• Journal of applied mathematics & informatics
• /
• 제12권1_2호
• /
• pp.335-349
• /
• 2003

Almost all business are affected by the weather so that weather derivatives has been traded to hedge weather risk. Since the weather itself is not an asset with a market price, some analysts believe that the Black-Scholes equation could not be used appropriately to price weather derivative options. But some weather derivatives can be considered as an Asian option, we revisit the Black-scholes model. Numerical solution of the Black-Scholes equation has a significant error at the money option or around the money option, it is necessary to adopt adaptive mesh near to the strike value. Here we propose a numerical method with an adaptive grid refinement.

• 한국방송∙미디어공학회:학술대회논문집
• /
• 한국방송공학회 2011년도 추계학술대회
• /
• pp.143-146
• /
• 2011

This paper presents human perception-based video coding method using an online learning framework. In this work, we analyze the relationship between human attention regions and video quality, and also consider human memory. We classify the motion patterns based on the analysis. Then, we devise a motion pattern classification method using Hedge algorithm. Along with the motion patterns, we smooth out the specific regions or sharpen details of the regions using the regional priorities. The preprocessed sequences are applied to the video codec. The performance is excellent on the overall quality as well as the regional quality.

• 대한안전경영과학회:학술대회논문집
• /
• 대한안전경영과학회 2012년 춘계학술대회
• /
• pp.667-678
• /
• 2012

Internet and information technology due to the development of rapid changes in the investment environment, the existing securities, or by disassembling the combined financial engineering to create new securities with the development of enlarged minimize losses to investors in financial markets more stable that can be and need a way to invest in this paper, such as individual stocks or a specific index of those derivatives that are linked to the December 1, 2005 and 2010 the market began trading from the phone call attention off new measures to gauge the individual through ELW underlying assets such as stocks or a specific index to minimize the loss of a stable hedge for investors to evaluate the possibility of studying for.

• 한국경영과학회지
• /
• 제29권2호
• /
• pp.45-57
• /
• 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.

• 경영과학
• /
• 제31권1호
• /
• pp.49-61
• /
• 2014

We investigate the hedging effectiveness of incorporating single-stock futures into the corresponding stocks. Investing in only stocks frequently causes too much risk when market volatility suddenly rises. We found that single-stock futures help reduce the variance and risk levels of the corresponding stocks invested. We use daily prices of Korean stocks and their corresponding futures for the time period from December 2009 to August 2013 to test the hedging effect. We also use system trading technique that uses automatic trading program which also has several simulation functions. Moving average strategy, Stochastic's strategy, Larry William's %R strategy have been considered for hedging strategy of the futures. Hedging effectiveness of each strategy was analyzed by percent reduction in the variance between the hedged and the unhedged variance. The results clearly showed that examined hedging strategies reduce price volatility risk compared to unhedged portfolio.

• 전기학회논문지
• /
• 제60권2호
• /
• pp.266-272
• /
• 2011

Real Time Pricing(RTP) is used not only to stabilize the price volatility in electricity market, but to hedge the price risk for Load Serving Entity(LSE). This paper presents an efficient method to reduce the risk of the price volatility in real-time electricity market. For designing the RTP, load patterns of customer are calculated by applying the demand elasticity and customer's utility is also analyzed to compute the RTP revenue through the risk-attribute of the LSE. In the end, the distribution of the LSE's profits can be evaluated to lead the optimal RTP value, depending on the level of customer's participation. Results from the case study based on PJM data are reported to illustrate the proposed method.

• 한국지능정보시스템학회:학술대회논문집
• /
• 한국지능정보시스템학회 2000년도 추계정기학술대회:지능형기술과 CRM
• /
• pp.489-497
• /
• 2000

After IMF situation, the money market environment is changing rapidly. Therefore, many companies including financial institutions and many individual investors are concerned about forecasting the money market, and they make an effort to insure the various profit and hedge methods using derivatives like option, futures and swap. In this research, we developed a prototype of forecasting system for KOSPI 200 option, especially call option, trading using artificial neural networks(ANN), To avoid the overfitting problem and the problem involved int the choice of ANN structure and parameters, we employed the ANN ensemble approach. We conducted two types of simulation. One is conducted with the hold signals taken into account, and the other is conducted without hold signals. Even though our models show low accuracy for the sample set extracted from the data collected in the early stage of IMF situation, they perform better in terms of profit and stability than the model that uses only the theoretical price.

• Communications for Statistical Applications and Methods
• /
• 제28권6호
• /
• pp.655-671
• /
• 2021

This study analyzes the premium risk of insurers in Korea, which is expected to experience the fastest population aging in the world. Based on the Lee-Carter model, we generate 10,000 scenarios for the number of future survivors in the group of the 10,000 policyholders of life annuity. According to the result of simulation study, the probability of insurer's loss for both groups of male and female policyholders is very low. This result indicates that the premium risk of insurers is not as great as the insurer's concern. This study also suggests introduction of the longevity swap as an alternative to manage the premium risk for the insurer which sells life annuity products. The longevity swap allows insurers to hedge premium risk and reduce capital burden due to the premium risk inherent in life annuity. This study also shows through examples that the counterparty of swap deal may have excess profit in exchange for taking premium risk.

