• Korean Journal of Mathematics
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• v.14 no.2
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• pp.185-202
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• 2006

In this paper, using the Black-Scholes analysis, we will derive the partial differential equation of convertible bonds with both non-stochastic and stochastic interest rate. We also find numerical solutions of convertible bonds equation with known interest rate using the finite element method.

• Journal of Distribution Science
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• v.11 no.10
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• pp.55-62
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• 2013

Purpose - The purpose of this study is to suggest a risk factor that significantly explains foreign currency risk premia. In recent years, some studies have found that the performance of the simultaneous consumption risk model improves considerably when tested on foreign currency portfolios, which are constructed based on the international interest rates differentials. However, this paper focuses on the long-run consumption risk factor. In our empirical research, we found that the real excess returns of high interest rate currency portfolios depreciate on average, when the future American long-run consumption growth rate appears low. This makes the high interest rate currency portfolios have relatively high risk premia. Meanwhile, the real excess returns of low interest rate currency portfolios appreciate on average, under the same conditions, which results in relatively low risk premia for these portfolios. Therefore, this long-run consumption risk factor might explain why low interest rate currencies do not appreciate as much as the interest rate differential, and why high interest rate currencies do not depreciate as much as the interest rate differential. Research design, data, methodology - In our explanation, we provide new evidence on the success of long-run consumption risks in currency risk premia by focusing on the long-run consumption risks borne by American representative investors. To uncover the hidden link between exchange rates and long-run consumption growth, we set the eight currency portfolios as our basic assets, which have been built based on the foreign interest rates of eighty countries. As these eight currency portfolios are rebalanced every year, the first group always contains the lowest interest rate currencies, and the last group contains the highest interest rate currencies. Against these basic eight currency portfolios, we estimate the long-run consumption risk model. We use recursive utility framework and the stochastic discount factor that depends on the present value of expected future consumption growth rates. We find that our model is optimized in the two-year period of constructing the durable consumption expectation factor. Our main results surprisingly surpass the performance of the existing benchmark simultaneous consumption model in terms of R², relatively risk aversion coefficient γ, and p-value of J-test. Results - The performance of our model is superior. R², relatively risk aversion coefficient γ, and p-value of J-test of our long-run durable consumption model are 90%, 93%, and 65.5%, respectively, while those of EZ-DCAPM are 87%, 113%, and 62.8%, respectively. Thus, we can speculate that the risk premia in foreign currency markets have been determined by the long-run consumption risk. Conclusions - The aggregate long-run consumption growth risk explains a large part of the average change in the real excess returns of foreign currency portfolios. The real excess returns of high interest rate currency portfolios depreciate on average when American long-run consumption growth rate is low, and the real excess returns of low interest rate currency portfolios appreciate under the same conditions. Thus, the low interest rate currency portfolios allow investors to hedge against aggregate long-run consumption growth risk.

• Journal of Communications and Networks
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• v.12 no.6
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• pp.582-591
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• 2010

Probabilistic modeling and analysis of correlation metrics have been receiving considerable interest for a long period of time because they can be used to evaluate the performance of communication receivers, including satellite broadcasting receivers. Although differential correlators have a simple structure and practical importance over channels with severe frequency offsets, closedform expressions for the output distribution of differential correlators do not exist. In this paper, we present detection error probability expressions for frame synchronization using differential correlation, and demonstrate their accuracy over channel parameters of practical interest. The derived formulas are presented in terms of the Marcum Q-function, and do not involve numerical integration, unlike the formulas derived in some previous studies. We first determine the distributions and error probabilities for single-span differential correlation metric, and then extend the result to multispan differential correlation metric with certain approximations. The results can be used for the performance analysis of various detection strategies that utilize the differential correlation structure.

• Korean Journal of Artificial Intelligence
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• v.7 no.1
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• pp.13-16
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• 2019

While the Chinese banks have started the impact of foreign banks. At the same time, rising pressure on foreign exchange reserves and appreciation of the renminbi has prompted Chinese banks to go abroad and diversify their risks. The financial crisis of 2008 has caused the continued turbulence of the major financial markets around the world, and the valuation of foreign financial institutions has been drastically shrinking, providing opportunities for Chinese banks to carry out overseas M&A. Based on the overseas M&A status of Chinese commercial banks, this paper sums up the characteristics of the overseas M&A. Then taking a series of overseas M&A conducted by ICBC from 2006 to 2011 as an example, it analyzes the relationship between M&A and performance growth using grey incidence model. The test shows: there is a positive correlation between both overseas M&A and interest rate differential with performance growth of ICBC, and overseas M&A transactions role in promoting the performance growth is significantly higher than the interest rate differential.

