This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a certain threshold. This study presents other results that refine or extend this one by integrating timing flexibility...

This paper examines whether the successful bid rate of the OnBid public auction, published by Korea Asset Management Corporation, can identify and forecast the Korea business-cycle expansion and contraction regimes characterized by the OECD reference turning points. We use logistic regression...

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...

We propose a method for calibrating high-dimensional parameters in the Hull-White one-factor model using market prices of swaptions, aimed at generating mark-to-market interest rate scenarios in the Korean insurance industry. Our approach integrates a trust region-based Bayesian optimization...

We investigate how reforestation contributed to stabilization of riverine water levels in South Korea. For the purpose, we estimate an equation capturing dynamic relationships among rainfall, upstream-area tree stock, and downstream water levels in three river systems of Hongcheon, Mangyeong,...