• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.555-564
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• 2020

The purpose of this study is to analyze the efficiency of research institutes of futures companies, and to promote the development of futures market and real economy. This study employs DEA-solver software to conduct super-efficiency data envelopment analysis (SE-DEA), and also selects 40 representative futures research institutes in China as decision-making units (DMUs). For data of input and output indicators, we collect from the China Futures Association, Futures Daily, Hexun.com and Webstock.com respectively, and the time duration is the 103 trading days between from October 2019 to February 2020. Then the indicator for the strategy accuracy rate is calculated separately by analyzing the strategies published by each DMUs in public media. In conclusions, most institutes have excessive investment in human resources, and also have insufficient strategy accuracy rate and insufficient published research reports. The findings of this study suggest that Chinese futures companies need to improve the efficiency of research institutes, and better meet the demand of the financial market. In fact, the analysis of the efficiency of the futures company research institute has not been found in the literature worldwide, Application of DEA model in efficiency analysis of securities and futures research institutions and establishment of indicators are the innovations of this paper.

• The Pure and Applied Mathematics
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• v.27 no.4
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• pp.231-249
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• 2020

We present an efficient and robust finite difference method for a two-asset jump diffusion model, which is a partial integro-differential equation (PIDE). To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. In addition, we use bilinear interpolation to solve integral term of PIDE. We can obtain more stable value by using the payoff-consistent extrapolation. We provide numerical experiments to demonstrate a performance of the proposed numerical method. The numerical results show the robustness and accuracy of the proposed method.

• The Pure and Applied Mathematics
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• v.22 no.2
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• pp.159-168
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• 2015

Abstract. We propose a fast and robust finite difference method for Merton's jump diffusion model, which is a partial integro-differential equation. To speed up a computational time, we compute a matrix so that we can calculate the non-local integral term fast by a simple matrix-vector operation. Also, we use non-uniform grids to increase efficiency. We present numerical experiments such as evaluation of the option prices and Greeks to demonstrate a performance of the proposed numerical method. The computational results are in good agreements with the exact solutions of the jump-diffusion model.

• Journal of the Korean Data and Information Science Society
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• v.20 no.6
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• pp.991-998
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• 2009

This paper deals with directivity forecasting of time series which is useful for futures trading in stock market. Directivity forecasting of time series is to forecast whether a given time series will rise or fall at next observation time point. For directional forecasting, we consider time regression model and ARIMA model. In particular, we study two statistics, intra-model and extra-model deviation and then show usefulness of intra-model deviation.

• The Journal of the Korea institute of electronic communication sciences
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• v.8 no.4
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• pp.605-610
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• 2013

A cryptography for enforcing hierarchic groups in a system where hierarchy is represented by a partially ordered set was introduced by Akl et al. But the key generation algorithm of Akl et al. is infeasible when there is a large number of users. To overcome this shortage, in 1985, MacKinnon et al. proposed a paper containing a condition which prevents cooperative attacks and optimizes the assignment. In 2005, Kim et al. proposed the key management systems for using one-way hash function, RSA algorithm, poset dimension and Clifford semigroup in the context of modern cryptography, the key management system using Clifford semigroup of imaginary quadratic non-maximal orders. We, in this paper, show that Kim et al. cryptosystem is insecure in some reasons and propose a revised cryptosystem.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.14 no.3
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• pp.175-187
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• 2010

This paper presents the numerical valuation of the two-asset step-down equitylinked securities (ELS) option by using the operator-splitting method (OSM). The ELS is one of the most popular financial options. The value of ELS option can be modeled by a modified Black-Scholes partial differential equation. However, regardless of whether there is a closedform solution, it is difficult and not efficient to evaluate the solution because such a solution would be represented by multiple integrations. Thus, a fast and accurate numerical algorithm is needed to value the price of the ELS option. This paper uses a finite difference method to discretize the governing equation and applies the OSM to solve the resulting discrete equations. The OSM is very robust and accurate in evaluating finite difference discretizations. We provide a detailed numerical algorithm and computational results showing the performance of the method for two underlying asset option pricing problems such as cash-or-nothing and stepdown ELS. Final option value of two-asset step-down ELS is obtained by a weighted average value using probability which is estimated by performing a MC simulation.

