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Kim, Kyoung-Kuk (김경국)
부교수, (경영공학부)

http://sites.google.com/site/catenoid

Research Area
Financial Engineering, Stochastic Simulation, Risk Management, Operations Research
Co-researchers
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    NO Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date)
    1
    Multivariate stress scenario selection in interbank networks

    Ahn, Dohyun; Kim, Kyoung-Kukresearcher; Kwon, Eunji, JOURNAL OF ECONOMIC DYNAMICS & CONTROL, v.154, 2023-09

    2
    Constructing a personalized recommender system for life Insurance products with machine learning techniques

    Kong, Hyeongwoo; Yun, Wonje; Joo, Weonyoung; et al, INTELLIGENT SYSTEMS IN ACCOUNTING FINANCE & MANAGEMENT, v.29, no.4, pp.242 - 253, 2022-10

    3
    Balancing risk: Generation expansion planning under climate mitigation scenarios

    Kim, Dowon; Ryu, Heelang; Lee, Jiwoong; et al, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.297, no.2, pp.665 - 679, 2022-03

    4
    Term Structures and Scenario-Based Social Discount Rates under Smooth Ambiguity

    Kim, Dowon; Kim, Kyoung-Kukresearcher; Lee, Jiwoong, ENGINEERING ECONOMIST, v.66, no.2, pp.121 - 149, 2021-04

    5
    Static replication of barrier-type options via integral equations

    Kim, Kyoung-Kukresearcher; Lim, Dong-Young, QUANTITATIVE FINANCE, v.21, no.2, pp.281 - 294, 2021-02

    6
    Small-time smile for the multifactor volatility Heston model

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

    7
    Robust quantile estimation under bivariate extreme value models

    Kim, Sojung; Kim, Kyoung-Kukresearcher; Ryu, Heelang, EXTREMES, v.23, no.1, pp.55 - 83, 2020-03

    8
    Learning multi-market microstructure from order book data

    Ju, Geonhwan; Kim, Kyoung-Kukresearcher; Lim, Dong Young, QUANTITATIVE FINANCE, v.19, no.9, pp.1517 - 1529, 2019-09

    9
    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

    10
    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

    11
    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

    12
    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

    13
    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

    14
    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

    15
    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

    16
    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

    17
    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

    18
    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

    19
    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

    20
    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
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