사진

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Jang, Hyunjin (장현진)

Department
School of Business Administration(경영학부)
Research Interests
Quantitative risk management, Derivatives pricing, Stochastic modeling in Finance
Lab
School of Business Administration
Website
https://sites.google.com/site/janghj/
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Issue DateTitleAuthor(s)TypeViewAltmetrics
2019-05Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processesChoe, Geon Ho; Jang, Hyun Jin; Na, Young HoonARTICLE163 Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes
2019-01Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousnessChoe, Geon Hi; Choi, So Eun; Jang, HyunjinARTICLE124 Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness
2018-11CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITYJang, Jiwook; Park, Jong Jun; Jang, Hyun JinARTICLE254 CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY
2018-10Contingent convertible bonds with the default risk premiumJang, Hyun Jin; Na, Young Hoon; Zheng, HarryARTICLE569 Contingent convertible bonds with the default risk premium
2017-05Hawkes process-based technology impact analysisJang, Hyunjin; Woo, Hangyun; Lee, ChangyongARTICLE769 Hawkes process-based technology impact analysis
2015-09A factor contagion model for portfolio credit derivativesChoe, Geonho; Jang, Hyunjin; Kwon, SoonwonARTICLE1431 A factor contagion model for portfolio credit derivatives
2011-12The kth default time distribution and basket default swap pricingChoe, Geon Ho; Jang, Hyun JinARTICLE371 The kth default time distribution and basket default swap pricing
2011-03Efficient algorithms for basket default swap pricing with multivariate Archimedean copulasChoe, Geon Ho; Jang, Hyun JinARTICLE414 Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

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