• The Korean Journal of Financial Management
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• v.17 no.1
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• pp.91-110
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• 2000

충격이 경제에 가해질 때 이 충격이 경제 내에 일시적으로 존속하는 경우도 있고 이 충격이 영구히 존속하는 경우도 있다. 이 양극단 사이의 과정도 존재할 수 있다. 이것을 표상한 것이 stopbreak 과정이다. 충격의 효과가 영구적 효과와 일시적 효과 사이에서 파동하는 시계열을 모형화한 것이 이 과정인 것이다. 이 과정에서는 일정한 기간에는 영구적인 평균이동이 발생하여 구조변화가 발생한다. 다른 기간에 발생하는 충격은 그 효과가 급속히 소멸한다. 밀접한 관계를 맺고 있는 두 주가의 비율은 한 주가의 변동이 제시하는 것을 분석하고 이것을 이용하여 다른 주가를 예측할 수 있는 정보를 제공한다. 한 주가의 변동이 발생하면 이 두 주가의 비율은 변동한다. 그러나 한 주가의 변동의 정보성이 인정되어 이 정보가 다른 주가에 반영되어 조정되면 두 주가의 비율은 변동이전의 수준으로 회귀할 것이다. 변동이 영구적이면 두 주가비율은 동일한 수준을 유지할 것이다. 반면 다른 주가에 영향을 미치지 못하는 정보이면 두 주가의 비율은 변동된 상태에서 지속될 것이다. 일정기간은 영구적 구조변화가 발생하고 그 이외의 기간에는 구조 변화가 발생하지 않고 있는 것이다. 따라서 stopbreak 과정을 사용하여 정확한 예측을 수행할 수 있다. 주가지수들이 stopbreak 과정에 의하여 생성되고 있음이 발견되었다. 즉 주가지수들은 확률적 영구구조변화가 발생하고 있는 시계열들이다. 종합주가지수/제조업지수 역시 확률적 영구구조변화를 가지는 stopbreak 과정에 의하여 생성되고 있음이 밝혀졌다. 이 과정을 실제에 적용하여 주가의 움직임을 파악하면 예측이 가능하다. 특히 연관성이 깊은 두 주식의 주가비율을 사용할 때 효과적이라 할 수 있다.

• Journal of Advanced Navigation Technology
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• v.11 no.1
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• pp.93-98
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• 2007

The importance of information security is increasing by the rapid development of the communication network. So, cryptosystems are used to solve these problems and securities of cryptosystems are dependent on keys. In this paper, we propose a key generation method which is based on cryptographically secure MD5 hash function. The basic structure of the MD5 hash function features is a repetitive structure which is processed in a block unit of 512 bits from inputs of limited length and generates a fixed output of 128 bits. The security of proposed method is based on the hash function and the proposed method can be also utilized for authentication algorithm or data encryption algorithm.

• Korean Security Journal
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• no.13
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• pp.305-326
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• 2007

Coming to 21st century, the dangerous causes which threaten for safety of citizen's life is increasing. The national importance of facilitates which is dealing by special security officers are becoming target for enemy or terrorist. Therefore, securities in Korea are developing strongly. This study investigates for status and problem of the special security and aim to suggest the plan for development. The development of special security connects to the development of private security industry, the improvement of work environment for special security officers who are working in this ares, securing of man's ability, reality of salary, introduction of professional qualification system, reorganization of education system and the search system for preparing terror need to improve.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.19 no.1
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• pp.1-21
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• 2015

This paper presents two algorithms based on the Jamshidian equation which is from the Black-Scholes partial differential equation. The first algorithm is for American call options and the second one is for American put options. They compute numerically free boundary and then option price, iteratively, because the free boundary and the option price are coupled implicitly. By the upwind finite-difference scheme, we discretize the Jamshidian equation with respect to asset variable s and set up a linear system whose solution is an approximation to the option value. Using the property that the coefficient matrix of this linear system is an M-matrix, we prove several theorems in order to formulate a bisection method, which generates a sequence of intervals converging to the fixed interval containing the free boundary value with error bound h. These algorithms have the accuracy of O(k + h), where k and h are step sizes of variables t and s, respectively. We prove that they are unconditionally stable. We applied our algorithms for a series of numerical experiments and compared them with other algorithms. Our algorithms are efficient and applicable to options with such constraints as r > d, $r{\leq}d$, long-time or short-time maturity T.