• Journal of Korean Institute of Industrial Engineers
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• v.38 no.4
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• pp.249-253
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• 2012

This paper suggests a numerical method for valuation of American options under the Kou model (double exponential jump diffusion model). The method is based on approximation of underlying asset price using a finite-state, time-homogeneous Markov chain. We examine the effectiveness of the proposed method with simulation results, which are compared with those from the conventional numerical method, the finite difference method for PIDE (partial integro-differential equation).

• 대한예방의학회:학술대회논문집
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• 1999.10a
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• pp.365-366
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• 1999

• 대한예방의학회:학술대회논문집
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• 1999.10a
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• pp.29-30
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• 1999

• 대한예방의학회:학술대회논문집
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• 1999.10a
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• pp.31-32
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• 1999

• Journal of Institute of Control, Robotics and Systems
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• v.22 no.12
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• pp.991-994
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• 2016

This paper presents a load management method based on OpenADR of smart grid. Previous demand side algorithm is restricted on reducing peak power. But, in this paper we suggest a method of performing the energy-saving control according to the power price utilizing building automatic control system installed on the customer side in the case of hourly differential pricing signal is transmitted to the open automated demand response system. And, we showed the integrated demand management software for 3 buildings.

• Bulletin of the Korean Mathematical Society
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• v.56 no.5
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• pp.1129-1141
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• 2019

We propose a stochastic delay financial model which describes influences driven by historical events. The underlying is modeled by stochastic delay differential equation (SDDE), and the delay effect is modeled by a stopping time in coefficient functions. While this model makes good economical sense, it is difficult to mathematically deal with this. Therefore, we circumvent this model with similar delay effects but mathematically more tractable, which is by the backward time integration. We derive the option pricing equation and provide the option price and the perfect hedging portfolio.

• Proceedings of the KIEE Conference
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• 2001.11b
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• pp.216-218
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• 2001

The transformer role is very important in power system operation and control; also its price is very expensive. Therefore many kinds of the efforts for transformer protection have been executed. So for as, current differential relay(87) has been mainly used for transformer protection. But current differential relaying method has several troubles as followings. Differential current can be occurred by transformers inrush current between winding1 and winding2 of transformer when transformer is initially energized. Also harmonic restrained element used in current differential relaying method is one of the causes of relays mal-operation because recently harmonics in power system gradually increase by power switching devices(SVC, FACTS, DSC, etc). Therefore many kinds of effort have been executed to solve the trouble of current differential relay and one of them is method using ratio of increment of flux linkages(RIFL) of the primary and secondary windings. This paper introduces a novel protective relay for power transformers using RIFL of the primary and secondary windings. Novel protective relay successfully discriminates between transformer internal faults and normal operation conditions including inrush and this paper includes real time test results using RTDS(Real Time Digital Simulator) for novel protective relay. A novel protective relay was designed using the TMS320C32 digital signal processor and consisted of DSP module. A/D converter module, DI/DO module, MMI interface module and LCD display module and developed by Xelpower co., Ltd.

• Journal of Distribution Science
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• v.14 no.1
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• pp.93-102
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• 2016

Purpose - The purpose of paper is studying the static and dynamic side for long-term memory storage properties, and increase the explanatory power regarding the long-term memory process by looking at the long-term storage attributes, Korea Composite Stock Price Index. The reason for the use of GPH statistic is to derive the modified statistic Korea's stock market, and to research a process of long-term memory. Research design, data, and methodology - Level shifts were subjected to be an empirical analysis by applying the GPH method. It has been modified by taking into account the daily log return of the Korea Composite Stock Price Index a. The Data, used for the stock market to analyze whether deciding the action by the long-term memory process, yield daily stock price index of the Korea Composite Stock Price Index and the rate of return a log. The studies were proceeded with long-term memory and long-term semiparametric method in deriving the long-term memory estimators. Chapter 2 examines the leading research, and Chapter 3 describes the long-term memory processes and estimation methods. GPH statistics induced modifications of statistics and discussed Whittle statistic. Chapter 4 used Korea Composite Stock Price Index to estimate the long-term memory process parameters. Chapter 6 presents the conclusions and implications. Results - If the price of the time series is generated by the abnormal process, it may be located in long-term memory by a time series. However, test results by price fixed GPH method is not followed by long-term memory process or fractional differential process. In the case of the time-series level shift, the present test method for a long-term memory processes has a considerable amount of bias, and there exists a structural change in the stock distribution market. This structural change has implications in level shift. Stratum level shift assays are not considered as shifted strata. They exist distinctly in the stock secondary market as bias, and are presented in the test statistic of non-long-term memory process. It also generates an error as a long-term memory that could lead to false results. Conclusions - Changes in long-term memory characteristics associated with level shift present the following two suggestions. One, if any impact outside is flowed for a long period of time, we can know that the long-term memory processes have characteristic of the average return gradually. When the investor makes an investment, the same reasoning applies to him in the light of the characteristics of the long-term memory. It is suggested that when investors make decisions on investment, it is necessary to consider the characters of the long-term storage in reference with causing investors to increase the uncertainty and potential. The other one is the thing which must be considered variously according to time-series. The research for price-earnings ratio and investment risk should be composed of the long-term memory characters, and it would have more predictability.

• Journal of Arbitration Studies
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• v.26 no.1
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• pp.107-134
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• 2016

International arbitration is the important field of applying CISG and the backbone of uniform law developed by CISG. Now CIETAC tribunals like courts of contracting states apply CISG precisely, which is beneficial to improving the quality and the credit of arbitral cases. Arbitration has the characters of independence and the non-government. the legal foundation of arbitral tribunal's applying CISG are the national arbitral law, the applicable arbitral procedures and usages of arbitration, not for performing international obligations under the CISG. CIETAC mainly use China Contract Law and CISG over the cases of sale of goods. Because of no provisions on recovery of differential price loss (equal to article 75 and 76 of CISG) Chinese tribunals have more discretion in determining the sum of damages under the China Contract Law. Applying China Contract Law may not beneficial to aggrieved party.

• The KIPS Transactions:PartC
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• v.13C no.1 s.104
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• pp.95-102
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• 2006

Nowadays, GPS is used widely, especially in case which needs precise position information, such as car navigation systems and various kinds of position measuring instruments in an outdoor environment. According to their applications, there are many kinds of GPS receivers with different costs and error rates. The maximum error range of the general-purpose GPS receiver is within 30m, though the error rate depends on receiving rate of signal and weather condition. RTK(Real-Time Kinematic) and DGPS(Differential Global Positioning System) have more precise accuracy than the general-purpose GPS. However end users can't afford use them because of their high price and large size of equipments. In order for the end user to obtain precise position information, it is important that GPS receivers has portability and low price. In this study, we introduce a new system that offers precise position information using the DGPS mechanism satisfying low cost and portability.