Search Results - "Choe, Geon Ho"

Closed‐form lower bounds for the price of arithmetic average Asian options by multiple conditioning by Choe, Geon Ho, Kim, Minseok

“…We present closed‐form lower bounds for the price of arithmetic average Asian options under geometric Brownian motion. Lower bounds are found by conditioning…”
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A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfolios by Choi, So Eun, Jang, Hyun Jin, Choe, Geon Ho

“…This study investigates the evolution of systemic risk inherent in investment-grade (IG) and high-yield (HY) CDS portfolios and compares the portfolios before…”
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Limit properties of continuous self-exciting processes by Kim, Gunhee, Choe, Geon Ho

“…We introduce a self-exciting continuous process based on Brownian motion, and derive its limit properties. We find conditions when the limit behaviors of the…”
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Tests of randomness by the gambler’s ruin algorithm by Kim, Chihurn, Choe, Geon Ho, Kim, Dong Han

“…In the gambler’s ruin algorithm on the cyclic group Z n = { 0 , 1 , … , n - 1 } we consider arrival time at 0 starting from a fixed point x ≠ 0 and use several…”
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Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes by Choe, Geon Ho, Jang, Hyun Jin, Na, Young Hoon

“…In this paper, we study fast pricing methods for contingent convertible bonds (CoCos). Based on two-dimensional stochastic processes, we propose two pricing…”
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High Moment Variations and Their Application by Choe, Geon Ho, Lee, Kyungsub

“…We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed…”
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Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness by Choe, Geon Ho, Choi, So Eun, Jang, Hyun Jin

“…This study assesses systemic risk inherent in credit default swap (CDS) indices using empirical and statistical analyses. We define systemic risk in two…”
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Numerical computation of hitting time distributions of increasing Lévy processes by Choe, Geon Ho, Lee, Dong Min

“…We introduce a method for computation of hitting time distribution of an increasing Lévy process using the inverse Fourier transform and the Hilbert transform…”
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Conditional correlation in asset return and GARCH intensity model by Choe, Geon Ho, Lee, Kyungsub

“…In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To…”
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High moment variations and their application by Choe, Geon Ho, Lee, Kyungsub

“…We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed…”
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High precision numerical estimation of the largest Lyapunov exponent by Kim, Bong Jo, Choe, Geon Ho

“…A numerical algorithm for estimating the largest Lyapunov exponent of a chaotic attractor is presented. The method makes use of the minimal time for two…”
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A new variance reduction method for option pricing based on sampling the vertices of a simplex by Park, Jong Jun, Choe, Geon Ho

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The Khintchine constants for generalized continued fractions by Choe, Geon Ho, Kim, Chihurn

“…Let T p ( x)=1/ x p (mod 1) for 0< x<1 and T p (0)=0. It is known that if p> p 0=0.241485…, then there exists an ergodic invariant measure of the form ρ p dx …”
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Conditional correlation in asset return and GARCH intensity model by Choe, Geon Ho, Lee, Kyungsub

“…In an asset return series, there is a conditional asymmetric dependence between current return and past volatility depending on the current return’s sign. To…”
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Spectral types of skewed Bernoulli shift by Ahn, Youngho, Choe, Geon Ho

“…For the transformation T: x \mapsto kx \pmod 1 for k \geq 2 , it is proved that a real-valued function f(x) of modulus 1 is not a multiplicative coboundary if…”
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Probability of multiple crossings and pricing of double barrier options by Choe, Geon Ho, Koo, Ki Hwan

“…•We derive the pricing formula of double barrier option using different methods.•Our method gives intuitive interpretation for each term in the pricing…”
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A factor contagion model for portfolio credit derivatives by Choe, Geon Ho, Jang, Hyun Jin, Kwon, Soon Won

“…We propose a factor contagion model with the Marshall-Olkin copula for correlated default times and develop an analytic approach for finding the th default…”
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Recurrence of transformations with absolutely continuous invariant measures by Choe, Geon Ho

“…Let X=[0,1]. If an ergodic transformation T: X→ X preserves an absolutely continuous probability measure ρ(x) dx with ρ( x)>0, then it is shown that for almost…”
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The kth default time distribution and basket default swap pricing by Choe, Geon Ho, Jang, Hyun Jin

“…We propose an alternative method for finding the kth default time distribution in a homogeneous portfolio with dependency. Analysing order statistics of…”
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The k th default time distribution and basket default swap pricing by Choe, Geon Ho, Jang, Hyun Jin

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