• 대한교통학회지
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• 제29권4호
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• pp.85-93
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• 2011

교통부문의 지속가능성(sustainability)을 유지하기 위하여 대중교통중심의 도시개발(transit oriented development, TOD), 자전거나 보행 등 녹색 교통수단의 이용활성화, 그리고 차량운행시 배출되는 온실가스(green house gas) 를 감축하는 정책 등 다양한 방안들이 제시되고 있다. 이중 온실가스 배출량에 대한 다양한 연구들이 제시되고 있으나, 교통측면의 행태적인 분석에는 한계를 가지고 있다. 본 연구는 교통측면에서 좀 더 행태적인 측면을 고려한 온실가스 배출량 추정식을 제시하는 것이 연구의 목적이다. 즉, 특정 존에서 발생하는 차량으로 인한 온실가스 배출량을 기종점간 통행수요(travel demand for each OD pair)와 통행거리(travel distance)를 반영하여 결정한다. 여기서 기종점간 통행수요는 통행비용의 함수로 중력모형(gravity model)을 이용하여 구해지며, 통행거리는 평균 통행거리가 아닌 기종점간 실제 통행거리를 고려한다는 점이 기존 연구와 차이가 된다. 또한, 본 연구에서 제시하는 온실가스 추정식의 적용성과 활용성을 검토하기 위하여 통행비용에 대한 온실가스 배출량의 민감도(sensitivity)와 탄력성(elasticity)을 유도하며, 정책적 측면에서 온실가스를 감축하기 위한 온실가스 통행료(green house gas pricing)의 부과 효과에 대해서도 검토해 본다.

• 대한산업공학회지
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• 제36권2호
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• pp.101-107
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• 2010

Among a variety of asset dynamics models in order to explain the common properties of financial underlying assets, parametric models are meaningful when their parameters are set reliably. There are two main methods from which we can obtain them. They are to use time-series data of an underlying price or the market option prices of the underlying at one time. Based on the Girsanov theorem, in the pure diffusion models, the parameters calibrated from the option prices should be partially equivalent to those from time-series underling prices. We call this phenomenon model consistency. In this paper, we verify that the two-state regime switching Black-Scholes model is superior in the sense of model consistency, comparing with two popular conventional models, the Black-Scholes model and Heston model.

• Journal of the Korean Data and Information Science Society
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• 제25권3호
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• pp.513-522
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• 2014

옵션가격의 결정에 있어서 실제 변동성은 사후에 알 수 있는 정보이므로 대용값으로 내재변동성을 가장 많이 사용하는데 본 연구에서는 동일한 기초자산을 가진 옵션의 잔존만기와 행사가격을 이용하여 내재변동성을 추정하고자 한다. KOSPI200 옵션 데이터와 서포트벡터회귀, 나무모형 및 회귀모형을 통해 모형의 설명력을 평균제곱근오차 (RMSE)와 평균절대오차 (MAE)를 사용하여 살펴보았다. 그 결과 서포트벡터회귀와 MART의 성능이 최소제곱회귀보다 우수한 것으로 나타났으며, 서포트벡터회귀와 MART의 성능은 거의 비슷하였다.

• 패션비즈니스
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• 제20권4호
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• pp.172-188
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• 2016

This study is conducted in grades 4, 5, and6 of Elementary schools located in Seoul. The results would be recognized by the Consumer Behavior Survey and the Use of Beauty. Students in the higher grades of elementary schools are exposed to beauty products for the first time. This is a crucial age, where they start becoming interested in their appearance. This behavior is being exploited to increase the desire to use beauty products. Although the initial use is self-motivated, choosing a quality product is highly influenced by peers, reasonable pricing, and internet impact. The higher the grade of the elementary school, we observed an increase in this trust and impulsiveness in the consumer behavior. More than 2 million students spent considerable amounts of money, and showed trends of consumer behavior of the impulsive type. The results of this study can provide a significant base to further study trends of beauty usage in higher grades of elementary schools, and give an indication of the consumer behavior based on the beauty culture and use of health products.

• Communications for Statistical Applications and Methods
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• 제15권4호
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• pp.563-585
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• 2008

본 연구는 다양하고 복잡해지는 파생상품 추세에 상응하는 적절한 가치평가에 대한 연구의 필요성을 인지하고 가격 및 민감도 평가에 있어서 속도와 정확도를 향상시키는데 그 의의를 두고자 한다. 몬테카를로 시뮬레이션에서 의사난수 대신 저불일치수열인준난수를 이용하면 시행횟수의 감소와 정확도 개선이 가능한데, 미국형 옵션이나 경로의존형 상품 등 다차원의 난수가 필요할 경우 기존의 준난수를 사용하면 상관관계가 증가하는 문제로 적용에 한계가 있다. 이런 단점을 보완하기 위해 문제를 발생시키는 차원의 난수를 제외시켜 상관계수를 특정값 이하로 제어하는 새로운 방법을 고안하여 다차원 상품에 적용이 가능토록 하였고 미국형 풋옵션에 적용하여 새로운 방법의 유용성을 검증하였다. 또한, 몬테카를로 시뮬레이션에서 민감도 계산방법으로 우도비율법과 경로의존형 근사방법을 사용하면 속도 및 정확도가 개선됨을 보인다. 이러한 결과는 최근 시장의 추세인 기초자산이나 위험요소가 여러 개인 경우 그리고 경로의존형 및 조기상환형 상품 등에 적용 가능토록하여 몬테카를로 시뮬레이션 방법에 있어 가장 큰 단점으로 지적되는 수행시간을 단축시키고 민감도 계산의 오차를 줄여줌을 보여준다. 또한, 2개 이하의 기초자산으로 이루어진 파생상품의 가치 및 민감도 평가에 가장 효율적인 수치해석적 방법론으로 알려져 있는 유한차분법의 적용시 격자생성구간의 설정이 매우 중요하다는 사실을 비대칭 나비형스프레드에 적용하여 실증적으로 보인다.

