• Journal of the Korea Institute of Information and Communication Engineering
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• v.26 no.10
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• pp.1423-1431
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• 2022

Volatility is one of the variables that the Black-Scholes model requires for option pricing. It is an unknown variable at the present time, however, since the option price can be observed in the market, implied volatility can be derived from the price of an option at any given point in time and can represent the market's expectation of future volatility. Although volatility in the Black-Scholes model is constant, when calculating implied volatility, it is common to observe a volatility smile which shows that the implied volatility is different depending on the strike prices. We implement supervised learning to target implied volatility by adding V-KOSPI to ease volatility smile. We examine the estimation performance of KOSPI200 index options' implied volatility using various Machine Learning algorithms such as Linear Regression, Tree, Support Vector Machine, KNN and Deep Neural Network. The training accuracy was the highest(99.9%) in Decision Tree model and test accuracy was the highest(96.9%) in Random Forest model.

• Korean Journal of Ecology and Environment
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• v.37 no.4 s.109
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• pp.373-377
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• 2004

Since, in 1970, diatoms and diatom indices was first used in measuring quality of streams and rivers at the Seine Water Agency in France, five other water agencies began to show interests since 1990. In 1994, associated with CEMAGREF (Centre National du Machinisme Agricole du Genie Rural et des Eaux et des Forets : environmental science and expertise for the sustainable management of land and water), the six French Water Agencies (Seine, Rhone-Mediterranee-Corse, Artois- Picardie, Loire-Bretagne, Rhin-Meuse and Adour-Garonne) developed a practical diatom index, which is liable to be used routinely in the territorial streams and rivers of whole France, and which is liable to promote and facilitate its use in monitoring water networks. In 1995, the first version of a biological diatom index (IBD) was generated by them. Since then, the software update for IBD calculation and the user's network have led to numerous practical applications in France. Furthermore, the Water Agencies have run applicable programs on the National Basin Network from 1996, and the initial data set of IBD was completed. Re- examination of the complete data set was done at the end of 1998, and the tests on different calculation options of the IBD led to a third version of this index in June,2000 (AFNOR NF T 90-354).

• Journal of Korean Society of Water and Wastewater
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• v.28 no.4
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• pp.431-440
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• 2014

The ozonation process has been widely used for drinking water disinfection around the world. Recently, the pressurized ozone contactor, in which the side stream typed ozone injection method is installed, has been applied to water treatment system. In this study, numerical calculations were conducted to compare prototype and screw-type ozone contactors based on hydraulic effectiveness in more details. The prototype ozone contactor was already installed and operated in domestic water treatment plant, and the screw-type is the suggested one for improving ozone contact efficiency installing the screw plate to the prototype. Screw turn numbers of screw plate were changed as 3, 5, 7 and 9, respectively for numerical simulation. The CT(concentration of disinfectant in mg/L times time in minutes) value was considered as one of the options for evaluating disinfection ability. From the results, it could be concluded that the performance of the screw-type is higher than that of the protype contactor by controlling the variable T as the tracer time. Also, Morill index of the screw-type(turn numbers = 5 ) appeared to be lower than the other.

• Industrial Engineering and Management Systems
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• v.9 no.4
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• pp.323-338
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• 2010

In this paper, we introduce the implied volatility from Black-Scholes model and suggest a model for constructing implied volatility surfaces by using the two-dimensional cubic (bi-cubic) spline. In order to utilize a spline method, we acquire grid (knot) points. To this end, we first extract implied volatility curves weighted by trading contracts from market option data and calculate grid points from the extracted curves. At this time, we consider several conditions to avoid arbitrage opportunity. Then, we establish an implied volatility surface, making use of the two-dimensional cubic spline method with previously estimated grid points. The method is shown to satisfy several properties of the implied volatility surface (smile, skew, and flattening) as well as avoid the arbitrage opportunity caused by simple match with market data. To show the merits of our proposed method, we conduct simulations on market data of S&P500 index European options with reasonable and acceptable results.

• Journal of Korean Gerontological Nursing
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• v.20 no.3
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• pp.204-216
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• 2018

Purpose: The purpose of this study was to examine effects of a muscle strength reinforcement exercise program (MSREP) for older adult patients with hemodialysis (OAPHD) which was designed to improve health status and quality of life of these older adult patients. Methods: Participants were 40 patients with OAPHD: 20 in the experimental group and 20 in the control group. MSREP was conducted with the experimental group for 12 weeks at H geriatric hospital. An assessment was done to determine effects on physical performance, inflammation index, fatigue, muscle strength and quality of life. Short physical performance battery, C-Reactive Protein (CRP), visual analog scale for fatigue, object lifting' proposed by the Life Options Rehabilitation Advisory Council, sit-to-stand test, and quality of life index were used to gather data. Results: Between the 2 groups there was no significant difference in scores for physical performance, fatigue or quality of life. However, the 2 groups showed significant difference in CRP values and muscle power scores on post-test. Conclusion: Findings provide evidence for the potential utility of education for older adult patients with hemodialysis. Also, this program could allow these patients to increase muscle strength, and contribute to achieving better health conditions in OAPHD care.

