Research Interests

• Mathematical Finance

Publications

• Junkee Jeon, Hyeng Keun Koo, and  Minsuk Kwak (2024+) A Two-Person Zero-Sum Game Approach for a Retirement Decision with Borrowing Constraints, SIAM Journal on Financial Mathematics, accepted. (SSRN)

• Junkee Jeon, Hyeng Keun Koo, and  Minsuk Kwak (2024) Human Capital and Portfolio Choice: Borrowing Constraint and Reversible Retirement, Mathematics and Financial Economics, published online. (Publisher's site | Read only)

• Junkee Jeon and  Minsuk Kwak (2024) Optimal Consumption and Investment with Welfare Constraints, Finance and Stochastics, 28, 391-451. (Publisher's site | Read only)

• Junkee Jeon, Minsuk Kwak, and Kyunghyun Park (2023) Horizon Effect on Optimal Retirement Decision, Quantitative Finance, 23(1), 123-148.

• Kyoung Jin Choi and Minsuk Kwak (2022) Valuing Real Options with Endogenous Payoff, Quantitative Finance, 22(11), 2109-2123.

• Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee, and Yumeng Wang (2022) A Black-Scholes User's Guide to the Bachelier Model, Journal of Futures Markets, 42(5), 959-980. (Publisher's site | Read only)

• Junkee Jeon and Minsuk Kwak (2022) A Variational Inequality arising from Optimal Surrender of Variable Annuity with Lookback Benefit, Journal of Inequalities and Applications, 2022(8).

• Petar Jevtić, Minsuk Kwak, Traian A. Pirvu (2022) Practical Partial Equilibrium Framework for Pricing of Mortality-Linked Instruments in Continuous Time, European Actuarial Journal, 12, 249-273. (Publisher's site | Read only)

• Junkee Jeon and Minsuk Kwak (2021) Pricing Variable Annuity with Surrender Guarantee, Journal of Computational and Applied Mathematics, 393, 113508.

• Byung Hwa Lim and Minsuk Kwak (2019) The Impact of Partial Borrowing Limit on Financial Decisions, Quantitative Finance, 19, 859-883.

• Junkee Jeon and Minsuk Kwak (2018) Optimal Surrender Strategies and Valuations of Path-dependent Guarantees in Variable Annuities, Insurance: Mathematics and Economics, 83, 93-109.

• Minsuk Kwak and Traian A. Pirvu (2018) Cumulative Prospect Theory with Generalized Hyperbolic Skewed t Distribution, SIAM Journal on Financial Mathematics, 9, 54-89.

• Kyoung Jin Choi, Minsuk Kwak, and Gyoocheol Shim (2017) Time Preference and Real Investment, Journal of Economic Dynamics & Control, 83, 18-33.

• Farzad Pourbabaee, Minsuk Kwak, and Traian A. Pirvu (2016) Risk Minimization and Portfolio Diversification, Quantitative Finance, 16, 1325-1332.

• Carole Bernard and Minsuk Kwak (2016) Semi-static Hedging of Variable Annuities, Insurance: Mathematics and Economics, 67, 173-186.

• Byung Hwa Lim and Minsuk Kwak (2016) Bequest Motive and Incentive to Retire: Consumption, Investment, Retirement, and Life Insurance Strategies, Finance Research Letters, 16, 19- 27.

• Carole Bernard and Minsuk Kwak (2016) Dynamic Preferences for Popular Investment Strategies in Pension Funds, Scandinavian Actuarial Journal, Volume 2016 (5), 398-419.

• Minsuk Kwak and Byung Hwa Lim (2014) Optimal Portfolio Selection with Life Insurance under Inflation Risk, Journal of Banking and Finance, 46, 59-71.

• Minsuk Kwak, Traian A. Pirvu, and Huayue Zhang (2014) A Multi Period Equilibrium Pricing Model, Journal of Applied Mathematics, Volume 2014, Article ID 408685, 14 pages.

• Minsuk Kwak, Yong Hyun Shin, and U Jin Choi (2011) Optimal Investment and Consumption Decision of a Family with Life Insurance, Insurance: Mathematics and Economics, 48 (2), 176-188.

• Minsuk Kwak, Yong Hyun Shin, and U Jin Choi (2009) Optimal Portfolio, Consumption and Retirement Decision under a Preference Change, Journal of Mathematical Analysis and Applications 355 (2), 527-540.

• Jaehyuk Choi, Kwangmoon Kim, and Minsuk Kwak (2009) Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion, Applied Mathematical Finance 16 (3), 261-268.

Working papers

• Kyoung Jin Choi, Minsuk Kwak, and Byung Hwa Lim, "A Dynamic Model of Sustainable Work-Life Balance", working paper.

• Kyoung Jin Choi, Junkee Jeon, Minsuk Kwak, and Byung Hwa Lim, "Optimal Staking and Liquid Token Holding Decisions in Cryptocurrency Markets", work in progress.

• Junkee Jeon, Hyeng Keun Koo, Minsuk Kwak, and Ji Hee Yoon, "Anticipatory Social Preference with Sustainability Constraint", work in progress.

• Kyoung Jin Choi, Minsuk Kwak, and Byung Hwa Lim, "Optimal Recursive Utility Maximization with Debt-to-Income Limits", submitted. (SSRN)

• Kyoung Jin Choi, Minsuk Kwak, Gyoocheol Shim, and Wei Wei, "Decision Horizon and Idiosyncratic Risk", working paper. (SSRN)

• Byung Hwa Lim, Hyeng Keun Koo, Minsuk Kwak, "Demand for Life Insurance of a Family with Working Couple", work in progress.

• Minsuk Kwak and Byung Hwa Lim, "Optimal Portfolio with Life Insurance under Incomplete Information", working paper.