Jeonggyu Huh / 허정규
Assistant Professor, Department of Mathematics, Sungkyunkwan University (SKKU), South Korea
성균관대 수학과 교수
Office: #31313, Science Building 1
연구실: 제1과학관 31313호
Research Area
Data Science in Finance
금융 데이터 과학
Research Interests
Continuous-Time Investment Problem with Model-based Reinforcement Learning
모델 기반 강화학습을 이용한 연속 시간 투자 문제Financial Data Prediction and Generation with Deep Generative Networks
심층 생성 신경망을 이용한 금융 데이터 예측 및 생성Continuous-Time Derivative Pricing and Hedging with Model-based Reinforcement Learning
모델 기반 강화학습을 이용한 연속 시간 파생상품 평가 및 헤지
Appointment
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
Education
Ph.D. in Mathematics (Major: Financial Mathematics), Yonsei University, Aug 2017
B.S. in Physics and Mathematics (Double Major), Yonsei University, Feb 2010
Programming Skills
Python, PyTorch, and C/C++ on Linux-Based Large-Scale System
Parallel Computing with OpenMP, PThread and CUDA
Distributed Computing with MPI and NCCL
Papers (selected)
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
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
Awards
Excellent Paper Award, The Korean Journal of Financial Engineering, 2024
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
Projects (selected)
Developing an Extended Economic Scenario Generator with Machine Learning, Korea Asset Pricing, Aug 2024 - present
Derivative Pricing Algorithm Development using Deep Learning, National Research Foundation of Korea (NRF), Jun 2022 - present
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
Teaching Experience (selected)
Probabilistic Generative Models (graduate), Sungkyunkwan University, Fall 2024
Financial Mathemathics (graduate), Sungkyunkwan University, Spring 2024
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
Presentations (selected)
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
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
Distributed Computing and Reinforcement Learning (10h), Summer Workshop, The Korean Data & Information Science Society, 2021