Kyoung-Kuk Kim

Affiliate Professor, Mathematical Sciences, KAIST

CV (last updated: Mar 2018)

Research interests 

Stochastic modeling & simulation

Decision making under uncertainty 

Pricing and risk analytics in finance, energy, and operations 

Journal articles 

Term structures and scenario-based social discount rates under smooth ambiguity (with D. Kim, J. Lee), working paper 

On default probabilities in financial networks (with D. Ahn, N. Chen), submitted    

Learning multi-market microstructure from order book data (with G. Ju, D.-Y. Lim), submitted   

Robust quantile estimation under bivariate extreme value models (with S. Kim, H. Ryu), submitted    

Integral equation based approach for static options replication (with D.-Y. Lim), submitted [ssrn]   

A recursive method for static replication of autocallable structured products (with D.-Y. Lim), Quantitative Finance, 3rd round review 

Efficient simulation for expectations over the union of half-spaces (with D. Ahn), ACM Transactions on Modeling and Computer Simulation, accepted [pdf]

Analysis and design of microfinance services: a case of ROSCA (with D. Ahn, W. Kang, H. Shin), The 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


Affine processes in finance; numerical approximation, simulation and model properties, 2008 [pdf]