Minimum variance Delta estimation using expectation function of option implied volatility change and predicting implied volatility change using artificial neural network : for the KOSPI200 options

학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2020.2,[iii, 31 p. :]많은 선행 연구들에 따르면 기초 자산 가격과 자산의 변동성 사이의 음의 상관관계로 인해 블랙-숄즈 모형에 의해 계산된 델타는 헤지 포지션의 변동성을 최소로 만들지 못한다. 이에 따라, 확률변동성 모형을 비롯한 다양한 모형들이 기존의 블랙-숄즈 델타를 대체할 최소분산 델타를 찾기 위해 사용되었다. Hull and White(2017) 역시 최소분산 델타 추정을 위한 새로운 모형을 제안하였다. 이 모형은 내재변동성 변화 기대함수라는 개념을 이용하여 최소분산 델타를 추정하는데 확률변동성 모형과 달리 파라미터 추정이 단순하며 옵션의 잔존만기, 델타, 기초자산 수익률만 있다면 경험적으로 추정이 가능하다. 코스피200 옵션 시장에 이 모형을 적용해본 결과 콜옵션의 경우 블랙-숄즈 모형 대비 헤지오차를 줄이며 적합성을 보였지만 풋옵션의 경우 적합성이 떨어지는 모습을 보였다. 콜옵션은 통계적으로도 유의한 모습을 보였다. 추가적으로 내재변동성 변화 기대함수를 기준으로 인공신경망을 이용한 내재변동성 변화 예측 모형과 비교했다. 모형의 적합성이 검증된 코스피200 콜옵션을 대상으로 분석한 결과 인공신경망을 이용해 학습한 모형이 내재변동성 변화에 대해 더 좋은 예측력을 보였다.한국과학기술원 :금융공학프로그램

수소화물기상증착법으로 성장된 GaN 나노막대의 구조 특성 연구

학위논문(박사) - 한국과학기술원 : 신소재공학과, 2009.2, [ xiii, 169 p. ]The III-Nitride semiconductor systems of InN, GaN, AlN and their ternary alloys are of great technological importance due to their direct and wide bandgaps and their refractory properties. The alloy system spans a wide energy spectrum ranging from 0.7 eV for InN to 3.4 eV for GaN to 6.2 eV for AlN, and has a direct bandgap over the entire range. Thus, growth of high-quality films based on these materials can lead to optical devices functioning in the range of visible and ultraviolet (UV) energies, which were previously not accessible. In addition, the strong atomic bonding and thermal stability of these compounds have made them very attractive for device applications. However, it is not easy to obtain a high-quality GaN materials because of the large lattice mismatch and the difference in the thermal expansion coefficients between GaN and foreign substrates. Among the several methods for achieving a high-quality GaN products, the most desirable way is the formation of the single crystal with one-dimensional (1-D) nanostructures, such as nanowires and nanorods. In this thesis, structural properties of 1-D GaN nanorods grown by hydride vapor phase epitaxy without a catalyst were characterized. Vertically aligned GaN nanorods were synthesized on Si (111) substrates by HVPE method without a catalyst at different growth temperature condition. General morphologies of GaN structure, such as diameter, length, surface morphology, etc., were seriously affected by the growth temperature. The surface morphology was observed to change significantly with growth temperature, especially affected by temperature in third zone. Side facet planes of the tip region of GaN nanorods consisted of ${\overline{1}100}$, ${\overline{1}102}$, and ${\overline{1}103}$. The side facet plane of GaN nanorods consistes of {$\overline{1}$100} and ${\overline{1}10N}$ (N is integer) and N is increased as the temperature in third zone is increased. In initial formation stage, nuclei of GaN materia...한국과학기술원 : 신소재공학과

Comparison of invasive fungal diseases between patients with acute myeloid leukemia receiving posaconazole prophylaxis and those not receiving prophylaxis A single-center, observational, case-control study in South Korea

Posaconazole prophylaxis is effective in decreasing the incidence of invasive fungal diseases (IFDs) in patients with acute myeloid leukemia (AML). However, the use of antifungal prophylaxis varies in real-life practice, and only a small number of studies have compared the incidence of IFDs between those receiving posaconazole prophylaxis and those without prophylaxis. We compared the clinical characteristics and outcomes of IFDs between patients with AML who received posaconazole prophylaxis and those without antifungal prophylaxis. We reviewed the medical records of adult AML patients who underwent induction chemotherapy between June 2016 and October 2019 at Asan Medical Center (Seoul, South Korea), where posaconazole prophylaxis is not administered in patients with gastrointestinal symptoms that may hinder sufficient absorption of oral prophylactic agents, and in patients with abnormal liver functions considering the possible exacerbation of adverse events. Patients who received posaconazole prophylaxis for >= 7 days were included in the prophylaxis group. Clinical characteristics and outcomes including the incidence of IFDs were compared between the 2 groups. Of the 247 patients with AML who underwent induction chemotherapy, 162 (66%) received posaconazole prophylaxis and 85 (34%) did not receive any prophylaxis. The incidence of proven/probable IFD was significantly higher in the no prophylaxis group than in the prophylaxis group (9.4% [8/85] vs 2.5% [4/162], P = .03). Of the 8 cases of IFDs in the no prophylaxis group, 7 were mold infections and 1 was invasive candidiasis. Of the 4 cases of IFDs in the prophylaxis group, 3 were mold infections and 1 was invasive candidiasis. Patients with posaconazole prophylaxis less frequently received therapeutic antifungal therapy (2.5% vs 9.4%, P = .03) and had a longer median, duration from chemotherapy to antifungal therapy compared with the no prophylaxis group (18 vs 11 days, P < .01). The rate of IFD-related mortality was similar between the 2 groups (0.6% vs 0%, P > .99). Patients with AML who received posaconazole prophylaxis had a lower incidence of breakthrough IFDs compared with those who did not receive any prophylaxis. Invasive mold infection was the most common IFD regardless of antifungal prophylaxis

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