• 분석과 대안
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• 제5권2호
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• pp.77-105
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• 2021

Потребление природного газа в Азии растет быстрыми темпами из-за различных факторов, таких как экономический рост в регионе, урбанизация, переход с угля на газ в секторах производства электроэнергии и промышленности. Из-за географических особенностей и отсутствия международных трубопроводных соединений между странами в АТР большая часть природного газа, экспортируемого азиатским потребителям, транспортируется танкерами по морю в виде сжиженного природного газа. Поскольку азиатский рынок является наиболее прибыльным рынком с самым быстрым ростом спроса, конкуренция между продавцами сжиженного природного газа (СПГ) за долю азиатского рынка усиливается. Конкуренция ускорилась, особенно после того, как на рынок были выведены большие объемы дополнительных поставок со стороны новых экспортеров из США, Австралии и России. Cheniere Energy, первый экспортер СПГ в континентальной части США, не приняла традиционный механизм ценообразования и бизнес-модель. Традиционно цены по долгосрочным контрактам на СПГ индексируются к ценам на конкурирующие виды топлива, такие как сырая нефть. Компания приняла механизм ценообразования и бизнесмодель по системе «кост-плюс». Cheniere Energy выбрала более безопасную и безрисковую систему ценообразования, которая ежегодно гарантирует продавцу фиксированную сумму дохода. Компания зарабатывает одинаковую сумму денег, независимо от динамики цен на природный газ на внутреннем и международном рынке, возможно с меньшим доходом. Однако, успешно внедрив более безопасную и безрисковую бизнес-модель, Cheniere Energy, компания относительно меньшего размера по сравнению с крупными нефтегазовыми компаниями, стала примером для других небольших компаний в стране. Бизнес-модель компании продемонстрировала, как войти и управлять бизнесом СПГ в США в условиях растущей конкуренции между продавцами на внутреннем и международном рынке.

• Communications for Statistical Applications and Methods
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• 제14권2호
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• pp.459-479
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• 2007

Theories related to financial market has received big attention from the statistics community. However, not many courses on the topic are provided in statistics departments. Because the financial theories are entangled with many complicated mathematical and physical theories as well as ambiguously stated financial terminologies. Based on our experience on the topic, we try to explain the rather complicated terminologies and theories with easy-to-understand words. This paper will briefly cover the topics of basic terminologies of derivatives, Black-Scholes pricing idea, and related basic mathematical terminologies.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제7권2호
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• pp.13-22
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• 2003

Simulations on the nonlinear partial differential equation derived from Black-Scholes equation with transaction costs are performed. These numerical experiments using finite element methods are applied to KOSPI200 in 2002 and the option prices obtained with transaction costs are closer to the real prices in market than the prices used in Korea Stock Exchange.

• Communications for Statistical Applications and Methods
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• 제17권4호
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• pp.575-589
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• 2010

Exponential L$\acute{e}$evy models have become popular in modeling price processes recently in mathematical finance. Although it is a relatively simple extension of the geometric Brownian motion, it makes the market incomplete so that the option price is not uniquely determined. As a trial to find an appropriate price for an option, we suppose a situation where a hedger wants to initially invest as little as possible, but wants to have the expected squared loss at the end not exceeding a certain constant. For this, we assume that the underlying price process follows a variance-gamma model and it converges to a geometric Brownian motion as its quadratic variation converges to a constant. In the limit, we use the mean-variance approach to find the asymptotic minimum investment with the expected squared loss bounded. Some numerical results are also provided.

• The Journal of Asian Finance, Economics and Business
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• 제5권3호
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• pp.19-29
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• 2018

This research examined the alternatives of Jensen's alpha (α) estimation models in the Capital Asset Pricing Model, discussed by Treynor (1961), Sharpe (1964), and Lintner (1965), using the robust maximum likelihood type m-estimator (MM estimator) and Bayes estimator with conjugate prior. According to finance literature and practices, alpha has often been estimated using ordinary least square (OLS) regression method and monthly return data set. A sample of 50 securities is randomly selected from the list of the S&P 500 index. Their daily and monthly returns were collected over a period of the last five years. This research showed that the robust MM estimator performed well better than the OLS and Bayes estimators in terms of efficiency. The Bayes estimator did not perform better than the OLS estimator as expected. Interestingly, we also found that daily return data set would give more accurate alpha estimation than monthly return data set in all three MM, OLS, and Bayes estimators. We also proposed an alternative market efficiency test with the hypothesis testing Ho: α = 0 and was able to prove the S&P 500 index is efficient, but not perfect. More important, those findings above are checked with and validated by Jackknife resampling results.

