costs, if only because China is a massive trade partner. This study engages in theoretical framework-informed process tracing of de Gaulle's role. It explicates the assumptions that functionally underpinned de Gaulle's policy of soft balancing between the US and China. The analysis explores de Gaulle's contribution to the decay of the Cold War. It illuminates de Gaulle's contribution to a regional international environment that made West German Chancellor Willy Brandt's Ostpolitik strategy more feasible politically. This study applies these findings in the formulation of strategy recommendations focusing on Japan. Valid inferences regarding the predominant motivations driving American and Chinese international interaction are necessary for this task. To the extent to which the US and China have entered into a conflict spiral, Japan's hedging towards Washington is further incentivized. Tokyo would necessarily need to convince the Chinese that Japan is no longer Washington's unsinkable aircraft carrier off its coast. Tokyo, like de Gaulle's France, would maintain close relations with Washington, but it would need to project to its interlocutors its commitment to its own strategic autonomy. Tokyo's emphasis on closer relations with liberal democratic Indo-Pacific actors would potentially fit well with a commitment to strategic autonomy to defend the global liberal order.

• East Asian Economic Review
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• 제25권3호
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• pp.310-336
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• 2021

We use iterative numerical procedures combined with analytical methods due to Rapach and Wohar (2009) to solve for the dynamic asset allocation strategy for optimal portfolio demand. We compare different optimal portfolio demands when investors in each country have different access to overseas and domestic investment opportunities. The optimal dynamic asset allocation strategy without foreign investment opportunities leads domestic investors in Korea, Hong Kong, and Singapore to allocate more funds to domestic bonds than to domestic stocks. However, the U.S. investors allocate more wealth to domestic stocks than to domestic bonds. Investors in all countries short bills at a low level of risk aversion. Next, we investigate dynamic asset allocation strategy when domestic investors in Korea have access to foreign markets. The optimal portfolio demand leads investors in Korea to allocate most resources to domestic bonds and foreign stocks. On the other hand, the portfolio weights on foreign bonds and domestic stocks are relatively low. We also analyze dynamic asset allocation strategy for the investors in the U.S., Hong Kong, and Singapore when they have access to the Korean markets as overseas investment opportunities. Compared to the results when the investors only have access to domestic markets, the investors in the U.S. and Singapore increase the portfolio weights on domestic stocks in spite of the overseas investment opportunities in the Korean markets. The investors in the U.S., Hong Kong, and Singapore short domestic bills to invest more than initial funds in risky assets with a varying degree of relative risk aversion coefficients without exception.

• Asian Journal of Innovation and Policy
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• 제5권1호
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• pp.78-91
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• 2016

To counter-attack against piracy, the movie industry is continuously developing new technologies for the protection of intellectual properties, only to find them instantly useless especially in the digital age. This study shifts the focus from technology to customer behavior, and analyzes customer behaviors vis-à-vis piracy using economic models. The theoretical model of optimal holdback strategy under the threat of piracy was derived and the result shows that holdback can be used as a tool not only for hedging the loss due to piracy, but also for reducing piracy. Based on the theoretical model, we suggested proper holdback strategy for each type of movie piracy.

• 한국과 국제사회
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• 제3권1호
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• pp.39-76
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• 2019

본 논문은 중국의 국방 안보백서 발간의 추이와 함의를 분석하기 위한 것이다. 이를 위해 중국의 국방 안보백서의 발간경위 및 구성, 시진핑 시기의 국방 안보백서의 요지와 함의의 순서로 살펴본 후 결론을 도출해 본 것이다. 중국 국방부는 1998년 이후 2010년까지 2년 주기로 7권의 "중국의 국방"을 발간했다. 그리고 중국 국방부는 이미 1995년 국방관련 주제의 백서 "중국의 무기통제와 군축"을 처음 발간한 데 이어, 2013년 "중국 무장역량의 다양한 운용", 2015년 "중국의 군사전략"의 3권의 국방관련백서, 그리고 2017년 "중국의 아시아 태평양 안보협력정책"이라는 1권의 안보백서를 발간했다. 모두 중국의 전략적 계산을 반영한 프로파간다라는 공통적 특징을 지니고 있다. 중국이 전향적으로 국방백서를 발간하기 시작한 데는 (1)미국 등 주변국의 군사적 투명성 요구에 대한 압력, (2)'중국위협론'의 불식, (3)중국의 군사 현대화의 성과에 대한 자신감 등 복합적 요인이 작용한 것으로 보인다. "중국의 꿈은 강국의 꿈이고 강국의 꿈은 강군건설이 필수이다."라는 시진핑의 의지가 담긴 '적극적 방어전략' 및 강대강전략은 주변국에게 안보적 우려감을 증폭시키고 있다. 튼튼한 한 미 안보공조관계를 유지 강화해 나가는 한편, 한중경제협력관계도 조화롭게 추진해 나가는 헤징전략이 우리에게 요구된다.

