Kyunghyun Park

Kyunghyun Park
Presidential Postdoctoral Fellow
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, mean field games and corresponding numerical methods.

Awards and Honors:

Support for next-generation researchers (Post-Doc. Overseas training), Sep. 2025 - Sep. 2026, National Research Foundation of Korea.
Title: Robust mean-field control optimization and its Q-learning under uncertainty (video link, presented at OWARS)
Presidential Postdoctoral Fellowship, Dec. 2022 - Mar. 2025, Talent Recruitment and Career Support (TRACS) in NTU.
Title: Robust duality in intertemporal utility maximizations for finance: theory and numerical methods.
Global PhD Fellowship, Mar 2016 - Feb 2021, National Research Foundation of Korea.
Title: Making lifetime financial planning by optimization.
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 Scholarship in Science & Technology, Mar 2011- Feb 2015, Korea Student Aid Foundation (KOSAF).

Preprints:

Markov-Nash equilibria in mean-field games under model uncertainty, with J. Langner and A. Neufeld.
preprint (2024)
Robust dividend policy: Equivalence between Epstein-Zin and Maenhout preferences, with K. Chen and H.Y. Wong.
preprint (2024) R&R at Finance and Stochastics.
Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis, with D. Bartl and A. Neufeld.
preprint (2024)

Published (+ in press):

Sensitivity of robust optimization problems under drift and volatility uncertainty, with D. Bartl and A. Neufeld.
Finance and Stochastics (2025+)
Irreversible consumption habit under ambiguity: singular control and optimal G-stopping time, with K. Chen and H.Y. Wong.
Annals of Applied Probability, 35 (4), 2471-2525 (2025).
Feature-aligned N-BEATS with Sinkhorn divergence, with J. Lee, M. Jeon, and M. Kang.
International Conference on Learning Representations (ICLR), spotlight presentation (2024).
Robust retirement and life insurance with inflation risk and model ambiguity, with H.Y. Wong and T. Yan.
Insurance: Mathematics and Economics, 110, 1-30 (2023).
Robust retirement with return ambiguity: Optimal G-stopping time in dual space, with H.Y. Wong.
SIAM Journal on Control and Optimization, 61, 1009-1037, (2023).
Optimal Job Switching and Retirement Decision, with J. Jeon.
Applied Mathematics and Computation, 443, 127777 (2023).
Horizon effect on optimal retirement decision, with J. Jeon and M. Kwak.
Quantitative Finance, 23(1), 123-148 (2023).
Irreversible reinsurance: A singular control approach, with T. Yan and H.Y. Wong.
Insurance: Mathematics and Economics, 107, 326-348 (2022).
Robust consumption-investment with return ambiguity: A dual approach with volatility ambiguity, with H.Y. Wong.
SIAM Journal on Financial Mathematics, 13(3), 802-843 (2022).
Variable Annuity with Surrender Options under Multi-scale Stochastic Volatility, with J. Huh and J. Jeon.
Japan Journal of Industrial and Applied Mathematics, 1-39 (2022).
Optimal Finite Horizon Contract with Limited Commitment, with J. Jeon and H.K. Koo.
Mathematics and Financial Economics, 16, 267-315 (2022).
Extensive networks would eliminate the demand for pricing formulas, with J. Jeon and J. 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 H. Kim, J. Jeon, C. Song, J. Bae, Y. Kim, and M. Kang.
Expert Systems With Applications, 173, 114640 (2021).
Finite Horizon Portfolio Selection with Durable Goods, with J. Jeon and H.K. Koo.
Mathematical Social Sciences, 111, 55-67 (2021).
Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model, with J. Jeon.
Mathematical Methods of Operations Research, 93, 243–289 (2021).
Effects of Government Subsidy and Labor Welfare on Portfolio Selection and Retirement, with H. Lee and Y.H. Shin.
Quantitative Finance, 21(6), 967-989 (2021).
Optimal Surrender Time for a Variable Annuity with a Fixed Insurance Fee, with J. Jeon.
Bulletin of the Korean Mathematical Society, 58(2), 349-364 (2021).
Dynamic asset allocation with consumption ratcheting post retirement, with J. Jeon.
Applied Mathematics and Computation, 385, 125418 (2020).
Social Insurance for the Elderly, with S.Y. Bae, J. Jeon and H.K. Koo.
Economic Modelling, 91, 274-299 (2020).
Optimal Retirement and Portfolio Selection with Consumption Ratcheting, with J. 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 J. Jeon and J. Huh.
Computational Economics, 56, 1-30 (2019).
Finite horizon optimal consumption and investment problem with a preference change, with J. 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 Y.H. Shin and M. Kang.
Chaos. Soliton. Fract., 103, 374–381 (2017).
A simple and fast method for valuing American knock-out options with rebates, with J. Jeon.
Chaos. Soliton. Fract., 103, 364–370 (2017).

Thesis:

Title: Free boundary problems in Mathematical Finance

Working Projects (selected):

Scaling limits for multi-period distributionally robust optimization problems, with Max Nendel, Ariel Neufeld, and Alessandro Sgarabottolo, coming soon (2025)
Robust mean-field control under common noise uncertainty, with Mathieu Laurière and Ariel Neufeld, coming soon (2025)
Robust exploratory stopping in reinforcement learning under Knightian uncertainty, with Junyan Ye, Hoi Ying Wong, coming soon (2025)
Q-learning for robust mean-field control under common noise uncertainty, with Mathieu Laurière and Ariel Neufeld, working paper (2025)

Co-authors:
Daniel Bartl, Kexin Chen, Jeonggyu Huh, Jaegi Jeon, Junkee Jeon, Myeongho Jeon, Myungjoo Kang, Hyeonuk Kim, Hyeng Keun Koo, Minsuk Kwak, Johannes Langner, Ariel Neufeld, Yong Hyun Shin, Hoi Ying Wong, Tingjin Yan.