• International Journal of Computer Science & Network Security
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• 제23권9호
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• pp.37-46
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• 2023

The main aim of the article is to solve the problem of automating price monitoring using marketing forecasting methods and Excel functionality under martial law. The study used the method of algorithms, trend analysis, correlation and regression analysis, ANOVA, extrapolation, index method, etc. The importance of monitoring consumer price developments in market pricing at the macro and micro levels is proved. The introduction of a Dummy variable to account for the influence of martial law in market pricing is proposed, both in linear multiple regression modelling and in forecasting the components of the Consumer Price Index. Experimentally, the high reliability of forecasting based on a five-factor linear regression model with a Dummy variable was proved in comparison with a linear trend equation and a four-factor linear regression model. Pessimistic, realistic and optimistic scenarios were developed for forecasting the Consumer Price Index for the situation of the end of the Russian-Ukrainian war until the end of 2023 and separately until the end of 2024.

• 대한전기학회:학술대회논문집
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• 대한전기학회 2000년도 추계학술대회 논문집 학회본부 A
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• pp.3-5
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• 2000

It has been the paradigm of game theory that more than two utilities compete and determine the price and amount of dispatch. In order for this theory to be available on real power system, it is necessary to consider the transmission costs as well as the generation costs. In addition Independent System Operator(ISO) should be able to mitigate the congestion, recover the transmission costs and provide information for long-term capacity investment by devising reasonable pricing schemes for the transmission services. Generators also have to take the transmission costs into account when building the bidding strategies. This paper proposes an approach to analyzing the profit maximizing game considering the transmission cost in a competitive electricity market.

• 대한산업공학회지
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• 제32권2호
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• pp.120-125
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• 2006

Since Korean government has implemented the "Number Portability System" in the domestic mobile communications market, mobile communication companies have been striving to hold onto existing customers and at the same time to attract new customers. This paper presents a competing risk model that considers the characteristics of a customer in order to predict the customer's life under the "Number Portability System." Three competing risks considered are pricing policy, quality of communication, and usefulness of service. It was observed that the customers who pay more are less sensitive on pricing policy younger people are less sensitive than older people to the quality of communication and women are more sensitive than men to the degree of usefulness of service. We expect that the result of this study can be used as a guideline for effective management of mobile phone customers under the Number Portability System.

• 한국경영과학회지
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• 제41권2호
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• pp.1-16
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• 2016

Yield management, which originated from the U.S. service industry, uses pricing techniques and information systems to make demand management decisions. Demand uncertainty is an important factor in the area of demand management. A key strategy to reduce the effects of demand uncertainty is substitution. The most generally known type of substitution is inventory-driven substitution, in which consumers substitute an out-of-stock product by buying a similar or other type of product. Another type of substitution is the price-driven substitution, which occurs as a result of price changes. In this research, we consider two market segments that have unique perishable products. We develop yield management optimization models with stochastic demand based on the newsvendor model where inventory-driven and price-driven substitutions are allowed between products in the two market segments. The most significant contribution of this research is that it develops analytical procedures to determine optimal solutions and considers both types of substitution. We also provide detailed theoretical analysis and numerical examples.

• 지식경영연구
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• 제12권3호
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• pp.59-71
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• 2011

This study intends to examine the effect of research and development (R&D) expenditure effects on firm value through patent and earing persistence. The patent is the representative intangible asset which objectively indicates a typical product of research and development activities to external parties. If a firm has acquired the patent, it receives amicable evaluation from the market compared to the firm which has not acquired patent. Empirical analysis is performed for non-banking firms (1,860 firm-years) listed on Korean Stock Exchange with December fiscal year-end over 2004-2009. Research results are as follows. First, the multiple pricing of patent acquiring firm and earing persistence increased group showed that they have higher prices than the other groups. Second, the multiple pricing of R&D expenditures of earing persistence increased group showed that they have higher prices than the other group. Third, the R&D expenditures of earing persistence increased group is receiving more friendly evaluation from the stock market than the other group.