• Title/Summary/Keyword: ELS

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MOBILE APP FOR COMPUTING OPTION PRICE OF THE FOUR-UNDERLYING ASSET STEP-DOWN ELS

  • JUNSEOK, KIM;DAEUN, JEONG;HANBYEOL, JANG;HYUNDONG, KIM
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.26 no.4
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    • pp.343-352
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    • 2022
  • We present the user-friendly graphical user interface design and implementation of Monte Carlo simulation (MCS) for computing option price of the four-underlying asset step-down equity linked securities (ELS) using the Android platform. The ELS has been one of the most important and influential financial products in South Korea. Most ELS products are based on one-, two-, and three-underlying assets. However, currently there is a demand for higher coupon payment from ELS products because of the increased interest rate in financial market. In order to allow the investors to have higher coupon payment, it is necessary to design a multi-asset ELS such as four-asset step-down ELS. We conduct the computational experiments to demonstrate the performance of the Android platform for pricing four-asset step-down ELS. Furthermore, we perform a comparison test with a three-asset step-down ELS.

Characteristics in Heart Rate Variability associated with Early Life Stress in Patients with Major Depressive Disorder (주요우울장애 환자에서 생애초기스트레스와 연관된 심박변이도의 특성)

  • Lee, Chiheon;Kim, Min-Kyeong;Choi, Sun-Woo;Park, Hae-in;Seok, Jeong-Ho
    • Mood & Emotion
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    • v.15 no.3
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    • pp.117-122
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    • 2017
  • Objectives : Early life stress (ELS) may have impact on functions of the autonomic nervous system. Heart rate variability (HRV) is a reliable psychophysiological marker for functions of the autonomic nervous system. The purpose of this study was to investigate characteristics of HRV associated with ELS in patients with major depressive disorder (MDD). Methods : We compared HRV measures of MDD patients with ELS and without ELS in a 5-minute resting-state electrocardiogram recoding. Forty subjects participated in the study (25 with ELS, 15 without ELS). The Mann-Whitney test was conducted to identify group differences. Results : We found significant group differences in standard deviation of the NN interval (SDNN) and total power (TP). SDNN was lower in the ELS group (M=38.80 ms, SD=13.05 ms) than in the Non-ELS group (M=53.53 ms, SD=19.47 ms). TP was lower in the ELS group ($M=7.07ms^2$, $SD=0.69ms^2$) than in the Non-ELS group ($M=7.72ms^2$, $SD=0.77ms^2$). Conclusion : ELS may have a negative impact on the autonomic nervous system function in patients with MDD. ELS and dysfunction of autonomic nervous system should be considered in treatment for patients with MDD.

A Study of Investment effectiveness about Equity Linked Securities(ELS) ; focused on Step-down type ELS (주가연계증권(ELS)의 투자효과에 관한 연구 : 스텝다운형 ELS를 중심으로)

  • Jung, Heeseog;Kim, Sunje
    • Journal of Service Research and Studies
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    • v.8 no.1
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    • pp.103-122
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    • 2018
  • The purpose of this study is to present the direction of ELS investment by analyzing the actual investment return of the ELS commodities and analyzing the investment effect of ELS that investors have felt unsatisfactory at financial marketing service. The research method is based on the step-down type ELS. We calculated the probability of achieving early redemption condition and maturity repayment condition, early redemption estimated yield, and maturity repayment estimated yield. As the study result, the probability of achieving 100% of the early redemption condition was 74.5%, and the probability of the early redemption condition 95% was 83.0%, 90% was 89.5%, 85% was 92.5%, and 80% was 96.5% respectively. In the case of the lowest 75%, the probability of holding to maturity is analyzed to be 2.5%, and the probability of early redemption is high. The probability of the stock price growth within 65% of the maturity repayment condition was 98.5% and the probability of the stock price growth within 60%~45% of the maturity repayment condition was 100%. 65% of maturity repayment condition was analyzed as 1.5% risk of principal loss, and the probability of achieving the committed yield of maturity was high. As a key measure of ELS investment, it is advantageous to select a commodity with a low rate of maturity repayment and a high rate of early redemption.

FAST PRICING OF FOUR ASSET EQUITY-LINKED SECURITIES USING BROWNIAN BRIDGE

  • YOO, CHANGWOO;CHOI, YONGHO;KIM, SANGKWON;KWAK, SOOBIN;HWANG, YOUNGJIN;KIM, JUNSEOK
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.25 no.3
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    • pp.82-92
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    • 2021
  • In this study, we present a fast option pricing method for four asset equity-linked securities (ELS) using Brownian bridge. The proposed method is based on Monte Carlo simulation (MCS) and a Brownian bridge approach. Currently, three asset ELS is the most popular ELS among multi-asset ELSs. However, four asset ELS emerged as an alternative to three asset ELS under low interest rate environment to give higher coupon rate to investors. We describe in detail the computational solution algorithm for the four underlying asset step-down ELS. The numerical tests confirm the accuracy and speed of the method.

ANDROID APPLICATION FOR PRICING TWO-AND THREE-ASSET EQUITY-LINKED SECURITIES

  • JANG, HANBYEOL;HAN, HYUNSOO;PARK, HAYEON;LEE, WONJIN;LYU, JISANG;PARK, JINTAE;KIM, HYUNDONG;LEE, CHAEYOUNG;KIM, SANGKWON;CHOI, YONGHO;KIM, JUNSEOK
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • v.23 no.3
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    • pp.237-251
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    • 2019
  • We extend the previous work [J. Korean Soc. Ind. Appl. Math. 21(3) 181] to two-and three-asset equity-linked securities (ELS). In the real finance market, two-or three-asset ELS is more popular than one-asset ELS. Therefore, we need to develop mobile platform for pricing the two-and three-asset ELS. The mobile implementation of the ELS pricing will be very useful in practice.

