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Aaron Young Shin Kim
Aaron Young Shin Kim
College of business, stony brook university
Verified email at stonybrook.edu - Homepage
Title
Cited by
Cited by
Year
Financial models with Lévy processes and volatility clustering
ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi
John Wiley & Sons, 2011
1982011
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
1292008
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
1142010
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
1112011
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
1102009
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
932010
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
842012
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
532009
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
522010
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
Foster–Hart optimal portfolios
A Anand, T Li, T Kurosaki, YS Kim
Journal of Banking & Finance 68, 117-130, 2016
352016
Tempered infinitely divisible distributions and processes
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Theory of Probability & Its Applications 55 (1), 2-26, 2011
352011
Approximation of skewed and leptokurtic return distributions
M Scherer, ST Rachev, YS Kim, FJ Fabozzi
Applied Financial Economics 22 (16), 1305-1316, 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
312009
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
302015
Reward-risk momentum strategies using classical tempered stable distribution
J Choi, YS Kim, I Mitov
Journal of Banking & Finance 58, 194-213, 2015
262015
The relative entropy in CGMY processes and its applications to finance.
YS Kim, JH Lee
Mathematical Methods of Operations Research 66 (2), 2007
252007
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
242014
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
232016
System and method for estimating portfolio risk using an infinitely divisible distribution
ST Rachev, G Samorodnitsky, YS Kim
US Patent 8,301,537, 2012
232012
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