Oh Kang Kwon

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Statistical properties of co-quantiles and their applications to momentum spillovers Communications in Statistics. Theory and Methods	2024-09-03	Paper
Analytic expressions for the positive definite and unimodal regions of Gram-Charlier series Communications in Statistics: Theory and Methods	2022-08-01	Paper
A cumulative prospect theory explanation of gamblers cashing-out Journal of Mathematical Psychology	2021-11-12	Paper
An algorithm for projecting onto simplicial cones Optimization	2021-02-19	Paper
A Probability Scoring Rule for Simultaneous Events Decision Analysis	2020-09-14	Paper
Least squares Monte Carlo credit value adjustment with small and unidirectional bias International Journal of Theoretical and Applied Finance	2017-01-04	Paper
On the equivalence of a class of affine term structure models Annals of Finance	2012-03-08	Paper
Duration, factor sensitivities, and interest rate Greeks Annals of Finance	2012-03-06	Paper
Moduli space for Gaussian term structure models with finite dimensional realizations Taiwanese Journal of Mathematics	2011-06-21	Paper
Hedging diffusion processes by local risk minimization with applications to index tracking Journal of Economic Dynamics and Control	2009-07-01	Paper
A complete Markovian stochastic volatility model in the HJM framework Asia-Pacific Financial Markets	2009-02-06	Paper
Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models Applied Mathematical Finance	2008-04-29	Paper
Finite dimensional affine realisations of HJM models in terms of forward rates and yields Review of Derivatives Research	2004-02-03	Paper
Classes of interest rate models under the HJM framework Asia-Pacific Financial Markets	2003-12-04	Paper
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model Finance and Stochastics	2001-07-11	Paper
Irreducible representations of braid groups via quantized enveloping algebras Journal of Algebra	1997-09-21	Paper

Research outcomes over time

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