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Pricing Structured Products with Economic Covariates

Choi, Yong Seok - 2019

We introduce a top-down no-arbitrage model for pricing structured products. The losses are described by Cox processes whose intensities depend on economic variables. The model provides economic insight into the impact of structured products on the risk exposure of financial institutions and...

Persistent link: https://www.econbiz.de/10012903747

Pricing structured products with economic covariates

Choi, Yong Seok; Doshi, Hitesh; Jacobs, Kris; Turnbull, … - In: Journal of financial economics 135 (2020) 3, pp. 754-773

Persistent link: https://www.econbiz.de/10012543222

Simulation-based performance evaluation of transport vehicles at automated container terminals

Yang, Chang Ho; Choi, Yong Seok; Ha, Tae Young - In: OR spectrum : quantitative approaches in management 26 (2004) 2, pp. 149-170

Persistent link: https://www.econbiz.de/10001969339

Effects of variable setup cost, reliability, and production costs under controlled carbon emissions in a reliable production system

Moon, Ilkyeong; Yun, Won Young; Sarkar, Biswajit - In: European journal of industrial engineering : EJIE 16 (2022) 4, pp. 371-397

Persistent link: https://www.econbiz.de/10013326382

A reactive tabu search algorithm for the multi-depot container truck transportation problem

Zhang, Ruiyou; Yun, Won Young; Moon, Ilkyeong - In: Transportation research / E : an international journal 45 (2009) 6, pp. 904-914

Persistent link: https://www.econbiz.de/10003903735

Redundancy optimization in multi-level system using meta-heuristics

Chung, Il Han; Yun, Won Young; Kim, Ho Gyun - In: Recent advances in stochastic operations research II, (pp. 183-199). 2009

Persistent link: https://www.econbiz.de/10003847866

Warranty servicing with imperfect repair

Yun, Won Young; Murthy, D. N. P.; Jack, N. - In: International journal of production economics 111 (2008) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10003727984