• 한국항공운항학회지
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• 제26권1호
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• pp.25-36
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• 2018

This paper presents a new airport slot allocation model that uses AIP model to balance the use of airport slots within existing capacity based on the limitation of capacity expansion of airport slots. This new model is called a 'balanced airport slot allocation model', which integrates the airport facility usage system, which is applied independently without linkage, with the airport slot allocation system, introducing the market logical characteristic of 'administered incentive pricing. In this paper, we propose a new proposal to dramatically change the airport slot allocation system in the current situation where the expansion of facilities is limited in the urgent problem of the airport slot shortage, and it is necessary to balance the airport slot allocation. Airline paying for the use of an airport slot can determine the slot of the desired time slot based on the costs incurred by differentiating in the new airport slot allocation model. This is a system that allows the airlines that are willing to pay a lot of money in the market to use preferred airport slots.

• 한국의류학회지
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• 제24권7호
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• pp.995-1003
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• 2000

This study examined the role of apparel merchandisers’in Korea. Data were collected by interviewing 7 apparel merchandisers who had worked for major apparel manufacturers. The interviews were analyzed by use of chronologically sequenced events. Korean apparel merchandisers take part in planning and production of the merchandise, sales management, and promotion. Merchandisers’activities related to merchandise planning were as follows: analysis of fashion trend and market, concept evolvement, planning of assortment and volume assortment, time table set up, color pallette decision, fabrication, line adoption, pricing, line preview, production planning, and placing order of materials. Merchandisers’activities related to apparel production were planning and controlling production and consolidation. In sales, merchandisers analyze retail sales and control inventory by reorder or conducting markdown sale. In relation to promotion, apparel merchandisers monitor merchandise advertisement, and educate salesman.

• Journal of the Korean Data and Information Science Society
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• 제22권3호
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• pp.589-596
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• 2011

The conditional autoregressive value at risk (CAViaR) model is useful for risk management, which does not require the assumption that the conditional distribution does not vary over time but the volatility does. But it does not provide volatility forecasts, which are needed for several important applications such as option pricing and portfolio management. For a variety of probability distributions, it is known that there is a constant relationship between the standard deviation and the distance between symmetric quantiles in the tails of the distribution. This inspires us to use a support vector quantile regression (SVQR) for volatility forecasts with the distance between CAViaR forecasts of symmetric quantiles. Simulated example and real example are provided to indicate the usefulness of proposed forecasting method for volatility.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• 제23권1호
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• pp.19-30
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• 2019

In this paper, we develop an accurate explicit finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. In general, the correlation term in multi-asset options is problematic in numerical treatments partially due to cross derivatives and numerical boundary conditions at the far field domain corners. In the proposed hybrid boundary condition, we use a linear boundary condition at the boundaries where at least one asset is zero. After updating the numerical solution by one time step, we reduce the computational domain so that we do not need boundary conditions. To demonstrate the accuracy and efficiency of the proposed algorithm, we calculate option prices and their Greeks for the two-asset European call and cash-or-nothing options. Computational results show that the proposed method is accurate and is very useful for nonlinear boundary conditions.

• 농업과학연구
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• 제45권4호
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• pp.859-870
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• 2018

Dried red peppers are a staple agricultural product used in Korean cuisine and as such, are an important aspect of agricultural producers' income. Correctly forecasting both their supply and demand situations and price is very important in terms of the producers' income and consumer price stability. The primary objective of this study was to compare the performance of time series forecasting models for dried red peppers in Korea. In this study, three models (an autoregressive model with exogenous variables [ARX], AR-exponential generalized autoregressive conditional heteroscedasticity [EGARCH], and ARX-EGARCH) are presented for forecasting the wholesale price of dried red peppers. As a result of the analysis, it was shown that the ARX model and ARX-EGARCH model, each of which adopt both the rolling window and the adding approach and use the agricultural cooperatives price as the exogenous variable, showed a better forecasting performance compared to the autoregressive model (AR)-EGARCH model. Based on the estimation methods and results, there was no significant difference in the accuracy of the estimation between the rolling window and adding approach. In the case of dried red peppers, there is limitation in building the price forecasting models with a market-structured approach. In this regard, estimating a forecasting model using only price data and identifying the forecast performance can be expected to complement the current pricing forecast model which relies on market shipments.