Zobrazeno 1 - 10
of 761
pro vyhledávání: '"KIM, YOUNG SHIN"'
Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence
Autor:
Kim, Young Shin, Kim, Hyun-Gyoon
In this study, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model. We introduce a new multivariate Levy process model named the generalized normal tempered stable (gNT
Externí odkaz:
http://arxiv.org/abs/2402.17919
Autor:
Kim, Young Shin
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to the relative portfolio optimizati
Externí odkaz:
http://arxiv.org/abs/2303.12209
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two well-known GARCH-type option pricing models: Duan's GARCH and the cla
Externí odkaz:
http://arxiv.org/abs/2303.08760
Publikováno v:
In Journal of Manufacturing Processes 17 January 2025 133:682-691
Autor:
Barr, Cathy L., Batterson, James R., Berlin, Cheston, Budman, Cathy L., Coppola, Giovanni, Cox, Nancy J., Darrow, Sabrina, Dion, Yves, Freimer, Nelson B., Grados, Marco A., Greenberg, Erica, Hirschtritt, Matthew E., Huang, Alden Y., Illmann, Cornelia, King, Robert A., Kurlan, Roger, Leckman, James F., Lyon, Gholson J., Malaty, Irene A., McMahon, William M., Neale, Benjamin M., Okun, Michael S., Osiecki, Lisa, Robertson, Mary M., Rouleau, Guy A., Sandor, Paul, Singer, Harvey S., Smit, Jan H., Sul, Jae Hoon, Androutsos, Christos, Basha, Entela, Farkas, Luca, Fichna, Jakub, Janik, Piotr, Kapisyzi, Mira, Karagiannidis, Iordanis, Koumoula, Anastasia, Nagy, Peter, Puchala, Joanna, Szejko, Natalia, Szymanska, Urszula, Tsironi, Vaia, Apter, Alan, Ball, Juliane, Bodmer, Benjamin, Bognar, Emese, Buse, Judith, Vela, Marta Correa, Fremer, Carolin, Garcia-Delgar, Blanca, Gulisano, Mariangela, Hagen, Annelieke, Hagstrøm, Julie, Madruga-Garrido, Marcos, Pellico, Alessandra, Ruhrman, Daphna, Schnell, Jaana, Silvestri, Paola Rosaria, Skov, Liselotte, Steinberg, Tamar, Gloor, Friederike Tagwerker, Turner, Victoria L., Weidinger, Elif, Alexander, John, Aranyi, Tamas, Buisman, Wim R., Buitelaar, Jan K., Driessen, Nicole, Drineas, Petros, Fan, Siyan, Forde, Natalie J., Gerasch, Sarah, van den Heuvel, Odile A., Jespersgaard, Cathrine, Kanaan, Ahmad S., Möller, Harald E., Nawaz, Muhammad S., Nespoli, Ester, Pagliaroli, Luca, Poelmans, Geert, Pouwels, Petra J.W., Rizzo, Francesca, Veltman, Dick J., van der Werf, Ysbrand D., Widomska, Joanna, Zilhäo, Nuno R., Brown, Lawrence W., Cheon, Keun-Ah, Coffey, Barbara J., Fernandez, Thomas V., Gilbert, Donald L., Hong, Hyun Ju, Ibanez-Gomez, Laura, Kim, Eun-Joo, Kim, Young Key, Kim, Young-Shin, Koh, Yun-Joo, Kook, Sodahm, Kuperman, Samuel, Leventhal, Bennett L., Maras, Athanasios, Murphy, Tara L., Shin, Eun-Young, Song, Dong-Ho, Song, Jungeun, State, Matthew W., Visscher, Frank, Wang, Sheng, Zinner, Samuel H., Tsetsos, Fotis, Topaloudi, Apostolia, Jain, Pritesh, Yang, Zhiyu, Yu, Dongmei, Kolovos, Petros, Tumer, Zeynep, Rizzo, Renata, Hartmann, Andreas, Depienne, Christel, Worbe, Yulia, Müller-Vahl, Kirsten R., Cath, Danielle C., Boomsma, Dorret I., Wolanczyk, Tomasz, Zekanowski, Cezary, Barta, Csaba, Nemoda, Zsofia, Tarnok, Zsanett, Padmanabhuni, Shanmukha S., Buxbaum, Joseph D., Grice, Dorothy, Glennon, Jeffrey, Stefansson, Hreinn, Hengerer, Bastian, Yannaki, Evangelia, Stamatoyannopoulos, John A., Benaroya-Milshtein, Noa, Cardona, Francesco, Hedderly, Tammy, Heyman, Isobel, Huyser, Chaim, Mir, Pablo, Morer, Astrid, Mueller, Norbert, Munchau, Alexander, Plessen, Kerstin J., Porcelli, Cesare, Roessner, Veit, Walitza, Susanne, Schrag, Anette, Martino, Davide, Tischfield, Jay A., Heiman, Gary A., Willsey, A. Jeremy, Dietrich, Andrea, Davis, Lea K., Crowley, James J., Mathews, Carol A., Scharf, Jeremiah M., Georgitsi, Marianthi, Hoekstra, Pieter J., Paschou, Peristera
Publikováno v:
In Biological Psychiatry 15 July 2024 96(2):114-124
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with an equally
Externí odkaz:
http://arxiv.org/abs/2106.09055
Autor:
Kim, Young Shin
This paper proposes the sample path generation method for the stochastic volatility version of CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to
Externí odkaz:
http://arxiv.org/abs/2101.11001
Autor:
Kurosaki, Tetsuo, Kim, Young Shin
We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate normal tempered stable (MNTS) distributed residuals used to capture t
Externí odkaz:
http://arxiv.org/abs/2010.08900
Publikováno v:
J. Risk Financial Manag. 2022, 15(5), 230
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS
Externí odkaz:
http://arxiv.org/abs/2009.11367
Autor:
Kim, Young Shin
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribution and the tempered stable subordinator. This distribution is able to
Externí odkaz:
http://arxiv.org/abs/2007.13972