• Communications of the Korean Mathematical Society
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• v.28 no.3
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• pp.615-633
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• 2013

We use a power series expansion method to get an analytic approximation value for the quanto option price under the Hull and White stochastic volatility model, which turns out to be accurate enough by comparing with the simulation prices using Monte Carlo method.

• Journal of Biosystems Engineering
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• v.25 no.1
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• pp.47-54
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• 2000

This study was performed to determine desorption equilibrium moisture contents of rough rice, brown rice, white rice and rice hull grown in Korea. EMC values were measured by static method using saturated salt solutions at three temperature levels of 2$0^{\circ}C$, 3$0^{\circ}C$ and 4$0^{\circ}C$ and eight relative humidity levels in the range from 11.2% to 85.0%. The measured EMC values were fitted to modified Henderson, Chung-Pfost , and modified Oswin models by using nonlinear regression analysis. The results of comparing root mean square errors for three models showed that modified Henderson and CHung -Pfost models could serve as good models, and that modified Oswin model could not be available for rough rice, brown rice, white rice and rice hull.

• Journal of Biosystems Engineering
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• v.26 no.1
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• pp.57-66
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• 2001

This study was performed to determine adsorption equilibrium moisture contents of rough rice, brown rice, white rice and rice hull grown in Korea. EMC values were measured by static method using saturated salt solutions at three temperature levels of 20$\^{C}$, 30$\^{C}$ and 40$\^{C}$, and eight relative humidity levels in the range from 11.2% to 85.0%. The measured EMC values were fitted to modified Henderson, Chung-Pfost, and modified Oswin models by using nonlinear regression analysis. The results of comparing root mean square errors for three models showed that modified Henderson and Chung-Pfost models could serve as good models, and that modified Oswin model could not be applicable to rough rice, brown rice, white rice and rice hull.

• Communications for Statistical Applications and Methods
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• v.29 no.1
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• pp.85-101
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• 2022

Derivative-linked securities (DLS) is a type of derivatives that offer an agreed return when the underlying asset price moves within a specified range by the maturity date. The underlying assets of DLS are diverse such as interest rates, exchange rates, crude oil, or gold. A German 10-year bond rate-linked DLS and a USD-GBP CMS rate-linked DLS have recently become a social issue in Korea due to a huge loss to investors. In this regard, this paper accounts for the payoff structure of these products and evaluates their prices and fair coupon rates as well as risk measures such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR). We would like to examine how risky these products were and whether or not their coupon rates were appropriate. We use Hull-White Model as the stochastic model for the underlying assets and Monte Carlo (MC) methods to obtain numerical results. The no-arbitrage prices of the German 10-year bond rate-linked DLS and the USD-GBP CMS rate-linked DLS at the center of the social issue turned out to be 0.9662% and 0.9355% of the original investment, respectively. Considering that Korea government bond rate for 2018 is about 2%, these values are quite low. The fair coupon rates that make the prices of DLS equal to the original investment are computed as 4.76% for the German 10-year bond rate-linked DLS and 7% for the USD-GBP CMS rate-linked DLS. Their actual coupon rates were 1.4% and 3.5%. The 95% VaR and TVaR of the loss for German 10-year bond rate-linked DLS are 37.30% and 64.45%, and those of the loss for USD-GBP CMS rate-linked DLS are 73.98% and 87.43% of the initial investment. Summing up the numerical results obtained, we could see that the DLS products of our interest were indeed quite unfavorable to individual investors.

• 제어로봇시스템학회:학술대회논문집
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• 1991.10b
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• pp.1858-1863
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• 1991

The theory of stock option pricing has, recently, attracted attention of many researchers interested not only in finance but also in statistics and control theory. In this field, the problem of estimating stock return volatility is, above all, of great importance in calculating actual stock option value. In this paper, we assume that the stock market is represented by the stochastic volatility model which is the same as that of Hull and White. Then, we propose an approximation function of option value. It is a type of Black-Sholes option formula in which the first and the second order moments of logarithmic stock value are modified in a special form from the original model. Finally, an algorithm of estimating the parameters of the stochastic volatility model is given, and parameters are estimated by using Nikkei 225 index option data.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.20 no.4
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• pp.277-293
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• 2016

We develop an efficient numerical method for pricing the Derivative Linked Securities (DLS). The payoff structure of the hybrid DLS consists with a standard 2-Star step-down type ELS and the range accrual product which depends on the number of days in the coupon period that the index stay within the pre-determined range. We assume that the 2-dimensional Geometric Brownian Motion (GBM) as the model of two equities and a no-arbitrage interest model (One-factor Hull and White interest rate model) as a model for the interest rate. In this study, we employ the Monte Carlo simulation method with the Compute Unified Device Architecture (CUDA) parallel computing as the General Purpose computing on Graphic Processing Unit (GPGPU) technology for fast and efficient numerical valuation of DLS. Comparing the Monte Carlo method with single CPU computation or MPI implementation, the result of Monte Carlo simulation with CUDA parallel computing produces higher performance.

• The Korean Journal of Financial Management
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• v.25 no.1
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• pp.85-108
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• 2008

In this paper, the fBm interest rate theory is investigated by using Wick integral. The well-known Affine, Quadratic and HJM are derived from fBm framework, respectively. We obtain new theoretical results, and zero coupon bond pricing formula from newly obtained probability measure.

• Ocean Systems Engineering
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• v.13 no.2
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• pp.173-193
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• 2023

Reliable prediction of the motion of FOWT (floating offshore wind turbine) and associated mooring line tension is important in both design and operation/monitoring processes. In the present study, a 5MW OC4 semisubmersible wind turbine is numerically modeled, simulated, and analyzed by the open-source numerical tool, OpenFAST and in-house numerical tool, Charm3D-FAST. Another commercial-level program FASTv8-OrcaFlex is also introduced for comparison for selected cases. The three simulation programs solve the same turbine-floater-mooring coupled dynamics in time domain while there exist minor differences in the details of the program. Both the motions and mooring-line tensions are calculated and compared with the DeepCWind 1/50 scale model-testing results. The system identification between the numerical and physical models is checked through the static-offset test and free-decay test. Then the system motions and mooring tensions are systematically compared among the simulated results and measured values. Reasonably good agreements between the simulation and measurement are demonstrated for (i) white-noise random waves, (ii) typical random waves, and (iii) typical random waves with steady wind. Based on the comparison between numerical results and experimental data, the relative importance and role of the differences in the numerical methodologies of those three programs can be observed and interpreted. These comparative-study results may provide a certain confidence level and some insight of potential variability in motion and tension predictions for future FOWT designs and applications.