Jaesun Noh

Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance

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  • Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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1.

Long Run Probability of Default and BASEL II Capital Allocation

KAIST College of Business Working Paper Series No. 2008-013
Number of pages: 30 Posted: 10 Nov 2008
Jaesun Noh
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 504 (113,442)

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BASEL II, probability of default, regulatory capital, pooling, business cycle, rating system

2.

Long Term Mean Reversion of Stock Prices Based on Fractional Integration

KAIST College of Business Working Paper Series No. 2010-003
Number of pages: 19 Posted: 25 Feb 2010
Duk Bin Jun, Yongjin Kim and Jaesun Noh
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Carnegie Mellon University and Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 299 (204,493)

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mean reversion, stock price model, fractional integration, market inefficiency

3.

Spurious Mean-Reversion of Stock Prices in the State-Space Model

KAIST College of Business Working Paper Series No. 2008-010
Number of pages: 28 Posted: 02 Jun 2008
Won-hyeok Choi, Duk Bin Jun, Dong Soo Kim and Jaesun Noh
affiliation not provided to SSRN, College of Business, Korea Advanced Institute of Science and Technology (KAIST), Ohio State University (OSU) - Fisher College of Business and Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 204 (299,339)

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State-space model, ARIMA, Mean-reversion, Correlated noise process

4.

A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts

NBER Working Paper No. w4520
Number of pages: 31 Posted: 09 Jul 2000 Last Revised: 09 Nov 2022
Jaesun Noh, Robert F. Engle and Alex Kane
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, New York University (NYU) - Department of Finance and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Downloads 133 (429,625)

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5.

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

NBER Working Paper No. w4519
Number of pages: 31 Posted: 25 May 2006 Last Revised: 07 Nov 2022
Robert F. Engle, Alex Kane and Jaesun Noh
New York University (NYU) - Department of Finance, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 110 (496,329)

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6.

Hedging Beyond the Mean: A Distributional Reinforcement Learning Perspective for Hedging Portfolios with Structured Products

Number of pages: 15 Posted: 12 Feb 2024
Jaesun Noh
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 72 (646,491)

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