UNIST Workshop on Financial Mathematics and Engineering

• Date: February 5 - 7, 2024

• Venue: Natural Science Bldg (108), Room U110, UNIST

Feb. 5 (Mon)

Chair: Bong-Gyu Jang (장봉규)

• 15:00-15:40  Hyungbin Park (박형빈), Seoul National University
  Title: Option pricing under path-dependent stock models

• 15:40-16:20  Ji-Hun Yoon (윤지훈), Pusan National University
  Title: Pricing of timer options under constant elasticity of variance

• 16:20-17:00  Yong Hyun Shin (신용현), Sookmyung Women's University
  Title: Optimal Consumption and Portfolio Selection with Endogenous Liquidity Constraints

• 17:00-17:40  Younhee Lee (이윤희), Chungnam National University
  Title: Numerical methods for option pricing under Levy processes

Feb. 6 (Tue)

Chair: Ji-Hun Yoon (윤지훈)

• 10:00-10:40  Bong-Gyu Jang (장봉규), POSTECH
  Title: Does Herding Behavior Still Exist in Cryptocurrency Market?

• 10:40-11:20  Jeonggyu Huh (허정규), Chonnam National University
  Title: Portfolio Optimization Problem via Direct Policy Network Learning

• 11:20-12:00  Kookyoung Han (한국영), Pusan National University
  Title: Analysis of a local content subsidy

12:00-14:00  Lunch

Chair: Younhee Lee (이윤희)

• 14:00-14:40  Geonwoo Kim (김건우), Seoul National University of Science and Technology
  Title: Valuing option with a hybrid credit risk under the stochastic volatility model

• 14:40-15:20  Sun-Yong Choi (최선용), Gachon University
  Title: Is ChatGPT as good at summarizing as humans? Can we trust it?

• 15:20-16:00  Doobae Jun (전두배), Gyeongsang National University
  Title: Mathematical Analysis of Jeonse Deposit Insurance

16:00-16:30  Discussion &  Coffee break

Chair: Byung Hwa Lim (임병화)

• 16:30-17:10  Hyun-Gyoon Kim (김현균), Ajou University
  Title: MarketGANs: Augmentation of Financial Market Data using GANs

• 17:10-17:50  Kum-Hwan Roh (노금환), Hannam University
  Title: Optimal Consumption and Portfolio Choices with Job Changing and Quadratic Utility

• 17:50-18:30  Jaegi Jeon (전재기), Chonnam National University
  Title: Extensive networks would eliminate the demand for pricing formulas

Feb. 7 (Wed)

Chair: Yong Hyun Shin (신용현)

• 10:00-10:40  Byung Hwa Lim (임병화), Sungkyunkwan University
  Title: Consumption and Labor-Leisure Choices: YOLO and Long-Run Sustainability

• 10:40-11:20  Ho-Seok Lee (이호석), Kwangwoon University
  Title: A quantitative method for filing personal bankruptcy

• 11:20-12:00  Tae Ung Gang (강태웅), KAIST
  Title: Joint impact of transaction costs and search frictions in portfolio optimization problem