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Showing results 1 to 19 of 19

Issue DateTitleAuthor(s)TypeView
2020-09A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfoliosChoi, So Eun; Jang, Hyun Jin; Choe, Geon HoARTICLE495
2021-03An analytic approach to network-based modelling for contagious defaultsPark, Jong Jun; Jang, Hyun JinARTICLE40
2018-07-16Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousnessJang, Hyun Jin; Choi, So Eun; Choe, Geon HoCONFERENCE86
2018-11CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITYJang, Jiwook; Park, Jong Jun; Jang, Hyun JinARTICLE725
2018-10Contingent convertible bonds with the default risk premiumJang, Hyun Jin; Na, Young Hoon; Zheng, HarryARTICLE1122
2017-06-17Dynamics of Systematic risk and Systemic risk in CDOsJang, Hyun Jin; Choi, So Eun; Choe, Geon HoCONFERENCE56
2017-12-14Dynamics of Systematic Risk and Systemic Risk in CDOsJang, Hyun Jin; Choe, Geon Ho; Choe, So EunCONFERENCE44
2011-03Efficient algorithms for basket default swap pricing with multivariate Archimedean copulasChoe, Geon Ho; Jang, Hyun JinARTICLE756
2020-11-13Optimal Market-Making Strategies Under Synchronised Order Arrivals with Deep Neural NetworksJang, Hyun JinCONFERENCE36
2021-04Optimal Market-Making Strategies under Synchronised Order Arrivals with Deep Neural NetworksChoi, So Eun; Jang, Hyun Jin; Lee, Kyungsub; Zheng, HarryARTICLE96
2020-05Pricing arithmetic Asian options under jump diffusion CIR processesPark, Jong Jun; Jang, Hyun Jin; Jang, JiwookARTICLE428
2019-05Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processesChoe, Geon Ho; Jang, Hyun Jin; Na, Young HoonARTICLE571
2020-02Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun Jin; Lee, Kiseop; Lee, KyungsubARTICLE447
2019-12-18Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun JinCONFERENCE118
2019-07-16Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun Jin; Lee, Kiseop; Lee, KyungsubCONFERENCE84
2019-07-21Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun JinCONFERENCE93
2019-08-13Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes Flocking Model ApproachJang, Hyun JinCONFERENCE101
2011-12The kth default time distribution and basket default swap pricingChoe, Geon Ho; Jang, Hyun JinARTICLE724
2020-11Why should we invest in CoCos than stocks? An optimal growth portfolio approachJang, Hyun Jin; Jia, Longjie; Zheng, HarryARTICLE265
Showing results 1 to 19 of 19

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