Researcher Page

Kim, Kyoung-Kuk (김경국)
부교수, Department of Industrial & Systems Engineering(산업및시스템공학과)
Research Area
Financial Engineering, Stochastic Simulation, Risk Management, Operations Research
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    NO Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date)
    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

    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, 2020-06

    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

    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

    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

    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

    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

    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

    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

    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

    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

    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

    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

    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

    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

    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

    R&D outsourcing in an innovation-driven supply chain

    Kim, Kyoung-Kukresearcher; Lim, Michael K., OPERATIONS RESEARCH LETTERS, v.43, no.1, pp.20 - 25, 2015-01

    Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm

    Kim, Kyoung-Kukresearcher; Park, Kun Sooresearcher, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.237, no.2, pp.634 - 648, 2014-09

    Fairing the gamma: an engineering approach to sensitivity estimation

    Kang, Wanmoresearcher; Kim, Kyoung-Kukresearcher; Shin, Hayongresearcher, IIE TRANSACTIONS, v.46, no.4, pp.374 - 396, 2014-04

    Stochastic kriging with biased sample estimates

    Chen, Xi; Kim, Kyoung-Kukresearcher, ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION, v.24, no.2, 2014-02

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