• Communications for Statistical Applications and Methods
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• v.24 no.5
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• pp.507-518
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• 2017

Volatility plays a crucial role in theory and applications of asset pricing, optimal portfolio allocation, and risk management. This paper proposes a combined model of autoregressive moving average (ARFIMA), generalized autoregressive conditional heteroscedasticity (GRACH), and skewed-t error distribution to accommodate important features of volatility data; long memory, heteroscedasticity, and asymmetric error distribution. A fully Bayesian approach is proposed to estimate the parameters of the model simultaneously, which yields parameter estimates satisfying necessary constraints in the model. The approach can be easily implemented using a free and user-friendly software JAGS to generate Markov chain Monte Carlo samples from the joint posterior distribution of the parameters. The method is illustrated by using a daily volatility index from Chicago Board Options Exchange (CBOE). JAGS codes for model specification is provided in the Appendix.

• Journal of applied mathematics & informatics
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• v.9 no.2
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• pp.771-785
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• 2002

Many industries like energy, utilities, ice cream and leisure sports are closely related to the weather. In order to hedge weather related risks, they invest their assets with portfolios like option, coupons, future, and other weather derivatives. Among weather related derivatives, CDD and HDD index options are mainly transacted between companies. In this paper, the autocorrelation system of temperature will be checked for several cities in Korea and the parameter estimation will be carried based on the maximum likelihood estimation. Since the log likelihood increase as the number of parameters increases, we adopt the Schwarz information criterion .

• Industrial Engineering and Management Systems
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• v.11 no.3
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• pp.224-232
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• 2012

The paper proposes a non-parametric methodology, data envelopment analysis, for measuring efficiency and productivity in service delivery systems with capacity constraints. The methodology provides allocation approaches for studying behaviors of firm and customers in service delivery strategy. The experimental study is carried out to investigate allocation behaviors and conduct an objective tradeoff between efficiency approach and productivity approach. The experimental result indicates that the efficiency approach allocates resource via maximizing customer efficiency rather than firm productivity as in the productivity approach. Moreover, the experiment reveals that there exists an objective tradeoff between the efficiency approach and the productivity approach. These findings provide strategic options for allocation policy in service delivery systems.

• Journal of the Korean Data Analysis Society
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• v.20 no.6
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• pp.2771-2779
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• 2018

The recent financial crises cause the co-movement and transmit the risk across different markets and assets. It is well known that market fear affects the quality of credit in the financial markets. In this context, this study examines the co-movement between the volatility index (VIX) of the Chicago Board Options Exchange (CBOE), or VIX, and six emerging countries' credit default swaps (CDSs), by implementing wavelet coherence. Our research aims at revealing whether the VIX can be used to hedge against the bubble behavior of the CDS market in different investment holding periods (short-run, medium-run, and long-run), as well as whether either market can be used to manage and hedge overall market downside risks. The wavelet coherence results show a high degree of co-movement between the VIX and CDS during the 2007-2009 global financial crisis, across the 16-64 weeks' frequency band. In addition, we observe that the positive correlation between the VIX and the CDS markets, implying that the market turmoil intensifies the co-movement between the VIX and CDS markets.

• Archives of Plastic Surgery
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• v.50 no.5
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• pp.452-462
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• 2023

This scoping review aimed to identify and categorize the available measurement options for vaginal laxity (VL), their indications of use, and whether these measurements can sufficiently provide objective clinical judgment for cases indicated for vaginal rejuvenation with many treatment options nowadays. Systematic searches were conducted on five electronic databases, manually searching articles' bibliographies and predetermined key journals with no date or study design limitations. We included all studies involving VL in their inclusion criteria, treatment indications, and outcome parameters. We used the Arksey and O'Malley frameworks as the guideline in writing this scoping review. Of the 9,464 articles identified, 66 articles and 11,258 subjects were included in the final analysis. The majority of studies were conducted in obstetrics and gynecology (73%), followed by plastic surgery (10%), medical rehabilitation (4.5%), dermatology (4.5%), and others (8%). Most studies originated from the North American region (30%). The following measurement tools were used: (1) interviews, (2) questionnaires, (3) physical/digital examinations, (4) perineometers, and (5) others. Our results suggested that subjective perception of laxity confirmed by directed interview or questionnaire is sufficient to confirm VL. Additional evaluation of pelvic floor muscle through digital examination or perineometer or other preferred tools and evaluation of sexual function through validated questionnaire (Female Sexual Function Index, Female Sexual Distress Scale-Revised, etc.) should follow to ensure holistic care to patients. Future research on the psychometric properties (reliability and validity) of commonly used measurements and the correlation in between subjective and objective measurements should be initiated before their clinical applications.