Presentations

Invited Talks

• 파생상품과 수학
  울산대학교 데이터응용수학과, May 2024.

• Pricing Vulnerable Options
  Korean Society for Industrial and Applied Mathematics (KSIAM), May 2024.

• Valuation of Derivatives in Financial Markets
  Mathematical Modeling and Analytics Research Center at Auckland University of Technology, Dec 2023.

• Improved accuracy of option pricing in stochastic volatility models using techniques of accelerated deep learning
  2023 Fall Workshop on Quantitative Finance, Oct 2023.

Contributed Talks

2024

• Pricing American-type equity indexed annuities with lookback features
  Korean Statistical Society (KSS), Jul 2024.

• Improved Accuracy of an Analytical Approximation for Option Pricing under Stochastic Volatility Models Using Deep Learning Techniques
  Korean Society for Industrial and Applied Mathematics (KSIAM), May 2024.

• Valuing chooser options under hybrid stochastic and local volatility
  Korean Mathematical Society (KMS), Apr 2024.

• A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
  Nonlinear Dynamics and Mathematical Application Center Workshop, Jan 2024.

• Valuation of American Lookback Options with Guarantees
  한국보험학회 동계학술대회, Feb 2024.

2023

• The Valuation of Real Options for Risky Barrier to Entry with Hybrid Stochastic and Local Volatility and Stochastic Investment Costs
  The International Council for Industrial and Applied Mathematics (ICIAM), Aug 2023.

• The Valuation of Real Options for Risky Barrier to Entry with Hybrid Stochastic and Local Volatility and Stochastic Investment Costs
  SIAM Conference on Financial Mathematics and Engineering, Jun 2023.

• The Valuation of Real Options for Risky Barrier to Entry with Hybrid Stochastic and Local Volatility and Stochastic Investment Costs
  2023 재무금융 공동국제컨퍼런스, May 2023.

• A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
  Korean Society for Industrial and Applied Mathematics (KSIAM), May 2023.

2022

• A PDE Approach to Valuation of Derivatives Contracts
  Nonlinear Dynamics and Mathematical Application Center Workshop, Dec 2022. 

• The Valuation of Real Options for Risky Barrier to Entry with Hybrid Stochastic and Local Volatility and Stochastic Investment Costs
  Korean Society for Industrial and Applied Mathematics (KSIAM), Nov 2022.

• Exotic options and credit risk modeling
  Nonlinear Dynamics and Mathematical Application Center Workshop, Jul 2022.

• Pricing of Vulnerable Exchange Options with Early Counterparty Credit Risk
  2022 Youngnam Mathematical Society Annual Meeting, Jun 2022.

• Pricing of Vulnerable Exchange Options with Early Counterparty Credit Risk
  Korean Society for Industrial and Applied Mathematics (KSIAM), May 2022.

2021

• Explicit Pricing Formulas for Vulnerable Path-dependent Options with Early Counterparty Credit Risk
  Korean Society for Industrial and Applied Mathematics (KSIAM), Dec 2021.

2020

• The analytic method for pricing of vulnerable external barrier options
  Korean Society for Industrial and Applied Mathematics (KSIAM), Nov 2020.

2019

• Pricing of vulnerable options under hybrid stochastic and local volatility
  Korean Society for Industrial and Applied Mathematics (KSIAM), Nov 2019.

• Pricing external barrier options under a stochastic volatility model
  Korean Society for Industrial and Applied Mathematics (KSIAM), May 2019.

2018

• Derivatives in Financial Markets with Stochastic Volatility
  2018 International Conference of Honam-Youngnam Mathematical Societies, Jun 2018.