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Showing results 1 to 10 of 10

1
Interest rates factor model

Lee, Sang-Wook; Kim, Min-Jae; Kim, Soo-Yong, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.390, no.13, pp.2531 - 2548, 2011-07

2
Is the Information on the Higher Moments of Underlying Returns Correctly Reflected in Option Prices?

Kang, Jangkoo; Lee, Soonhee, JOURNAL OF FUTURES MARKETS, v.36, no.8, pp.722 - 744, 2016-08

3
Large deviations for affine diffusion processes on R-+(m) x R-n

Kang, Wan-Mo; Kang, Chulmin, STOCHASTIC PROCESSES AND THEIR APPLICATIONS, v.124, no.6, pp.2188 - 2227, 2014-06

4
Modeling stock return distributions with a quantum harmonic oscillator

Ahn, Kwangwon; Choi, MY; Dai, B; Sohn, S; Yang, B, Europhysics Letters, v.120, no.3, 2017-11

5
Moment explosions and stationary distributions in affine diffusion models

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

6
Overreactions in the Foreign Currency Options Market

Han, JoongHo; Kang, Byung Jin; Chang, Ki Cheon; Byun, Suk Joon, ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.45, no.3, pp.380 - 404, 2016-06

7
Saddlepoint approximations for affine jump-diffusion models

Glasserman, P; Kim, Kyoung-Kuk, JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, v.33, no.1, pp.15 - 36, 2009-01

8
Small-time smile for the multifactor volatility Heston model

Ahn, Dohyun; Kim, Kyoung-Kuk; Kim, Younghoon, JOURNAL OF APPLIED PROBABILITY, v.57, no.4, pp.1070 - 1087, 2020-12

9
Stock Returns, Asymmetric Volatility, Risk Aversion, and Business Cycle: Some New Evidence,

sei-wan kim; Lee, Bong Soo, ECONOMIC INQUIRY, v.46, no.2, pp.131 - 148, 2008-04

10
The sensitivity analysis of propagator for path independent quantum finance model

Kim, Min-Jae; Hwang, Dong-Il; Lee, Sun-Young; Kim, Soo-Yong, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.390, no.5, pp.847 - 863, 2011-03

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