• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.1-43
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• 2007

The traditional Black-Scholes model for option pricing is based on the assumption that the log-return of the underlying asset follows a Brownian motion. But this assumption has been criticized for being unrealistic. Thus, for the last 20 years, many attempts have been made to adopt different stochastic processes to derive new option pricing models. The option pricing models based on L$\acute{e}$vy processes are being actively studied originating from the Gerber-Shiu model driven by H. U. Gerber and E. S. W. Shiu in 1994. In 2004, G. H. L. Cheang derived an option pricing model under multiple L$\acute{e}$vy processes, enabling us to adopt drift and jumps to the Gerber-Shiu model, while Gerber and Shiu derived their model under one L$\acute{e}$vy process. We derive the Gerber-Shiu model which includes drift and jumps under L$\acute{e}$vy processes. By adopting a Gamma distribution, we expand the Heston model which was driven in 1993 to include jumps. Then, using KOSPI200 index option data, we analyze the price-fitting performance of our model compared to that of the Black-Scholes model. It shows that our model shows a better price-fitting performance.

• Geotechnical Engineering
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• v.11 no.2
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• pp.19-28
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• 1995

Based on the various test data acquired in the field, the large pressure chamber and the small pressure chamber, uplift behaviors and method of determining the ultimate uplift capacity of pile driven in small pressure chamber were studied. After uplift pile experienced 2 or 3 sudden slip due to increase of uplift load, complete pullout failure was occurred. Thus, it appears that the ultimate uplift capacity could be identified as the load at displacement where first slip occurs. The ultimate uplift capacity might be determined in every test and the disturbance after first uplift test could be recovered by adding one blow of the drop hammer, which had to depend on the model pile capacity.

• Journal of the Korean Society for Aviation and Aeronautics
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• v.23 no.4
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• pp.42-48
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• 2015

This paper has its purpose on constructing a prediction model of the arrival sequencing strategy which reflects the actual sequencing patterns of air traffic controllers. As the first step, we analyzed a pair-wise sequencing of two aircraft entering TMA from different entering points. Based on the historical trajectory data, several traffic factors such as time, speed and traffic density were examined for the model. With statistically significant factors, we constructed a prediction model of arrival sequencing through a binary logistic regression analysis. With the estimated coefficients, the performance of the model was conducted through a cross validation.

• Journal of Wetlands Research
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• v.26 no.2
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• pp.147-159
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• 2024

Lack of streamflow observations makes model calibration difficult and limits model performance improvement. Satellite-based remote sensing products offer a new alternative as they can be actively utilized to obtain hydrological data. Recently, several studies have shown that artificial intelligence-based solutions are more appropriate than traditional conceptual and physical models. In this study, a data-driven approach combining various recurrent neural networks and decision tree-based algorithms is proposed, and the utilization of satellite remote sensing information for AI training is investigated. The satellite imagery used in this study is from MODIS and SMAP. The proposed approach is validated using publicly available data from 25 watersheds. Inspired by the traditional regionalization approach, a strategy is adopted to learn one data-driven model by integrating data from all basins, and the potential of the proposed approach is evaluated by using a leave-one-out cross-validation regionalization setting to predict streamflow from different basins with one model. The GRU + Light GBM model was found to be a suitable model combination for target basins and showed good streamflow prediction performance in ungauged basins (The average model efficiency coefficient for predicting daily streamflow in 25 ungauged basins is 0.7187) except for the period when streamflow is very small. The influence of satellite remote sensing information was found to be up to 10%, with the additional application of satellite information having a greater impact on streamflow prediction during low or dry seasons than during wet or normal seasons.

• Journal of Korea Society of Industrial Information Systems
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• v.24 no.2
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• pp.65-80
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• 2019

With the advent of the ICT-based 4th industrial revolution, the convergence of the manufacturing industry and ICT seems to be the new breakthrough for achieving the company's competitiveness and play a role on the key element for accelerating the revival of the manufacturing industry. When the smart factory is implemented, each plant can analyze the quantity of data collected, build the data-driven operation systems which can make decisions, and ultimately discover the correlation among many events in the manufacturing sites. As the customers' needs become diversified more and more, it is required for the company to change its operating method from large quantity batch production systems to customizable and flexible manufacturing systems. For performing this requirements, it is essential for the company to adopt the smart factory. Based on technology acceptance model (TAM), this study investigates the factors influencing continuous use intention and switching intention of the smart factory. To do so, a questionnaire survey is conducted both online and offline. 122 samples are used for the study analysis. The results of this study will provide many implications with many researchers and practitioners relevant smart factories.

