Aaron Young Shin Kim
Stony Brook University
H-index: 21
North America-United States
Top articles of Aaron Young Shin Kim
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence | arXiv preprint arXiv:2402.17919 | Young Shin Kim Hyun-Gyoon Kim | 2024/2/27 |
Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models | The Journal of Financial Data Science | Young Shin Kim Hyangju Kim Jaehyung Choi | 2023 |
Diversified reward-risk parity in portfolio construction | Available at SSRN 3871944 | Jaehyung Choi Hyangju Kim Young Shin Kim | 2022/9/29 |
Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation | Journal of Risk and Financial Management | Cheng Peng Young Shin Kim Stefan Mittnik | 2022/5/23 |
Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model | Annals of Operations Research | Young Shin Kim | 2022/5 |
Tempered stable processes with time-varying exponential tails | Quantitative Finance | Young Shin Kim Kum-Hwan Roh Raphael Douady | 2022/3/4 |
Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk | Finance Research Letters | Tetsuo Kurosaki Young Shin Kim | 2022/3/1 |
Systemic risk modeling with lévy copulas | Journal of Risk and Financial Management | Yuhao Liu Petar M Djurić Young Shin Kim Svetlozar T Rachev James Glimm | 2021/6/5 |
Aumann–Serrano index of risk in portfolio optimization | Mathematical Methods of Operations Research | Tiantian Li Young Shin Kim Qi Fan Fumin Zhu | 2021/10 |
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing | Journal of Risk and Financial Management | Young Shin Kim | 2021/2/15 |
Multi-asset option pricing using normal tempered stable processes with stochastic correlation | Available at SSRN 3927399 | Young Shin Kim Hyangju Kim Jaehyung Choi Frank J Fabozzi | 2021/9/20 |
Coherent risk measures and normal mixture distributions with applications in portfolio optimization | International Journal of Theoretical and Applied Finance | Xiang Shi Young Shin Kim | 2021/6/24 |
Learning for infinitely divisible GARCH models in option pricing | Studies in Nonlinear Dynamics & Econometrics | Fumin Zhu Michele Leonardo Bianchi Young Shin Kim Frank J Fabozzi Hengyu Wu | 2021/6/14 |
Factor copula model for portfolio credit risk | International Journal of Theoretical and Applied Finance | Sung Ik Kim Young Shin Kim | 2021/6/6 |
Option pricing in markets with informed traders | International Journal of Theoretical and Applied Finance | Yuan Hu Abootaleb Shirvani Stoyan Stoyanov Young Shin Kim Frank J. Fabozzi | 2020/8 |
A New Stochastic Process with Long-Range Dependence | Journal of Statistical Theory and Applications | Sung Ik Kim Young Shin Kim | 2020/9 |
Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk | arXiv preprint arXiv:2007.13972 | Young Shin Kim | 2020/7/28 |
Co-Authors
