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

11

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18

Scholarly Papers (11)

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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 Business School and Korea Advanced Institute of Science and Technology
Downloads 852 (62,159)
Citation 16

Abstract:

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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 190 (343,955)
Citation 2

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

3.

Robust Risk Quantification via Shock Propagation in Financial Networks

Operations Research
Number of pages: 71 Posted: 28 Apr 2023 Last Revised: 15 Jan 2025
Dohyun Ahn, Nan Chen and Kyoung-Kuk Kim
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, The Chinese University of Hong Kong (CUHK) and Korea Advanced Institute of Science and Technology
Downloads 140 (447,072)

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Risk quantification, Financial network, Robust optimization, Information uncertainty

4.

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 137 (454,919)

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

5.

Multivariate Stress Scenario Selection in Interbank Networks

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 36 Posted: 31 May 2023 Last Revised: 15 Jan 2025
Dohyun Ahn, Kyoung-Kuk Kim and Eunji Kwon
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Korea Advanced Institute of Science and Technology and Korea Advanced Institute of Science and Technology (KAIST) - Department of Industrial and Systems Engineering
Downloads 104 (562,502)

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Interbank network, Systemic risk, Reserve stress testing, Scenario selection

6.

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

7.

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

8.

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

9.

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)

Abstract:

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

10.

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

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

11.

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 Business School and Korea Advanced Institute of Science and Technology

Abstract:

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Transform inversion, Characteristic function, Option prices, Numerical approximations