• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• v.15 no.1
• /
• pp.31-41
• /
• 2011

I introduce a derivative called "Snowball Currency Option" or "USDKRWSnowball Extendible At Expiry KO" which was traded once in the over-the-counter market in Korea. A snowball currency option consists of a series of maturities the payoffs at which are like those of a long position in a put option and two short position in an otherwise identical call. The strike price at each maturity depends on the exchange rate and the previous strike price so that the strike prices are random and path-dependent, which makes it difficult to find a closed form solution of the value of a snowball currency option. I analyze the payoff structure of a snowball currency option and derive an upper and a lower boundaries of the value of it in a simplified model. Furthermore, I derive a pricing formula using integral in the simplified model.

• Journal of Korea Society of Digital Industry and Information Management
• /
• v.12 no.3
• /
• pp.111-123
• /
• 2016

Recently, mobile devices have been widely used. Therefore, the service users want that are not constrained by time and space. Among them, electronic payment services, mobile finance service is enjoying a tremendous popularity. The FinTech is the result of the fusion of finance and ICT(Information & Communication Technology). Security experts is pointed the FinTech security risk. New technology and Innovative FinTech services are even available, Insecure FinTech services is insignificant. In this paper we were surveyed market and product trends of FinTech and analyzed the threats about FinTech. Also, we analyzed the security considerations for FinTech using a questionnaire. As a result, users considers secure payment process and privacy. Therefore, we proposed security considerations for each vulnerability. So, we must be resolved of security technology and policy issues. If establishing a secure payment process and the unclear legal issue is resolved, FinTech service will provide a secure financial services to the user.

• Journal of Korean Society for Quality Management
• /
• v.33 no.4
• /
• pp.55-74
• /
• 2005

This study tries to examine the competitive strategy of service quality in Korean financial market. the purpose of this study is to find out the strategic implication of Korean commercial banks throughout the service level of experienced customers and the services positioning map. Especially, taking the advantage of a customer's service perception and request attributes make the service positioning map The findings from this research are as follows; the characteristic of each customer is derived from income and investment. and the service positioning map is derived from the characteristic of each customer.

• Korean Management Science Review
• /
• v.15 no.2
• /
• pp.211-227
• /
• 1998

The process of implementing risk management systems for the organizations in financial service industry can be viewed as a diffusion of innovation since the introduction of the risk management systems changes the decision making process on risks faced by the organizations. The purpose of the reported research is to examine the factors that affect the successful implementation of ALM(asset & liability management) systems, the risk management systems managing interest rate risk. Specifically, this paper presents an investigation of three factors from the diffusion of innovation studies; internal factors, external factors, and time. A field survey was conducted for Korean banks that have implemented ALM systems. The results suggest that the perceived uncertainty of market, system supports, and management supports be most significantly related to the successful implementation of the risk management systems. The findings of the current study also suggest a certain amount of time should be passed to diffuse the risk management systems in organizations.

• East Asian Economic Review
• /
• v.16 no.3
• /
• pp.273-290
• /
• 2012

While the issue of RMB (Renminbi, Chinese Yuan) revaluation became the focus of world attention in 2003, the reform of the RMB exchange rate regime in 2005 didn't fundamentally solve the RMB appreciation problem, and even in 2008 the global financial crisis made RMB appreciation face new challenges and risks. It appears that the rise in RMB value is caused by supply exceeding demand in China's foreign exchange market; however, intrinsically it is due to the asymmetry in RMB exchange rate formation mechanism. The export tax rebates policy implemented by Chinese government is one of the leading causes of the asymmetry. This study constructs a transmission model between export tax rebates and foreign exchange rates, and applies the Granger Test to validate the causality between kernel variables based on correlative data from 1994-2011, and uses the error correction method to analyze the quantified relations of kernel variables, and finally gets the contribution rate of export tax rebates to RMB appreciation.

• 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.

• Journal of Korean Society for Quality Management
• /
• v.27 no.3
• /
• pp.202-208
• /
• 1999

A new campaign, known as "Six Sigma", to increase market share, decrease costs, and grow profit margins has been adopted by a selected group of leaders in American industry. Although the initial emphasis of Six Sigma was for quality improvement in manufacturing, it is rapidly being applied in key areas beyond manufacturing, and beyond what would traditionally be considered quality. There are a lot of Six Sigma success stories in companies such as Motorola, AlliedSignal, Asea Brown Boveri, and GE. The financial results of Six Sigma in those companies are investigated and their success factors are discussed. The applications of Six Sigma in Korean companies such as Samsung Display Device, Hanjung, and LG Electronics are also introduced.

• Management Science and Financial Engineering
• /
• v.7 no.1
• /
• pp.1-26
• /
• 2001

Assume a company sells two products (a and B) in a retail market. the company adopts a specific promotion mechanism, Tie-in Promotion, in which product A's promotional discount coupon is distributed whenever a consumer purchases product B. Product A will later e sold at a markdown price when consumers eventually take the opportunity to redeem the coupon. in the integrated tie-in promotion and stocking policy, we assume managers of two products coordinate by sharing information on the demand forecast and deciding the order quantities and tie-in promotion program to maximize joint profits. The optimal integrated tie-in policy is analyzed. The integrated tie-in promotion model is then compared with two other base models: (1) a decentralized Newsboy model in which no promotion is considered, and (2) an individual promotion model in which managers design a promotion program to promote one of the two products directly. The factors that make an integrated tie-in promotion a better approach are studied.

• Proceedings of the Korea Technology Innovation Society Conference
• /
• 1998.05a
• /
• pp.22-22
• /
• 1998

This paper reviews the benefits of users participation in IMT-2000 standardization by the creation of users coalitions, focusing in particular on phased standards strategy necessary for the evolutionary approach from second generation to third generation systems. It first presents in detail the current status of IMT-2000 standardization progress occurring at each regional standard body including TIA of US, ETSI of Europe, TTA of Korea and ARIB of Japan. With this clear understanding of standardization situations worldwide, we may be able to come up with our standards strategies related to IPR issues and efficient standard-setting mechanism between manufacturers and service providers. In addition, this paper addresses the necessity for phased licensing of IMT-2000 service in order to avoid the high cost of new infrastructures and ensure an acceptable financial investment returns for existing cellular and PCS service providers. An author hopes that this paper can provide the adequate standardization directions of IMT-2000 to satisfy the varying regional and global market requirements.

• Journal of Korean Institute of Industrial Engineers
• /
• v.36 no.2
• /
• pp.101-107
• /
• 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.