• Journal of Korea Water Resources Association
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• v.46 no.8
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• pp.857-871
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• 2013

The interest in rainfall observation and forecasting using remote sensing method like RADAR (Radio Detection and Ranging) and satellite image is increased according to increased damage by rapid weather change like regional torrential rain and flash flood. In this study, the basin runoff was calculated using adaptive neuro-fuzzy technique, one of the data driven model and MAPLE (McGill Algorithm for Precipitation Nowcasting by Lagrangian Extrapolation) forecasted precipitation data as one of the input variables. The flood estimation method using neuro-fuzzy technique and RADAR forecasted precipitation data was evaluated. Six rainfall events occurred at flood season in 2010 and 2011 in Chungju Reservoir basin were used for the input data. The flood estimation results according to the rainfall data used as training, checking and testing data in the model setup process were compared. The 15 models were composed of combination of the input variables and the results according to change of clustering methods were compared and analysed. From this study was that using the relatively larger clustering radius and the biggest flood ever happened for training data showed the better flood estimation. The model using MAPLE forecasted precipitation data showed relatively better result at inflow estimation Chungju Reservoir.

• Journal of the Society of Naval Architects of Korea
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• v.61 no.4
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• pp.226-235
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• 2024

A method for quantifying the adaptability of ship maneuver scenarios for data-driven modeling of ship dynamics is developed based on the principal component analysis. A random maneuver scenario is suggested as a reference for ship dynamics, which can obtain the converged principal components of ship dynamics features by the Monte Carlo simulation. Principal components of conventional maneuver scenarios defined by the International Maritime Organization (IMO) are compared to that of the random maneuver. A conventional ship dynamics model for a container carrier vessel for four degrees of freedom dynamics is introduced to simulate the random and IMO maneuver scenarios. It is confirmed that the IMO tests follow the tendency of random maneuver scenario in terms of execution time and adaptability.

• Journal of Korea Water Resources Association
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• v.56 no.9
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• pp.563-574
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• 2023

Recently, climate change has affected functional responses of river basins to meteorological variables, emphasizing the importance of rainfall-runoff simulation research. Simultaneously, the growing interest in machine learning has led to its increased application in hydrological studies. However, it is not yet clear whether machine learning models are more advantageous than the conventional conceptual models. In this study, we compared the performance of the conventional GR6J model with the machine learning-based Random Forest model across 38 basins in Korea using both gauged and ungauged basin prediction methods. For gauged basin predictions, each model was calibrated or trained using observed daily runoff data, and their performance was evaluted over a separate validation period. Subsequently, ungauged basin simulations were evaluated using proximity-based parameter regionalization with Leave-One-Out Cross-Validation (LOOCV). In gauged basins, the Random Forest consistently outperformed the GR6J, exhibiting superiority across basins regardless of whether they had strong or weak rainfall-runoff correlations. This suggest that the inherent data-driven training structures of machine learning models, in contrast to the conceptual models, offer distinct advantages in data-rich scenarios. However, the advantages of the machine-learning algorithm were not replicated in ungauged basin predictions, resulting in a lower performance than that of the GR6J. In conclusion, this study suggests that while the Random Forest model showed enhanced performance in trained locations, the existing GR6J model may be a better choice for prediction in ungagued basins.

• 한국정보교육학회:학술대회논문집
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• 2021.08a
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• pp.25-30
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• 2021

With the introduction of AI education in the 2022 Revised Curriculum emphasizing the need for data related education, it is necessary to improve students' data based problem solving skills. This study seeks to study SW education methods to improve students' data based problem solving skills in accordance with these needs. Based on the ADDIE model, the demand analysis survey was conducted on teachers to analyze their needs. Based on the results of the demand analysis, we designed education programs under the theme of data based problem solving skills using microbit. In this study, we raise the importance of data based problem solving and the need for its capabilities. Subsequent studies need to reveal how data based problem solving SW education will demonstrate significant effects on problem solving skills.

• Transactions of the Korean Society of Mechanical Engineers
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• v.13 no.1
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• pp.170-177
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• 1989

The non-linear k-.epsilon. model developed by Speziale was employed for the prediction of developing turbulent flow in a square duct. The numerical procedure incorporated a finite volume method using a strong conservation form of the partially-parabolized Navier-Stokes equation. Results of the calculation were compared with available experimental data on the mean velocity field and turbulent kinetic energy, and was found to be in favorable agreement.