• International Journal of Advanced Culture Technology
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• v.7 no.1
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• pp.84-88
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• 2019

This paper examines whether the exchange rate respond differently to monetary policy shocks in Korea using regression model. We find an asymmetric response of the monetary policy shocks to the monetary policy shocks in the context of Korea. Over the whole period sample, we do not find the effect of an actual interest rate on exchange rate. But we find that the estimated coefficient on the expected and unexpected change in the policy rate are negative and statistically significant. In the period of monetary policy easing, the estimated coefficient on the expected and unexpected change in the policy rate are negative but not statistically significant. In contrast, the period of monetary policy tightening, the estimated coefficient on the expected and unexpected change in the policy rate are negative and statistically significant.

• Communications of the Korean Mathematical Society
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• v.33 no.1
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• pp.345-360
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• 2018

In finance, barrier options are options contracts with a payoff that depends on whether the price of the underlying asset hits a predetermined barrier level during the option's lifetime. Based on exotic options and random fluctuations of interest rates in the marketplace, we consider discount barrier options with a stochastic interest rate driven by the Hull-White process. This paper derives the closed-form solutions of the discount barrier option and the discount double barrier option using Mellin transform methods and the PDE (partial differential equation) method of images.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.15 no.1
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• pp.21-28
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• 1990

In this paper, the effects of Intersymbol Interference(ISI) of Gaussian filtered minimum shift Keying (GMSK) with two-bit differential defection on the probability of error is analyzed theoretically in fast Rayleigh fading characterizing land mobile radio channels and a closed form for the probability of error is derived. Numerical results are presented for cased of interest, BT=0.25 to 0.4, taking fading rate $f_\rho$T as a parameter. It is shown that the probability of error taking the ISI of the only one adjacent bit into consideration is accurate enough to evaluate the performance of GMSK with two-bit differential detetion.

• Journal of the Institute of Electronics Engineers of Korea TC
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• v.49 no.5
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• pp.37-43
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• 2012

The closed-loop multiple-input multiple-output (MIMO) system has been adopted by long term evolution (LTE) system. Many techniques are proposed to enhance the transmission of LTE's advanced version to meet the increasing requirement, in which differential codebook gains a lot of interest. Previous researches on designing differential codebooks focused on quasi-diagonal unitary matrix which cannot guarantee the equal gain property. The equal gain property is very important to uplink because the performance of uplink is very sensitive to the peak-to-average power ratio (PAPR). In this paper, we derive the analytical expression of average bit error rate and PAPR for differential precoding MIMO system. Using the analytical results, we investigate the performances of several differential precoding schemes considering non-linear amplifier at the transmitter. Some selected simulation results indicate that the conventional differential precoding schemes have good performances without the consideration of non-linear amplifier. While considering non-linear amplifier, the proposed differential codebook outperforms other differential precoding schemes because it maintains the equal gain per transmit antenna.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.32 no.11A
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• pp.1138-1145
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• 2007

In wireless communications, chaotic communications have been a field of interest due to its low complexity in hardware implementation and low power consumption in chaotic signal generation. Among the modulation schemes using the chaotic signal, Differential Chaos Shift Keying (DCSK) is a robust non coherent technique. As in the conventional communication systems, chaos-based systems are required to provide reasonable bit error performance in the presence of a narrow-band signal coming from any other systems. The frequency band of this foreign narrow band signal may lie within the bandwidth of the chaos-based systems. This situation may occur when chaotic signal transmission is done in the presence of other conventional communication system. This paper has evaluated the performance of the non coherent differential chaos shift keying (DCSK) system under the presence of conventional non-chaotic transmit reference system. Both systems are assumed to have same data rates. The mathematical expressions for the bit error rate (BER) are derived with computer simulations to verify the analytical results.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.12
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• pp.63-73
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• 2021

This study investigates the key determinants of exchange rate (RER) misalignment for the period 1991 to 2020. The BEER technique has been used to estimate the degree of the equilibrium exchange rate. To explore the actual exchange rate misalignment and to assess the behavior of variables that are different in different regimes of undervaluation and overvaluation, the nonlinear technique of Markov regime-switching (MSM) was applied. The mean and variance of each regime are highly significant and show that undervaluation episodes have a low mean (116.139) and more volatility (1.229) while overvaluation episodes have a high mean (126.732) with less volatility (0.871). The findings show that MSM accurately identifies exchange rate misalignment in both regimes as separate incidents of overvaluation and undervaluation. Results further depict that misalignment of the RER is affected by terms of trade, net foreign assets, interest differential, government investment, and consumption decision. Results recommend that if policymakers want to use the exchange rate as a policy tool, they must first consider the drivers of the equilibrium exchange rate. As a result, any deliberate actions to address exchange rate misalignment must focus on the underlying fundamentals that drive the exchange rate.