[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]
김태경, 김현균, 허정규,
Large-scale online learning of implied volatilities,
EXPERT SYSTEMS WITH APPLICATIONS,
Vol.203,
pp. 117365-117365
(Oct, 2022)
[논문]
김현균, 김시우, 김정훈,
Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model,
North American Journal of Economics and Finance,
Vol.72,
pp. 102155-102155
(May, 2024)
[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)
[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)
[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,
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)