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Young Shin Kim

Associate Professor, Management, Finance


Education:
Other, [Dr. habil.] 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, in 2005, and completed Habilitation (Doctor of Science) process at Karlsruhe Institute of Technology, Germany, in 2011. His current professional and research interests are in the 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 more than 40 research papers in internationally refereed journals and awarded one patent. He is an expert in computer programming and shares basic libraries and tools implemented by him.

  • Education

    Education

    SchoolDegreeMajorDate CompletedDistinction
    [Dr. habil.] Karlsruhe Institute of Technology OtherFinance and Statistics2011
    Sogang UniversityPhDMathematics2005
    Sogang UniversityMAMathematics1997
    Sogang UniversityBSMathematics1995Magna cum laude
  • Scheduled Teaching

    Scheduled Teaching

    Course NamePrefixNumberSectionCreditsLevelSemesterYear
    Business AnalyticsTMP560802GraduateSpring2021
    Business AnalyticsTMP560812GraduateSpring2021
    DATA ANALYSISTMP551802Spring2021
    DATA ANALYSISTMP551812Spring2021
    Finance Research PracticumFIN58013GraduateSpring2021
    Financial ManagementBUS365303UndergraduateSpring2021
    MANAGEMENT SCIENCETMP552802GraduateSpring2021
    MANAGEMENT SCIENCETMP552812GraduateSpring2021
    Business AnalyticsMBA54323GraduateFall2020
    Rsk MngmntFIN54913GraduateFall2020
    Business AnalyticsMBA54323GraduateSpring2020
    Business AnalyticsTMP560801.5GraduateSpring2020
    Business AnalyticsTMP560811.5GraduateSpring2020
    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 ScholarshipAcceptedTempered Stable Processes with Time Varying Exponential TailsQuantitative FinanceTaylor & Francis
    Journal ArticleBasic or Discovery ScholarshipAcceptedSystemic Risk Modeling with Levy Copulasjournal of risk financial managementMDPI2021146251View
    Journal ArticleBasic or Discovery ScholarshipAcceptedFactor Copula Model for Portfolio Credit RiskInternational Journal of Theoretical and Applied FinanceWorld Scientific
    Journal ArticleBasic or Discovery ScholarshipAcceptedCryptocurrency portfolio optimization with multivariate normal tempered stable process and Foster-Hart riskFinance Research LettersElsevierView
    Journal ArticleBasic or Discovery ScholarshipAcceptedCoherent Risk Measure and Normal Mixture Distributions with Application in Portfolio Optimization and Risk AllocationInternational Journal of Theoretical and Applied FinanceWorld ScientificView
    Journal ArticleBasic or Discovery ScholarshipWorking PaperPortfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation View
    Journal ArticleBasic or Discovery ScholarshipPublishedSample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricingJournal of Risk and Financial ManagementMDPI202114277View
    Journal ArticleBasic or Discovery ScholarshipPublishedA New Stochastic Process with Long-Range DependenceJournal of Statistical Theory and ApplicationsAtlantis Press20201913432 - 438View
    Journal ArticleBasic or Discovery ScholarshipWorking PaperPortfolio Optimization on the Dispersion Risk and the Asymmetric Tail RiskView
    Journal ArticleBasic or Discovery ScholarshipPublishedOption Pricing in Markets with Informed TradersInternational Journal of Theoretical and Applied Finance World Scientific 20202306View
    Journal ArticleBasic or Discovery ScholarshipPublishedLearning for infinitely divisible GARCH models in option pricingStudies in Nonlinear Dynamics and EconometricsDe Gruyter2020View
    Journal ArticleBasic or Discovery ScholarshipPublishedLong and Short Memory in the Risk-Neutral Pricing ProcessJournal of Derivatives Institutional Investor Journals Group201926471-88View
    Journal ArticleBasic or Discovery ScholarshipPublishedFoster-Hart optimization for currency portfoliosStudies in Nonlinear Dynamics and EconometricsDe Gruyter2019232View
    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 EconomicsSpringer20195331279–1308View
    Journal ArticleBasic or Discovery ScholarshipPublishedTempered Stable Process, First Passage Time, and Path-dependent Option Pricing Computational Management ScienceSpringer2019161-2187-215View
    Journal ArticleBasic or Discovery ScholarshipPublishedAnother Look at the Ho-Lee Bond Option Pricing ModelJournal of DerivativesPMR201825448-53View
    Journal ArticleBasic or Discovery ScholarshipPublishedTempered stable structural model in pricing credit spread and credit default swapReview of Derivatives ResearchSpringer2018211119-148View
    Journal ArticleBasic or Discovery ScholarshipPublishedThe equity risk posed by the too-big-to-fail banks: A Foster-Hart estimationAnnals of Operations ResearchSpringer20172531pp 21–41View
    Journal ArticleBasic or Discovery ScholarshipPublishedLong-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers CollapseApplied Mathematical FinanceRoutledge2016234309-322View
    Journal ArticleBasic or Discovery ScholarshipPublishedMulti-Purpose binomial model: Fitting all moments to the underlying geometric Brownian motionEconomics LettersElsevier2016145225-229View
