Song, Jaemin & Jeon, J. Learning the Score Function Yields Heteroskedasticity Consistency (working paper)

Siv, Naseth & Jeon, J. GoldVision: Visual and Temporal Insight into Price Trends (working paper)

Chab, Tharin & Jeon, J. Evolutionary Feature Clustering with Genetic Algorithms for Robust Credit Default Prediction Using Hybrid Attention and Cross-Network Models (working paper)

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

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

Kim, Eungpyo & Jeon, J. (2025). Deterministic value iteration for perpetual American put options. AIMS Mathematics, 10(12), 29784-29814.

Park, J., Huh, J., & Jeon, J. (2025). Reliable option pricing through deep learning: An anomaly score-based approach, Networks and Heterogeneous Media, 20(3), 987-1009. 

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. 

Choi, Mingyu* & Jeon, J., “A Comparative Study of XAI Techniques for Enhancing the Explainability of Black-Box Credit Scoring Models”, KSIAM Annual Meeting, Gyeongju, Korea, Nov. 28, 2025.

Lee, Jihee* & Jeon, J., “Detecting Wash Trading of ERC-20 Tokens Using On-Chain Data”, KSIAM Annual Meeting, Gyeongju, Korea, Nov. 28, 2025.

Chab, Tharin* & Jeon, J., “Evolutionary Feature Clustering with Genetic Algorithms for Robust Credit Default Prediction Using Hybrid Attention and Cross-Network Models”, KSIAM Annual Meeting, Gyeongju, Korea, Nov. 28, 2025.

Kim, Eungpyo* & Jeon, J., “Deterministic Value Iteration for Perpetual American Put Options”, KSIAM Annual Meeting, Gyeongju, Korea, Nov. 28, 2025.

Siv, Naseth* & Jeon, J., “GoldVision: Visual and Temporal Insight into Price Trends”, KSIAM Annual Meeting, Gyeongju, Korea, Nov. 28, 2025.

Song, Jamin* & Jeon, J., “Learning the Score Function Yields Heteroskedasticity Consistency” (oral), KSIAM Annual Meeting, Gyeongju, Korea, Nov. 27, 2025.

Huh, J., Jeon, J.*, Koo, H. K., Lim, B. H., "Pontryagin-Guided Deep Learning for Large-Scale Constrained Dynamic Portfolio Choice", SKKU-Sookmyung Joint International Workshop on Quantitative Finance & Applied Probability, Seoul, Korea, Aug. 28, 2025.

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.

Song, Jamin* & Jeon, J., “Performance-Enhancing Modeling for Momentum Strategies: An HSMM–MMoE Framework”, Joint Spring Conference of KIIE, KORMS, and KSS, Jeju, Korea, Jun. 20, 2025.

Kim, Eungpyo* & Jeon, J., “A Simple RL-Inspired Method for Optimal Stopping in Perpetual American Put Options” (poster), Joint Spring Conference of KIIE, KORMS, and KSS, Jeju, Korea, Jun. 18, 2025.

Jung, Jaeyeob* & Jeon, J., “LDA Topic Modeling for Trend Analysis of Korean Research on Financial Auditing” (poster), Joint Spring Conference of KIIE, KORMS, and KSS, Jeju, Korea, Jun. 19, 2025.

Siv, Naseth* & Jeon, J., “GoldVision: Visual and Temporal Insight into Price Trends—An Ensemble CNN–BiLSTM Model for Gold Trend Classification” (poster), Joint Spring Conference of KIIE, KORMS, and KSS, Jeju, Korea, Jun. 18, 2025.

Chab, Tharin* & Jeon, J., “A Robust Approach to Imbalanced Credit Default Prediction with Self-Attention and Custom Losses” (poster), Joint Spring Conference of KIIE, KORMS, and KSS, Jeju, Korea, Jun. 18, 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, Daejeon, 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 on Financial Auditing",  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", KSIAM 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), KSIAM Annual Meeting, Daegu, Korea, May 18, 2024.

Kim, Eunsol* & Jeon, J., "Stock Price Prediction Using LSTM: Focusing on the Interest" (poster), Joint Spring 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", KMS 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 ", KSIAM 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 ", KMS Annual Meeting, Seoul, Korea, Oct. 24, 2015.