Young Shin Aaron Kim
Young Shin Aaron Kim
College of business, stony brook university
Verified email at stonybrook.edu - Homepage
Title
Cited by
Cited by
Year
Financial models with LÚvy processes and volatility clustering
ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi
John Wiley & Sons, 2011
1632011
Financial market models with LÚvy processes and time-varying volatility
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 32 (7), 1363-1378, 2008
1102008
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
922010
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
892011
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
872009
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
822010
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 (1), 325-343, 2012
612012
Tempered infinitely divisible distributions and processes
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Theory of Probability & Its Applications 55 (1), 2-26, 2011
582011
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
442010
A new tempered stable distribution and its application to finance
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Risk Assessment, 77-109, 2009
432009
Approximation of skewed and leptokurtic return distributions
M Scherer, ST Rachev, YS Kim, FJ Fabozzi
Applied Financial Economics 22 (16), 1305-1316, 2012
262012
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
252009
The relative entropy in CGMY processes and its applications to finance
YS Kim, JH Lee
Mathematical Methods of Operations Research 66 (2), 327-338, 2007
242007
Foster–Hart optimal portfolios
A Anand, T Li, T Kurosaki, YS Kim
Journal of Banking & Finance 68, 117-130, 2016
202016
A modified tempered stable distribution with volatility clustering
YS Kim, ST Rachev, DM Chung, ML Bianchi
New Developments in Financial Modelling 344, 344-365, 2008
192008
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
132016
Reward-risk momentum strategies using classical tempered stable distribution
J Choi, YS Kim, I Mitov
Journal of Banking & Finance 58, 194-213, 2015
132015
The modified tempered stable processes with application to finance
YS Kim
Doctoral Thesis, 2005
132005
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
122015
Option pricing under stochastic volatility and tempered stable LÚvy jumps
TS Zaevski, YS Kim, FJ Fabozzi
International Review of Financial Analysis 31, 101-108, 2014
122014
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