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Young Shin Kim

Associate Professor, Finance


Education:
Other, Karlsruhe Institute of Technology

Office:   HH312 Harriman Hall
Email:   Aaron.Kim@stonybrook.edu

Research Interests: Financial Risk Management, Derivative pricing and hedging, Mathematical and statistical modeling with Levy Process, time varying volatility, asymmetric dependence, fattails and long range dependence.

Teaching Interests: Financial Risk management, Derivative pricing and hedging, Fixed income security, Credit risk management.

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  • Biography

    Biography of Young Shin Kim

    Dr. Young Shin Aaron Kim received his doctorate degree from Sogang University in Korea, at 2005, and completed Habilitation (Doctor of Science) process in Karlsruhe Institute of Technology, Germany, at 2011. His current professional and research interests are in area of mathematical modeling and its application to finance. He is interested in mathematical models having fat-tails, asymmetric dependence, clustering of volatility, and long range dependence, and in financial issues including financial risk management, portfolio management, and derivative pricing. Dr. Kim published dozens of research papers in internationally referred journals and awarded one patent. He is expert in computer programming and shares basic libraries and tools implemented by him.

  • Education

    Education

    SchoolDegreeMajorDate CompletedDistinction
    Karlsruhe Institute of Technology OtherFinance and Statistics2011
    Sogang UniversityPhDMathematics2005
    Sogang UniversityMAMathematics1997
    Sogang UniversityBSMathematics1995Magna cum laude
  • Scheduled Teaching

    Scheduled Teaching

    Course NamePrefixNumberSectionCreditsLevelSemesterYear
    Business AnalyticsMBA54323GraduateSpring2020
    Data Analysis for Tech MgrsTMP551801.5GraduateSpring2020
    Data Analysis for Tech MgrsTMP551811.5GraduateSpring2020
    Finance Research PracticumFIN58013GraduateSpring2020
    Mgt Science for Tech MgrsTMP552801.5GraduateSpring2020
    Mgt Science for Tech MgrsTMP552811.5GraduateSpring2020
    Business AnalyticsMBA54313GraduateFall2019
    Rsk MngmntFIN54913GraduateFall2019
    Business AnalyticsMBA543023GraduateSpring2019
    Data Analysis for Tech MgrsTMP551801.5GraduateSpring2019
    Data Analysis for Tech MgrsTMP551811.5GraduateSpring2019
    Introduction to Decision SciencesBUS220073UndergraduateSpring2019
    Mgt Science for Tech MgrsTMP552801.5GraduateSpring2019
    Mgt Science for Tech MgrsTMP552811.5GraduateSpring2019
    Probability and Statistics forFIN54013GraduateFall2018
    Rsk MngmntFIN54913GraduateFall2018
    Data Analysis for Technology ManagersTMP551801.5GraduateSpring2018
    Data Analysis for Technology ManagersTMP551811.5GraduateSpring2018
    Finance Research PracticumFIN58013GraduateSpring2018
    Management Science for Technology ManagersTMP552801.5GraduateSpring2018
    Management Science for Technology ManagersTMP552811.5GraduateSpring2018
    Rsk MngmntFIN54913GraduateSpring2018
    Data Analysis & Decision MakngMBA50313GraduateFall2017
    Probability and Statistics forFIN54013GraduateFall2017
    Finance Research PracticumFIN58013GraduateSpring2017
    MANAGERIAL ECONOMICSTMP541522GraduateSpring2017
    MANAGERIAL ECONOMICSTMP541532GraduateSpring2017
    Rsk MngmntFIN54913GraduateSpring2017
    Intro to Business StatisticsBUS21513UndergraduateFall2016
    Probability and Statistics forFIN54013GraduateFall2016
    Intro to Business StatisticsBUS21553UndergraduateSpring2016
    Rsk MngmntFIN54913GraduateSpring2016
    Intro to Business StatisticsBUS21533UndergraduateFall2015
    Probability and Statistics forFIN54013GraduateFall2015
    Data Analysis & Decision MakngMBA50323GraduateSpring2015
    Rsk MngmntFIN54913GraduateSpring2015
    Data Analysis & Decision MakngMBA50323GraduateFall2014
    Data Analysis & Decision MakngMBA50333GraduateFall2014
    Data Analysis & Decision MakngMBA50313GraduateSpring2014
    Rsk MngmntFIN54913GraduateSpring2014
    Probability and Statistics forFIN54013GraduateFall2013
  • Publications

