Huh, J., Jeon, J., Koo, H. K. (2025). Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio (working paper) arXiv:https://arxiv.org/abs/2504.11116

Huh, J., Koo, H. K., Lim, B. H., & Jeon, J. (2025). Pontryagin-Guided Deep Learning for Large-Scale Constrained Dynamic Portfolio Choice (working paper). arXiv:  https://arxiv.org/abs/2501.12600

Park, J., Huh, J., & Jeon, J. (2025). Reliable option pricing through deep learning: An anomaly score-based approach (revised).

Song, Jaemin & Jeon, J. (2025). Deep Momentum Networks with Market Trend Dynamics, PLoS One, 20(9), e0331391.

Jeon, J. & Kim, G. (2025). Analytic approximations for foreign equity options under a stochastic volatility with fast mean reversion, AIMS Mathematics, 10(8), 18997–19017. 

Huh, J., Jeong, S., & Jeon, J. (2025). Pontryagin-Guided Direct Policy Optimization for Continuous-time Portfolio Problem, Journal of Industrial and Management Optimization, 21(9), 5687-5715. 

김응표, 전재기 (2025). 딥러닝 기반 KOSPI 200 옵션 내재변동성 예측 연구, 한국정보통신학회논문지, 29(6), 844-853.

정재엽, 전재기 (2025). LDA 토픽모델링을 활용한 국내 회계감사의 동향 분석: 학술논문과 언론 데이터를 중심으로, 한국콘텐츠학회논문지, 25(6), 59-69. 

임경열, 전재기 (2025). 자연어처리 기반 텍스트마이닝을 적용한 실어증 연구 동향 분석, 한국엔터테인먼트산업학회논문지, 19(2), 517-528.

김은솔, 전재기 (2024). 금리 변동을 반영한 LSTM 기반 주가 예측 모델 연구, 스마트미디어저널, 13(12), 99-108.

Jeong, S., Kim, J., Jung, J., & Huh, J. (2024). Accelerating SDE Simulation through Learning of Stochastic Dynamics, Journal of the Korean Society for Industrial and Applied Mathematics, 28(4), 256-270. 

Jeon, J., Huh, J., & Kim, G. (2023). An analytical approach to the pricing of an exchange option with default risk under a stochastic volatility model. Advances in Continuous and Discrete Models, 2023(1), 37. 

Jeon, J., Park, K., & Huh, J. (2022). Extensive networks would eliminate the demand for pricing formulas. Knowledge-Based Systems, 237, 107918.

Jeon, J., Kim, G., & Huh, J. (2021). Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility. Journal of Futures Markets, 41(5), 559-576. 

Jeon, J., Kim, G., & Huh, J. (2021). An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model. Chaos, Solitons & Fractals, 144, 110641. 

Jeon, J., Huh, J., & Kim, G. (2021). Pricing of Vulnerable Power Exchange Option under the Hybrid Model. East Asian Mathematical Journal, 37(5), 567-576. 

Huh, J., Jeon, J., & Kim, G. (2021). Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model. East Asian mathematical journal, 37(1), 79-85. 

Huh, J., Jeon, J., & Ma, Y. K. (2020). Static Hedges of Barrier Options Under Fast Mean-Reverting Stochastic Volatility. Computational Economics, 55, 185-210. 

 Huh, J., Jeon, J., Kim, J. H., & Park, H. (2019). A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility. Quantitative Finance, 19(1), 155-175. 

 Huh, J., Jeon, J., & Kim, J. H. (2018). A scaled version of the double-mean-reverting model for VIX derivatives. Mathematics and Financial Economics, 12, 495-515. 

Song, Jamin* & Jeon, J., "A Unified Framework for Time-Series and Factor Momentum Strategies", SIAM Conference on Financial Mathematics and Engineering, Miami, USA, Jul. 18, 2025.

Kim, Eungpyo* & Jeon, J., "A Simple RL-Inspired Method for Optimal Stopping in Perpetual American Put Options" (poster), SIAM Conference on Financial Mathematics and Engineering, Miami, USA, Jul. 15, 2025.

Huh, J., Koo, H. K., Lim, B. H., & Jeon, J.*, "Pontryagin-Guided Deep Learning for Large-Scale Constrained Dynamic Portfolio Choice", KMS Spring Meeting, Dajeon, Korea, Apr. 25, 2025.

Kim, Eungpyo* & Jeon, J., "Prediction of Implied Volatility using Deep Learning" (poster),  International Conference on Electronics, Information, and Communication (ICEIC 2025), Osaka, Japan, Jan. 21, 2025.

Jung, Jaeyeob* & Jeon, J., "LDA Topic Modeling for Trend Analysis of Korean Research of Financial Audit",  International Conference on Digital Contents (DigiCon-24), Jeju, Korea, Dec. 17, 2024.

Song, Jamin* & Jeon, J., "Unified Momentum Strategies: Merging Time-Series Momentum and Factor Momentum in Dynamic Trading",  Korean Society for Industrial and Applied Mathematics Annual Meeting, Busan, Korea, Dec. 5, 2024.

Song, Jamin & Jeon, J.*, "Enhanced Time-series Momentum Networks for Market Trend Analysis", Korea-Japan Mathematical Finance Conference, Sookmyung Women's University, Korea, Aug. 26, 2024.

Song, Jamin* & Jeon, J., "Time-series Momentum Neural Network Strategy Utilizing Market Trend Dynamic" (poster), Korean Society for Industrial and Applied Mathematics Annual Meeting, Daegu, Korea, May 18, 2024.

Kim, Eunsol* & Jeon, J., Stock Price Prediction using LSTM: Focusing on the Interest" (poster), Spring Joint Conference of KORMS and KIIE, Yeosu, Korea, May 2, 2024.

Jeon, J.*, Park, K., & Huh, J., "Extensive Networks Would Eliminate The Demand for Pricing Formulas", UNIST Workshop on Financial Mathematics and Engineering, UNIST, Korea, Feb. 6, 2024.

Song, Jamin & Jeon, J.*, "Enhanced Algorithmic Trading Strategy with Time Series Momentum and Machine Learning in Dynamic Markets" Fall Workshop on Quantitative Finance, Hannam University, Korea,  Oct. 20, 2023.

Jeon, J.*, Huh, J., & Kim, G., "Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility", Korean Mathematical Society Annual Meeting, Online, Korea, Oct. 23, 2020.

Huh, J., Jeon, J.*, & Kim, J. H., "A scaled version of the double-mean-reverting model for VIX derivatives ", Korean Society for Industrial and Applied Mathematics Annual Meeting, Jeju, Korea, Nov. 3, 2018.

Huh, J., Jeon, J.*, & Kim, J. H., "A scaled version of the double-mean-reverting model for VIX derivatives ", World Congress of the Bachelier Finance Society, Dublin, Ireland, Jul. 19, 2018.

Huh, J., Jeon, J.*, & Kim, J. H., "A scaled version of the double-mean-reverting model for VIX derivatives ", International Conference of Honam-Youngnam Mathematical Societies, Jeju, Korea, Jun. 23, 2018.

Huh, J., Jeon, J.*, & Ma, Y. K. "Static Hedges of Barrier  Options under Fast Mean‐ Reverting Stochastic Volatility  with Transaction Costs", Quantitative Methods in Finance Conference, Sydney, Australia, Dec. 12, 2017.

Jeon, J.*,  Huh, J., Kim, J. H., "Multi-asset option pricing using multi-scale method ", Korean Mathematical Society Annual Meeting, Seoul, Korea, Oct. 24, 2015.