Seuraa
Aaron Young Shin Kim
Aaron Young Shin Kim
College of business, stony brook university
Vahvistettu sähköpostiosoite verkkotunnuksessa stonybrook.edu - Kotisivu
Nimike
Viittaukset
Viittaukset
Vuosi
Financial models with Lévy processes and volatility clustering
ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi
John Wiley & Sons, 2011
2352011
Financial market models with Lévy processes and time-varying volatility
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 32 (7), 1363-1378, 2008
1492008
Time series analysis for financial market meltdowns
YS Kim, ST Rachev, ML Bianchi, I Mitov, FJ Fabozzi
Journal of Banking & Finance 35 (8), 1879-1891, 2011
1312011
Tempered stable and tempered infinitely divisible GARCH models
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 34 (9), 2096-2109, 2010
1212010
The modified tempered stable distribution, GARCH-models and option pricing
YS Kim, ST Rachev, DM Chung, ML Bianchi
Probability and Mathematical statistics 29 (1), 91-117, 2009
1152009
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
YS Kim, R Giacometti, ST Rachev, FJ Fabozzi, D Mignacca
Annals of operations research 201, 325-343, 2012
1012012
Computing VaR and AVaR in infinitely divisible distributions
YS Kim, S Rachev, ML Bianchi, FJ Fabozzi
PROBABILITY AND MATHEMATICAL STATISTICS 30 (2), 223-245, 2010
972010
Tempered stable distributions and processes in finance: numerical analysis
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Mathematical and statistical methods for actuarial sciences and finance, 33-42, 2010
612010
A new tempered stable distribution and its application to finance
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Risk Assessment: Decisions in Banking and Finance, 77-109, 2009
582009
Foster–Hart optimal portfolios
A Anand, T Li, T Kurosaki, YS Kim
Journal of Banking & Finance 68, 117-130, 2016
472016
Tempered infinitely divisible distributions and processes
M Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Теория вероятностей и ее применения 55 (1), 59-86, 2010
422010
Tempered infinitely divisible distributions and processes
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Theory of Probability & Its Applications 55 (1), 2-26, 2011
402011
Quanto option pricing in the presence of fat tails and asymmetric dependence
YS Kim, J Lee, S Mittnik, J Park
Journal of Econometrics 187 (2), 512-520, 2015
372015
Approximation of skewed and leptokurtic return distributions
M Scherer, ST Rachev, YS Kim, FJ Fabozzi
Applied Financial Economics 22 (16), 1305-1316, 2012
362012
System and method for estimating portfolio risk using an infinitely divisible distribution
ST Rachev, G Samorodnitsky, YS Kim
US Patent 8,301,537, 2012
332012
Barrier option pricing by branching processes
GK Mitov, ST Rachev, YS Kim, FJ Fabozzi
International Journal of Theoretical and Applied Finance 12 (07), 1055-1073, 2009
332009
Reward-risk momentum strategies using classical tempered stable distribution
J Choi, YS Kim, I Mitov
Journal of Banking & Finance 58, 194-213, 2015
322015
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
YS Kim, S Stoyanov, S Rachev, F Fabozzi
Economics Letters 145, 225-229, 2016
312016
Option pricing with time-changed Lévy processes
S Klingler, YS Kim, ST Rachev, FJ Fabozzi
Applied financial economics 23 (15), 1231-1238, 2013
302013
Option pricing under stochastic volatility and tempered stable Lévy jumps
TS Zaevski, YS Kim, FJ Fabozzi
International Review of Financial Analysis 31, 101-108, 2014
292014
Järjestelmä ei voi suorittaa toimenpidettä nyt. Yritä myöhemmin uudelleen.
Artikkelit 1–20