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Jang, Hyun Jin (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
2020-02Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approachJang, Hyun Jin; Lee, Kiseop; Lee, KyungsubARTICLE210 Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach
2019-10A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfoliosChoi, So Eun; Jang, Hyun Jin; Choe, Geon HoARTICLE211 A copula-based systemic risk measure: application to investment-grade and high-yield CDS portfolios
2019-08Pricing arithmetic Asian options under jump diffusion CIR processesPark, Jong Jun; Jang, Hyun Jin; Jang, JiwookARTICLE189 Pricing arithmetic Asian options under jump diffusion CIR processes
2019-05Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processesChoe, Geon Ho; Jang, Hyun Jin; Na, Young HoonARTICLE388 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, HyunjinARTICLE348 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 JinARTICLE499 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, HarryARTICLE830 Contingent convertible bonds with the default risk premium
2017-05Hawkes process-based technology impact analysisJang, Hyunjin; Woo, Hangyun; Lee, ChangyongARTICLE975 Hawkes process-based technology impact analysis
2015-09A factor contagion model for portfolio credit derivativesChoe, Geonho; Jang, Hyunjin; Kwon, SoonwonARTICLE1617 A factor contagion model for portfolio credit derivatives
2011-12The kth default time distribution and basket default swap pricingChoe, Geon Ho; Jang, Hyun JinARTICLE544 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 JinARTICLE565 Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

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