Invited Talk or Presentations
- Longevity Externality from Medical Preventive Cost and Optimal Asset Allocation, 2019 한국재무관리학회 추계학술대회, 0, 0, - (2019)
- Ambiguity Aversion and Optimal Investment with Transaction Costs, 2019 한국금융공학회 추계학술대회, 0, 0, - (2019)
- Longevity Externality from Medical Preventive cost and Optimal Asset Allocation, 2019 한국경영과학회 추계학술대회, 0, 0, - (2019)
- Stock Prices, Changes in Liquidity, and Liquidity Premia, 2019 Annual Conference of Asia-Pacific Association of Derivatives, 0, 0, - (2019)
- Short-Term market Changes and Market Making with Inventory, 019 춘계공동학술대회, 0, 0, - (2019)
- Annuitization and Asset Allocation with Borrowing Constraint, ., 0, 0, - (2019)
- 주택연금을 고려한 개인의 생애주기 자산배분 연구, ., 0, 0, - (2018)
- DNS 모형을 통한 금리 충격 시나리오 산출 및 분석, ., 0, 0, - (2018)
- 주택연금을 고려한 개인의 생애주기 자산배분 연구, ., 0, 0, - (2018)
- Optimal Reinsurance and Asset Allocation with Correlation Risks, ., 0, 0, - (2018)
- Life-Cycle Asset Management with Tax-Deferred Accounts: Understanding the Impact of the Subsistence Level of Consumption, ., 0, 0, - (2018)
- Market Capitalization, Corporate Payouts, and Expected Returns, ., 0, 0, - (2018)
- Optimal Reinsurance and Asset Allocation with Correlation Risks, ., 0, 0, - (2017)
- Does It Pay to Go Outside Your Comfort Zone?, ., 0, 0, - (2017)
- 주택연금을 고려한 개인의 생애주기 자산배분 연구, ., 0, 0, - (2017)
- Mark-to-Market Reinsurance and Portfolio Selection: Implications for Information Quality, ., 0, 0, - (2017)
- 국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략, ., 0, 0, - (2017)
- How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints?, ., 0, 0, - (2017)
- How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints?, ., 0, 0, - (2017)
- 국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략, ., 0, 0, - (2016)
- 한국형 자동이체식 주택저당증권 가치평가 모형, ., 0, 0, - (2016)
- Market Prices, Corporate Payouts, and Expected Returns, ., 0, 0, - (2016)
- 국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략, ., 0, 0, - (2016)
- 한국형 자동이체식 주택저당증권 가치평가 모형, ., 0, 0, - (2016)
- 보험부채 공정가치 평가목적 할인율에 관한 연구, ., 0, 0, - (2016)
- How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints?, ., 0, 0, - (2016)
- 보험부채 공정가치 평가목적 할인율에 관한 연구, ., 0, 0, - (2016)
- Unemployment Risks and Optimal Retirement in an Incomplete Market, ., 0, 0, - (2016)
- Liquidity Premia, Transaction Costs, and Model Misspecification, ., 0, 0, - (2015)
- A Unified Framework for Option Pricing with Regime Switching: A Simplex Approach, ., 0, 0, - (2015)
- 서울아파트시장에서 영구적 충격과 일시적 충격의 상대적 중요성에 대한 시간에 따른 변화 분석, ., 0, 0, - (2015)
- How Annuity Demand is Affected by Insurer Default Risk, ., 0, 0, - (2015)
- Consumption, Retirement, and Asset Allocation with Unemployment Risks and Borrowing Constraints, ., 0, 0, - (2015)
- Robust Consumption and Portfolio Rules with Time-Varying Model Confidence, ., 0, 0, - (2015)
- Optimal Reinsurance and Portfolio Selection with Time-Varying Expected Returns, ., 0, 0, - (2015)
- Liquidation Shocks and Transaction Costs, ., 0, 0, - (2015)
- Liquidation Shocks and Transaction Costs, ., 0, 0, - (2015)
- Liquidation Shocks and Transaction Costs, ., 0, 0, - (2015)
- Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk, ., 0, 0, - (2015)