    Journal ArticleBasic or Discovery ScholarshipPublishedFoster-Hart Optimal PortfoliosJournal of Banking & FinanceElsevier201668117–130View
    Journal ArticleBasic or Discovery ScholarshipPublishedElliptical tempered stable distributionQuantitative FinanceRoutledge20161671069-1087View
    Journal ArticleBasic or Discovery ScholarshipPublishedFull versus quasi MLE for ARMA-GARCH models with infinitely divisible innovationsApplied EconomicsRoutledge201547485147–5158View
    Journal ArticleBasic or Discovery ScholarshipPublishedReward-risk momentum strategies using classical tempered stable distributionJournal of Banking & FinanceElsevier 201558194-213View
    Journal ArticleBasic or Discovery ScholarshipPublishedQuanto option pricing in the presence of fat tails and asymmetric dependenceJournal of EconometricsElsevier20151872512-520View
    Journal ArticleBasic or Discovery ScholarshipPublishedPeriodic portfolio revision with transaction costsMathematical Methods of Operations ResearchSpringer Berlin Heidelberg2015813 337–359View
    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 Levy jumpsInternational Review of Financial AnalysisElsevier201431101–108View
    Journal ArticleBasic or Discovery ScholarshipPublishedPortfolio management with heavy-tailed distributions in Islamic FinanceJournal of Islamic Economics, Banking and Finance (JIEBF)2014102114-137View
    Journal ArticleBasic or Discovery ScholarshipPublishedTempered stable models for Islamic finance asset managementInternational Journal of Islamic and Middle Eastern Finance and ManagementEmerald Group Publishing Limited20147137–60View
    Journal ArticleBasic or Discovery ScholarshipPublishedA binomial-tree model for convertible bond pricingThe Journal of Fixed Income201322379–94View
    Journal ArticleBasic or Discovery ScholarshipPublishedMultivariate stable distributions and generating densitiesApplied Mathematics LettersElsevier2013263324–329View
    Journal ArticleBasic or Discovery ScholarshipPublishedOption pricing with time-changed Levy processesApplied Financial EconomicsRoutledge201323151231–1238View
    Journal ArticleBasic or Discovery ScholarshipPublishedSystematic risk measurement in the global banking stock market with time series analysis and CoVaRInvestment Management and Financial Innovations2013101184–196View
    Journal ArticleBasic or Discovery ScholarshipPublishedNormal tempered stable copulaApplied Mathematics LettersElsevier2013267676–680View
    Journal ArticleBasic or Discovery ScholarshipPublishedEmpirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US dataStudies in Nonlinear Dynamics and EconometricsDe Gruyter2013172167–177View
    Journal ArticleBasic or Discovery ScholarshipPublishedMeasuring financial risk and portfolio optimization with a non-Gaussian multivariate modelAnnals of operations researchSpringer20122011325–343View
    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 & Francis201222161305–1316View
    Journal ArticleBasic or Discovery ScholarshipPublishedApproximation of stable and geometric stable distributionsJournal of Statistical and Econometric Methods20121397–123View
    Journal ArticleBasic or Discovery ScholarshipPublishedOption pricing and hedging under a stochastic volatility Levy process modelReview of Derivatives ResearchSpringer201215181–97View
    Journal ArticleBasic or Discovery ScholarshipPublishedTime Series and Copula Dependency Analysis for Eurozone Sovereign Bond ReturnsThe Journal of Fixed Income201224175–87View
    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 ApplicationsSIAM20115512–26View
    Journal ArticleBasic or Discovery ScholarshipPublishedTime series analysis for financial market meltdownsJournal of Banking & FinanceElsevier20113581879–1891View
    Journal ArticleBasic or Discovery ScholarshipPublishedTempered stable and tempered infinitely divisible GARCH modelsJournal of Banking & FinanceElsevier 20103492096–2109View
    OtherBasic or Discovery ScholarshipPublishedTempered stable models and finance Karlsruhe, KIT, Habil.-Schrift, 20102010View
    Journal ArticleBasic or Discovery ScholarshipPublishedBarrier option pricing by branching processesInternational Journal of Theoretical and Applied FinanceWorld Scientific20091271055–1073View
    Journal ArticleBasic or Discovery ScholarshipPublishedComputing VaR and AVaR in infinitely divisible distributionsProbability and Mathematical Statistics2009302223-245View
    Journal ArticleBasic or Discovery ScholarshipPublishedThe modified tempered stable distribution, GARCH-models and option pricingProbability and Mathematical statistics200929191–117View
    Journal ArticleBasic or Discovery ScholarshipPublishedFinancial market models with Levy processes and time-varying volatilityJournal of Banking & FinanceElsevier20083271363–1378View
    Journal ArticleBasic or Discovery ScholarshipPublishedThe relative entropy in CGMY processes and its applications to financeMathematical Methods of Operations ResearchSpringer2007662327–338View
    OtherBasic or Discovery ScholarshipPublishedThe modified tempered stable processes with application to financeDoctoral Thesis2005View
  • 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