• 한국경영과학회지
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• 제29권2호
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• pp.45-57
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• 2004

The purpose of this paper is studying the valuation of option prices in Incomplete markets. A market is said to be incomplete if the given traded assets are insufficient to hedge a contingent claim. This situation occurs, for example, when the underlying stock process follows jump-diffusion processes. Due to the jump part, it is impossible to construct a hedging portfolio with stocks and riskless assets. Contrary to the case of a complete market in which only one equivalent martingale measure exists, there are infinite numbers of equivalent martingale measures in an incomplete market. Our research here is focusing on risk minimizing hedging strategy and its associated minimal martingale measure under the jump-diffusion processes. Based on this risk minimizing hedging strategy, we characterize the dynamics of a risky asset and derive the valuation formula for an option price. The main contribution of this paper is to obtain an analytical formula for a European option price under the jump-diffusion processes using the minimal martingale measure.

• 한국운동역학회지
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• 제24권4호
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• pp.385-390
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• 2014

The purpose of this study was to investigate the effects of landing tasks on the anterior cruciate ligament (ACL) injury risk factors in female basketball players. Fifteen female basketball players performed a drop landing and a drop landing with a vertical jump on the 40 cm height box. Three-dimensional motion analysis system and ground reaction force system was used for calculate the ACL injury risk factors. Paired samples t-test with Bonfferoni correction were performed. The drop landing with a vertical jump had the higher knee flexion angle, peak knee varus moment, trunk flexion angle than a drop landing. However, the drop landing had the higher trunk rotation angle than a drop landing with a vertical jump. These results indicate that seemingly minor variations between drop landing and drop landing with a vertical jump may influence the ACL injury risk factors. Caution should be used when comparing studies using different landing tasks.

• 대한수학회지
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• 제51권4호
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• pp.735-749
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• 2014

This paper studies the asymptotic behavior of the finite-time ruin probability in a jump-diffusion risk model with constant force of interest, upper tail asymptotically independent claims and a general counting arrival process. Particularly, if the claim inter-arrival times follow a certain dependence structure, the obtained result also covers the case of the infinite-time ruin probability.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제19권1호
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• pp.23-45
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• 2015

We consider counterparty risk in CDS rates. To do so, we use a multivariate jump diffusion process for obligors' default intensity, where jumps (i.e. magnitude of contribution of primary events to default intensities) occur simultaneously and their sizes are dependent. For these simultaneous jumps and their sizes, a homogeneous Poisson process. We apply copula-dependent default intensities of multivariate Cox process to derive the joint Laplace transform that provides us with joint survival/default probability and other relevant joint probabilities. For that purpose, the piecewise deterministic Markov process (PDMP) theory developed in [7] and the martingale methodology in [6] are used. We compute survival/default probability using three copulas, which are Farlie-Gumbel-Morgenstern (FGM), Gaussian and Student-t copulas, with exponential marginal distributions. We then apply the results to calculate CDS rates assuming deterministic rate of interest and recovery rate. We also conduct sensitivity analysis for the CDS rates by changing the relevant parameters and provide their figures.

• 대한수학회보
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• 제56권5호
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• pp.1355-1376
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• 2019

We investigate the valuation of participating life insurance policies with default risk under a geometric regime-switching jump-diffusion process. We derive explicit formula for the Laplace transform of the price of participating contracts by solving integro-differential system and then price them by inverting Laplace transforms.

• 한국항만경제학회지
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• 제34권1호
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• pp.99-110
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• 2018

본 연구는 해운기업의 주요 비용요인 벙커 가격과 환율의 불확실성으로 인한 재무적 리스크를 수치화하는 방법론을 2010년 1월 1일부터 2018년 1월 31일까지의 일별자료를 대상으로 적용한다. 기하브라운 운동 (Geometric Brownian Motion 이하 GBM)과 이를 확장한 조건부 이분산성(heteroskedasticity) 및 점프 확산 프로세스(jump diffusion process)에 의존하는 모형으로부터 추정한 현금 흐름 리스크 추정치는 다음 세 가지 학술적 기여로 요약할 수 있다. 첫째, 운임수익률과 같은 단일 변수에 의존한 리스크 분석을 벙커가격과 환율 수익률 변동성과 같이 복합요인으로부터 발생하는 영향으로 분석을 확장하였다. 둘째, 개별기업 수준에서 벙커가격과 환율 리크스 관리의 필요성을 민감도 분석을 통해 현금흐름수준으로 제시하였다. 마지막으로 분석결과가 제시하는 리스크 규모를 근거로 해운기업은 리스크 관리를 위한 수단으로 무엇이 적절한가를 고민해야 할 필요성이 있음을 제기한다.

