Young Shin Kim

College of Business, Stony Brook University

Associate Professor

312 Harriman Hall

100 John S. Toll Drive

Stony Brook, NY 11794

United States

SCHOLARLY PAPERS

9

DOWNLOADS

673

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (9)

1.

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 College of Business, Stony Brook University
Downloads 179 (228,212)
Citation 2

Abstract:

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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

2.

Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution

Journal of Banking and Finance, Vol. 58, pp.194-213, 2015
Number of pages: 38 Posted: 25 Mar 2014 Last Revised: 12 Jul 2021
Jaehyung Choi, Young Shin Kim and Ivan Mitov
Goldman Sachs - Goldman Sachs, College of Business, Stony Brook University and Finanalytica
Downloads 143 (274,804)
Citation 1

Abstract:

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momentum strategy, reward-risk measure, classical tempered stable distribution

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 College of Business, Stony Brook University
Downloads 133 (290,447)

Abstract:

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

4.

Diversified Reward-Risk Parity in Portfolio Construction

Number of pages: 42 Posted: 08 Jul 2021 Last Revised: 16 Sep 2021
Jaehyung Choi, Hyangju Kim and Young Shin Kim
Goldman Sachs - Goldman Sachs, Department of Applied Mathematics and Statistics, Stony Brook University and College of Business, Stony Brook University
Downloads 98 (359,794)
Citation 1

Abstract:

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portfolio construction, asset allocation, risk parity, reward-risk measures, classical tempered stable distribution

5.

Option Pricing in an Investment Risk-Return Setting

Number of pages: 25 Posted: 01 Aug 2019
College of Business, Stony Brook University, Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 62 (466,298)

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

6.

Multi-Asset Option Pricing Using Normal Tempered Stable Processes with Stochastic Correlation

Number of pages: 21 Posted: 24 Sep 2021 Last Revised: 08 Oct 2021
College of Business, Stony Brook University, Department of Applied Mathematics and Statistics, Stony Brook University, Goldman Sachs - Goldman Sachs and EDHEC Business School
Downloads 58 (481,568)

Abstract:

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Normal tempered stable process, Levy process, Stochastic correlation, Ornstein-Uhlenbeck process, Multi-asset option pricing, Quanto option pricing

7.

Long and Short Memory in the Risk-Neutral Pricing Process

Journal of Derivatives, Summer 2019, DOI: https://doi.org/10.3905/jod.2019.1.077
Posted: 28 Feb 2019 Last Revised: 14 Sep 2021
Young Shin Kim, Danling Jiang and Stoyan V. Stoyanov
College of Business, Stony Brook University, College of Business, Stony Brook University and Charles Schwab

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Option Pricing, Long-Range Dependence, Fractional Levy Processes

8.

Online Appendix to: Quanto Option Pricing with Lévy Models

Posted: 10 Jul 2016 Last Revised: 02 Apr 2018
Monash UniversityMonash University, College of Business, Stony Brook University, 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

9.

Quanto Option Pricing with Lévy Models

Posted: 20 Jun 2016 Last Revised: 02 Apr 2018
Monash UniversityMonash University, College of Business, Stony Brook University, 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