Papers

Submitted

• Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio, Jeonggyu Huh*, Jaegi Jeon, Hyeng-Keun Koo, Byung Hwa Lim* [Paper] [Code] [Slides] 
  + Supplementary proofs: Detailed  Proof of Theorem 3 — BPTT–BSDE Equivalence [PDF] · Detailed  Proof of Theorem 4 — Policy-Gap Bounds [PDF] 

• Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice, Jeonggyu Huh*, Jaegi Jeon*, Hyeng-Keun Koo, Byung Hwa Lim  [Paper] [Code] [Slides]

• Bounded Rationality, Reinforcement Learning, and Market Efficiency, Hyun Soo Doh*, Jeonggyu Huh, Byung Hwa Lim* [Link]

• Forward-Looking Predictors and Shapley Screening in Risk Premium Forecasting, Jeonggyu Huh*,  Jaegi Jeon, Seung-Won Jeong*

2025

• LSTM-based Dynamic Correlation Forecasting with Economic Conditions, Jeonggyu Huh*, Seungwoo Ha, Seung-Won Jeong*, Finance 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*,  Computational 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]

• Reliable option pricing through deep learning: An anomaly score-based approach, Jihong Park*, Jeonggyu Huh, Jaegi Jeon*, Networks and Heterogeneous Media [Link]

• Dual‑Uncertainty Modeling in Financial Time‑Series via VMD‑LSTM with Concrete Dropout and VMD‑WGAN, Jeonggyu Huh*, Dajin Kim, Minseok Jung, Seung-Won Jeong*, accepted in Networks and Heterogeneous Media

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

• [Insight Report] AI Bringing Dynamic Portfolio Choice into Reality, The Korean Journal of Financial Studies [Link]

2024

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

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

• Tighter 'Uniform Bounds for Black-Scholes Implied Volatility' and the Applications to Root-Finding, Jaehyuk Choi*,  Jeonggyu Huh, Su Nan, Operations Research Letters, 2024 [Link]

• Accelerating SDE Simulation through Learning of Stochastic Dynamics, Seung-Won Jeong*, Ji-Hun Kim, Jitae Jung, Jeonggyu Huh*, Journal of Korean Society for Industrial and Applied Mathematics, 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]

2023

• Variable Annuity with a Surrender Option under Multi-Scale Stochastic Volatility, Jeonggyu Huh*, Junkee Jeon, Kyunghyun Park*, Japan Journal of Industrial and Applied Mathematics, 2023 [Link]

• Analytical Pricing of Exchange Option with Default Risk under a Stochastic Volatility Model, Jaegi Jeon*, Jeonggyu Huh, Geonwoo Kim*, Advances in Continuous and Discrete Models, 2023 [Link]

• Random Augmentation Technique for Mitigating Overfitting in Neural Networks for Financial Time Series Forecasting, Yeonglong Kwak*, Jeonggyu Huh*, Journal of The Korean Data Analysis Society, 2023 [Link]

2022

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

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

• Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities, Geon Lee*, Tae-Kyoung Kim, Hyun-Gyoon Kim, Jeonggyu Huh*, Journal of Risk and Financial Management, 2022 [Link]

2021

• Consistent and Efficient Pricing of SPX Options and VIX Options under Multi-Scale Stochastic Volatilities, Jaegi Jeon*, Geonwoo Kim, Jeonggyu Huh*, Journal of Futures Markets, 2021 [Link]

• Asymptotic Expansion Approach to the Valuation of Vulnerable Option under a Multiscale Stochastic Volatility Model, Jaegi Jeon*, Geonwoo Kim, Jeonggyu Huh*, Chaos, Solitons & Fractals, 2021 [Link]

• Pricing of Vulnerable Power Exchange Option under the Hybrid Model, Jaegi Jeon*, Jeonggyu Huh, Geonwoo Kim*, East Asian Mathematical Journal, 2021 

• Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model, Jeonggyu Huh*, Jaegi Jeon, Geonwoo Kim*, East Asian Mathematical Journal, 2021 

2020

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

• Static Hedges of Barrier Options under Fast Mean-Reverting Stochastic Volatility, Jeonggyu Huh*, Jaegi Jeon, Yong-Ki Ma*, Computational Economics, 2020 [Link]

• An Analytic Approximation for the Valuation of American Option in Two Regimes, Junkee Jeon*, Jeonggyu Huh, Kyunghyun Park*, Computational Economics, 2020 [Link]

2019

• 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]

• Barrier Option Pricing with Heavy-Tailed Distribution, Geonwoo Kim*, Jeonggyu Huh*, Economic Computation and Economic Cybernetics Studies and Research, 2019

2018

• 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]

Refereeing service

• 2025
  Computational Economics
  Applied Numerical Mathematics
  Finance Research Letters
  Journal of Computational and Applied Mathematics
  Journal of Derivatives
  International Journal of Computer Mathematics
  AIMS Mathematics
  Journal of Futures Markets
  Discover Artificial Intelligence
  Journal of Forecasting
  Asia-Pacific Financial Markets
  Decision Analytics Journal
  Mathematics and Computers in Simulation
  Communications in Statistics
  International Review of Financial Analysis
  Mathematical Reviews

• 2024
  Applied Numerical Mathematics
  Journal of Computational and Applied Mathematics
  Computational Economics
  Journal of the Korean Statistical Society

• 2023
  Computational Economics
  Expert Systems With Applications
  Journal of Computational and Applied Mathematics

• 2022
  Computational and Applied Mathematics
  Applied Economics Letters
  Journal of Computational and Applied Mathematics
  Quantitative Finance and Economics
  Expert Systems With Applications

• 2021
  Expert Systems With Applications
  Journal of Futures Markets
  Chaos, Solitons & Fractals

• 2020
  Expert Systems With Applications