Research Output per year
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
Network
Recent external collaboration on country level. Dive into details by clicking on the dots.
Research Output 1996 2018
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 journal › Article
Derivative
Heston Model
Model
Stochastic Volatility Model
Factor Models
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 journal › Article
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 journal › Article
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, 1Research output: Contribution to journal › Article
Stochastic Volatility
Gaussian Model
Interest Rates
Derivatives
Derivative
A closed form solution for vulnerable options with Heston's stochastic volatility
Lee, M. K., Yang, S. J. & Kim, J-H., 2016 May 1, In : Chaos, Solitons and Fractals. 86, p. 23-27 5 p.Research output: Contribution to journal › Article
Stochastic Volatility
Closed-form Solution
Default Risk
Credit Risk
Black-Scholes
Press / Media
United States Patent for Multi-Layer Capacitor Package and Package Housing Issued to Research & Business Foundation Sungkyunkwan University
18/6/20
1 item of media coverage
Press/Media: Press / Media
United States Patent for Semiconductor Device Including Two-Dimensional Material Issued to Samsung Electronics and Research & Business Foundation Sungkyunkwan University
Jeong-Hoon Kim & Gwan-Hyoung Lee
18/6/5
2 items of media coverage
Press/Media: Press / Media
Samsung diversifies board as Lee Jae-yong prepares for return
18/2/23
3 items of media coverage
Press/Media: Press / Media
Art Talk: Chun Kwang Young, and Rising Interest in Korean Modern and Contemporary Art
17/10/10
1 item of media coverage
Press/Media: Press / Media
[Interview] South Korea-US alliance “needs a new identity”
17/5/12
1 item of media coverage
Press/Media: Press / Media