• 동남아시아연구
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• 제27권3호
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• pp.93-135
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• 2017

동남아시아 국가들은 중국과의 지리적 인접성으로 인해 G-2 역학관계에 주의 깊게 대응하면서 각자의 국가이익을 위해 외교의 묘수(art of diplomacy)를 찾고 있다. 캄보디아는 친중 헤징 전략으로 G-2 체제에 대응해 오고 있다. 본 연구는 냉전종식 이후 친미 성향을 보였던 훈센의 정책이 친중으로 전환하게 된 이유를 G-2 체제의 부상, 아세안 지역주의, 국가이익, 훈센의 통치기반과 체제정당성 차원에서 분석해 본다. 이론적으로 본 연구는 현실구성주의 시각에서 힘의 정치와 규범적 요인들이 훈센의 정치적 입지와 대외정책에 어떠한 영향을 미쳤는가를 살펴본다. 중국과 캄보디아는 경제 상호의존성과 중국의 힘의 상승이라는 현실주의 요인과 규범적 차원에서 양국의 이해관계가 수렴되면서 관계가 긴밀해져왔다. 더구나 중국의 막대한 경제원조와 투자는 훈센의 통치기반과 체제정당성을 강화시키고 있다. 반면에 민주주의와 인권을 앞세운 미국의 가치외교는 훈센의 권력기반에 위협적인 존재가 되면서 양국은 긴장과 갈등의 관계를 가져오고 있다. 하지만 훈센의 친중전략은 미국의 가치외교에 대해 전략적으로 대응하면서 중국으로부터 경제이익을 극대화하려는 헤징전략으로 동남아시아에서 중국의 헤게모니를 인정하고 중국의 지배를 인정하는 미국에 대한 균형전략은 아니다. 아세안의 경우 강대국들의 힘의 정치의 충격을 완화시키는 역할을 하고 있으나, 미중간의 이해관계가 첨예하게 엇갈리고 있어 캄보디아는 국익에 따라 아세안의 조정역할 보다는 양자관계로 G-2 체제에 대응하고 있다.

• 분석과 대안
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• 제7권3호
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• pp.1-26
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• 2023

This article will analyze and forecast important variables and dynamics in global power politics after the war in Ukraine. It tries to use several perspectives to analyze international relations, particularly liberal internationalism and structural realism. In short, core variables are as follows; First, how is the US-led liberal international order and globalization being adjusted? Second, how will the U.S.-China strategic competition, which is the biggest and structural variable, cause changes in the international order in the future? The third variable, how stable are Sino-Russia relations in the context of a structuring U.S.-China-Russia strategic new triangle? Fourth, to what extent will third middle hedging states outside the U.S. and China be able to exercise strategic autonomy in the face of multipolarization? To summarize, the first of these four variables is the largest basic variable at the global political and economic level in terms of its impact on the international community, and it has been led by the United States. The second variable, in terms of actors, seems to be the most influential structural variable in global competition, and the US-China strategic competition is likely to be a long game. Thus the world will not be able to escape the influence of the competition between the two global powers. For South Korea, this second variable is probably the biggest external variable and dilemma. The third variable, the stability of Sino-Russia relations, determines balance of global power in the 21st century. The U.S.-China-Russia strategic new triangle, as seen in the current war in Ukraine, will operate as the greatest power variable in not only global power competition but also changes in the international order. Just as the U.S. is eager for a Sino-Russia fragmentation strategy, such as a Tito-style wedge policy to manage balance of power in the early years of the Cold War, it needs a reverse Kissinger strategy to reset the U.S.-Russia relationship, in order to push for a Sino-Russia splitting in the 21st century. But with the war in Ukraine, it seems that this fragmentation strategy has already been broken. In the context of Northeast Asia, whether or not the stability of Sino-Russia relations depends not only on the United States, but also on the Korean Peninsula. Finally, the fourth variable is a dependent variable that emerged as a result of the interaction of the above three variables, but simultaneously it remains to be seen that this variable is likely to act as the most dynamic and independent variable that can promote multilateralism, multipolarization, and pan-regionalism of the global international community in the future. Taking into account these four variables together, we can make an outlook on the change in the international order.