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Showing results 1 to 14 of 14

Issue DateTitleAuthor(s)TypeView
2021-03Analytic formula for option margin with liquidity costs under dynamic delta hedgingLee, Kyungsub; Seo, Byoung KiARTICLE60
2019-07-01Expected liquidity cost for dynamic delta hedgingLee, Kyungsub; Seo, Byoung KiCONFERENCE66
2019-08-13Expected liquidity cost for dynamic delta hedgingLee, Kyungsub; Seo, Byoung KiCONFERENCE99
2018-07-18Expected liquidity cost under delta hedging processLee, Kyungsub; Seo, Byoung KiCONFERENCE52
2017-12-12Expected Liquidity Cost under Delta Hedging ProcessLee, Kyungsub; Seo, Byoung KiCONFERENCE43
2018-06Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean MarketLee, Kyungsub; Seo, Byoung KiARTICLE903
2017-01Marked Hawkes process modeling of price dynamics and volatility estimationLee, Kyungsub; Seo, Byoung KiARTICLE989
2015-08-25Marked Hawkes process modeling of price dynamics and volatility estimationLee, Kyungsub; Seo, Byoung KiCONFERENCE46
2017-06Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock dataLee, Kyungsub; Seo, Byoung KiARTICLE1172
2021-04Optimal Market-Making Strategies under Synchronised Order Arrivals with Deep Neural NetworksChoi, So Eun; Jang, Hyun Jin; Lee, Kyungsub; Zheng, HarryARTICLE90
2017-10Performance of Tail Hedged Portfolio with Third Moment Variation SwapLee, Kyungsub; Seo, Byoung KiARTICLE1859
2016-02Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return dataLee, KyungsubARTICLE730
2020-02Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun Jin; Lee, Kiseop; Lee, KyungsubARTICLE444
2019-07-16Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun Jin; Lee, Kiseop; Lee, KyungsubCONFERENCE83
Showing results 1 to 14 of 14

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