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Welcome! I am currently a postdoctoral researcher at the Department of Mathematical Sciences at KAIST, working under the supervision of Professor Donghan Kim. I earned my Ph.D. from Seoul National University under the supervision of Professor Dano Kim.
After earning my Ph.D., I spent four years at Mirae Asset Securities developing quantitative models. I worked on pricing models for equity index derivatives as well as interest rate-based derivatives. In particular, I gained extensive experience in robust product evaluation and programming using library-based development tools such as QuantLib, incorporating various design patterns.
Here is my CV.
homepage_main.jpgMy research focuses on portfolio optimization, a field within financial mathematics. Specifically, I am interested in solving problems related to decision-making in constrained settings, such as determining optimal retirement timing or consumption patterns. In addition, I am also intrigued by models used in the financial industry, including fair pricing of derivatives and interest rate modeling.
I am also interested in developing quantitative models using C++ and Python. I have contributed to the QuantLib project and am particularly enthusiastic about modern C++ techniques and best practices.
Research Interests
Stocahstic analysis/optimization and its application to mathematical finance
Main Research Topics
Free Boundary Problems in Mathematical Finance
Portfolio Selection
Applications of Stochastic Analysis to PDEs
Preprints
Optimal Portfolio Selection and Early Retirement with Target Wealth Constraints (2024), researchgate, 14pp (with Junkee Jeon and Takwon Kim)
Revise and resubmit (for 2nd round review) at Mathematics and Financial EconomicsFinite-Horizon Optimal Consumption, Investment, and Retirement Decisions with a Subsistence Consumption Constraint (2025), SSRN, 21pp (with Junkee Jeon and Takwon Kim)
Dynamic Asset Allocation with Partially Reversible Retirement Decisions (2025), SSRN, 31pp (with Junkee Jeon and Takwon Kim)
Publications
On equisingular approximation of plurisubharmonic functions (2023) (with Hoseob Seo)
Journal of Mathematical Anlaysis and Applications 521, no. 2, 126987Optimal portfolio and retirement decisions with costly job switching options (2025) (with Junkee Jeon and Takwon Kim)
Applied Mathematics and Computation 491, 129215
Optimal portfolio and labor-leisure decisions with intolerance for declining standard living (2025) (with Junkee Jeon and Takwon Kim)
Quantitative Finance, 25, no. 8, 1293-1313
Optimal Contract Design with Labor-Leisure Choice under Limited Commitment: A Free Boundary Approach (2026) (with Junkee Jeon and Takwon Kim)
Mathematics and Computers in Simulation, 239, 967-985
Contact Info
Department of Mathematical Sciences, KAIST
291 Daehak-ro, Yuseong-gu, Daejeon 34141, Republic of Korea
Office: E2-1 3218
Email: ajb8406@kaist.ac.kr
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