Kyunghyun Park
박경현, 朴竟現
Gopalakrishnan - Presidential Postdoctoral Fellow
School of Physical & Mathematical Sciences
Division of Mathematical Sciences
Nanyang Technological University
Office: SPMS-MAS 04-14, 21 Nanyang Link, Singapore 637371
Email: kyunghyun.park@ntu.edu.sg
About
I am the Gopalakrishnan - Presidential Postdoctoral Fellow at Nanyang Technological University (NTU) of the School of Physical & Mathematical Sciences (Dec 2022 - present) under supervision of Prof. Ariel Neufeld.
Prior to joining NTU, I was a Postdoctoral Research Fellow at The Chinese University of Hong Kong (CUHK) of Statistics (Mar 2021 - Nov 2022) under supervision of Prof. Hoi Ying Wong.
I received my PhD from Seoul National University (SNU) of Mathematical Sciences (Mar 2015 - Feb 2021) under supervision of Prof. Myungjoo Kang. I did my bachelor in Yonsei University of Mathematics (Mar 2011 - Feb 2015).
I have research interests in applied probability and stochastic optimization, with particular focus on model uncertainty, optimal transport, and corresponding numerical methods.
Please find my CV here. (last updated in Mar. 2024)
*** If you have interests in joining my supervisors' groups, please feel free to contact me! (or refer to here) ***
News ! (last updated in Mar. 2024)
A joint work with Daniel Bartl and Ariel Neufeld, Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis, has appeared.
Hosting Alessandro Sgarabottolo as a Research Associate in NTU (Co-supervision with Ariel Neufeld, from Feb 2024 - current).
A joint work with Myeongho Jeon, Joonhun Lee, and Myungjoo Kang, Feature-aligned N-BEATS with Sinkhorn divergence, gets accepted for spotlight presentation (top 5%) from the International Conference on Learning Representations (ICLR) 2024.
A joint work with Daniel Bartl and Ariel Neufeld, Sensitivity of robust optimization problems under drift and volatility uncertainty, has appeared.
Hosting Johannes Langner as a Research Associate in NTU (Co-supervision with Ariel Neufeld, from Oct 2023 - current).
Organizing 2024 Workshop on Mathematical Finance at Jeju (for registration, please refer to here).
Awards and Honors:
Presidential Postdoctoral Fellowship, Dec. 2022 - present, Talent Recruitment and Career Support (TRACS) in NTU.
Global PhD Fellowship, Mar 2016 - Feb 2021, National Research Foundation of Korea (NRF).
Global Empowerment Program (top 10% of Global PhD Fellowship, NRF), February 2019, Peking University HSBC Business School, Host: Jaehyuk Choi.
Excellent Teaching Assistant Award, 2017, Seoul National University.
National Excellent Scholarship in Science & Technology, Mar 2011- Feb 2015, Korea Student Aid Foundation (KOSAF).
Published and Accepted Papers
Feature-aligned N-BEATS with Sinkhorn divergence, with Myeongho Jeon, Joonhun Lee, and Myungjoo Kang, spotlight accept, the International Conference on Learning Representations (ICLR), (2024).
Robust retirement and life insurance with inflation risk and model ambiguity, with Hoi Ying Wong and Tingjin Yan, Insurance: Mathematics and Economics, 110, 1-30 (2023).
Robust retirement with return ambiguity: Optimal G-stopping time in dual space, with Hoi Ying Wong, SIAM Journal on Control and Optimization, 61, 1009-1037, (2023).
Optimal Job Switching and Retirement Decision, with Junkee Jeon, Applied Mathematics and Computation, 443, 127777 (2023).
Horizon effect on optimal retirement decision, with Junkee Jeon and Minsuk Kwak, Quantitative Finance, 23(1), 123-148 (2023).
Irreversible reinsurance: A singular control approach, with Tingjin Yan and Hoi Ying Wong, Insurance: Mathematics and Economics, 107, 326-348 (2022).
