Researcher Page

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Kim, Kyoung-Kuk (김경국) C-2052-2011

Department
Department of Industrial & Systems Engineering(산업및시스템공학과)
Co-author
Collaboration Network Collaboration Network
Website
http://sites.google.com/site/catenoidHomePage
Research Area
Financial Engineering, Stochastic Simulation, Risk Management, Operations Research

Keyword Cloud

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1

Saddlepoint methods for conditional expectations with applications to risk management

Kim, So Jung; Kim, Kyoung KukresearcherINT STATISTICAL INSTBERNOULLI, v.23, no.3, pp.1481 - 1517, 2017-08

2

Computing lower bounds on basket option prices by discretizing semi-infinite linear programming

Cho, Hyunseok; Kim, Kyoung-Kukresearcher; Lee, KyungsikSPRINGER HEIDELBERGOPTIMIZATION LETTERS, v.10, no.8, pp.1629 - 1644, 2016-12

3

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

Kim, Kyoung-Kukresearcher; Lim, Dong YoungWILEY-BLACKWELLJOURNAL OF FUTURES MARKETS, v.36, no.9, pp.819 - 850, 2016-09

4

Efficient VaR and CVaR Measurement via Stochastic Kriging

Chen, Xi; Kim, Kyoung-KukresearcherINFORMSINFORMS JOURNAL ON COMPUTING, v.28, no.4, pp.629 - 644, 2016-09

5

Dynamic pricing with "BOGO' promotion in revenue management

Kim, Kyoung-Kukresearcher; Lee, Chi-Guhn; Park, SunggyunTAYLOR & FRANCIS LTDINTERNATIONAL JOURNAL OF PRODUCTION RESEARCH, v.54, no.17, pp.5283 - 5302, 2016-09

6

Simulation of Tempered Stable Levy Bridges and Its Applications

Kim, Kyoung-Kukresearcher; Kim, SojungINFORMSOPERATIONS RESEARCH, v.64, no.2, pp.495 - 509, 2016-03

7

A stochastic inventory model with price quotation

Kim, Kyoung-Kukresearcher; Liu, Jun; Lee, Chi-GuhnTAYLOR & FRANCIS INCIIE TRANSACTIONS, v.47, no.8, pp.851 - 864, 2015-08

8

A mathematical model for multi-name credit based on community flocking

Ha, Seung-Yeal; Kim, Kyoung-Kukresearcher; Lee, KiseopROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTDQUANTITATIVE FINANCE, v.15, no.5, pp.841 - 851, 2015-05

9

R&D outsourcing in an innovation-driven supply chain

Kim, Kyoung-Kukresearcher; Lim, Michael K.ELSEVIER SCIENCE BVOPERATIONS RESEARCH LETTERS, v.43, no.1, pp.20 - 25, 2015-01

10

Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm

Kim, Kyoung-Kukresearcher; Park, Kun SooresearcherELSEVIER SCIENCE BVEUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.237, no.2, pp.634 - 648, 2014-09

11

Fairing the gamma: an engineering approach to sensitivity estimation

Kang, Wanmoresearcher; Kim, Kyoung-Kukresearcher; Shin, HayongresearcherTAYLOR & FRANCIS INCIIE TRANSACTIONS, v.46, no.4, pp.374 - 396, 2014-04

12

Stochastic kriging with biased sample estimates

Chen, Xi; Kim, Kyoung-KukresearcherASSOC COMPUTING MACHINERYACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION, v.24, no.2, 2014-02

13

Evaluation and optimization of feed-in tariffs

Kim, Kyoung-Kukresearcher; Lee, Chi-GuhnELSEVIER SCI LTDENERGY POLICY, v.49, pp.192 - 203, 2012-10

14

Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions

Jena, Rudra P.; Kim, Kyoung-Kukresearcher; Xing, HaoELSEVIER SCIENCE BVSTOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.122, no.8, pp.2961 - 2993, 2012-08

15

Denoising Monte Carlo sensitivity estimates

Kang, Wanmoresearcher; Kim, Kyoung-Kukresearcher; Shin, HayongresearcherELSEVIER SCIENCE BVOPERATIONS RESEARCH LETTERS, v.40, no.3, pp.195 - 202, 2012-05

16

Gamma expansion of the Heston stochastic volatility model

Glasserman, P; Kim, Kyoung-KukresearcherSPRINGER HEIDELBERGFINANCE AND STOCHASTICS, v.15, no.2, pp.267 - 296, 2011-06

17

Stability analysis of Riccati differential equations related to affine diffusion processes

Kim, Kyoung-KukresearcherACADEMIC PRESS INC ELSEVIER SCIENCEJOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, v.364, no.1, pp.18 - 31, 2010-04

18

Moment explosions and stationary distributions in affine diffusion models

Glasserman, P; Kim, Kyoung-KukresearcherBLACKWELL PUBLISHINGMATHEMATICAL FINANCE, v.20, no.1, pp.1 - 33, 2010-01

19

Saddlepoint approximations for affine jump-diffusion models

Glasserman, P; Kim, Kyoung-KukresearcherELSEVIER SCIENCE BVJOURNAL OF ECONOMIC DYNAMICS CONTROL, v.33, no.1, pp.15 - 36, 2009-01

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