Publications & Working Papers
PUBLISHED PAPERs
Optimal investment, heterogeneous consumption and best time for retirement. 2024, Operations Research, 72(2), 425-870. (with Z.Q. Xu and H. Zheng)
An analytic approach to network-based modelling for contagious defaults. 2022, Finance Research Letters, 44, 102027 . (with J.J. Park)
Measuring systemic risk with a dynamic copula-based approach. 2021, Applied Economics, 53(50), 5843-5863. (with X. Pan and S. Park)
Optimal market-making strategies under synchronised order arrivals with deep neural networks. 2021, Journal of Economic Dynamics and Control, 125(4), 104098. (with S.E. Choi, K. Lee, and H. Zheng)
Why should we invest in CoCos than stocks? An optimal growth portfolio approach. 2020, The European Journal of Finance, 26(16), 1606-1622. (with L. Jia and H. Zheng)
A copula-based systemic risk measure: Application to investment-grade and high-yield CDS portfolios. 2020, Applied Economics Letters, 27(15), 1264-1271. (with S.E. Choi and G.H. Choe)
Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. 2020, North American Journal of Economics & Finance, 54, 100907. (with S.E. Choi and G.H. Choe)
Pricing arithmetic Asian options under jump diffusion CIR processes. 2020, Finance Research Letters, 34(5), 101269. (with J. Jang and J.J. Park)
Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. 2020, Journal of Futures Markets, 40(2), 247-275. (with K. Lee and K. Lee)
Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes. 2019, Statistics & Probability Letters, 148(5), 43-53. (with Y.H. Na and G.H. Choe)
Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity. 2018, International Journal of Theoretical and Applied Finance, 21(7), 1850041. (with J. Jang and J.J. Park)
Contingent convertible bonds with the default risk premium. 2018, International Review of Financial Analysis, 59(10), 77-93. (with H. Zheng and Y.H. Na)
Hawkes process-based technology impact analysis. 2017, Journal of Informetrics, 11(2), 511-529. (with C.Y. Lee and H.G. Woo)
A factor contagion model for portfolio credit derivatives. 2015, Quantitative Finance, 15(9), 1571-1582. (with G.H. Choe, S.W. Kwon)
Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas. 2011, Insurance: Mathematics and Economics, 48(2), 205-213. (with G.H. Choe)
The kth default time distribution and basket default swap pricing. 2011, Quantitative Finance, 11(12), 1793-1801. (with G.H. Choe)
WORKING IN PROGRESS
Persistency of cointegration relationship for spot and futures prices of WTI and Brent crudes (with X. Pan and R. Webb)
Can high frequency market makers earn higher profits in more unstable markets?
Estimation of loss distribution for central-counterparty.
Optimal investment for multi-name CoCo bonds under a flocking model.
Pricing CoCos with regulatory trigger: The last passage time approach.
AD-HOC REVIEWs
2023 International Review of Economics and Finance
2023 Statistics and Computing
2022 Journal of International Financial Markets, Institutions & Money.
2022 International Review of Economics and Finance.
2022 Journal of Futures Markets
2021 Journal of Economic Dynamics and Control
2021 Finance Research Letters
2021 Methodology and Computing in Applied Probability
2021 Journal of Futures Markets.
2020 Journal of International Financial Markets, Institutions & Money.
2020 Risks.
2020 The North American Journal of Economics and Finance.
2020 Journal of Risk and Financial Management.
2020 Financial Innovation.
2019 Quantitative Finance.
2019 International Review of Economics and Finance.
2018 Journal of Computational Finance.
2018 The North American Journal of Economics and Finance.
2017 Asian-Pacific Journal of Financial Studies.
2016 Journal of Banking and Finance.
2011 Quantitative Finance.
2009 Journal of Computational Finance.