Research interests

Complex Dynamical Systems, Stochastic Calculus.

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.

Kyounghee Kim

Associate Professor of Mathematics

Selected papers

(with Eric Bedford) Pseudo-Automorphisms of 3-space: Periodicities and Positive Entropy in Linear Fractional Recurrences, 2011

(with Eric Bedford) Linear Fractional Recurrences: Periodicities and Integrability, to appear in The Procedings of NTV.

(with Victor W. Goodman) Common Forward Rate Volatility, SIAM J. Finan. Math.

Department of Mathematics

1017 Academic Way

Florida State University

Tallahassee, FL 32306-2180

Phone: (850) 645-7694

Fax: (850) 644-4053