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