- Total Payout-Ratio Model with VAR Approach, ., 0, 0, - (2015)
- 금리기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고, ., 0, 0, - (2015)
- Optimal Reinsurance and Asset Allocation with Regime Switching, ., 0, 0, - (2015)
- Unemployment Risks and Private Unemployment Insurance, ., 0, 0, - (2014)
- Liquidity-Adjusted Price-Dividend Ratios and Expected Returns, ., 0, 0, - (2014)
- 실업위험과 합리적 은퇴설계, ., 0, 0, - (2014)
- Stochastic Differential Utility and Transaction Costs, ., 0, 0, - (2014)
- Liquidity Crashes and Robust Portfolio Management, ., 0, 0, - (2014)
- Liquidity-Adjusted Price-Dividend Ratios and Expected Returns, ., 0, 0, - (2014)
- A Utility Model of Learning How to Consume, ., 0, 0, - (2014)
- Robust Portfolio Management with Risk Limits, ., 0, 0, - (2014)
- Net Contribution, Liquidity, and Optimal Pension Management, ., 0, 0, - (2014)
- 금리기간구조 변화와 국내 금리연계 파생결합상품 투자자 보호에 대한 소고, ., 0, 0, - (2014)
- Robust Portfolio Management with Risk Limits, ., 0, 0, - (2014)
- Liquidity-Adjusted Price-Dividend Ratios and Expected Returns, ., 0, 0, - (2014)
- Utility Model of Learning How to Consume, ., 0, 0, - (2013)
- Stochastic Differential Utility and Transaction Costs, ., 0, 0, - (2013)
- Business Cycle and Commodity Futures, ., 0, 0, - (2013)
- Utility Model of Learning How to Consume, ., 0, 0, - (2013)
- Liquidity Crashes and Robust Portfolio Management, ., 0, 0, - (2013)
- 경기주기와 베이지안 학습 기법을 고려한 개인의 자산관리 연구, ., 0, 0, - (2013)
- Business Cycles and Optimal Reinsurance, ., 0, 0, - (2013)
- Unemployment Risks and Optimal Retirement in an Incomplete Market, ., 0, 0, - (2013)
- Liquidity Crashes and Robust Portfolio Management, ., 0, 0, - (2013)
- Net Contribution, Liquidity, and Optimal Pension Management, ., 0, 0, - (2013)
- Unemployment Risks and Optimal Retirement in an Incomplete Market, ., 0, 0, - (2013)
- Utility of Learning How to Consume Effectively, ., 0, 0, - (2013)
- A Business cycle and Credit Risk Modeling with Jump Risks, ., 0, 0, - (2012)
- A Business Cycle and Credit Risk Modeling with Jump Risks, ., 0, 0, - (2012)
- Psychological Barriers and Option Pricing, ., 0, 0, - (2012)
- Psychological Barriers and Option Pricing, ., 0, 0, - (2012)
- Psychological Barriers and Option Pricing, ., 0, 0, - (2012)
- Optimal Retirement and Unemployment Risks, ., 0, 0, - (2012)
- Short Term Market Changes and Market Making with Inventory, ., 0, 0, - (2012)
- Robust Consumption and Portfolio Rules with a New State Variable, ., 0, 0, - (2011)
- Robust Consumption and Portfolio Rules with a New State Variable, ., 0, 0, - (2011)
- Robust Consumption and Portfolio Rules with a New State Variable, ., 0, 0, - (2011)
- Optimal Retirement with Unemployment Risks and Market Completion, ., 0, 0, - (2011)
- Optimal Retirement with Unemployment Risks and Market Completion, ., 0, 0, - (2011)
- Optimal Retirement with Unemployment Risks and Market Completion, ., 0, 0, - (2011)
- European Option Pricing with an Irreversible Self-Exciting Regime-Switching Model, ., 0, 0, - (2011)
- Optimal Retirement with Unemployment Risk, ., 0, 0, - (2010)
- A Simple Iterative Method for the Valuation of American Options, ., 0, 0, - (2010)
