Kyoung-Kuk Kim

Korea Advanced Institute of Science and Technology

Dr.

Dept of Industrial and Systems Engineering

KAIST

Daejeon, 305-701

Korea, Republic of (South Korea)

  • Korea Advanced Institute of Science and Technology

SCHOLARLY PAPERS

10

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9

Scholarly Papers (10)

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1.

Gamma Expansion of the Heston Stochastic Volatility Model

Number of pages: 31 Posted: 07 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia University - Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 752 (47,629)
Citation 16

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stochastic volatility, Bessel bridge, Monte Carlo simulation

2.

Static Replication of Barrier-type Options via Integral Equations

Number of pages: 53 Posted: 01 Mar 2018 Last Revised: 29 Jun 2021
Kyoung-Kuk Kim and Dong-Young Lim
Korea Advanced Institute of Science and Technology and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 134 (295,044)

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Static replication, Integral equations, Markovian diffusion with killing, Barrier options, American options, Exotic options

3.

Transferring and Sharing Exchange-Rate Risk in a Risk-Averse Supply Chain of a Multinational Firm

KAIST College of Business Working Paper Series No. 2013-022
Number of pages: 39 Posted: 19 Oct 2013
Kyoung-Kuk Kim and Kun Soo Park
Korea Advanced Institute of Science and Technology and KAIST College of Business - Korea Advanced Institute of Science and Technology
Downloads 97 (369,715)

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supply chain management; currency risk management; risk-transfer; risk-sharing; multinational

4.

Moment Explosions and Stationary Distributions in Affine Diffusion Models

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Citation 1

Moment Explosions and Stationary Distributions in Affine Diffusion Models

Mathematical Finance, Vol. 20, Issue 1, pp. 1-33, January 2010
Number of pages: 33 Posted: 18 Jan 2010
Paul Glasserman and Kyoung-Kuk Kim
Columbia University - Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 3 (900,127)
Citation 1

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Moment Explosions and Stationary Distributions in Affine Diffusion Models

Mathematical Finance, Forthcoming
Posted: 08 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia University - Columbia Business School and Korea Advanced Institute of Science and Technology

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moment explosion, affine diffusion, stationary distribution

5.

Risk Analysis and Hedging of Parisian Options Under a Jump-Diffusion Model

Posted: 08 Sep 2015
Kyoung-Kuk Kim and Dong-Young Lim
Korea Advanced Institute of Science and Technology and Korea Advanced Institute of Science and Technology (KAIST)

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Parisian option; risk analysis; dynamic hedging; static hedging

6.

Fairing the Gamma: An Engineering Approach to Sensitivity Estimation

IIE Transactions, Forthcoming
Posted: 03 Jan 2014
Wanmo Kang, Kyoung-Kuk Kim and Hayong Shin
Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science, Korea Advanced Institute of Science and Technology and Korea Advanced Institute of Science and Technology (KAIST)

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Sensitivities; Monte Carlo estimation; Fairing

7.

Evaluation and Optimization of Feed-In Tariffs

Energy Policy, vol. 49, 2012, 192-203
Posted: 03 Jan 2014
Kyoung-Kuk Kim and Chi-Guhn Lee
Korea Advanced Institute of Science and Technology and University of Toronto

Abstract:

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Feed-in Tariff; Renewable Energy; Real Option

8.

Denoising Monte Carlo Sensitivity Estimates

Operations Research Letters, vol. 40, May 2012, 195-202
Posted: 30 Dec 2013
Wanmo Kang, Kyoung-Kuk Kim and Hayong Shin
Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science, Korea Advanced Institute of Science and Technology and Korea Advanced Institute of Science and Technology (KAIST)

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Monte Carlo methods, Sensitivity estimation, Denoising, Near-interpolation

9.

Long-Term and Blow-Up Behaviors of Exponential Moments in Multi-Dimensional Affine Diffusions

Stochastic Processes and their Applications, vol. 122, 2961-2993
Posted: 30 Dec 2013
Rudra Jena, Kyoung-Kuk Kim and Hao Xing
Independent, Korea Advanced Institute of Science and Technology and Boston University - Questrom School of Business

Abstract:

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Affine diffusions; Exponential moments; Riccati differential equations; Implied volatility

10.

Saddlepoint Approximations for Affine Jump-Diffusion Models

Journal of Economic Dynamics and Control, Forthcoming
Posted: 08 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia University - Columbia Business School and Korea Advanced Institute of Science and Technology

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Transform inversion, Characteristic function, Option prices, Numerical approximations