Bara Kim
Korea University · 経営学
研究室紹介
Professor Bara Kim's research lab specializes in stochastic modeling and applied probability, with a focus on queueing theory, stochastic processes, and financial engineering. The lab investigates complex stochastic systems such as retrial queues, autoregressive arrival processes, and stochastic volatility models, emphasizing tail behavior, asymptotic analysis, and explicit analytical solutions. Key research directions include the asymptotic properties of queueing systems, the derivation of exact solutions for exotic options under stochastic volatility, and the convergence of finite-capacity queueing models to their infinite-capacity counterparts.
Research Overview
Research Output Trend
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Selected Papers
15In this work, it is assumed that the underlying asset price follows Heston's stochastic volatility model and explicit solutions for the prices of geometric Asian options with fixed and floating strikes are derived. This approach has to deal with the derivation of the generalized joint Fourier transform of a square-root process and of three different weighted integrals of the square-root process with constant, linear and quadratic weights. Numerical implementation results for the complicated expr
We consider an M/G/1 retrial queue, where the service time distribution has a finite exponential moment. We show that the tail of the queue size distribution is asymptotically given by a geometric function multiplied by a power function. The result is obtained by investigating analytic properties of probability generating functions for the queue size and the server state.