1,722,146 research outputs found
Jong Lim, Kim
No full text학위논문(석사)--아주대학교 일반대학원 :경영학과,2010. 2본 논문의 목적은 통화옵션인 키코(KIKO : Knock-In-Knock-Out) 옵션의 개념과 구조를 이해하고 KIKO 옵션의 가격을 결정하는 것이다. 환율이 기하브라운 운동(Geometric Brownian Motion)을 따른다고 가정하고, 몬테칼로 시뮬레이션(Monte Carlo Simulation)을 이용하여, 4가지 이자율 모형 하에서 키코 옵션의 발행자입장(예: 은행)에서의 가격을 비교한다.
칼만 필터(Kalman Filter) 방법을 적용하여 국내·국외 이자율 기간구조의 모수를 추정한다. 국내·국외 이자율은 각각 1요인 바시첵 모형(1-factor Vasicek model), 무상관 2요인 바시첵 모형(uncorrelated 2-factor Vasicek model), 1요인 CIR 모형(1-factor CIR model), 무상관 2요인 CIR 모형(uncorrelated 2-factor CIR model)으로 4가지 경우의 이자율 모형을 따른다고 가정한다.
실증분석에서 이자율 모수추정의 결과는 2-factor 모형 하에서 추정한 국내·국외 이자율의 모수들이 1-factor 모형 하에서 보다 이자율을 정확하게 추정한다는 것을 보여준다. 그러나 Vasicek 모형과 CIR 모형 중 특정한 하나의 모형이 더 정확하게 이자율을 추정한다고 볼 수 없다.
키코 옵션 가격 결정의 결과는 환율의 변동성이 증가할수록 각각의 이자율 모형 하에서 키코 옵션 가격이 단조 증가하는 결과를 보여주고, 양국(한/미)간에 이자율 차이가 클수록 키코 옵션 가격의 크기가 높게 나타난다. 또한 이자율이 무상관 2요인 바시첵 모형을 따르는 경우 나타날 수 있는 음(-)의 이자율이 키코 옵션 가격을 높이는 경향을 보인다.
키코 옵션은 환율의 변동성이 증가할수록 발행자가 이익을 얻을 확률이 크게 증가하고 또 그 이익 규모 역시 크게 증가하는 것으로 나타난다. 하지만 이는 본 논문에서 가정한 특정한 모형 하에서의 결과이므로 이를 일반적으로 받아들일 수는 없다. 추후 다른 모형 하에서의 연구가 필요할 것이다.[본문 차례]
제 1장 서 론 6
제 1절 연구의 배경 및 목적 6
제 2절 논문의 구성 7
제 2장 KIKO 옵션 8
제 1절 KIKO 옵션이란 8
제 2절 KIKO 옵션 구조 8
- 수출기업의 KIKO (Knock-In-Knock-Out) 옵션거래의 예시
제 3절 KIKO 옵션의 가격결정 11
- 몬테칼로 시뮬레이션(Monte Carlo Simulation)을 이용하여
제 3장 이자율 기간구조 모형 16
제 1절 이자율 기간 구조 16
1항. single-factor 지수-선형 기간구조 모형 16
2항. multi-factor 지수-선형 기간구조 모형 17
제 2절 이자율 모형 18
1항. 1-factor Vasicek 모형 18
2항. Uncorrelated 2-factor Vasicek 모형 20
3항. 1-factor CIR 모형 21
4항. Uncorrelated 2-factor CIR 모형 22
제 4장 이자율 모수 추정 24
제 1절 칼만 필터(Kalman Filter) 24
제 2절 칼만 필터를 이용한 이자율 모수 추정 과정 28
제 5장 실증분석 32
제 1절 표본자료 32
제 2절 이자율 기간구조 모수 추정 결과 36
제 3절 KIKO 옵션 가격결정 결과 44
제 6장 결론 50
[그림 차례]
KIKO 옵션의 손익구조(발행자 입장) 10
칼만 필터(Kalman Filter) 과정 27
국내 금리 32
미국 금리 33
국내 금리의 시계열 34
미국 금리의 시계열 34
2002년 1월 ~ 2007년 12월 환율 35
2008년 3월 31일 ~ 2008년 3월 31일 환율 35
국내 금리의 1-factor Vasicek model 칼만 필터 추정 40
미국 금리의 1-factor Vasicek model 칼만 필터 추정 40
국내 금리의 1-factor CIR model 칼만 필터 추정 41
미국 금리의 1-factor CIR model 칼만 필터 추정 41
국내금리의 Uncorrelated 2-factor Vasicek model
칼만 필터추정 42
미국금리의 Uncorrelated 2-factor Vasicek model
칼만 필터추정 42
국내금리의 Uncorrelated 2-factor CIR model
칼만 필터추정 43
미국금리의 Uncorrelated 2-factor CIR model
칼만 필터추정 43
KIKO 옵션 가격결정 결과 그래프 45
[표 차례]
KIKO 옵션거래의 예시 9
이자율 프로세스 가정 11
1-factor Vasicek model 12
Uncorrelated 2-factor Vasicek model 12
1-factor CIR model 12
Uncorrelated 2-factor CIR model 13
국내 금리 수익률의 기초 통계량 33
미국 금리 수익률의 기초 통계량 33
1-factor Vasicek model 모수 추정결과 36
1-factor CIR model 모수 추정결과 36
Uncorrelated 2-factor Vasicek model 모수 추정결과 37
Uncorrelated 2-factor CIR model 모수 추정결과 37
KIKO 옵션 가격결정 결과 44
이자율 차이() 통계량 48
음(-)의 이자율을 0으로 제한했을 때의 KIKO 옵션 가격결과 49MasterThe purpose of this paper is to understand the concept and structure of KIKO (Knock-In-Knock-Out) options, which is known as one of currency options, and to price KIKO options. We assume that the exchange rate follows Geometric Brownian Motion. Using 4 interest rate models, we compute and compare KIKO option's prices, in option writer's view, using Monte Carlo Simulation.
