About President
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Aaron Kim
Dr. Aaron Y. S. Kim completed the Habilitation (Doctor of Science) process at Karlsruhe Institute of Technology, Germany, in 2011. His current profession is in the area of mathematical modeling and its application to finance. He is interested in financial issues, including financial risk management, portfolio management, and derivative pricing. He has developed mathematical models to be applied in quantitative issues in finance. Dr. Kim published more than 50 research papers in internationally refereed journals and was awarded one patent. |
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About Girin Market Models
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MNTS distribution and copula: The dependence structure in asset returns is explained by the correlation in classical finance. However, asset returns have asymmetric dependence which is not described by correlation. The MNTS distribution can capture the asymmetric dependence. The captured asymmetric dependence can be visually expressed by the MNTS copula.
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Risk and Distribution: Suppose that Portfolio L has the left-skewed return distribution and Portfolio R has the right-skewed return distribution. Then Portfolio L is riskier than Portfolio R. The figure graphically explains that fact. |
Application of Girin Market Models
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American option pricing and calibration: Using a Girin Solution, we can develop a more accurate simulation method to describe the American option price. |
Horse racing of the portfolio performance: Considering the dispersion risk and asymmetric risk, we obtain a portfolio (red curve) that has better performance than DJIA (black curve) and Sharpe-ratio minimizing portfolio (blue curve).
Horse racing of the portfolio performance: Considering the dispersion risk and asymmetric risk, we obtain a portfolio (red curve) that has better performance than DJIA (black curve) and Sharpe-ratio minimizing portfolio (blue curve).
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