Risk Analysis and Management Lab


Publications
  1. Ahn, D. and K.-K. Kim. Efficient simulation for expectations over the union of half-spaces, ACM Transactions on Modeling and Computer Simulation, 2017 [PDF]
  2. Ahn, D., W. Kang, K.-K. Kim, and H. Shin. Analysis and Design of Microfinance Services: A Case of ROSCA, The Engineering Economist, 62(3):197-230, 2017. [PDF]
  3. Kim, S. and K.-K. Kim. Saddlepoint methods for conditional expectations with applications to risk management, Bernoulli, 23(3):1481-1517, 2017. [PDF]
  4. Kim, K.-K. and D.-Y. Lim. Risk analysis and hedging of Parisian options under a jump-diffusion model, Journal of Futures Markets, 36(9):819-850, 2016. [PDF]
  5. Cho, H., K.-K. Kim, and K. Lee. Computing lower bounds on basket option prices by discretizing semi-infinite linear programming, Optimization Letters, 10(8):1629-1644, 2016. [PDF]
  6. Kim, K.-K., S. Park, and C.-G. Lee. Dynamic pricing with "BOGO" promotion in revenue management, International Journal of Production Research, 54(17):5283-5302, 2016. [PDF]
  7. Kim, K.-K. and S. Kim. Simulation of tempered stable Lévy bridges and its applications, Operations Research, 64(2):495-509, 2016. [PDF]

Conference Presentations
  1. Ryu, H., Optimal long-term energy mix under carbon emission constraint, 2016 KIIE Fall Conference (joint work with K.-K. Kim, S. Lee, J. Lee, and D. Kim)
  2. Kim, D., Discounting long-term public investments under model uncertainty, 2016 INFORMS Annual Meeting (joint work with K.-K. Kim and J. Lee)
  3. Lim, D.-Y., Static hedging and pricing with integral equations under the JDCEV model, 2016 INFORMS Annual Meeting (joint work with K.-K. Kim)
  4. Ryu, H., Multilevel Monte Carlo method for the Heston model, 2016 KORMS Fall Conference (joint work with K.-K. Kim)
  5. Kim, D., Research on social discount rate for public investment projects, 2015 KIIE Fall Conference (joint work with K.-K. Kim, J. Lee, and G. Ju)
  6. Lim, D.-Y., Static hedging of exotic options under the JDCEV model via an integral equation theory, 2015 KIIE Fall Conference (joint work with K.-K. Kim)
  7. Park, S., Fashion sales forecasting by using product images, 2015 KIIE Fall Conference (joint work with K.-K. Kim)
  8. Ahn, D., Systemic risk analytics in financial networks: analysis and numerical Methods, 2015 KORMS Fall Conference (joint work with K.-K. Kim)
    *1st place, Best Paper Competition, KORMS Fall Conference
  9. Kim, S., Saddlepoint approximations for conditional expectations with applications to risk management, the 3rd Asian Quantitative Finance Conference 2015 (joint work with K.-K. Kim)
    *Finalist, Best Student Paper Competition, the 3rd Asian Quantitative Finance Conference 2015
  10. Ahn, D., Modeling and simulation of cascading failures in financial networks, 2014 KIIE Fall Conference (joint work with K.-K. Kim)
  11. Lim, D.-Y., Risk analysis and hedging of Parisian options, 2014 INFORMS Annual Meeting (joint work with K.-K. Kim)
    *2nd place, Best Student Paper Competition, INFORMS Financial Services Section
  12. Ahn, D., A study on the optimal design of ROSCA, 2014 KORMS Fall Conference (joint work with W. Kang, K.-K. Kim, and H. Shin)
  13. Kim, S., Risk measure sensitivity via saddlepoint methods, 2014 KORMS Fall Conference (joint work with K.-K. Kim)
  14. Kim, S., Simulation of tempered stable Lévy bridges and its applications to option pricing, the 8th World Congress of the Bachelier Finance Society (joint work with K.-K. Kim)
  15. Kim, S., A method of automatic schema evolution on DBpedia Korea, 2014 KIPS Spring Conference (joint work with J.-G. Lee)
  16. Lim, D.-Y., Pricing and risk decomposition of a Parisian option, 2013 KORMS Fall Conference (joint work with K.-K. Kim)
  17. Ju, G., Liquidity measurement with bayesian update in a micro-movement model, 2013 KORMS Fall Conference (joint work with K.-K. Kim and K. Lee)
  18. Cho, H., Static-arbitrage bounds on basket option orice via linear programming, 2013 KIIE & KORMS Spring Joint Conference (joint work with K.-K. Kim and K. Lee)
  19. Ahn, D., A study on the profitability of ROSCA, 2012 KIIE Fall Conference (joint work with W. Kang, K.-K. Kim, and H. Shin)
  20. Park, S., 'Buy one get one with discount' promotional strategy, 2012 KIIE & KORMS Spring Joint Conference (joint work with K.-K. Kim and C.-G. Lee)

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E-mail. risklab.kaist(at)gmail.com

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