• International Area Studies Review
• /
• v.14 no.3
• /
• pp.62-84
• /
• 2010

Accurate forecasting of volatility is of considerable interest in financial volatility research, particularly in regard to portfolio allocation, option pricing and risk management because volatility is equal to market risk. So, we attempted to delineate a model with good ability to forecast and identified stylized features of volatility, with a focus on volatility persistence or long memory in the Australian futures market. In this context, we assessed the long-memory property in the volatility of index futures contracts using three conditional volatility models, namely the GARCH, IGARCH and FIGARCH models. We found that the FIGARCH model better captures the long-memory property than do the GARCH and IGARCH models. Additionally, we found that the FIGARCH model provides superior performance in one-day-ahead volatility forecasts. As discussed in this paper, the FIGARCH model should prove a useful technique in forecasting the long-memory volatility in the Australian index futures market.

• Journal of Korean Institute of Industrial Engineers
• /
• v.38 no.2
• /
• pp.89-97
• /
• 2012

This paper considers a manufacturer with a two-station make-to-stock and make-to-order serial production system. The MTS facility produces a single type of component and provides components for the MTO facility that produces customized products. In addition to the internal demand from the MTO facility, the MTS facility faces demands from the spot market with the option of to accept or reject each incoming demand. This paper addresses a joint component inventory rationing and batch production control which maximizes the manufacturer's profit. Using the Markov decision process model, we investigate the structural properties of the optimal inventory rationing and batch production policy, and present two types of heuristics. We implement a numerical experiment to compare the performance of the optimal and heuristic policies and a simulation study to examine the impact of the stochastic process variability on the inventory rationing and batch production control.

• 한국경영정보학회:학술대회논문집
• /
• 2008.06a
• /
• pp.957-962
• /
• 2008

We propose a model for the line expansion problem in the AMOLED (Active Matrix Organic Light Emitting Diodes) industry, which now faces market uncertainty: for example, changing customer needs, technological development path, etc. We focus on the optimal investment time and size of the AMOLED production lines. In particular, employed here is the ROV (Real Options Valuation) model to show how to capture the value of line expansion and to determine the optimal investment time. The ROV framework provides a systematic procedure to quantify an expected outcome of a flexible decision which is not possible in the frame of the traditional NPV (Net Present Value) approach. Furthermore, we also use Monte Carlo simulation to measure the uncertainty associated with the line expansion decision; Monte Carlo simulation estimates the volatility of a decision alternative. Lastly, we present a scenario planning to be conducted for what-if analysis of the ROV model.

• Bulletin of the Korean Mathematical Society
• /
• v.55 no.4
• /
• pp.1241-1261
• /
• 2018

We derive discrete time model of the geometric fractional Brownian motion. It provides numerical pricing scheme of financial derivatives when the market is driven by geometric fractional Brownian motion. With the convergence analysis, we guarantee the convergence of Monte Carlo simulations. The strong convergence rate of our scheme has order H which is Hurst parameter. To obtain our model we need to convert Wick product term of stochastic differential equation into Wick free discrete equation through Malliavin calculus but ours does not include Malliavin derivative term. Finally, we include several numerical experiments for the option pricing.

• Biomolecules & Therapeutics
• /
• v.28 no.3
• /
• pp.222-229
• /
• 2020

The process of drug discovery and drug development consumes billions of dollars to bring a new drug to the market. Drug development is time consuming and sometimes, the failure rates are high. Thus, the pharmaceutical industry is looking for a better option for new drug discovery. Drug repositioning is a good alternative technology that has demonstrated many advantages over de novo drug development, the most important one being shorter drug development timelines. In the last two decades, drug repositioning has made tremendous impact on drug development technologies. In this review, we focus on the recent advances in drug repositioning technologies and discuss the repositioned drugs used for inflammatory diseases such as sepsis, asthma, and atopic dermatitis.

• The Research Journal of the Costume Culture
• /
• v.9 no.3
• /
• pp.389-397
• /
• 2001

The purpose of this study is to examine the growth potentiality of the Easy-Order System in the domestic male business suit market. This study is based on a questionnaire survey of males, who usually wear a business suit in the work place, and females whose husband wear a business suit. The pertinently answered 108 questionnaires (males: 72 and females: 36) were analyzed with SPSS 8.0. The results of this survey were as follows; 1. Gender, occupation, and height of consumers had a considerable effect on their on their intention of purchasing a preference of this system. 2. Subjects, who were dissatisfied with the limited option of purching a business suit in retail shops, had a significant intention of purchasing a business suit through the Easy-Order System. 3. It had no effect on consumers\\` preference and purching intention of the Easy-Order System whether or not they recognize this system. And the Easy-Order System is not estimated to have major repercussions over consumers by now.

• Journal of the Korea Institute of Building Construction
• /
• v.4 no.3
• /
• pp.125-131
• /
• 2004

Nowadays, it seems we are in the high time of construction design because development of construction technology widen the option of construction exterior closing materials and deepen the high-tech construction method with all various materials. When we see the flow of construction market, the mainstream is the high-rise intelligent building, which makes the best use of the small midtown area efficently. Therefore, Alum curtain wall is becoming the main material of exterior construction, the concept of which is changing from just a simple window frame to an outer wall which has comprehensive function and capability. As we think of the importance of Curtain wall as a comprehensive outer wall, We should do thorough technical examination and verification at the stage of construction design and plan of carrying out construction.

• Journal of the Korean Operations Research and Management Science Society
• /
• v.37 no.2
• /
• pp.45-56
• /
• 2012

This paper considers a supply chain consisting of a component manufacturer and a product manufacturer. The component manufacturer provides components for the product manufacturer based on a vendor-managed inventory type of supply contract, and also faces demands from the market with the option of to accept or reject each incoming demand. Using the Markov decision process model, we examine the structure of the optimal production control and inventory rationing policy. Two types of heuristics are presented. One is the fixed-buffer policy and the other uses two linear functions. We implement a computational study and present managerial insights based on the observations.

• Proceedings of the Korean Society of Precision Engineering Conference
• /
• 2002.10a
• /
• pp.958-961
• /
• 2002

The optical disk drive is a basic option on the PC now. So the lower price and higher read/write speed goods are now on market. These trends make many difficulties to produce more reliable drives, comparing when they are treated as high price stuff. In mechanical terms, the lower price and higher read/write speed drive make higher vibration and noise, lower stiffness, even severe fracture of cheap and low quality disk, problems. Due to the internal crash of P/U inside of the drive, the failure of drives, inferior drives, increase more and more by the careless transportation and the originated low stiffness parts. This report is the introduction of the FE simple model to decrease the internal P/U crash problems, and the results.

• Transactions of the Korean Society of Automotive Engineers
• /
• v.24 no.4
• /
• pp.487-494
• /
• 2016

In order to comply with the Federal Motor Vehicle Safety Standard(FMVSS) No. 208 that has been in force since September 2003, an automatic airbag suppression system has become an essential option for detecting and protecting infants and children seated in the front passenger seat of vehicles in the U.S. market. MOBIS has developed the world's first weight-based OCS under the name NWCS. NWCS is composed of two sensors and ECU. It is sub-packaged in order to minimize the seat structure deviation. In this paper, technical features, robustness and performance of NWCS are summarized and discussed.