논문 및 연구활동 |
- 연구활동(주요논문)
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[논문]
김현균, 조소윤, 김정훈,
A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
, COMPUTATIONAL & APPLIED MATHEMATICS
, Vol.42
, No.6
, pp.296
-296
(Aug, 2023)
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[논문]
김현균, 김정훈,
A stochastic-local volatility model with Levy jumps for pricing derivatives
, APPLIED MATHEMATICS AND COMPUTATION
, Vol.451
, pp.128034
-128034
(Aug, 2023)
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[논문]
김태경, 김현균, 허정규,
Large-scale online learning of implied volatilities
, EXPERT SYSTEMS WITH APPLICATIONS
, Vol.203
, pp.117365
-117365
(Oct, 2022)
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[논문]
김현균, 권세진, 김정훈, 허정규,
Pricing path-dependent exotic options with flow-based generative networks
, APPLIED SOFT COMPUTING
, Vol.124
, pp.109049
-109049
(Jul, 2022)
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[논문]
김현균, 권세진, 김정훈,
Fractional stochastic volatility correction to CEV implied volatility
, QUANTITATIVE FINANCE
, Vol.21
, No.4
, pp.565
-574
(Apr, 2021)
- 국제학술논문지
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[논문]
김현균, 김시우, 김정훈,
Variance and volatility swaps and options under the exponential Ornstein Uhlenbeck model
, North American Journal of Economics and Finance
, Vol.72
, pp.102155
-102155
(May, 2024)
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[논문]
김현균, 조소윤, 김정훈,
A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
, COMPUTATIONAL & APPLIED MATHEMATICS
, Vol.42
, No.6
, pp.296
-296
(Aug, 2023)
-
[논문]
김현균, 김정훈,
A stochastic-local volatility model with Levy jumps for pricing derivatives
, APPLIED MATHEMATICS AND COMPUTATION
, Vol.451
, pp.128034
-128034
(Aug, 2023)
-
[논문]
김현균, Jiling Cao, Wenjun Zhang, 김정훈,
A Mellin transform approach to pricing barrier options under stochastic elasticity of variance
, APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
, Vol.39
, No.2
, pp.160
-176
(Mar, 2023)
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[논문]
김현균, 김정훈,
Forecasting the elasticity of variance with LSTM recurrent neural networks
, INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS
, Vol.100
, No.1
, pp.209
-218
(Jan, 2023)
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[논문]
이건, 김현균, 김태경, 허정규,
Newton–Raphson emulation network for highly efficient computation of numerous implied volatilities
, JOURNAL OF RISK AND FINANCIAL MANAGEMENT
, Vol.15
, No.12
, pp.616
-623
(Dec, 2022)
-
[논문]
김태경, 김현균, 허정규,
Large-scale online learning of implied volatilities
, EXPERT SYSTEMS WITH APPLICATIONS
, Vol.203
, pp.117365
-117365
(Oct, 2022)
-
[논문]
김현균, 권세진, 김정훈, 허정규,
Pricing path-dependent exotic options with flow-based generative networks
, APPLIED SOFT COMPUTING
, Vol.124
, pp.109049
-109049
(Jul, 2022)
-
[논문]
김현균, 권세진, 김정훈,
Fractional stochastic volatility correction to CEV implied volatility
, QUANTITATIVE FINANCE
, Vol.21
, No.4
, pp.565
-574
(Apr, 2021)
-
[논문]
김성태, 김현균, 김정훈,
ELS pricing and hedging in a fractional Brownian motion environment
, CHAOS SOLITONS & FRACTALS
, Vol.142
, pp.110453
-110453
(Jan, 2021)
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