Computational Finance
계산 금융

Financial Data Science
금융 데이터 과학

Portfolio Optimization with Model-based  Reinforcement Learning
모델 기반  강화학습을 이용한 포트폴리오 최적화

Asset Pricing with Machine Learning and Econometric Models
머신러닝과 계량 경제 모델을 이용한 자산 평가

Associate Professor, Department of Mathematics, Sung-Kyun-Kwan University (SKKU), South Korea, Mar 2025 - present

Assistant Professor, Department of Mathematics, Sung-Kyun-Kwan University (SKKU), South Korea, Mar 2024 - Feb 2025

Assistant Professor, Department of Statistics (+Department of Bigdata Convergence), Chonnam National University (CNU), South Korea, Mar 2020 - Feb 2024

Research Fellow, Computational Sciences, Korea Institute for Advanced Study (KIAS), South Korea, Sep 2018 - Feb 2020

Postdoctoral Researcher, Center for Mathematical Analysis & Computation, Yonsei University, South Korea, Sep 2017 - Aug 2018

Ph.D. in Mathematics (Major: Financial Mathematics), Yonsei University, Aug 2017

B.S. in Physics and Mathematics (Double Major), Yonsei University, Feb 2010

Excellent Paper Award, Korean Financial Management Association, 2024, Hyun Soo Doh*, Jeonggyu Huh, Byung Hwa Lim

Excellent Paper Award, The Korean Journal of Financial Engineering, 2024, Hyun Soo Doh*, Jeonggyu Huh, Byung Hwa Lim

Outstanding Young Investigator Award, Korean Society for Industrial and Applied Mathematics (KSIAM), 2022, Jeonggyu Huh*

Third Prize & Originality Award, Computer Go UEC Cup, 2019 (as a member of Jooyoung Lee (KIAS)’s research team)

Academic Reward, Korea Institute for Advanced Study (KIAS), 2019, Jeonggyu Huh*

Second Prize, Fuzhou Go AI World Competition, 2019  (as a member of Jooyoung Lee (KIAS)’s research team)

Market Modeling and Investment Optimization with SDE-Based Generative Models & Reinforcement Learning, National Research Foundation of Korea (NRF), Mar 2025  - Feb 2030

Developing an Extended Economic Scenario Generator with Machine Learning, Korea Asset Pricing (KAP), Aug 2024 - Jan 2025

Derivative Pricing Algorithm Development using Deep Learning, National Research Foundation of Korea (NRF), Jun 2022 - Feb 2025

AI Investment System Based on Reinforcement Learning, National Research Foundation of Korea (NRF), Jun 2019  - Feb 2022

Development of Investment System Based on Deep Reinforcement Learning, Korea Institute for Advanced Study (KIAS),  Sep 2018  - Feb 2020

Financial Mathematics (graduate), Sungkyunkwan University, Spring 2024-2025

Advanced Financial Mathematics (graduate), Sungkyunkwan University, Fall 2025

AI for Financial Engineering, K-MOOC, Winter 2021

Machine Learning  (graduate), Chonnam National University (CNU), Spring 2022

Deep Learning (graduate), Chonnam National University (CNU), Fall 2020-2022

LSTM-based Dynamic Correlation Forecasting with Economic Conditions, Jeonggyu Huh*, Seungwoo Ha, Seung-won Jeong*, Financial Research Letters, 2025 Link 

Improved Accuracy of an Analytical Approximation for Option Pricing under Stochastic Volatility Models using Deep Learning Techniques, Donghyun Kim*, Jeonggyu Huh*, Ji-Hun Yoon, Computers and Mathematics with Applications, 2025 Link

Learning Distributions for Continuous-Time Financial Models, Jeonggyu Huh*, Seung-Won Jeong*,  Computaitonal Economics, 2025 Link

Pontryagin-Guided Direct Policy Optimization for Continuous-time Portfolio Problem, Jeonggyu Huh*, Jaegi Jeon*, Seung-Won Jeong, Journal of Industrial and Management Optimization, 2025 Link

[Conference] Bounded Rationality, Reinforcement Learning, and Market Efficiency, Hyun Soo Doh*, Byung Hwa Lim, Jeonggyu Huh, China International Conference in Finance (CICF), 2025 Link

Deep Learning of Optimal Exercise Boundaries for American Options, Hyun-Gyoon Kim*, Jeonggyu Huh*, International Journal of Computer Mathematics, 2024 Link

Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models, Hyun-Gyoon Kim*, Hyungmi Kim, Jeonggyu Huh*, Computational Economics, 2024 Link

[Conference] Continuous-time Portfolio Optimization via Model-based Reinforcement Learning, Jeonggyu Huh, Hyeng-Keun Koo, Byung Hwa Lim*, Financial Management Association (FMA) Asia/Pacific, 2024 Link

Pricing Path-Dependent Exotic Options with Flow-Based Generative Networks, Hyun-Gyoon Kim*, Se-Jin Kwon, Jeong-Hoon Kim, Jeonggyu Huh*,  Applied Soft Computing, 2022  Link 

Extensive Networks Would Eliminate the Demand for Pricing Formulas, Jaegi Jeon*, Kyunghyun Park, Jeonggyu Huh*, Knowledge-Based Systems,  2022 Link

Large Scale Online Learning of Implied Volatilities, Tae-Kyoung Kim*, Hyun-Gyoon Kim, Jeonggyu Huh*, Expert Systems with Applications, 2022 Link

Measuring Systematic Risk with Neural Network Factor Model, Jeonggyu Huh*, Physica A : Statistical Mechanics and its Applications, 2020 Link

Pricing Options with Exponential Levy Neural Network, Jeonggyu Huh*, Expert Systems with Applications, 2019 Link

Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio, Quantitative Finance Conference  at NUS Singapore, 2025

Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio, Workshop on Mathematical Finance at Seoul, 2025 

Improved Deep Learning Methods for Large-Scale Dynamic Portfolio Choice, Sookmyung-TMU Mathematical Finance Workshop with Young Researchers, 2025 

Beyond Markowitz: via Deep Learning, K-School Fall Meet Up, 2024 

AI-based Portfolio Optimization, 2024 National Strategy Forum, National Assembly of the Republic of Korea, 2024 

Towards Optimal Investment Strategy using Deep Learning, Korea-Japan Mathematical Finance Conference, 2024

Dynamic Portfolio Choice with Model-based Reinforcement Learning, Asian Quantitative Finance Seminar (AQFS), 2024 

Generative AI for Asset Pricing Company (1h), Korea Asset Pricing, 2024 

Score-Based Generative Models (1h), Department of AI Convergence at Chonnam National University (CNU), 2023 

Introduction to Concepts and Latest Trends of AI (1h), KEPCO KDN, 2022 

Solving Difficult Problems of Financial Engineering Using Deep Learning (1.5h), Workshop on A.I. for I.M., National Institute for Mathematical Sciences (NIMS), 2022 

Deep Learning Tutorial (10h), Department of Mathematics at Pusan National University, 2022 

Deep Learning Tutorial (6h), BRL Workshop, Department of Mathematics at UNIST, 2022 

Distributed Computing and Reinforcement Learning (10h), Summer Workshop, The Korean Data & Information Science Society, 2021