1. February, 3 2012
FM 210 Mhz

2. 금융수학 겨울학교

3. 금융수학 겨울학교

4. FM 210 (Finance & Math meet at Technomanagement building 210 class )

5. Mathmatical approach to option
(1)
American
call option implicit method
(2)
Stability
(3)
American
options
Von Neumann analysis
Operator splitting method

6. (1) Discretize the Black-Scholes equation on n+1 time level
using Taylor series expansion.
Approximate the first-order spatial derivative at m-th grid point
using m-1 and m grid points.
Keyword : Taylor expansion
Taylor expansion

7. (1) Discretize the Black-Scholes equation on n+1 time level
using Taylor series expansion.
Approximate the first-order spatial derivative at m-th grid point
using m-1 and m grid points.
Keyword : Discretize

9. Mathmatical approach to option
(1)
American
call option
implicit method
(2)
Stability
(3)
American
options
Von Neumann analysis
Operator splitting method

10. (2) Check stability in the sense the Von Neumann analysis.

11. (2) Check stability in the sense the Von Neumann analysis.

12. (2) Check stability in the sense the Von Neumann analysis.

13. (2) Check stability in the sense the Von Neumann analysis.

14. (2) Check stability in the sense the Von Neumann analysis.

15. Mathmatical approach to option
(1)
American
call option
implicit method
(2)
Stability
Von Neumann analysis
(3)
American
options
Operator splitting method

16. Network approach to Finance
Network
Paper
introduction
Future research
Asset treewith mathlab code
3D
simulation
with mathlab code

17. Network approach to Finance
Network
Paper
introduction
Future research
Asset treewith mathlab code
3D
simulation
with mathlab code

18. 1. The clustering of companies
using the correlation matrix of asset returns,
2. Transforming correlations into distances,
3. Selecting a subset
with the minimum spanning tree(MST) criterion.

19. Asset Tree
Construction
Asset Graph
Determining the
minimum spanning
tree(MST) of the
distances
Extracting the N(N-1)/2
distinct distance elements
from the upper triangular
part of the
Differences
Order : fixed
No cycles
Order : unfixed
Cycles

20. First region - in early time
T faster than G
(∵G shows exponential decay)
In general, the tree
Second region –behave
and graph a straight
line on the log-log plot
very similarly.
G should decay more faster
than T.
G are far more optimal
(shorter) than the T.

22. Network approach to Finance
Network
Paper
introduction
Future research
Asset treewith mathlab code
3D
simulation
with mathlab code

23. Return =
importdata('US_200001032008_STOCKReturn.mat');
Corr = corrcoef(Return);
Dist = sqrt(2*(1-Corr));
Dist = triu(Dist) + triu(Dist)';
SDist = sparse(Dist);
[out1 out2 out3 ] = mst(SDist);
MST = [out1 out2 out3 ];
MST_Geometric_SUB02_Application(MST,'a');

25. 과독점에 대한
정부 규제 방법?

26. Network approach to Finance
Network
Paper
introduction
Future research
Asset treewith mathlab code
3D simulation
with mathlab code

28. 0.4
0.35
0.4
0.3
0.3
0.2
0.25
0.1
0.2
0
0.15
2007
2006
-1
2005
0.1
-0.5
2004
0
0.05
2003
0.5
1
0
2002
2002.5
2003
2003.5
2004
2002
2004.5
2005
2005.5
2006
2006.5
1
0
-1

29. SAME CODE
Clear all; close all; clf;

30. 1. 다른 주식과 많은 연결개수를 갖는 주식의 시장지수에 따른
공통속성의 정도와 개별속성의 정도 차이.
2. 주식 간의 연결개수에 영향을 미치는 요인에 대한 분석(연구)
3. 주식들과의 연결개수에 따라 2가지 이상의 집단으로 구분 후, 평
균비교 T검정과 ANOVA를 이용하여 집단간 통계적 유의한 차이를
보이는 특징에 대해 분석한다.
4. 기업의 연결개수에 따른 수익성을 예측하기 위해서 회귀분석을
실시하여, 베타 값에 따라 큰 영향을 미칠 수 있는지에 대한 분석.