 Kyoung-Kuk Kim
I'm an associate professor in the ISE dept at KAIST. (I'm also a member of Risk lab in the dept, and an affiliate professor in Math dept.)
Advice for students from Ravi Vakil (you can safely replace algebraic geometry with operations research or financial engineering.)
See also advice from Mark Joshi and Emanuel Derman if you want to be a quant.
CV (last updated: Aug 2017)
Journal articles Efficient simulation for expectations over the union of half-spaces (with D. Ahn), submitted Integral equation based approach for static options replication (with D.-Y. Lim), submitted Analysis and design of microfinance services: a case of ROSCA (with D. Ahn, W. Kang, H. Shin), Engineering Economist 2017 [pdf] Saddlepoint methods for conditional expectations with applications to risk management (with S. Kim), Bernoulli 2017 [pdf] Risk analysis and hedging of Parisian options under a jump-diffusion model (with D.-Y. Lim), Journal of Futures Markets 2016 [pdf] Dynamic pricing with "BOGO" promotion in revenue management (with C.-G. Lee, S. Park), International Journal of Production Research 2016 [pdf] Computing lower bounds on basket option prices by discretizing semi-infinite linear programming (with H. Cho, K. Lee), Optimization Letters 2016 [pdf] Efficient VaR and CVaR measurement via stochastic kriging (with X. Chen), INFORMS Journal on Computing 2016 [pdf] Simulation of tempered stable Lévy bridges and its applications (with S. Kim), Operations Research 2016 [pdf] A stochastic inventory model with price quotation (with J. Liu, C.-G. Lee), IIE Transactions 2015 [pdf] A mathematical model for multi-name credit based on community flocking (with S.-Y. Ha, K. Lee), Quantitative Finance 2015 [pdf] R&D outsourcing in an innovation-driven supply chain (with M. K. Lim), Operations Research Letters 2015 [pdf] Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm (with K. S. Park), European Journal of Operational Research 2014 [pdf] Stochastic kriging with biased sample estimates (with X. Chen), ACM Transactions on Modeling and Computer Simulation 2014 [pdf] Fairing the gamma: an engineering approach to sensitivity estimation (with W. Kang, H. Shin), IIE Transactions 2014 [pdf] Evaluation and optimization of feed-in tariffs (with C.-G. Lee), Energy Policy 2012 [pdf] Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (with R. Jena, H. Xing), Stochastic Processes and their Applications 2012 [pdf] Denoising Monte Carlo sensitivity estimates (with W. Kang, H. Shin), Operations Research Letters 2012 [pdf] Gamma expansion of the Heston stochastic volatility model (with P. Glasserman), Finance and Stochastics 2011 [pdf] Stability analysis of Riccati differential equations related to affine diffusion models, Journal of Mathematical Analysis and Applications 2010 [pdf, supplement]
Moment explosions and stationary distributions in affine diffusion models (with P. Glasserman), Mathematical Finance 2010 [pdf] Saddlepoint approximations for affine jump-diffusion models (with P. Glasserman), Journal of Economic Dynamics and Control 2009 [pdf] Refereed conference proceedings Building metamodels for quantile-based measures using sectioning (with X. Chen), Proceedings of the 2013 Winter Simulation Conference [pdf] Stochastic kriging for conditional value-at-risk and its sensitivities (with X. Chen, B. L. Nelson), Proceedings of the 2012 Winter Simulation Conference [pdf] Sensitivity estimates for compound sums (with P. Glasserman), Monte Carlo and Quasi-Monte Carlo Methods 2008 [pdf] Beta approximations for bridge sampling (with P. Glasserman), Proceedings of the 2008 Winter Simulation Conference [pdf] Dissertation Affine processes in finance; numerical approximation, simulation and model properties, 2008 [pdf] |