• 463 Citations
  • 13 h-Index
19962019
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Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Stochastic Volatility Mathematics
Controllability Engineering & Materials Science
Elasticity Mathematics
Volatility Mathematics
Pricing Mathematics
Fixed point theorem Mathematics
European Options Mathematics
Stochastic Volatility Model Mathematics

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Research Output 1996 2019

  • 463 Citations
  • 13 h-Index
  • 71 Article
  • 2 Comment/debate

Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility

Kim, S. W. & Kim, J-H., 2019 Apr 1, In : North American Journal of Economics and Finance. 48, p. 149-169 21 p.

Research output: Contribution to journalArticle

Stochastic volatility
Variance swap
Stochastic volatility model
Factors
Mean reversion

A scaled version of the double-mean-reverting model for VIX derivatives

Huh, J., Jeon, J. & Kim, J-H., 2018 Sep 1, In : Mathematics and Financial Economics. 12, 4, p. 495-515 21 p.

Research output: Contribution to journalArticle

Derivative
Heston Model
Model
Stochastic Volatility Model
Factor Models
1 Citation (Scopus)

Pricing of defaultable options with multiscale generalized Heston's stochastic volatility

Lee, M. K. & Kim, J-H., 2018 Feb 1, In : Mathematics and Computers in Simulation. 144, p. 235-246 12 p.

Research output: Contribution to journalArticle

Stochastic Volatility
Pricing
Stochastic models
Heston Model
Default Risk

A multiscale extension of the Margrabe formula under stochastic volatility

Kim, J-H. & Park, C. R., 2017 Apr 1, In : Chaos, Solitons and Fractals. 97, p. 59-65 7 p.

Research output: Contribution to journalArticle

Stochastic Volatility
Pricing
Computational Finance
Financial Derivatives
Mean Reversion

Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model

Yoon, J. H., Kim, J-H., Choi, S. Y. & Han, Y., 2017 Feb 1, In : Stochastics and Dynamics. 17, 1

Research output: Contribution to journalArticle

Stochastic Volatility
Gaussian Model
Interest Rates
Derivatives
Derivative