Dohyun Ahn
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
About Me
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 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
Research Papers
Dohyun Ahn, Dongwook Shin, and Lewen Zheng (2024) Best-Arm Identification with High-Dimensional Features
Working paperDohyun Ahn and Hongyi Jiang (2024) A Worst-Case Approach to Two-Period Liquidation in Financial Systems
Working paperDohyun Ahn and Taeho Kim (2024) Optimal Selection of Stochastic Alternatives for Tail Risk Mitigation
Working paperDohyun Ahn and Lewen Zheng (2024) Efficient Simulation of Polyhedral Expectations with Applications to Finance
Major revision at Mathematics of Operations Research [SSRN]
§ 1st Place, Best Student Paper Competition, INFORMS Section on Finance, 2022Dohyun Ahn (2024) Data-Driven Resource Allocation for Multi-Target Attainment
Major revision at European Journal of Operational ResearchDohyun Ahn, Dongwook Shin, and Assaf Zeevi (2024) Feature Misspecification in Sequential Learning Problems
Management Science, forthcoming [SSRN]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 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, 2023Dohyun Ahn and Taeho Kim (2023) Risk-Sensitive Ordinal Optimization
Proceedings of the 2023 Winter Simulation Conference [link][pdf]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, 2019Dohyun 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, 2021Dohyun Ahn and Dongwook Shin (2020) Ordinal Optimization with Generalized Linear Model
Proceedings of the 2020 Winter Simulation Conference [link][pdf]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-ChiefDohyun 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, 2015Dohyun 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"
Teaching
SEEM2440 Engineering Economics: Fall 2018, 2019, 2020, 2021, 2022, 2023
SEEM2520 Fundamentals in Financial Engineering: Fall 2021, 2023
SEEM4720 Computational Finance: Spring 2020, 2021, 2023, 2024
Ph.D. Students
Lewen Zheng (August 2019 - Present)
Research Area: Monte Carlo Simulation with Applications to FinanceHongyi Jiang (August 2020 - Present)
Research Area: Systemic Risk and Financial NetworksHuiyi Chen (August 2023 - Present)
Research Area: TBD
Grants
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"
Professional Activities
Society Membership: INFORMS (2016 - Present), SIAM (2016 - Present), Bachelier Finance Society (2017 - Present)
Referee Services for Journals and Conferences: Management Science, Operations Research, Mathematical Finance, INFORMS Journal on Computing, Operations Research Letters, Journal of the Operational Research Society, The 11th World Congress of the Bachelier Finance Society, Winter Simulation Conference 2023
Session Chair at Conferences: The 14th POMS-HK International Conference, Winter Simulation Conference 2023, INFORMS Annual Meeting 2023 (2 sessions), Recent Advances on Quantitative Finance, The 13th POMS-HK International Conference, The 11th World Congress of the Bachelier Finance Society, The 22nd Conference of the International Federation of Operational Research Societies (2 sessions), KORMS Conference 2020, The 2nd Imperial-CUHK Workshop on Quantitative Finance
Opportunities
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 monthly stipend for Ph.D. students is HK$18,360 (approx. US$ 2,343) [link].
§ HK Ph.D. Fellowship Scheme [link] awardees will receive financial support of up to HK$1.72 million (approx. US$220,000) including the monthly stipend of HK$27,600 (approx. US$3,500).Postdoctoral researcher: The candidate should hold a Ph.D. in operations research, financial engineering, industrial engineering, mathematics, statistics, or other related fields at the time of appointment. This is a one-year position with the possibility of reappointment subject to satisfactory performance and continued funding. Please send me a CV and a research statement if you are interested.