- A Lattice Method for Lookback Options with Regime-Switching Volatilities, ., 0, 0, - (2010)
- American Options: A Simple Approach, ., 0, 0, - (2010)
- A Simple Iterative Method for the Valuation of American Options, ., 0, 0, - (2010)
- Robust Portfolio Rules with a New State Variable, ., 0, 0, - (2010)
- The Behavior of the term structure of Interest Rates with the Markov Regime Switching Models, ., 0, 0, - (2010)
- Asset Demand and Consumption with Longevity Risk, ., 0, 0, - (2010)
- An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities, ., 0, 0, - (2009)
- Optimal Consumption and Investment and a Robust Control Problem, ., 0, 0, - (2009)
- An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities, ., 0, 0, - (2009)
- A New Lattice Method for Lookback Options with Regime-Switching Volatility, ., 0, 0, - (2009)
- A Closed-Form Pricing Formula for Multivariate Contingent Claims with Stochastic Volatility, ., 0, 0, - (2009)
- Default Risk of Life Annuity and the Annuity Puzzle, ., 0, 0, - (2009)
- Default Risk and Life Annuity and the Annuity Puzzle, ., 0, 0, - (2009)
- Optimal Consumption and Investment and a Robust Control Problem, ., 0, 0, - (2009)
- The Valuation of Range Notes under Affine Term Structure Models, , 0, 0, - (2008)
- Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, , 0, 0, - (2008)
- The Valuation of Range Notes under Affine Term Structure Models, , 0, 0, - (2008)
- Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, , 0, 0, - (2008)
- The Valuation of Range Notes under Affine Term Structure Models, , 0, 0, - (2008)
- A First-Passage -Time Model Under Regime-Switching Market Environment, , 0, 0, - (2008)
- Valuing Qualitative Options with Stochastic Volatility, , 0, 0, - (2007)
- Valuing Options on Two Assets under Regime Switching Environment, , 0, 0, - (2006)
- Liquidity Premia and Transactions Costs, , 0, 0, - (2006)
- Alternative Numerical Method to Value American Option : An Iteration Method, , 0, 0, - (2005)
- American Put Options with Regime-Switching Volatility, , 0, 0, - (2005)
- A Method of Ordering Scattered Points With a Good Reason in, , 0, 0, - (2005)
- Portfolio Selection with Transaction Costs in a Dividend-Paying Asset, , 0, 0, - (2004)
- A Natural Points Ordering Method for Arbitrarily Scattered Points, , 0, 0, - (2004)
- On the Pricing of American Puts for KOSPI 200 Index Using Carr's Method, , 0, 0, - (2004)
- Liquidity Premia in Finite Horizons, , 0, 0, - (2003)
- Portfolio Selection with Linear Transaction Costs, , 0, 0, - (2002)
- A First-Passage -Time Model Under Regime-Switching Market Environment, 2008 EASIAM annual Meetings, 0, 0, - (0000)
- Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, 2008 대한금융공학회 추계 정기학술대회, 0, 0, - (0000)
- Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, 2008 한국재무학회 추계 정기학술대회, 0, 0, - (0000)
- The Valuation of Range Notes under Affine Term Structure Models, 2008 대한금융공학회 추계 정기학술대회, 0, 0, - (0000)
- The Valuation of Range Notes under Affine Term Structure Models, 2008 한국경영과학회 추계 정기학술대회, 0, 0, - (0000)
- The Valuation of Range Notes under Affine Term Structure Models, 2008 한국재무학회 추계 정기학술대회, 0, 0, - (0000)