We used Kalman Filter method to estimate parameters of domestic and foreign interest rates term structure. Domestic and foreign interest rate is assumed to follow 4 interest rate models, such as 1-factor Vasicek model, uncorrelated 2-factor Vasicek model, 1-factor CIR model, and uncorrelated 2-factor CIR model.
Empirical results show that (i) parameters of interest rate models estimated under 2-factor models are more accurate than under 1-factor model in estimating interest rates. But, (ii) we can't say that which one model of Vasicek and CIR, is better to estimate interest rates.
According to the results of KIKO option pricing, (i) KIKO option prices increases monotonically as volatility of the exchange rate increases under all 4 models, and secondly, (ii) KIKO option prices are likely to be high when the difference of domestic and foreign interest rates are large. Thirdly, (iii) negative interest rates tend to yield greater KIKO option price under uncorrelated 2-factor Vasicek model.
In KIKO options, as volatility of the exchange rate increases, the probability that option writers would be better-off increases and also the volume of profit can be huge. However, this result is based on the certain models assumed in this paper, so we can't accept this as a general result. Further research under different models will be needed
A Study on the Gastronomic Writings of Lim Kim Chern the Sinophone Malaysian Writer
No full textIn recent years, Chinese Malaysian gastronomic writings continues to expand in scope. This thesis chooses Chinese Malaysian writer Lim Kim Chern's gastronomic writings as the study subject. With the aid of Chinese Malaysian historical background knowledge, this thesis analyzes the main topics and connotation of Lim Kim Chern's gastronomic writings to peek at his ideas and feelings in order to understand the development of contemporary Chinese Malaysian gastronomic writings.
Although Lim Kim Chern's gastronomic writings focuses on food, I believe that the emphasis beneath the surface is on "tradition" and "culture" in Malaysia, as well as Chinese Malaysian's sense of identity. These three topics are extremely important for Chinese Malaysian, so this thesis's second chapter expounds the three topics to provide an insight into the central idea behind his gastronomic writings.
Lim Kim Chern's gastronomic writings repeatedly emphasizes the two ideas that "food is a mobile historical relic" and "it is a journey of taste", both of which has mobility as a common theme. Food is like a historical relic, but it's a kind of historical relic that can travel around the world. What we are tasting is not just delicious food, but also history and culture. "Journey of taste" includes everything mentioned above. More importantly, a large part of people's feelings towards food derives from their own ethnic background and traditions. Therefore, no matter where in the world we are, hometown food always invokes a sense of nostalgia. I will explore the writer's emotional memory and his views on gastronomic writings.
Chinese Malaysian's sense of identity has always been one of the key topics explored by Chinese Malaysian writers. Chinese Malaysian's position in society is complex and diverse, so we must study the past and present in order to understand it. I found that Lim Kim Chern's choice of words in his writings occasionally relates to Chinese Malaysian identity, so this paper will also analyze the relationship between the writer's literature and Chinese Malaysian's sense of identity.
Lim Kim Chern's gastronomic writings includes both food journals and prose, so I will use both "form" and "heart" (the latter as a metaphysical description) to carefully analyze Lim Kim Chern's gastronomic writings. The objective of the analysis is to bring out the writer's central idea. I hope that this thesis will be able to contribute to Chinese Malaysian gastronomic writings
Semiotic Analysis of Women's Struggle in Lim Kim's “Yellow” Music Video: Analisis Semiotika Perjuangan Perempuan Dalam Musik Video Lim Kim "Yellow"
No full textOrientalism is an Eastern worldview based on the Western world. One of the impacts of orientalism is stereotypes and sentiments towards Asian women. In Asia there is also an industry that exacerbates stereotypes about Asian women, namely the South Korean entertainment industry, K-pop. Music video (MV) is widely used by many musicians as self-expression and depiction of social reality in society. This study aims to find out the signs of women's struggles in the MV Lim Kim YELLOW. This study uses a qualitative approach using Charles Sanders Peirce's semiotic theory with the focus of this study examining women's struggles through the meaning of signs in Lim Kim YELLOW's MV through observation collection techniques and literature studies. The results of the study show that there are 3 types of struggle found in this MV, namely resistance to orientalism, resistance to the views and sentiments of Asian women, and resistance to patriarchy
The historicization of nostalgia, locality and quotidianity: on the changes in Lim Kim Chern’s gastronomic writing
No full textThis article seeks to shed light on Lim Kim Chern’s gastronomic writing, by ensconcing this individual case in the context of Modern Chinese Prose as an enduring literary tradition, in order to elicit the attribute of locality with diasporic discourse in quotidian life, that distinguishes it as part of a work in Malaysian Chinese Literature than the others. We will further this quest, by comparing the gastronomic writing of Lim before and after the changes in his literary pursuit in gastronomic writing, namely, by the comparison of the literary hierarchy of high-brow literature and the sub-genre of literature that post-positions the literariness, in order to examine whether or not it is a revelation, or even a harbinger of the fate of Malaysian Chinese Literature being minor literature
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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