Publications

List of Papers (SCIE/SSCI)

[53]  Junkee Jeon, Hyeng Keun Koo  and Minsuk Kwak  (2024+)
Human Capital and Portfolio Choice:  Borrowing Constraint and Reversible Retirement
Mathematics and Financial Economics, accepted for publication.

[52]  Junkee Jeon and Jehan Oh  (2024)
Dynamic Asset Allocation and Consumption Ratcheting with Costs
Journal of Computational and Applied Mathematics, 448, 1 - 17, 115966.

[51] Junkee Jeon and Minsuk Kwak (2024)
Optimal Consumption and Investment with Welfare Constraints
Finance and Stochastics,  28(2), 391 - 451. (Read-Only Sharelink ) .

[50] Labor Supply Flexibility and Portfolio Selection with Early Retirement Option  (2023)
Junkee Jeon and Jehan Oh
Applied Mathematics & Optimization, 88(3), 1-50.

[49]  Junkee Jeon and Geonwoo Kim (2023)
Variational inequality arising from variable annuity with mean reversion environment
Journal of Inequalities and Applications, 99, 1-20.

[48] Junkee Jeon and Hyeng Keun Koo (2023)
A Model of Retirement and Consumption-Portfolio Choice
Bulletin of the Korean Mathematical Society,  60(4), 1101-1129. 

[47] Junkee Jeon and Kyunghyun Park (2023)
Optimal Job Switching and Retirement Decision
Applied Mathematics and Computation, 443, 127777.

[46] Junkee Jeon,  Minsuk Kwak, and Kyunghyun Park (2023)
Horizon Effect on Optimal Retirement Decision
Quantitative Finance, 23(1), 123-148.

[45]  Jeonggyu Huh, Junkee Jeon, and Kyunghyun Park  (2023)
Variable Annuity with Surrender Options under Multi-scale Stochastic Volatility
Japan Journal of Industrial and Applied Mathematics, 40, 1-39.

[44] Kexin Chen, Junkee Jeon, and Hoi Ying Wong  (2022)
Optimal Retirement Problem under Partial Information  [SSRN]
Mathematics of Operations Research, 47(3), 1707-2545.

[43]  Junkee Jeon and Geonwoo Kim (2022)
An integral equation representation for American better-of option on two underlying assets
Advances in Continuous and Discrete Models, 39.

[42] Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park (2022)
Optimal Finite Horizon Contract with Limited Commitment [SSRN]
Mathematics and Financial Economics,  16(2), 267 - 315.

[41]  Kyoung Jin Choi, Junkee Jeon, Hoseok Lee, and Hsuan-Chih (Luke) Lin (2022)
Optimal Long-term Contracts with Disability Insurance under Limited Commitment  [SSRN]
Insurance: Mathematics and Economics,  104(C), 99-132.

[40] Junkee Jeon and Minsuk Kwak (2022)
A variational inequality arising from optimal surrender of variable annuity with lookback benefit
Journal of Inequalities and Applications, 8,  1-21.

[39] Junkee Jeon and Geonwoo Kim (2022)
Pricing  European continuous-installment currency options with mean-reversion
North American Journal of Economics & Finance, 59(C),  #101605.

[38] Kyoung Jin Choi, Junkee Jeon, and Hyeng Keun Koo  (2022)
Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude  [SSRN] [Supplemental Material]
Journal of Economic Theory, 200(C),  #105380.

[37]  Junkee Jeon and Jehan Oh  (2022)
Finite Horizon Portfolio Selection Problem with a Drawdown Constraint on Consumption   
Journal of Mathematical Analysis and Applications, 506(1),  #125542.

[36]  Junkee Jeon, Hyeng Keun Koo, Yong Hyun Shin, and Zhou Yang (2021)
An integral equation representation for optimal retirement strategies in portfolio selection problem
Computational Economics, 58, 885-914.

[35]  Junkee Jeon and Kyunghyun Park  (2021)
Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model
Mathematical Methods of Operations Research.  93, 243-289.

[34] Junkee Jeon, Hyeng Keun Koo, and  Kyunghyun Park (2021)
Finite Horizon Portfolio Selection with Durable Goods,
Mathematical Social Sciences. 111(C), 55-67.

[33] Junkee Jeon and Kyunghyun Park  (2021)
Optimal Surrender Time for a Variable Annuity with a Fixed Insurance Fee
Bulletin of the Korean Mathematical Society.  58(2), 349-364.

[32]  Junkee Jeon and Minsuk Kwak  (2021)
Pricing Variable Annuity with Surrender Guarantee
Journal of Computational and Applied Mathematics.  393, #113508.

[31] Junkee Jeon, Myungjoo Kang, and Yong Hyun Shin (2021)
Finite Time-Horizon Optimal Investment and Consumption with Time-Varying Subsistence Consumption Constraints
Japan Journal of Industrial and Applied Mathematics,  38(1), 353-377. 

[30]  Junkee Jeon (2021)
Finite horizon portfolio selection problems with stochastic borrowing constraints     
Journal of Industrial & Management Optimization,  38(1), 353-377.         

[29]  Hyeonuk Kim, Junkee Jeon,  Kyunghyun Park,  Changhoon Song, Jungwoo Bae, Yongsik Kim, Myungjoo Kang (2021)
Candidate Point Selection using a Self-Attention Mechanism for Generating a Smooth Volatility Surface under the SABR model
Expert Systems With Applications,  173(1), 114640.

[28]  Junkee Jeon,  Jeonggyu Huh, and Kyunghyun Park (2020)
An analytic approximation for the valuation of American option under a Heston-model in two regimes
Computational Economics, 56(2), 499-528.             

