14 citations · 40 across the 13 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
q-fin.PM2023
Portfolio Optimization with Relative Tail Risk
Young Shin Kim
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect t…
q-fin.MF2023★ 1 cited
Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models
Young Shin Kim, Hyangju Kim, Jaehyung Choi
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two…