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Works (25)

Reducing systemic risk in a multi-layer network using reinforcement learning

Physica A: Statistical Mechanics and its Applications
2022-11 | Journal article
Part of ISSN: 0378-4371
Contributors: Richard Le; Hyejin Ku
Source: Self-asserted source
Hyejin Ku

Risk-sensitive policies for portfolio management

Expert Systems with Applications
2022-07 | Journal article | Author
Part of ISSN: 0957-4174
Contributors: Mingfu Wang; Hyejin Ku
Source: Self-asserted source
Hyejin Ku

A Valuation Formula for Chained Options with n-Barriers

Journal of Mathematics
2022-01-18 | Journal article
Part of ISSN: 2314-4785
Part of ISSN: 2314-4629
Contributors: Won Choi; Doobae Jun; Hyejin Ku
Source: Self-asserted source
Hyejin Ku

A comparative analysis of housing prices in different cities using the Black–Scholes and Jump Diffusion models

Finance Research Letters
2021 | Journal article
EID:

2-s2.0-85109452954

Part of ISSN: 15446123
Contributors: Oh, S.; Ku, H.; Jun, D.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Sequence-based clustering applied to long-term credit risk assessment

Expert Systems with Applications
2021 | Journal article
EID:

2-s2.0-85090563162

Part of ISSN: 09574174
Contributors: Le, R.; Ku, H.; Jun, D.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Utilizing historical data for corporate credit rating assessment

Expert Systems with Applications
2021 | Journal article
EID:

2-s2.0-85090566623

Part of ISSN: 09574174
Contributors: Wang, M.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Option pricing for a large trader with price impact and liquidity costs

Journal of Mathematical Analysis and Applications
2018 | Journal article
EID:

2-s2.0-85033391400

Part of ISSN: 10960813 0022247X
Contributors: Ku, H.; Zhang, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Option valuation with liquidity risk and jumps

Applied Economics Letters
2018 | Journal article
EID:

2-s2.0-85019213927

Part of ISSN: 14664291 13504851
Contributors: Zhang, H.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Closed-form solutions for options with random initiation under asset price monitoring

Finance Research Letters
2017 | Journal article
EID:

2-s2.0-85002301250

Part of ISSN: 15446123
Contributors: Jun, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Portfolio optimization for a large investor under partial information and price impact

Mathematical Methods of Operations Research
2017 | Journal article
EID:

2-s2.0-85019054021

Part of ISSN: 14325217 14322994
Contributors: Eksi, Z.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Option replication in discrete time with the cost of illiquidity

Communications in Mathematical Sciences
2016 | Journal article
EID:

2-s2.0-84990937930

Part of ISSN: 19450796 15396746
Contributors: Sorokin, Y.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Analytic solution for American barrier options with two barriers

Journal of Mathematical Analysis and Applications
2015 | Journal article
EID:

2-s2.0-85027930753

Part of ISSN: 10960813 0022247X
Contributors: Jun, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Static hedging of chained-type barrier options

North American Journal of Economics and Finance
2015 | Journal article
EID:

2-s2.0-84937026224

Part of ISSN: 10629408
Contributors: Jun, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Digital barrier option contract with exponential random time

IMA Journal of Applied Mathematics (Institute of Mathematics and Its Applications)
2013 | Journal article
EID:

2-s2.0-84890179716

Part of ISSN: 02724960 14643634
Contributors: Jun, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Pricing chained options with curved barriers

Mathematical Finance
2013 | Journal article
EID:

2-s2.0-84866136622

Part of ISSN: 09601627 14679965
Contributors: Jun, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Valuation of American partial barrier options

Review of Derivatives Research
2013 | Journal article
EID:

2-s2.0-84879219654

Part of ISSN: 13806645
Contributors: Jun, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Cross a barrier to reach barrier options

Journal of Mathematical Analysis and Applications
2012 | Journal article
EID:

2-s2.0-84856243602

Part of ISSN: 0022247X 10960813
Contributors: Jun, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Discrete time hedging with liquidity risk

Finance Research Letters
2012 | Journal article
EID:

2-s2.0-84865362295

Part of ISSN: 15446123
Contributors: Ku, H.; Lee, K.; Zhu, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Randomized stopping times and coherent multiperiod risk measures

Stochastics
2011 | Journal article
EID:

2-s2.0-79957885676

Part of ISSN: 17442508 17442516
Contributors: Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Coherent multiperiod risk adjusted values and Bellman's principle

Annals of Operations Research
2007 | Journal article
EID:

2-s2.0-33847420465

Part of ISSN: 02545330 15729338
Contributors: Artzner, P.; Delbaen, F.; Eber, J.-M.; Heath, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Consistency among trading desks

Finance and Stochastics
2006 | Journal article
EID:

2-s2.0-33747890121

Part of ISSN: 09492984
Contributors: Heath, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Liquidity risk with coherent risk measures

Applied Mathematical Finance
2006 | Journal article
EID:

2-s2.0-33845225592

Part of ISSN: 1350486X 14664313
Contributors: Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Pareto equilibria with coherent measures of risk

Mathematical Finance
2004 | Journal article
EID:

2-s2.0-2442421974

Part of ISSN: 09601627
Contributors: Heath, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Valuation and hedging of options with general payoff under transactions costs

Journal of the Korean Mathematical Society
2004 | Journal article
EID:

2-s2.0-18544371310

Part of ISSN: 03049914
Contributors: Choi, H.I.; Heath, D.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier

Valuation of european options in the market with daily price limit

International Journal of Phytoremediation
2000 | Journal article
EID:

2-s2.0-85066176856

Part of ISSN: 15497879 15226514
Contributors: Ban, J.; Choi, H.; Ku, H.
Source: Self-asserted source
Hyejin Ku via Scopus - Elsevier