Kyoung-Kuk Kim

Available identifiers

zbMath Open kim.kyoung-kukMaRDI QIDQ436301

List of research outcomes

Publication	Date of Publication	Type
Efficient simulation for expectations over the union of half-spaces	2024-08-06	Paper
Multivariate stress scenario selection in interbank networks	2023-09-14	Paper
Balancing risk: generation expansion planning under climate mitigation scenarios	2021-11-09	Paper
Static replication of barrier-type options via integral equations	2021-06-02	Paper
Small-time smile for the multifactor volatility Heston model	2020-12-11	Paper
Robust quantile estimation under bivariate extreme value models	2020-02-28	Paper
Optimal intervention under stress scenarios: a case of the Korean financial system	2020-02-10	Paper
A recursive method for static replication of autocallable structured products	2019-09-26	Paper
Learning multi-market microstructure from order book data	2019-09-26	Paper
R\&D outsourcing in an innovation-driven supply chain	2018-09-28	Paper
A mathematical model for multi-name credit based on community flocking	2018-09-19	Paper
Saddlepoint methods for conditional expectations with applications to risk management	2017-05-11	Paper
Computing lower bounds on basket option prices by discretizing semi-infinite linear programming	2017-03-28	Paper
Efficient VaR and CVaR measurement via stochastic kriging	2017-02-08	Paper
Simulation of Tempered Stable Lévy Bridges and Its Applications	2016-07-25	Paper
Stochastic kriging with biased sample estimates	2015-03-05	Paper
Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm	2015-02-04	Paper
Gamma expansion of the Heston stochastic volatility model	2014-12-17	Paper
Denoising Monte Carlo sensitivity estimates	2012-08-17	Paper
Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions	2012-07-20	Paper
Moment explosions and stationary distributions in affine diffusion models	2010-03-12	Paper
Sensitivity estimates for compound sums	2010-02-15	Paper
Stability analysis of Riccati differential equations related to affine diffusion processes	2010-02-12	Paper
Saddlepoint approximations for affine jump-diffusion models	2009-08-07	Paper

Research outcomes over time

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