Research Interests

• Option pricing

• Portfolio selection

• Free boundary problems

• Regularity theory

• Statistical testing

Preprints

• Optimal portfolio and retirement decisions with costly job switching options, SSRN, 34pp 

(with Jongbong An and Junkee Jeon)

• The finite-horizon reversible investment problem with the  constant elasticity of variance model, SSRN, 24pp 

revision requested (for 2nd round review) at SIAM Journal on Control and Optimization (with Junkee Jeon)

• The finite-horizon retirement problem with borrowing constraint: A zero-sum stopper vs. singular-controller game, SSRN, 46pp

(with Junkee Jeon and Zhou Yang)

• Weighted conditional network testing for multiple high-dimensional correlated data sets 

revision requested (for 3rd round review) at Statistica Sinica (with Inyoung Kim and Ki-Ahm Lee)

Publications

• Generalized Schauder theory and its application to degenerate/singular parabolic equations (2024)

(with Ki-Ahm Lee and Hyungsung Yun)

Mathematische Annalen 

• Pricing vulnerable options in fractional Brownian markets: a partial differential equations approach (2024)

(with Ki-Ahm Lee, Jinwan Park, and Ji-Hun Yoon)

Fractional Calculus and Applied Analysis 27(1), 247-280.

• A double obstacle problem in an optimal investment problem (2023)

(with Ki-Ahm Lee and Jinwan Park)

Nonlinear Analysis 232, Paper No. 113282.

• Higher regularity up to boundary for degenerate parabolic equations (2023)

(with Ki-Ahm Lee and Hyungsung Yun)
Journal of Differential Equations 348, 223-277.

• New approach and analysis of the generalized constant elasticity of variance model (2023)

(with Inyoung Kim, Ki-Ahm Lee, and Ji-Hun Yoon)
Applied Stochastic Models in Business and Industry 39(1), 114-155.