• 한국항공운항학회지
• /
• 제31권4호
• /
• pp.28-44
• /
• 2023

This study investigates aircraft lessor business models by studying cases and interviewing experts to analyze investors and business strategies of aircraft lessor. The results confirm that there is a wide range of investors including institutional investors, financial institutions, insurance companies, corporations, and wealthy individuals for aircraft lessor. Aircraft lessors can be categorized based on its required rate of return (cost of capital) into bank-investing core, institutional investor-investing value-added, and hedge fund-investing opportunistic. Aircraft lessor decides leasing rate by aircraft purchasing price and lessee's credit rating. Core aircraft lessors invest in new aircrafts for new placement or sale-and-leaseback strategy requiring little technical risk in aircraft, value-added lessors invest in middle-aged aircrafts for re-leasing, opportunistic lessors invest in old aircrafts for freighter conversion or part-out strategy requiring high level of expertise. This study provides insights for future Korean aircraft lessor establishment and investment.

• 헤리티지:역사와 과학
• /
• 제45권4호
• /
• pp.140-157
• /
• 2012

조선시대 조경관련 식물의 이용경향 그리고 서유구의 편저 '임원경제지'를 통해 본 식물의 심고 가꾸기에 대한 종예법(種藝法)을 추적한 연구결과는 다음과 같다. 첫째, '임원경제지'의 제3지에 해당하는 '만학지'편은 총 5권(총론, 과실수, 덩굴식물, 수목, 기타)으로 구성되었는데, 식물의 명칭과 품종, 토양조건, 심고 가꾸기, 접붙이기, 병충해 치료 방법 등을 체계적으로 기술하고 있는 조선시대 대표적 조경 관련 문헌이다. 둘째, 조경관련 용어에 있어서, 종재(種栽, 나무심기) 또는 재식(栽植), 재수시후(栽樹時候, 나무 심는 시기), 이재(移栽, 옮겨심기), 작원리(作園籬, 울타리 만들기), 명품(名品, 품종명), 토의(土宜, 적합한 토양), 종예(種藝, 심고 가꾸기), 의치(醫治, 식물치료), 호양(護養, 보호하고 기르기), 정원(庭園, 뜰) 또는 원포(園圃), 포자(圃者, 뜰 관리자) 또는 원정(園丁) 등의 용어를 사용하였다. 셋째, 조선시대 대표적 조경관련 문헌인 '양화소록', '지봉유설', '산림경제', '임원경제지'에 나타난 식물종의 출현 빈도는 화훼류, 과실수류, 목류, 덩굴류 순으로 분석되었으며, 낙엽수의 비중이 상록수에 비해 3.7배 이상 높게 나타났다. 이러한 화목류 및 과실수류, 낙엽활엽수 선호경향은 풍토환경에 조화되는 자생수종의 활용, 계절미를 위한 심미적 가치, 꽃과 열매를 위한 과실수의 도입 등 이용후생 경향, 그리고 성리학적 가치기준에 의한 상징성 등을 들 수 있다. 넷째, 식재 최적기를 음력 1월로 제시하였고, 비옥토를 많이 붙여 분 뜨기 하며, 생육방향에 맞춰 묻혔던 높이만큼 복토하여 식재하고 버팀목을 세워 보호해야 함을 강조하였다. 특히, 식재 최적기를 음력 정월로 기술하고 있는 점을 감안할 때 오늘날 이식 시기 판단에 많은 시사점을 제시한다. 한편, 씨앗 심기는 1치(3.3cm) 정도 깊이가 좋고, 꺾꽂이는 1월과 2월 사이에 손가락 굵기의 가지를 5치(16.5cm) 길이로 심는 것을 권장하였으며, 과실수를 접붙일 때 남쪽으로 뻗은 가지를 쓰면 과실이 많이 달리는데, 정월에 전지하면 과실이 탐스럽고 굵어진다 하였다. 다섯째, 생울타리는 가을에 멧대추를 빽빽하게 심어 이듬해 가을 1자(30cm) 간격으로 행렬이 맞게 이식하고, 1-2년이 지난 이듬해 봄에 7자(210cm) 정도 높이로 엮어야 함을 제시하였다. 한편, 느릅나무와 버드나무를 섞어 심고 엮어주면 가지와 잎이 창살처럼 기이하고 아름다운 울타리가 만들어 진다 하였으며, 울타리 조성에는 탱자나무, 무궁화나무, 버드나무, 사철나무, 산앵두나무, 오가피나무, 매실나무, 구기자나무, 산수유나무, 치자나무, 뽕나무, 찔레나무 등 다양한 수종을 권장하였다.