    Publications

    TypeClassificationStatusTitleJournal NamePublisherPublication YearVolIssuePageLink
    Journal ArticleBasic or Discovery ScholarshipRevising to ResubmitLearning for infinitely divisible GARCH models in option pricing
    Journal ArticleBasic or Discovery ScholarshipPublishedLong and Short Memory in the Risk-Neutral Pricing ProcessJournal of Derivatives Institutional Investor Journals Group201926471-88
    Journal ArticleBasic or Discovery ScholarshipPublishedFoster-Hart optimization for currency portfoliosStudies in Nonlinear Dynamics and Econometrics2019232
    Journal ArticleBasic or Discovery ScholarshipPublishedEnhancing Binomial and Trinomial Equity Option Pricing ModelsFinance Research LettersElsevier201928185-190View
    Journal ArticleBasic or Discovery ScholarshipPublishedQuanto Option Pricing with Lévy ModelsComputational EconomicsSpringer20195331279–1308
    Journal ArticleBasic or Discovery ScholarshipPublishedTempered Stable Process, First Passage Time, and Path-dependent Option Pricing Computational Management ScienceSpringer2019161-2187-215
    Journal ArticleBasic or Discovery ScholarshipPublishedAnother Look at the Ho-Lee Bond Option Pricing ModelJournal of Derivatives201825448-53
    Journal ArticleBasic or Discovery ScholarshipPublishedNormal Tempered Stable Structural ModelReview of Derivatives ResearchSpringer2018211119-148
    Journal ArticleBasic or Discovery ScholarshipPublishedThe equity risk posed by the too-big-to-fail banks: A Foster-Hart estimationAnnals of Operations ResearchSpringer20172531pp 21–41
    Journal ArticleBasic or Discovery ScholarshipPublishedLong-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers CollapseApplied Mathematical Finance2016234309-322
    Journal ArticleBasic or Discovery ScholarshipPublishedMulti-Purpose binomial model: Fitting all moments to the underlying geometric Brownian motionEconomics LettersElsevier2016145225-229
    Journal ArticleBasic or Discovery ScholarshipPublishedFoster-Hart Optimal PortfoliosJournal of Banking & FinanceElsevier201668117–130
    Journal ArticleBasic or Discovery ScholarshipPublishedElliptical tempered stable distributionQuantitative FinanceRoutledge20161671069-1087
    Journal ArticleBasic or Discovery ScholarshipPublishedFull versus quasi MLE for ARMA-GARCH models with infinitely divisible innovationsApplied EconomicsRoutledge201547485147–5158
    Journal ArticleBasic or Discovery ScholarshipPublishedReward-risk momentum strategies using classical tempered stable distributionJournal of Banking & FinanceElsevier 201558194-213
    Journal ArticleBasic or Discovery ScholarshipPublishedQuanto option pricing in the presence of fat tails and asymmetric dependenceJournal of EconometricsElsevier20151872512-520
    Journal ArticleBasic or Discovery ScholarshipPublishedPeriodic portfolio revision with transaction costsMathematical Methods of Operations ResearchSpringer Berlin Heidelberg2015813 337–359
    Journal ArticleBasic or Discovery ScholarshipPublishedMultivariate Tempered Stable Model with Long-range Dependence and Time-varying VolatilityFrontiers in Applied Mathematics and StatisticsFrontiers20151View
    Journal ArticleBasic or Discovery ScholarshipPublishedOption pricing under stochastic volatility and tempered stable L'Œ©vy jumpsInternational Review of Financial AnalysisElsevier201431101–108
    Journal ArticleBasic or Discovery ScholarshipPublishedPortfolio management with heavy-tailed distributions in Islamic FinanceJournal of Islamic Economics, Banking and Finance (JIEBF)2014102114-137
    Journal ArticleBasic or Discovery ScholarshipPublishedTempered stable models for Islamic finance asset managementInternational Journal of Islamic and Middle Eastern Finance and ManagementEmerald Group Publishing Limited20147137–60
    Journal ArticleBasic or Discovery ScholarshipPublishedA binomial-tree model for convertible bond pricingThe Journal of Fixed Income201322379–94
    Journal ArticleBasic or Discovery ScholarshipPublishedMultivariate stable distributions and generating densitiesApplied Mathematics LettersElsevier2013263324–329
    Journal ArticleBasic or Discovery ScholarshipPublishedOption pricing with time-changed Levy processesApplied Financial EconomicsTaylor & Francis201323151231–1238
    Journal ArticleBasic or Discovery ScholarshipPublishedSystematic risk measurement in the global banking stock market with time series analysis and CoVaRInvestment Management and Financial Innovations2013101184–196
    Journal ArticleBasic or Discovery ScholarshipPublishedNormal tempered stable copulaApplied Mathematics LettersElsevier2013267676–680
    Journal ArticleBasic or Discovery ScholarshipPublishedEmpirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US dataStudies in Nonlinear Dynamics and EconometricsDe Gruyter2013172167–177
    Journal ArticleBasic or Discovery ScholarshipPublishedMeasuring financial risk and portfolio optimization with a non-Gaussian multivariate modelAnnals of operations researchSpringer20122011325–343
    Journal ArticleBasic or Discovery ScholarshipPublishedThe fractional multivariate normal tempered stable processApplied Mathematics LettersElsevier BV201225122396-2401View
    Journal ArticleBasic or Discovery ScholarshipPublishedApproximation of skewed and leptokurtic return distributionsApplied Financial EconomicsTaylor & Francis201222161305–1316
    Journal ArticleBasic or Discovery ScholarshipPublishedApproximation of stable and geometric stable distributionsJournal of Statistical and Econometric Methods20121397–123
    Journal ArticleBasic or Discovery ScholarshipPublishedOption pricing and hedging under a stochastic volatility L'Œ©vy process modelReview of Derivatives ResearchSpringer201215181–97
    Journal ArticleBasic or Discovery ScholarshipPublishedThe fractional multivariate normal tempered stable processApplied Mathematics LettersElsevier201225122396–2401
    Journal ArticleBasic or Discovery ScholarshipPublishedTime Series and Copula Dependency Analysis for Eurozone Sovereign Bond ReturnsThe Journal of Fixed Income201224175–87
    Technical ReportBasic or Discovery ScholarshipPublishedOption pricing with regime switching tempered stable processesWorking Paper Series in Economics, Karlsruher Institut für Technologie (KIT)201243View
    Journal ArticleBasic or Discovery ScholarshipPublishedTempered infinitely divisible distributions and processesTheory of Probability & Its ApplicationsSIAM20115512–26
    Journal ArticleBasic or Discovery ScholarshipPublishedTime series analysis for financial market meltdownsJournal of Banking & FinanceElsevier20113581879–1891
    Journal ArticleBasic or Discovery ScholarshipPublishedTempered stable and tempered infinitely divisible GARCH modelsJournal of Banking & FinanceElsevier 20103492096–2109
    Journal ArticleBasic or Discovery ScholarshipPublishedBarrier option pricing by branching processesInternational Journal of Theoretical and Applied FinanceWorld Scientific20091271055–1073
    Journal ArticleBasic or Discovery ScholarshipPublishedComputing VaR and AVaR in infinitely divisible distributionsProbability and Mathematical Statistics2009302223-245
    Journal ArticleBasic or Discovery ScholarshipPublishedThe modified tempered stable distribution, GARCH-models and option pricingProbability and Mathematical statistics200929191–117
    Journal ArticleBasic or Discovery ScholarshipPublishedFinancial market models with Levy processes and time-varying volatilityJournal of Banking & FinanceElsevier20083271363–1378
    Journal ArticleBasic or Discovery ScholarshipPublishedThe relative entropy in CGMY processes and its applications to financeMathematical Methods of Operations ResearchSpringer2007662327–338
  • Intellectual Properties

