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Jinbeom Kim

Publications and source records attributed to Jinbeom Kim.

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The Mattila-Sj\"olin problem for the k-distance over a finite field

Let $\mathbb{F}_q^d$ be a $d$-dimensional vector space over a finite field $\mathbb{F}_q$ with $q$ elements. For $x\in \mathbb{F}_q^d$, let $\|x\| = x_1^2+\dots+x_d^2$. By abuse of terminology, we shall call $\|\cdot\|$ a norm on $\mathbb{F}_q^d$. For a subset $E\subset \mathbb{F}_q^d$, let $\Delta(E)$ be the distance set on $E$ defined as $\Delta(E):=\{\|x-y\| : x, y \in E \}$. The Mattila-Sj\"olin problem seeks the smallest exponent $\alpha>0$ such that $\Delta(E) =\mathbb{F}_q$ for all subsets $E \subset \mathbb{F}_q^d$ with $|E| \geq Cq^\alpha$. In this article, we consider this problem for a variant of this norm, which generates a smaller distance set than the norm $\|\cdot\|.$ Namely, we replace the norm $\|\cdot\|$ by the so-called $k$-norm $(1 \leq k \leq d)$, which can be viewed as a kind of deformation of $\|\cdot\|$. To derive our result on the Mattila-Sj\"olin problem for the $k$-norm, we use a combinatorial method to analyze various summations arising from the discrete Fourier machinery. Even though our distance set is smaller than the one in the Mattila-Sj\"olin problem, for some $k$ we still obtain the same result as that of Iosevich and Rudnev (2007), which deals with the Mattila-Sj\"olin problem. Furthermore, our result is sharp in all odd dimensions.

math.CO

Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach

This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with counterparty risk provision, and show that it is a unique bounded and continuous fixed point via contraction mapping. This leads us to develop an accurate iterative numerical scheme for valuation. Specifically, we solve a sequence of linear inhomogeneous PDEs, whose solutions converge to the fixed point price function. We apply our methodology to compute the bid and ask prices for both defaultable equity and fixed-income derivatives, and illustrate the non-trivial effects of counterparty risk, collateralization ratio and liquidation convention on the bid-ask spreads.

q-fin.PR