papers

1. Strategic users in a priority queue with bulk service
   with Donghwa Seo 

2. Mind the gap in the mining game
   with Donghwa Seo 

3. Selection of the most probable best
   R&R, Operations Research  
   with Taeho Kim, Eunhye Song 

4. Ensemble copula coupling for multivariate input modeling and uncertainty quantification 
   with Taeho Kim, Michael Fu 

5. Robust risk quantification via shock propagation in financial networks 
   Operations Research, 2024   
   with Dohyun Ahn, Nan Chen 

6. Multivariate stress scenario selection in interbank networks 
   Journal of Economic Dynamics and Control, 2023 
   with Dohyun Ahn, Eunji Kwon
   A preliminary version won a 2nd prize, the Best MS Student Paper Competition, KIIE Conference 2019 

7. Constructing a personalized recommender system for life Insurance products with machine learning techniques 
   Intelligent Systems in Accounting, Finance and Management, 2022 
   with Hyeongwoo Kong, Wonje Yun, Weonyoung Joo, Ju-Hyun Kim, Il-Chul Moon, Woo Chang Kim

8. Balancing risk: generation expansion planning under climate mitigation scenarios 
   European Journal of Operational Research, 2022
   with Dowon Kim, Heelang Ryu, Jiwoong Lee 

9. Selection of the most probable best under input uncertainty
   Proceedings of the 2021 Winter Simulation Conference 
   with Taeho Kim, Eunhye Song 

10. Term structures and scenario-based social discount rates under smooth ambiguity  

The Engineering Economist, 2021

with Dowon Kim, Jiwoong Lee 

11. Static replication of barrier-type options via integral equations 

Quantitative Finance, 2021 

with Dong-Young Lim 

12. Small-time smile for the multifactor volatility Heston model [supplement] 

Journal of Applied Probability, 2020 

with Dohyun Ahn, Younghoon Kim 

13. Robust quantile estimation under bivariate extreme value models [supplement, code] 

Extremes, 2020 

with Sojung Kim, Heelang Ryu 

Excellent Young Researcher Paper in the Category "Methods", the 11th Extreme Value Analysis Conference 2019 

14. Learning multi-market microstructure from order book data  

Quantitative Finance, 2019 

with Geonhwan Ju, Dong-Young Lim 

Special issue on "AI and Machine Learning in Finance"
Reprinted in the edited book "Machine Learning and AI in Finance" by Routledge 

15. Optimal intervention under stress scenarios: a case of the Korean financial system 

Operations Research Letters, 2019 

with Dohyun Ahn 

16. A recursive method for static replication of autocallable structured products  

Quantitative Finance,  2019   

with Dong-Young Lim 

17. Efficient simulation for expectations over the union of half-spaces 

ACM Transactions on Modeling and Computer Simulation, 2018 

with Dohyun Ahn 

1st place, the Best Paper Competition, KORMS Conference 2015  

2nd place, the Best Student Paper Competition of the Finance Section, INFORMS 2015  

18. Analysis and design of microfinance services: a case of ROSCA  

The Engineering Economist, 2017 

with Dohyun Ahn, Wanmo Kang, Hayong Shin 

Highlighted in the ISE Magazine in the Dec 2017 issue  

19. Saddlepoint methods for conditional expectations with applications to risk management   

Bernoulli, 2017   

with Sojung Kim  

Finalist, the Best Student Paper Competition, the 3rd Asian Quantitative Finance Conference 2015 

20. Risk analysis and hedging of Parisian options under a jump-diffusion model 

Journal of Futures Markets, 2016 

with Dong-Young Lim 

2nd place, the Best Student Paper Competition of the Finance Section, INFORMS 2014 

21. Dynamic pricing with "BOGO" promotion in revenue management 

International Journal of Production Research, 2016   

with Chi-Guhn Lee, Sunggyun Park 

22. Computing lower bounds on basket option prices by discretizing semi-infinite linear programming 

Optimization Letters, 2016  

with Hyunseok Cho, Kyungsik Lee  

23. Efficient VaR and CVaR measurement via stochastic kriging 

Journal on Computing, 2016  

with Xi Chen 

24. Simulation of tempered stable Lévy bridges and its applications  

Operations Research, 2016   

with Sojung Kim  

25. A stochastic inventory model with price quotation 

IIE Transactions, 2015 

with Jun Liu, Chi-Guhn Lee 

26. A mathematical model for multi-name credit based on community flocking  

Quantitative Finance, 2015  

with Seung-Yeal Ha, Kiseop Lee  

27. R&D outsourcing in an innovation-driven supply chain  

Operations Research Letters, 2015  

with Michael K. Lim 

28. Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm  

European Journal of Operational Research, 2014  

with Kun Soo Park 

29. Stochastic kriging with biased sample estimates   

ACM Transactions on Modeling and Computer Simulation, 2014 

with Xi Chen 

30. Fairing the gamma: an engineering approach to sensitivity estimation  

IIE Transactions, 2014 

with Wanmo Kang, Hayong Shin 

31. Building metamodels for quantile-based measures using sectioning
    Proceedings of the 2013 Winter Simulation Conference
    with Xi Chen 

32. Stochastic kriging for conditional value-at-risk and its sensitivities 
    Proceedings of the 2012 Winter Simulation Conference 
    with Xi Chen, Barry L. Nelson 

33. Evaluation and optimization of feed-in tariffs  

Energy Policy, 2012 

with Chi-Guhn Lee 

34. Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions 

Stochastic Processes and their Applications, 2012  

with Rudra P. Jena, Hao Xing  

35. Denoising Monte Carlo sensitivity estimates  

Operations Research Letters, 2012  

with Wanmo Kang, Hayong Shin 

36. Gamma expansion of the Heston stochastic volatility model  

Finance and Stochastics, 2011 

with Paul Glasserman 

37. Stability analysis of Riccati differential equations related to affine diffusion models [supplement] 

Journal of Mathematical Analysis and Applications, 2010 

38. Moment explosions and stationary distributions in affine diffusion models 

Mathematical Finance, 2010  

with Paul Glasserman 

39. Saddlepoint approximations for affine jump-diffusion models 
    Journal of Economic Dynamics and Control, 2009
    with Paul Glasserman  

40. Sensitivity estimates for compound sums
    Monte Carlo and Quasi-Monte Carlo Methods 2008 
    with Paul Glasserman  

41. Beta approximations for bridge sampling
    Proceedings of the 2008 Winter Simulation Conference 
    with Paul Glasserman  

42. Affine processes in finance; numerical approximation, simulation and model properties  
    Ph.D. Dissertation, Columbia Business School , 2008