Machine-Learning-Based Computational Finance
머신러닝 기반 계산금융

Asset Pricing with Deep Generative Networks
심층 생성 신경망을 이용한 자산 평가

Portfolio Optimization with Reinforcement Learning
강화학습을 이용한 포트폴리오 최적화

Derivatives Evaluation and Hedging with Deep Learning
딥러닝을 이용한 파생상품 평가 및 헤지 

Assistant Professor, Department of Mathematics, Sungkyunkwan University (SKKU), South Korea, Mar 2024 - present

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

Python, PyTorch, and C/C++ on Linux-Based Large-Scale System

Parallel Computing with OpenMP, PThread and CUDA

Distributed Computing  with  MPI and NCCL

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

Consistent and Efficient Pricing of SPX Options and VIX Options under Multi-scale Stochastic Volatilities, Jaegi Jeon*, Geonwoo Kim, Jeonggyu Huh*, Journal of Futures Market, 2021 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

A Reduced PDE Method for European Option Pricing under Multi-Scale, Multi-Factor Stochastic Volatility, Jeonggyu Huh*, Jaegi Jeon, Jeong-Hoon Kim*, Hyejin Park, Quantitative Finance, 2019 Link

A Scaled Version of the Double-Mean-Reverting Model for VIX Derivatives, Jeonggyu Huh*, Jaegi Jeon, Jeong-Hoon Kim*, Mathematics and Financial Economics, 2018 Link

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

Third Prize & Originality Award, Computer Go UEC Cup, 2019 Link

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

Second Prize, Fuzhou Go AI World Competition, 2019 Link

Derivative Pricing Algorithm Development using Deep Learning (Principal Investigator; ￦80,000,000/year), National Research Foundation of Korea (NRF), Jun 2022 - present

Greeks Evaluation using Automatic Differentiation (Consultation for Korea Asset Pricing), Leaders in INdustry-University Cooperation+ (LINC+), July 2021 - Jan 2022

Development of Growth Prediction Model by Livestock Breed (Co-Investigator; ￦60,000,000/year), Agriculture, Forestry and Fisheries Food, Apr 2021 - Dec 2024

Monitoring of Agricultural-Derived Organic Pollutants in the Agricultural Environment and Establishment of an Environmental Risk Assessment System (Co-Investigator; ￦100,000,000/year), Rural Development Administration, Jan 2021 - Dec 2023

AI Investment System Based on Reinforcement Learning (Principal Investigator; ￦50,000,000/year), National Research Foundation of Korea (NRF), Jun 2019  - Feb 2022

Development of Investment System Based on Deep Reinforcement Learning (Principal Investigator; ￦10,000,000/year), Korea Institute for Advanced Study (KIAS),  Sep 2018  - Feb 2020

AI for Financial Engineering, K-MOOC, Winter 2021 Link

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

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

Advanced Deep Learning (graduate), Chonnam National University (CNU), Fall 2023

Financial Derivatives, Chonnam National University (CNU), Fall 2020

Financial Statistics, Chonnam National University (CNU), Spring 2020-2022

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

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

Deep Learning Tutorial (6h), BRL Workshop, Department of Mathematics at Ulsan National Institute of Science & Technology (UNIST), 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

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

Generative Networks such as VAE and GAN (5h), 2019 CAC Summer School, Korea Institute for Advanced Study (KIAS), 2019