I am a Senior Economist in the Quantitative Risk Analysis Section of the Board of Governors of the Federal Reserve System.

My research interests include asset pricing, derivatives, financial econometrics, and macro-finance.
The analysis and conclusions presented on this website are my own and do not indicate concurrence by the Board of Governors or the Federal Reserve System.

Curriculum Vitae
Email: hyungjoo.kim@frb.gov

Publication

Options on Interbank Rates and Implied Disaster Risk (with Hitesh Doshi and Sang Byung Seo)

Journal of Financial and Quantitative Analysis, Forthcoming. (Internet Appendix)

Best Paper Award Semifinalist, FMA (2019)

Working Papers ($\dagger$ indicates scheduled presentations)

Volatility Risk and Monotonic Pricing Kernels (with Steven Heston and Kris Jacobs)

Revise and Resubmit, Review of Financial Studies

Presentations: AFA (2023), CBOE Conference on Derivatives and Volatility (2022), SoFiE (2022), Finance Down Under (2022), K.U. Leuven, Syracuse University, University of Houston, University of Liverpool

A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility (with Steven Heston and Kris Jacobs)

Presentations: AFA (2025), Paris December Finance Meeting (2024), CBOE Conference on Derivatives and Volatility (2024), SoFiE (2024), NYU Mathematical Modeling in Finance Workshop (2024), University Paris 1 (2024), Federal Reserve Board (2024), Seoul National University (2024), Cancun Derivatives and Asset Pricing Conference (2024)

Characterizing the Conditional Pricing Kernel: A New Approach

Presentations: IAAE (2023), EEA-ESEM (2022), Virtual Derivatives Workshop (2021), NZFM (2021), WFBS (2021), Concordia University, Cornerstone Research, Federal Reserve Board of Governors, Korea Development Institute, Korea Insurance Research Institute, Saint Mary's University, University of Houston, Wilfrid Laurier University

Local Estimation for Option Pricing: Improving Forecasts with Market State Information (with Dong Hwan Oh) [Draft by request]

Work in Progress

Volatility and Risk Premia in Term Structure Models (with Hitesh Doshi and Kris Jacobs)

Teaching

Corporate Finance (FINA 4330) at the University of Houston

Mean Evaluation: 4.9/5.0