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Showing results 1 to 16 of 16

Issue DateTitleAuthor(s)TypeView
2019-10A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfoliosChoi, So Eun; Jang, Hyun Jin; Choe, Geon HoARTICLE306
2018-07-16Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousnessJang, Hyun Jin; Choi, So Eun; Choe, Geon HoCONFERENCE21
2018-11CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITYJang, Jiwook; Park, Jong Jun; Jang, Hyun JinARTICLE617
2018-10Contingent convertible bonds with the default risk premiumJang, Hyun Jin; Na, Young Hoon; Zheng, HarryARTICLE951
2017-06-17Dynamics of Systematic risk and Systemic risk in CDOsJang, Hyun Jin; Choi, So Eun; Choe, Geon HoCONFERENCE13
2017-12-14Dynamics of Systematic Risk and Systemic Risk in CDOsJang, Hyun Jin; Choe, Geon Ho; Choe, So EunCONFERENCE9
2011-03Efficient algorithms for basket default swap pricing with multivariate Archimedean copulasChoe, Geon Ho; Jang, Hyun JinARTICLE658
2019-08Pricing arithmetic Asian options under jump diffusion CIR processesPark, Jong Jun; Jang, Hyun Jin; Jang, JiwookARTICLE320
2019-05Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processesChoe, Geon Ho; Jang, Hyun Jin; Na, Young HoonARTICLE469
2020-02Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun Jin; Lee, Kiseop; Lee, KyungsubARTICLE318
2019-12-18Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun JinCONFERENCE36
2019-07-16Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun Jin; Lee, Kiseop; Lee, KyungsubCONFERENCE29
2019-07-21Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun JinCONFERENCE24
2019-08-13Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes Flocking Model ApproachJang, Hyun JinCONFERENCE25
2011-12The kth default time distribution and basket default swap pricingChoe, Geon Ho; Jang, Hyun JinARTICLE619
2020-05Why should we invest in CoCos than stocks? An optimal growth portfolio approachJang, Hyun Jin; Jia, Longjie; Zheng, HarryARTICLE105
Showing results 1 to 16 of 16

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