• 대한수학회보
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• 제37권3호
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• pp.451-459
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• 2000

In this paper, we observe the relation between the attainability of contingent claims and solutions of associated difference-differential equations. And we find the lower bound estimate of fair price using the minimax statistical approach.

• Management Science and Financial Engineering
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• 제17권2호
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• pp.99-129
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• 2011

This paper analytically studies how to choose hedging instrument for firms with steady operating cash flows from value maximization perspective. I derive a formula to determine option's optimal strike that makes hedged cash flow have the best monetary payoff given a hedger's view on the underlying asset. I find that not only the expected mean but also the expected standard deviation of the underlying asset in relation to the forward price and the implied volatility play a crucial role in making optimal hedging decision. Higher moments play a certain part in hedging decision but to a lesser degree.

• 자원ㆍ환경경제연구
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• 제26권4호
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• pp.499-517
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• 2017

본 연구는 원유 구매자가 원유를 구매함에 있어 이윤율헤징 전략이 항상 헤징하거나 모두 현물 구매하는 전략에 비해 최적의 구매전략이 될 수 있는지 기대목표효용 함수를 이용하여 이론적으로 분석하고 시뮬레이션을 실시하였다. 또한 선물가격이 평균회귀할 때 이윤율헤징이 최적의 전략이 된다는 이론적 증명을 바탕으로 원유 선물가격의 평균회귀성에 대한 실증분석을 수행하였다. 기대목표효용함수에 대한 시뮬레이션 결과, 원유를 구매함에 있어 이윤율헤징 전략을 사용할 경우 다른 전략을 사용해 구매하는 경우에 비해 더 높은 기대효용을 가져오는 것으로 나타났다. 원유 선물가격의 평균회귀성에 대한 실증분석 결과 평균회귀성을 가진다는 것은 입증할 수 없었다. 그러나 이론적 분석과 시뮬레이션 결과, 원유 선물시장에서 이윤율 헤징을 통한 구매전략이 원유 구매의 최적 전략이 된다고 판단할 수 있었다.

• 대한수학회보
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• 제56권5호
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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.

• 자원ㆍ환경경제연구
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• 제9권2호
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• pp.421-449
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• 2000

The objective of this paper is to examine whether it is feasible to introduce an crude oil futures contract on domestic commodity exchange in order to minimize the price risks of imported crude oil. In addition. this study suggests the policy issues to promote futures trading and the alternatives to use foreign energy compares the five criteria to evaluate the feasibility of crude oil futures trading on the domestic exchange. Related to the possibility of successful futures trading of imported crude oil on the domestic exchange, they are evaluated as follows: it is highly possible to succeed for the aspects of price volatility, potential market size or liquidity, and commodity homogeneity; but it is inappropriate for the aspects of deliverable amounts and market power or market structure. Therefore, it is concluded that trading a new futures contract for the underlying imported crude oil on the domestic exchange is inappropriate. For the policy issues and the hedging alternatives, first, it is urgent to establish an atmosphere for futures trading by promoting spot trading. Second, for the case of futures trading on the domestic exchange it is important to consider the simultaneous hedging of crude oil price and foreign exchange risks and mutual offsetting mechanism with major foreign exchanges. Third, for the case of futures trading on foreign exchanges it is reasonable to regard cooperation among concerned companies, government support for futures trading and direct participation into futures trading by the government.

• Journal of applied mathematics & informatics
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• 제8권3호
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• pp.1001-1007
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• 2001

In this paper, we show the existence of securities protfolio in security model with influx and find the non-arbitrage class of protfolios.

• 무역상무연구
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• 제55권
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• pp.185-208
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• 2012

Before and after the Capital Market Integration Act in 2007 is implemented in South Korea, many of small-and mid sized exporting companies in South Korea has been bankrupted or filed for lawsuit claiming mis-selling(KIKO) by the banks. The basic economic structure of KIKO in Korea are part of a business model based on the use or misuse of exotic derivatives whose results are anything but imaginary. 571 mid sized exporting companies have been damaged about $28 billion. KIKO is a currency option product that sells foreign currencies at higher foreign exchange rate when the rate moves within a certain range, but sells foreign currencies at two or three times lower rate than the market price when the rate exceeds the designated upper limit. KIKO, Therefore, is hard to know whether the non financial firms intended to hedge against further strengthening of their currency or merely to speculate. It is also hard to know how thoroughly they understood the risk-return profile of these transactions. It is similarly hard to ascertain whether the derivatives dealers offering these transactions were meeting the demands of their clients or taking advantage of them. These exotic derivatives were inappropriate for either hedging or speculating, and no knowledgeable investor would be likely to enter into these contracts intentionally.

• 한국컴퓨터정보학회논문지
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• 제3권4호
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• pp.139-144
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• 1998

국내 자본시장의 개방으로 주가변동에 따른 위험분산 외국의 단기성자금에 의한 국내증권시장의 교란을 억제하고 투자활성화를 위해 도입된 주가지수선물의 헤징은 다른 종류의 금융선물 및 상품선물거래 도입을 촉진하게 될 것이고 이는 결국 국내 금융기관 국제경쟁력을 높이고 우리 금융시장 선진화를 앞당기는데 기여할 것이다. 또한 위험분산기능과가격발전기능을 통해 경제안정과 경제활동 원활화에도 큰 도움을 줄 것으로 기대된다. 결국주가지수선물시대가 열림에 따라 국내 주식시장에 따라 지수편입종목의 거래량 확대, 선물지수의 변동으로 초래될 주식시장의 변화에 대해서도 보다 높은 관심을 가져야 할 것으로 판단된다.

• Journal of Electrical Engineering and Technology
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• 제13권6호
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• pp.2236-2244
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• 2018

We make optimal consecutive offer curves for an energy storage system (ESS) integrated wind power producer (WPP) in the co-optimized day-ahead energy and regulation markets. We build the offer curves by solving multi-stage stochastic optimization (MSSO) problems based on the scenarios of pairs consisting of real-time price and wind power forecasts through the progressive hedging method (PHM). We also use the rolling horizon method (RHM) to build the consecutive offer curves for several hours in chronological order. We test the profitability of the offer curves by using the data sampled from the Iberian Peninsula. We show that the offer curves obtained by solving MSSO problems with the PHM and RHM have a higher profitability than offer curves obtained by solving deterministic problems.

• 대한수학회지
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• 제43권2호
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• pp.357-371
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• 2006

Let $X\;=\;(X_t,\;t{\in}[0, T])$ be a generalized Brownian motion(gBm) determined by mean function a(t) and variance function b(t). Let $L^2({\mu})$ denote the Hilbert space of square integrable functionals of $X\;=\;(X_t - a(t),\; t {in} [0, T])$. In this paper we consider a class of nonlinear functionals of X of the form F(. + a) with $F{in}L^2({\mu})$ and discuss their analysis. Firstly, it is shown that such functionals do not enjoy, in general, the square integrability and Malliavin differentiability. Secondly, we establish regularity conditions on F for which F(.+ a) is in $L^2({\mu})$ and has its Malliavin derivative. Finally we apply these results to compute the price and the hedging portfolio of a contingent claim in our financial market model based on a gBm X.