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School of Management Engineering & School of Business Administration
Hyunjin Jang

Assistant Professor / UNIST


  • 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



  • 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)


  • Portfolio credit derivatives with heavy-tailed distribution
  • Loss distribution of central-counterparty
  • A multiple stochastic Poisson process for catastrophe reinsurance and derivatives


  • 2016 Journal of Banking and Finance
  • 2011 Quantitative Finance
  • 2009 Journal of Computational Finance

Seminar Conference

Conference Talks

  1. 2017.08 TMU Workshop on Finance, Tokyo, Japan (Invited talk)
  2. 2017.06 International Conference on Financial Risks and Uncertainties, Okinawa, Japan (Invited talk)
  3. 2017.04 The fifth Asian Quantitative Finance Conference, Seoul, Korea (Invited talk)
  4. 2017.02 Workshop on Risk Quantification & Extreme Values in Applications, EPFL, Lausanne, Switzerland
  5. 2016.07 Bachelier Finance Society 9th World Congress, New York, U.S.
  6. 2016.07 Workshop on Financial Mathematics, Deajeon, Korea (Invited talk)
  7. 2009.09 Workshop on Copula Theory and Its Application, Warsaw, Poland
  8. 2009.03 Workshop “Finance and Insurance”, Jena, Germany
  9. 2008.10 Global KMS International Conference, Jeju
  10. 2008.07 Bachelier Finance Society 5th World Congress, London

Invited Seminars

  1. 2014.05 Derivatives and Role of Quant in Financial Institutions, Ulsan University
  2. 2011.11 Mathematician and Quants, KAIST
  3. 2010.12 Introduction to Derivatives and Roles as Quants, Dongkuk University


  • 2015.09 Best Paper Awards on “A factor contagion model for portfolio credit derivatives” by Korea Exchange (KRX)

Conference Organization


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 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