Young Shin Kim

State University of New York, SUNY at Stony Brook University, College of Business

306 Harriman Hall

Stony Brook, NY 11794

United States

SCHOLARLY PAPERS

7

DOWNLOADS

535

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

Coherent Risk Measure and Normal Mixture Distributions with Application in Portfolio Optimization and Risk Allocation

Number of pages: 11 Posted: 12 Jan 2015
Xiang Shi and Young Shin Kim
State University of New York (SUNY) - Stony Brook, Students and State University of New York, SUNY at Stony Brook University, College of Business
Downloads 241 (138,823)
Citation 3

Abstract:

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coherent risk measure, CVaR, normal mixture distribution, generalized hyperbolic distribution, portfolio optimization, worst-case risk

2.

Foster-Hart Optimal Portfolios

Number of pages: 34 Posted: 26 Mar 2016
IIM Bangalore, State University of New York (SUNY) - Department of Applied Mathematics and Statistics, Bank of Japan and State University of New York, SUNY at Stony Brook University, College of Business
Downloads 145 (219,123)
Citation 2

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ARMA-GARCH model, normal tempered stable distribution, Foster-Hart risk, value-at-risk (VaR), average value-at-risk (AVaR), reward-risk ratio

3.

The Equity Risk Posed by the Too-Big-To-Fail Banks: A Foster-Hart Estimation

Number of pages: 26 Posted: 26 Mar 2016
IIM Bangalore, State University of New York (SUNY) - Department of Applied Mathematics and Statistics, Bank of Japan and State University of New York, SUNY at Stony Brook University, College of Business
Downloads 104 (280,819)

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Financial Risk, Normal Tempered Stable Distribution, Foster-Hart risk, Value-at-Risk (VaR), Average Value-at-Risk (AVaR)

4.

Option Pricing in an Investment Risk-Return Setting

Number of pages: 25 Posted: 01 Aug 2019
State University of New York, SUNY at Stony Brook University, College of Business, Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 45 (440,073)

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option pricing; mean-variance portfolio; binomial pricing trees; stochastic continuous diffusions

5.

Long and Short Memory in the Risk-Neutral Pricing Process

Journal of Derivatives, Forthcoming
Posted: 28 Feb 2019 Last Revised: 02 Apr 2019
Young Shin Kim, Danling Jiang and Stoyan V. Stoyanov
State University of New York, SUNY at Stony Brook University, College of Business, College of Business, Stony Brook University and Charles Schwab

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Option Pricing, Long-Range Dependence, Fractional Levy Processes

6.

Online Appendix to: Quanto Option Pricing with Lévy Models

Posted: 10 Jul 2016 Last Revised: 02 Apr 2018
Monash University, State University of New York, SUNY at Stony Brook University, College of Business, EDHEC Business School and State University of New York, SUNY at Stony Brook University, College of Business

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Quanto option pricing, L'evy process, stable and tempered stable process, subordinator

7.

Quanto Option Pricing with Lévy Models

Posted: 20 Jun 2016 Last Revised: 02 Apr 2018
Monash University, State University of New York, SUNY at Stony Brook University, College of Business, EDHEC Business School and State University of New York, SUNY at Stony Brook University, College of Business

Abstract:

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Quanto option pricing, L'evy process, stable and tempered stable process, subordinator