Financial Derivatives with Stochastic Volatility

Jeong-Hoon Kim

한국산업응용수학회 학술대회 논문집

2004 .12

OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

MI-HYUN KIM ,  JEONG-HOON KIM ,  JI-HUN YOON

JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS

2015 .12

COMPARISON OF STOCHASTIC VOLATILITY MODELS : EMPIRICAL STUDY ON KOSPI200 INDEX OPTIONS

Kyoung-Sook MOON ,  Jung-Yon SEON ,  Choongseok YOON 외 1명

한국산업응용수학회 학술대회 논문집

2007 .11

IGARCH and Stochastic Volatility：Case Study

S. Y. Hwang ,  J. A. Pa ,  k

한국데이터정보과학회지

2005 .12

No Low Volatility Effect in Low Volatility Market

정현종 ,  강형구

Journal of The Korean Data Analysis Society

2015 .01

OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES

김주홍

순수 및 응용수학

2014 .01

Pricing of Quanto option under the Hull and White stochastic volatility model

박지호 ,  이재성 ,  이영록

대한수학회논문집

2013 .01

Local volatility for quanto option prices with stochastic interest rates

이영록 ,  이재성

한국수학논문집

2015 .01

Option pricing for a stochastic volatility L$\acute{e}$vy model with stochastic interest rates

Sattayatham ,  P. ,  Pinkham 외 1명

JKSS(Journal of the Korean Statistical Society)

2013 .01

The CUSUM test for stochastic volatility models

Moo Sup Kim ,  Sang Yeol Lee

한국데이터정보과학회지

2010 .12

Comparison of stochastic volatility models: Empirical study on KOSPI 200 index options

문경숙 ,  Jung-Yon Seon ,  위인숙 외 1명

대한수학회보

2009 .01

Realized Volatility Dynamics in Commodity Futures Markets : Application of the Long Memory Model

송정석

Journal of The Korean Data Analysis Society

2008 .01

A Simple Approach for Stochastic Interest Rate Option Pricing Model

Jung-Soon Hyun ,  Young-Hee Kim

한국산업응용수학회 학술대회 논문집

2005 .05

Numerical Solutions of Stochastic Optimal Control problems using Stochastic Collocation method

Na ,  y Kim

한국산업응용수학회 학술대회 논문집

2011 .11

Negative Asymmetric Relationship between VKOSPI and KOSPI 200

김선웅

Journal of The Korean Data Analysis Society

2010 .01

Herd behavior and volatility in financial markets

Beum Jo Pa ,  k

한국데이터정보과학회지

2011 .12

범위변동성을 이용한 저변동성 투자전략

옥기율 ,  이민규

Journal of The Korean Data Analysis Society

2019 .01

The pricing of quanto options in the double square root stochastic volatility model

이영록 ,  이재성

대한수학회논문집

2014 .01