Assistant Professor
Department of Systems Engineering and Engineering Management (SEEM), Faculty of Engineering
The Chinese University of Hong Kong (CUHK)
(Affiliated with Shaw College)
E-mail: dohyun [dot] ahn [at] cuhk [dot] edu [dot] hk
Phone: +852 3943 8238
Office: 509 William M. W. Mong Engineering Building, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong
I am an Assistant Professor in the Department of Systems Engineering and Engineering Management (SEEM) at the Chinese University of Hong Kong (CUHK). Before joining CUHK in 2018, I received a B.S. degree with a double major in Industrial & Systems Engineering and Management Science in 2011 and my M.S. and Ph.D. degrees in Industrial & Systems Engineering in 2013 and 2018, respectively, all from the Korea Advanced Institute of Science and Technology (KAIST).
I am interested in the broad fields of operations research and management science, with a particular focus on:
Quantitative risk management using optimization and stochastic models
Stochastic simulation methodologies
Network analysis in finance and operations
Decision making under model risk and information uncertainty
2024 Operations Research Meritorious Service Award
2023 Dean's Exemplary Teaching Award, Faculty of Engineering, CUHK
2023 WSC INFORMS-Sim Best Student Paper Award*
2022 INFORMS Section on Finance Best Student Paper Award*
2021 WSC Best Contributed Theoretical Paper Runner-up Award
2019 KIIE MS Student Paper Runner-up Award*
2019 Best Thesis Award, Department of Industrial & Systems Engineering, KAIST
2015 INFORMS Section on Finance Best Student Paper Award (Second Place)
2015 KORMS Best Paper Award
2013 - 2016 Global Ph.D. Fellowship, National Research Foundation of Korea
(Awards won by student coauthors are marked with *)
Dohyun Ahn and Taeho Kim (2025+) Data-Driven Sequential Sampling for Tail Risk Mitigation [arXiv]
Dohyun Ahn and Hongyi Jiang (2025+) Robust Optimal Strategies for Two-Period Liquidation in Financial Systems
Dohyun Ahn and Lewen Zheng (2025+) Rare-Event Simulation under Distributional Uncertainty
Sanghwa Kim, Dohyun Ahn, and Seungki Min (2025+) On the Optimality of Stochastic Binary Search
Dohyun Ahn, Sandeep Juneja, Tejas Pagare, and Shreyas Samudra (2025+) Data-Driven Estimation of Tail Probabilities under Varying Distributional Assumptions
Dohyun Ahn and Lewen Zheng (2025) Efficient Simulation of Polyhedral Expectations with Applications to Finance
Mathematics of Operations Research, Articles in Advance [link][SSRN]
§ 1st Place, Best Student Paper Competition, INFORMS Section on Finance, 2022
Dohyun Ahn, Dongwook Shin, and Assaf Zeevi (2024) Feature Misspecification in Sequential Learning Problems
Management Science, 71(5):4066–4086 [link][SSRN]
Dohyun Ahn (2024) Data-Driven Resource Allocation for Multi-Target Attainment
European Journal of Operational Research, 318(3):954–965 [link][pdf]
Dohyun Ahn, Nan Chen, and Kyoung-Kuk Kim (2024) Robust Risk Quantification via Shock Propagation in Financial Networks
Operations Research, 72(1):1-18 [link][SSRN]
Dohyun Ahn, Kyoung-Kuk Kim, and Eunji Kwon (2023) Multivariate Stress Scenario Selection in Interbank Networks
Journal of Economic Dynamics and Control, 154:104712 [link][SSRN]
§ 2nd Place, KIIE Best MS Student Paper Competition, 2019
Dohyun Ahn (2020) Shock Amplification in Financial Networks with Applications to the CCP Feasibility
Quantitative Finance, 20(7):1045-1056 [link][pdf]
§ Selected as a Feature Article by the Editor-in-Chief
Dohyun Ahn, Kyoung-Kuk Kim, and Younghoon Kim (2020) Small-Time Smile for the Multifactor Volatility Heston Model