AN OPERATOR SPLITTING METHOD FOR PRICING THE ELS OPTION

  • Jeong, Da-Rae;Wee, In-Suk;Kim, Jun-Seok
    • 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 Case Study of Structure Dismantling Using 3D ELS Model (3D ELS 모델을 적용한 구조물 해체 설계 및 시공사례)

  • Noh, You-Song;Suk, Chul-Gi;Park, Hoon
    • Proceedings of the Korean Society of Disaster Information Conference
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    • 2022.10a
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    • pp.309-310
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    • 2022
  • 본 논문은 3차원 ELS 모델과 건설 프로젝트 관리 프로그램을 이용한 해체 공정을 기계식공법으로 해체하는 구조물에 적용한 사례이다. 해체 공정 설계를 위한 3차원 ELS 모델은 도면 및 현장 조사 통해 부재별 크기와 배근 정보를 확인하여 모델링하였다. 완성된 3차원 모델을 건설 프로젝트 관리 프로그램인 Bexel manager에 적용하여 부재 별 해체 공정을 설계하였다. 설계된 해체 공정은 기계식공법으로 해체하는 구조물에 적용하였고, 해체결과 작업 별 작업동선을 효과적으로 관리할 수 있었으며, 안전하게 해체를 완료하였다.

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Inhibitory effects of Euphorbiae lathyridis Semen extract on cell growth in HT-29 human colon cancer cells (속수자 추출물의 HT-29 대장암세포 증식에 대한 억제효과)

  • Jung, Hyo-Won;Park, Yong-Ki
    • The Journal of Dong Guk Oriental Medicine
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    • v.11
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    • pp.52-57
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    • 2008
  • Objectives. In this study, we investigate that methanol extract of Euphorbiae lathyridis Semen contributes to growth inhibitory effect on the HT-29 human colon cancer cells. Methods. Euphorbiae lathyridis Semen (ELS) was extracted with 80% methanol. HT-29 cells were treated with different concentrations of ELS extract for 24-72 hrs. Growth inhibitory effect was determined by MTT assay. Cell apoptosis was determined by surveying caspases cascades activation using Western blot. Cell cycle arrest was analyzed by flow cytometry with PI staining. Results. Exposure to ELS extract showed in inhibitory effects on HT-29 cell growth as a dose-dependent manner. Cell growth inhibition by ELS extract was related with induction of cell apoptosis with DNA fragmentation through the activation of caspases-3, caspase-9 and PARP cleavage. Conclusion. ELS extract significantly inhibited cell growth and induced cell apoptosis in HT-29 human colon cancer cells, therefore, These results suggest that ELS extract can be used as chemoprevention agent of colon cancers.

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Improving the Productivity of Recombinant Protein in Escherichia coli Under Thermal Stress by Coexpressing GroELS Chaperone System

  • Kim, So-Yeon;Ayyadurai, Niraikulam;Heo, Mi-Ae;Park, Sung-Hoon;Jeong, Yong-Joo;Lee, Sun-Gu
    • Journal of Microbiology and Biotechnology
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    • v.19 no.1
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    • pp.72-77
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    • 2009
  • Here, we demonstrate that the overexpression of the GroELS chaperone system, which assists the folding of intracellular proteins and prevents aggregation of its biological targets, can enhance the thermotolerance of Escherichia coli strains and facilitate the production of recombinant protein under thermal stress. The overexpression of GroELS led to an about 2-fold higher growth rate of E. coli XL-1 blue than control at $45^{\circ}C$ and induced the growth of the strain even at $50^{\circ}C$, although the growth was not sustained in the second-round culture. The effect of GroELS overexpression was also effective on other E. coli strains such as JM109, $DH5{\alpha}$, and BL21. Finally, we have shown that coexpression of GroELS allows us to produce recombinant protein even at $50^{\circ}C$, a temperature at which the protein production based on E. coli is not efficient. This study indicates that the employment of the GroELS overexpression system can expand the range of environmental conditions for E. coli.

A risk analysis of step-down equity-linked securities based on regime-switching copula

  • Nguyen, Manh Duc;Ko, Bangwon;Kwon, Hyuk-Sung
    • Communications for Statistical Applications and Methods
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    • v.27 no.1
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    • pp.79-95
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    • 2020
  • The globalization of financial markets has broadened investment opportunities. International investors' investment portfolios consist of financial instruments from various countries; consequently, the risks associated with economic dependence among countries should be carefully considered. Step-down equity-linked securities (ELS) are a structured financial product that have recently become popular among Korean investors. Payoffs are based on two or three stock indices from different regions; therefore, dependence between the indices should be reflected in the risk analysis. In this study, we consider a regime-switching copula model to describe the joint behavior of two stock indices- the Eurostoxx50 and the Hang Seng China Enterprises Index (HSCEI). These indices are commonly used as underlying assets of step-down ELS. Using historical data, we analyze the risk associated with step-down ELS through the probabilities of early redemption. A regime-switching copula model can accommodate complicated dependence. Thus, it should be considered in the risk analysis of step-down ELS.