Kyounghee Kim earned her PhD at Indiana University under the direction of Victor Goodman.
Professor Kim is interested in bond market modeling using probabilistic methods. One interesting choice of volatility for forward interest rates within an HJM model is an affine function of forward interest rates. She is trying to understand bond price dynamics obtained from various choices of volatility for forward interest rates. Currently, she is focusing on understanding the distribution of the time integral of a function of Geometric sBrownian motion, which is related to pricing path dependent derivatives, e.g. as in Asian options.
1017 Academic Way
Florida State University
Tallahassee, FL 32306-2180