Jeonggyu Huh

Research fellow, Computational Sciences, Korea Institute for Advanced Study (KIAS), South Korea

aifina2018@kias.re.kr

Research Interests

  • Artificial intelligence and its application (go-playing AI, quantitative finance using networks, etc.)


Appointment

  • Research fellow, Computational Sciences, Korea Institute for Advanced Study (KIAS), South Korea, Sep 2018 - present
  • Postdoctoral researcher, Center for Mathematical Analysis & Computation (CMAC), Yonsei university, South Korea, Sep 2017 - Aug 2018


Education

  • Ph.D. in Mathematics, Yonsei University, Aug 2017
  • B.S. in Physics and Mathematics (double major), Yonsei University, Feb 2010


Projects in Progress

  • Go-playing AI, Baduki, Computational Sciences, Korea Institute for Advanced Study, 2018 Link


Papers

  • Measuring Systematic Risk with Neural Network Factor Model, submitted Link
  • Pricing Options with Exponential Levy Neural Network, revised in Expert Systems with Applications Link
  • Static Hedges of Barrier Options under Fast Mean-Reverting Stochastic Volatility (with Jaegi Jeon and Yong-Ki Ma), revised in Computational Economics
  • A Reduced PDE Method for European Option Pricing under Multi-scale, Multi-factor Stochastic Volatility (with Jaegi Jeon, Jeong-Hoon Kim and Hyejin Park), Quantitative Finance, 2018 Link
  • A Scaled Version of the Double-mean-reverting Model for VIX Derivatives (with Jaegi Jeon and Jeong-Hoon Kim), Mathematics and Financial Economics, 2018 Link


Working Papers

  • Evaluation of Final Positions in the Game of Go based on Knowledge and Networks (with Jooyoung Lee)
  • Development of a Go AI utilizing not only Winning Probability but also Score Difference (with Jooyoung Lee)
  • Bayesian Pruning of Deep Networks using Genetic Perturbations (with Jooyoung Lee)
  • Static Hedges of American Barrier Options under Multi-scale Stochastic Volatility (with Jaegi Jeon and Yong-Ki Ma)
  • Consistent and Efficient Pricing of SPX Options and VIX Options under Multi-scale Stochastic Volatilitys (with Jaegi Jeon and Geon-woo Kim)
  • An Analytic Pricing Formula for Fixed-strike Vulnerable American Lookback Options on Underlying Assets (with Ji-Hun Yoon and Geon-woo Kim)


Presentations (selected)

  • Public lecture for undergraduates at Kongju University: AI and Finance, 2018
  • The Quantitative Methods in Finance Conference at Sydney: The Curse of Dimensionality in Pricing Multi-Asset Options, 2017