[27] Junkee Jeon  and  Kyunghyun Park (2020)
Dynamic asset allocation with consumption ratcheting post retirement
Applied Mathematics and Computation, 385(C), #125418.         

[26]  Se Yung Bae, Junkee Jeon, Hyeng Keun Koo, and Kyunghyun Park (2020)
Social Insurance for the Elderly     
Economic Modelling, 91, 274-299.        

[25]  Junkee Jeon  and  Kyunghyun Park (2020)
Optimal Retirement and Portfolio Selection with Consumption Ratcheting     
Mathematics and Financial Economics, 14(4), 353-397.         

[24]  Junkee Jeon and Geonwoo Kim (2020)
Efficient valuation of a variable annuity contract with a surrender option    
Japan Journal of Industrial and Applied Mathematics,  37(1), 249-262.       

[23]  Junkee Jeon and Jehan Oh (2020)
(1+2)-dimensional Black-Scholes equation with mixed boundary condition    
Communications on Pure and Applied Analysis,  19(2), 1-16.       

[22]  Junkee Jeon, Sun-yong Choi, and  Ji-Hun Yoon (2020)
Analytic valuation of European continuous-installment barrier options     
Journal of Computational and Applied Mathematics, 364, 392-412.        

[21]  Junkee Jeon and Geonwoo Kim (2019)
Pricing European continuous-installment strangle options     
North American Journal of Economics and Finance,  50, #101049.         

[20]  Junkee Jeon, Hyeng Keun Koo, and Yong Hyun Shin (2019)
Ratcheting with a Bliss Level of Consumption    
Optimization Letters, 10(7), 1535–1556.        

[19] Junkee Jeon and Geonwoo Kim (2019)
An integral equation approach for optimal investments policies with partially reversibility     
Chaos Solitons & Fractals, 125, 73-78.         

[18] Junkee Jeon and Yong Hyun Shin (2019)
Finite horizon portfolio selection with a negative wealth constraint    
Journal of Computational and Applied Mathematics, 356C, 329-338.       

[17] Kyunghyun Park and Junkee Jeon (2019)
Finite horizon optimal consumption and investment problem with a preference change    
Journal of Mathematical Analysis and Applications, 472(2),  1777-1802.         

[16] Junkee Jeon  and Jehan Oh (2019)
Valuation of American strangle option: Variational Inequality Approach       
Discrete & Continuous Dynamical Systems - B, 24(2), 755-781.         

[15] Junkee Jeon and Geonwoo Kim (2019)
Pricing of vulnerable options with early counterparty credit risk      
North American Journal of Economics and Finance, 47, 645-656.        

[14] Junkee Jeon and Minsuk Kwak (2018)
Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities       
Insurance : Mathematics and Economics, 83,  93-109.        

[13] Junkee Jeon, Hyeng Keun Koo, and Yong Hyun Shin (2018)
Portfolio selection with consumption ratcheting       
Journal of Economic Dynamics and Control , 92, 153-182.         

[12] Geonwoo Kim and Junkee Jeon  (2018)
Closed-form solutions for valuing partial lookback options with random initiation      
Finance Research Letters, 24C, 321-327.         

[11] Junkee Jeon, Ji-Hun Yoon, and Chang-rae Park  (2018)
Pricing dynamic fund protection with default risk      
Journal of Computational and Applied Mathematics, 449, 207-227.         

[10]  Kyunghyun Park and Junkee Jeon (2017)
A simple and fast method for valuing American knock-out options with rebates      
Chaos Solitons & Fractals, 103, 364-370.         

[09] Myungjoo Kang, Junkee Jeon, Heejae Han and Somin Lee (2017)
Analytic solution for American Strangle options using Laplace-Carson transforms       
Communications in Nonlinear Science and Numerical Simulation, 47, 292-307.        

[08]  Junkee Jeon, Ji-Hun Yoon, and Chang-rae Park (2017)
An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model      
Journal of Mathematical Analysis and Applications, 449, 207-227.        

[07]  Junkee Jeon, Ji-Hun Yoon, and Myungjoo Kang (2017)
Pricing vulnerable path-dependent options using integral transforms       
Journal of Computational and Applied Mathematics, 313, 259-272.        

[06]  Junkee Jeon, Heejae Han, and  Myungjoo Kang (2017)
Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation       
Journal of Computational and Applied Mathematics, 313, 218-234.        

[05]  Junkee Jeon and Ji-Hun Yoon (2016)
Pricing external-chained  barrier options with exponential barriers       
Bulletin of the Korean Mathematical Society, 53, 1497-1530.        

[04]  Heejae Han, Junkee Jeon,  and Myungjoo Kang (2016)
Pricing chained dynamic fund protection       
North American Journal of Economics and Finance, 37C, 267-278.         

[03]  Heejae Han, Junkee Jeon,  and Myungjoo Kang (2016)
Closed form valuation of American chained knock-in options      
Finance Research Letters, 17C, 176-185.        

[02]  Junkee Jeon, Ji-Hun Yoon, and Myungjoo Kang (2016)
Valuing vulnerable geometric Asian options      
Computer & Mathematics with Applications, 71(2), 676-691.         

[01]  Junkee Jeon, Heejae Han, Hyun-uk Kim, and Myungjoo Kang (2016)
An integral equation representation approach for Russian options with finite time horizon      
Communications in Nonlinear Science and Numerical Simulation, 36, 496-516.         

Surveys

[01]  Seyung Bae,  Junkee Jeon, and  Hyeng Keun Koo (2020)
Continuous-Time Portfolio Selection: A Cursory Survey,  
frontiers in Applied Mathematics and Statistics ,  6, 1-9.