Robust consumption-investment with return ambiguity: A dual approach with volatility ambiguity, with Hoi Ying Wong, SIAM Journal on Financial Mathematics, 13(3), 802-843 (2022).
Variable Annuity with Surrender Options under Multi-scale Stochastic Volatility, with Jeonggyu Huh and Junkee Jeon, Japan Journal of Industrial and Applied Mathematics, 1-39 (2022).
Optimal Finite Horizon Contract with Limited Commitment, with Junkee Jeon and Hyeng Keun Koo, Mathematics and Financial Economics, 16, 267-315 (2022).
Extensive networks would eliminate the demand for pricing formulas, with Jaegi Jeon and Jeonggyu Huh, Knowledge-Based Systems, 237, 107918 (2022).
Candidate Point Selection using a Self-Attention Mechanism for Generating a Smooth Volatility Surface under the SABR model, with Hyeonuk Kim, Junkee Jeon, Changhoon Song, Jungwoo Bae, Yongsik Kim, Myungjoo Kang, Expert Systems With Applications, 173, 114640 (2021).
Finite Horizon Portfolio Selection with Durable Goods, with Junkee Jeon and Hyeng Keun Koo, Mathematical Social Sciences, 111, 55-67 (2021).
Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model, with Junkee Jeon, Mathematical Methods of Operations Research, 93, 243–289 (2021).
Effects of Government Subsidy and Labor Welfare on Portfolio Selection and Retirement, with Hyoseob Lee and Yong-Hyun Shin, Quantitative Finance, 21(6), 967-989 (2021).
Optimal Surrender Time for a Variable Annuity with a Fixed Insurance Fee, with Junkee Jeon, Bulletin of the Korean Mathematical Society, 58(2), 349-364 (2021).
Dynamic asset allocation with consumption ratcheting post retirement, with Junkee Jeon, Applied Mathematics and Computation, 385, 125418 (2020).
Social Insurance for the Elderly, with Se Yung Bae, Junkee Jeon and Hyeng Keun Koo, Economic Modelling, 91, 274-299 (2020).
Optimal Retirement and Portfolio Selection with Consumption Ratcheting, with Junkee Jeon, Mathematics and Financial Economics, 14, 353–397 (2020).
An analytic approximation for valuation of the American option under the Heston model in two regimes, with Junkee Jeon and Jeonggyu Huh, Computational Economics, 56, 1-30 (2019).
Finite horizon optimal consumption and investment problem with a preference change, with Junkee Jeon, Journal of Mathematical Analysis and Applications, 472(2), 1777-1802 (2019).
An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints, with Yong-Hyun Shin and Myungjoo Kang, Chaos. Soliton. Fract., 103, 374–381 (2017).
A simple and fast method for valuing American knock-out options with rebates, with Junkee Jeon, Chaos. Soliton. Fract., 103, 364–370 (2017).
Thesis
Preprint and Working Papers
Mean-field equilibrium under model uncertainty, with Johannes Langner and Ariel Neufeld, working paper (2024).
Robust dividend policy: equivalence between Epstein-Zin and Meanhout preferences, with Kexin Chen and Hoi Ying Wong, coming soon (2024).
Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis, with Daniel Bartl and Ariel Neufeld , submitted (2024), (presented at 16th Colloquium Bachelier on Financial Mathematics and Stochastic Calculus and invited at Seminar at Faculty of Mathematics of University of Vienna)
Sensitivity of robust optimization problems under drift and volatility uncertainty, with Daniel Bartl and Ariel Neufeld , submitted (2024), (presented at 11th General AMaMeF Conference and at organized session in 6th EcoSta 2023).
Irreversible consumption habit under ambiguity: singular control and optimal G-stopping time, with Kexin Chen and Hoi Ying Wong, submitted (2023), (invited at Seminar at Department of Systems Engineering and Engineering Management of CUHK).
Miscellaneous
with Hoi Ying Wong and Ling Wang, CUHK, Nov. 2022
with Myungjoo Kang, SNU, Feb. 2021
with my family, Hong Kong, Feb. 2019
Seoul, Sep. 2018