2 papers
math.ST2015
Saddlepoint methods for conditional expectations with applications to risk management
Sojung Kim, Kyoung-kuk Kim
The paper derives saddlepoint expansions for conditional expectations in the form of and $\mathsf{E}[\overline{X} |…
q-fin.PR2010
Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
Rudra P. Jena, Kyoung-Kuk Kim, Hao Xing
This paper considers multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with affine processes via the transform f…