Researcher Page


Kim, Kyoung-Kuk (김경국) C-2052-2011

Department of Industrial & Systems Engineering(산업및시스템공학과)
Research Area
Financial Engineering, Stochastic Simulation, Risk Management, Operations Research

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Optimal Intervention under Stress Scenarios: A Case of the Korean Financial System

Ahn, Dohyun; Kim, Kyoung-Kukresearcher, OPERATIONS RESEARCH LETTERS, v.47, no.4, pp.257 - 263, 2019-07


A recursive method for static replication of autocallable structured products

Kim, Kyoung-Kukresearcher; Lim, Dong Young, QUANTITATIVE FINANCE, v.19, no.4, pp.647 - 661, 2019-04


Efficient simulation for expectations over the union of half-spaces

Ahn, Dohyun; Kim, Kyoung-Kukresearcher, ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION, v.28, no.3, 2018-07


Saddlepoint methods for conditional expectations with applications to risk management

Kim, So Jung; Kim, Kyoung Kukresearcher, BERNOULLI, v.23, no.3, pp.1481 - 1517, 2017-08


Analysis and design of microfinance services: a case of ROSCA

Ahn, Deung Geon; Kang, Wanmoresearcher; Kim, Kyoung-Kukresearcher; et al, ENGINEERING ECONOMIST, v.62, no.3, pp.197 - 230, 2017-07


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

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


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

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


Dynamic pricing with "BOGO' promotion in revenue management

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


Efficient VaR and CVaR Measurement via Stochastic Kriging

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


Simulation of Tempered Stable Levy Bridges and Its Applications

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


A stochastic inventory model with price quotation

Kim, Kyoung-Kukresearcher; Liu, Jun; Lee, Chi-Guhn, IIE TRANSACTIONS, v.47, no.8, pp.851 - 864, 2015-08


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

Ha, Seung-Yeal; Kim, Kyoung-Kukresearcher; Lee, Kiseop, QUANTITATIVE FINANCE, v.15, no.5, pp.841 - 851, 2015-05


R&D outsourcing in an innovation-driven supply chain

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


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

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


Fairing the gamma: an engineering approach to sensitivity estimation

Kang, Wanmoresearcher; Kim, Kyoung-Kukresearcher; Shin, Hayongresearcher, IIE TRANSACTIONS, v.46, no.4, pp.374 - 396, 2014-04


Stochastic kriging with biased sample estimates

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


Evaluation and optimization of feed-in tariffs

Kim, Kyoung-Kukresearcher; Lee, Chi-Guhn, ENERGY POLICY, v.49, pp.192 - 203, 2012-10


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

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


Denoising Monte Carlo sensitivity estimates

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


Gamma expansion of the Heston stochastic volatility model

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

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