• 한국운동역학회지
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• 제32권1호
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• pp.9-16
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• 2022

Objective: The purpose of this study was to investigate how the chronic ankle instability affects postural control during forward jump landing. Method: 20 women with chronic ankle instability (age: 21.7 ± 1.6 yrs, height: 162.1 ± 3.7 cm, weight: 52.2 ± 5.8 kg) and 20 healthy adult women (age: 21.8 ± 1.6 yrs, height: 161.9 ± 4.4 cm, weight: 52.9 ± 7.2 kg) participated in this study. For the forward jump participants were instructed to stand on two legs at a distance of 40% of their body height from the center of force plate. Participants were jump forward over a 15 cm hurdle to the force plate and land on their non-dominant or affected leg. Kinetic and kinematic data were obtained using 8 motion capture cameras and 1 force plates and joint angle, vertical ground reaction force and center of pressure. All statistical analyses were using SPSS 25.0 program. The differences in variables between the two groups were compared through an independent sample t-test, and the significance level was to p < .05. Results: In the hip and knee joint angle, the CAI group showed a smaller flexion angle than the control group, and the knee joint valgus angle was significantly larger. In the case of ankle joint, the CAI group showed a large inversion angle at all events. In the kinetic variables, the vGRF was significantly greater in the CAI group than control group at IC and mGRF. In COP Y, the CAI group showed a lateral shifted center of pressure. Conclusion: Our results indicated that chronic ankle instability decreases the flexion angle of the hip and knee joint, increases the valgus angle of the knee joint, and increases the inversion angle of the ankle joint during landing. In addition, an increase in the maximum vertical ground reaction force and a lateral shifted center of pressure were observed. This suggests that chronic ankle instability increases the risk of non-contact knee injury as well as the risk of lateral ankle sprain during forward jump landing.

• 재무관리연구
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• 제25권2호
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• pp.69-101
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• 2008

본 연구는 결정적변동성 옵션가격결정모형보다 더 일반적인 조건에서도 성립되는 옵션의 레버리지효과와 기초자산을 일차원확산과정으로 제약할 경우에만 성립되는 여분가정의 성립여부를 실증적으로 검증하였다. 다음으로 여분가정이 기각될 경우 해당원인을 규명하기 위해, 기초자산과의 선형적인 관계하에서의 레버리지 이외에 KOSPI 200 지수옵션의 가격동학에 내재된 추가적인 체계적 위험요인들을 규명하였다. 분석결과 이론과 일치하는 레버리지패턴이 존재하였지만 여분 자산가정은 기각되었다. 여분가정이 기각되는 원인을 분석한 결과, 선형적인 레버리지하에서의 기초자산의 불확실성에 대한 프리미엄 이외에, 비선형적인 수익구조하에서의 체계적 고차적률에 대한 선호와 체계적 확률변동성위험에 대한 음의 프리미엄이 옵션의 시장가격에 반영되어 있는 것으로 나타났다. 그러나 점프위험에 대한 선호여부는 명확하지 않으며 이에 대한 추가적인 연구가 요구되었다.

• Journal of applied mathematics & informatics
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• 제27권5_6호
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• pp.1073-1086
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• 2009

This paper considers the problems of martingale measures and risk-minimizing hedging strategies in the market with restricted information. By constructing a general restricted information market model, the explicit relation of arbitrage and the minimal martingale measure between two different information markets are discussed. Also a link among all equivalent martingale measures under restricted information market is given. As an example of restricted information markets, this paper constitutes a jump-diffusion process model and presents a risk minimizing problem under different information. Through $It\hat{o}$ formula and projection results in Schweizer[13], the explicit optimal strategy for different market information are given.

• 한국운동역학회지
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• 제23권3호
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• pp.219-223
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• 2013

The purpose of the study was to investigate the effects of gymnasts shoes on risk factors of anterior cruciate ligament injuries during drop-landing followed by vertical jump in female gymnasts. Thirteen female gymnasts were recruited and performed randomly drop-landing followed by vertical jump in height of her knee with and without shoes. Kinematics and ground reaction data were collected to estimate the anterior cruciate ligament injuries risk factors. Data were analyzed with paired samples t-test with Bonferroni correction. Female gymnasts with shoes showed more reduced thigh maximum adduction angle, and knee maximum extension moment than without shoes. Female gymnasts with shoes showed more increased shank maximum abduction angle than without shoes. In conclusion, Female gymnasts with shoes reduced anterior cruciate ligament injuries risk factors.