School of Management Engineering & School of Business Administration
Hyunjin Jang
Assistant Professor / UNIST
School of Management Engineering & School of Business Administration
Assistant Professor / UNISTProfile
- Hyun Jin Jang
- Assistant Professor
- E-mail : janghj@unist.ac.kr
- Personal homepage : https://sites.google.com/site/janghj/
- Fax : +82-(0)52-217-3101
- Postal address : Room 701-2, Business Administration Building (BAB 114), UNIST-gil 50, Ulsan, Korea, 44919
Publications
PUBLISHED PAPERs (SCI/SSCI)
- The kth default time distribution and basket default swap pricing, 2011, Quantitative Finance, 11(12), 1793-1801 (with G.H. Choe)
- Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas, 2011, Insurance: Mathematics and Economics, 48(2), 205-213 (with G.H. Choe)
- A factor contagion model for portfolio credit derivatives, 2015, Quantitative Finance, 15(9), 1571-1582 (with G.H. Choe, S.W. Kwon)
- Stochastic technology impact analysis: A Hawkes process approach using patent citations, 2017, Journal of Informetrics, 11(2), 511-529 (with C.Y. Lee and H.G. Woo)
WORKING PAPERs
- Contingent convertible bonds with the default risk premium, submitted (with H. Zheng, Y.H. Na)
- Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes, submitted (with Y.H. Na and G.H. Choe)
- Dynamics of systematic and systemic risk in credit indices, submitted (with S. Choi and G.H. Choe)
- An efficient derivatives pricing under jump diffusion CIR processes and their integrals, submitted (with J. Jang and J.J. Park)
WORKING IN PROGRESS
- Portfolio credit derivatives with heavy-tailed distribution
- Loss distribution of central-counterparty
- A multiple stochastic Poisson process for catastrophe reinsurance and derivatives
REFEREE WORKs
- 2016 Journal of Banking and Finance
- 2011 Quantitative Finance
- 2009 Journal of Computational Finance
Seminar Conference
Conference Talks
- 2017.08 TMU Workshop on Finance, Tokyo, Japan (Invited talk)
- 2017.06 International Conference on Financial Risks and Uncertainties, Okinawa, Japan (Invited talk)
- 2017.04 The fifth Asian Quantitative Finance Conference, Seoul, Korea (Invited talk)
- 2017.02 Workshop on Risk Quantification & Extreme Values in Applications, EPFL, Lausanne, Switzerland
- 2016.07 Bachelier Finance Society 9th World Congress, New York, U.S.
- 2016.07 Workshop on Financial Mathematics, Deajeon, Korea (Invited talk)
- 2009.09 Workshop on Copula Theory and Its Application, Warsaw, Poland
- 2009.03 Workshop “Finance and Insurance”, Jena, Germany
- 2008.10 Global KMS International Conference, Jeju
- 2008.07 Bachelier Finance Society 5th World Congress, London
Invited Seminars
- 2014.05 Derivatives and Role of Quant in Financial Institutions, Ulsan University
- 2011.11 Mathematician and Quants, KAIST
- 2010.12 Introduction to Derivatives and Roles as Quants, Dongkuk University
Awards
- 2015.09 Best Paper Awards on “A factor contagion model for portfolio credit derivatives” by Korea Exchange (KRX)
Conference Organization
- 2017 7th International Trading Conference (organized by UNIST, Ulsan Metropolitan City, Ulsan Port Authority)
The webpage will open soon. - 2016 6th International Trading Conference (organized by UNIST, Ulsan Metropolitan City, Ulsan Port Authority)
http://ciet.unist.ac.kr/en/6th-international-trading-conference/?cat=69 - 2015 5th International Trading Conference (organized by UNIST, Ulsan Metropolitan City, Korea National Oil Corporation, Ulsan Port Authority)
http://ciet.unist.ac.kr/en/2015%eb%85%84/
Education
Ph.D., Department of Mathematical Sciences, KAIST (2010.02)
- Dissertation: “Credit risk modeling and credit derivatives pricing with copula functions”
- Supervisor: Professor Geon Ho Choe
M.S., Department of Mathematics Division of Mathematics, KAIST (2006.02)
- Dissertation: “Comparison of Euler scheme and Milstein scheme for stochastic differential equations”
- Supervisor: Professor Geon Ho Choe
B.S., Summa Cum Laude, Department of Mathematics, Sungkyunkwan University (2004.02)
Teaching
Teaching for Undergraduate
- 2016 : Calculus, Financial Mathematics, Risk Management
- 2015 : Calculus
- 2014 : Risk Management
Teaching for Graduate
- 2016 : Quantitative/Financial Risk Management
- 2015 : Quantitative Risk Management
- 2014 : Derivatives Securities, Stochastic Calculus, Quantitative Risk Management
Teaching Assistant (Related to Financial Engineering)
- 2009 : Stochastic Methods in Financial Mathematics
- 2008 : Introductory Financial Mathematics
- 2007 : Computational Methods in Financial Mathematics
- 2006: Lebesgue Integral Theory
Hyun-Jin Jang
janghj@unist.ac.kr