Journal of Applied Probability, 57(4):1070-1087 [link][pdf]
Dohyun Ahn and Kyoung-Kuk Kim (2019) Optimal Intervention under Stress Scenarios: A Case of the Korean Financial System
Operations Research Letters, 47(4):257-263 [link][pdf]
Dohyun Ahn and Kyoung-Kuk Kim (2018) Efficient Simulation for Expectations over the Union of Half-Spaces
ACM Transactions on Modeling and Computer Simulation, 28(3), Article 23 [link][pdf]
§ KORMS Best Paper Award, 2015
§ 2nd Place, Best Student Paper Competition, INFORMS Section on Finance, 2015
Dohyun Ahn, Wanmo Kang, Kyoung-Kuk Kim, and Hayong Shin (2017) Analysis and Design of Microfinance Services: A Case of ROSCA
The Engineering Economist, 62(3):197-230 [link][pdf]
§ Featured in the December 2017 issue of ISE magazine (published by IISE): "Best practices for setting up a financial sharing system"
Dohyun Ahn, Dongwook Shin, and Lewen Zheng (2024) Best-Arm Identification with High-Dimensional Features
Proceedings of the 2024 Winter Simulation Conference [link][pdf]
Dohyun Ahn and Lewen Zheng (2023) Conditional Importance Sampling for Convex Rare-Event Sets
Proceedings of the 2023 Winter Simulation Conference [link][pdf]
§ INFORMS-Sim Best Student Paper Award, Winter Simulation Conference Ph.D. Colloquium, 2023
Dohyun Ahn and Taeho Kim (2023) Risk-Sensitive Ordinal Optimization
Proceedings of the 2023 Winter Simulation Conference [link][pdf]
Dohyun Ahn and Lewen Zheng (2021) Efficient Simulation for Linear Programming under Uncertainty
Proceedings of the 2021 Winter Simulation Conference [link][pdf]
§ Runner-up, Best Theoretical Paper Competition, Winter Simulation Conference, 2021
Dohyun Ahn and Dongwook Shin (2020) Ordinal Optimization with Generalized Linear Model
Proceedings of the 2020 Winter Simulation Conference [link][pdf]
SEEM2440 Engineering Economics: Fall 2018, 2019, 2020, 2021, 2022, 2023, 2024
SEEM2520 Fundamentals in Financial Engineering: Fall 2021, 2023
SEEM2602 Systems Engineering Practicum: Fall 2018, Spring 2022, 2023
SEEM4720 Computational Finance: Spring 2020, 2021, 2023, 2024, 2025
Current Students
Hongyi Jiang (August 2020 - Present)
Research Topic: Systemic Risk and Financial Networks
Huiyi Chen (August 2023 - Present)
Research Topic: Deep Learning for Factorial Experiments
Alumni
Lewen Zheng (Ph.D., 2024)
Thesis: "Efficient Monte Carlo Methods for Rare Events in Financial Applications"
First position: Associate Researcher, Huawei Hong Kong Research Center
CUHK Direct Grant for Research (PI, 2023-2025): "Tail Risk Quantification under Model Uncertainty"
Early Career Scheme, Hong Kong Research Grants Council (PI, 2021-2024): "Multivariate Stress Testing of Financial Networks for Systemic Risk Management"
Applied Simulations Research Limited (Co-I, 2022-2023): "Robust Optimization of Speculative Trading Portfolios and Its Applications" with Nan Chen (PI)
CUHK Direct Grant for Research (PI, 2020-2022): "Rare-Event Simulation for Systemic Risk Measurement"
CUHK Direct Grant for Research (PI, 2018-2021): "Asymptotic and Robust Analysis for High-Dimensional Risks in Complex Networks"
Ph.D. student: I am looking for self-motivated, dedicated, hard-working Ph.D. students with solid mathematical backgrounds. Knowledge of finance is helpful but not required. Please feel free to email me anytime if you are interested in working with me. Visit here to apply for our Ph.D. program.
§ The annual stipend for general Ph.D. students is HK$224,700 (approx. US$ 28,810) [link].
§ HK Ph.D. Fellowship Scheme awardees will receive financial support of up to HK$1.72 million (approx. US$220,000) including the annual stipend of HK$331,200 (approx. US$42,460) [link].