    Intellectual Properties

    TitleFormatIDMonthYear
    System And Method For Estimating Portfolio Risk Using An Infinitely Divisible DistributionPatentUS8301537 B1October2012
  • Presentations

    Presentations

    TitleTypeMeetingNameOrganizationStateCountryClassificationMonthYear
    Stochastic Covariance model, application to option pricing.PaperConferenceInternational Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on FinTech BusinessNational Institute for Mathematical Sciences (NIMS) and National Research Foundation of Korea (NRF)South KoreaBasic or Discovery ScholarshipAugust2018
    First Passage Time for Tempered Stable Process and Its Application to Derivatives PricingOral PresentationSeminarFinancial Mathematics SeminarSookmyung University and NRFSouth KoreaBasic or Discovery ScholarshipJune2017
    Long and Short Memory in the Risk-neutral Pricing Process PaperConferenceComputational Management Science 2017University of Bergamo, Georgia Institute of Technology and CMS JournalItalyBasic or Discovery ScholarshipMay2017
    Risk Management in High Frequency TradingOral PresentationSeminarZarb Analytics Initiatives IIIZarb Business School, Hofstra UniveristyNYUnited StatesBasic or Discovery ScholarshipMarch2017
    Risk Management in High Frequency TradingOral PresentationConferenceConference on Quantitative Method for Financial RegulationLabex REFI and Stony Brook UniversityNYUnited StatesBasic or Discovery ScholarshipSeptember2016
    Fractional Levy Process and Option PricingOral PresentationConferenceConference on Quantitative Method for Financial RegulationLabex REFI and Stony Brook UniversityNYUnited StatesBasic or Discovery ScholarshipSeptember2016
    Fractional Levy Process and Option PricingPaperBFS World CongressBasic or Discovery ScholarshipJuly2016
    Foster-Hart Risk and the Too-big-to-Fail BanksPaperInternational Conference on Game Theory, Stony Brook Center For Game Theory Stony Brook UniversityNYUnited StatesBasic or Discovery ScholarshipJuly2015
    Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers CollapsePaperECares Brussels Belgium, Invited talk Basic or Discovery ScholarshipMarch2015
    Multivariate Fractional Levy Model with Time varying volatilityJSM 2014 in Boston- Risk Management in Financial Markets, Invited talkBasic or Discovery ScholarshipAugust2014
    Multivariate Normal Tempered Stable DistributionPaperUniversity of Bergamo Basic or Discovery ScholarshipJune2012