Faculty Research Profile
Hyun Jin Jang
학력
2010: Ph.D. Mathematics (concentrated on Financial mathematics), KAIST
2006: M.S. Mathematics, KAIST
2004: B.S. Mathematics (Summa Cum Laude), SungKyunKwan University
주요 경력
2019.03~Present: Associate Professor, UNIST
2014.02~2019.02: Assistant Professor, UNIST
2009.12~2014.02: Risk manager/Risk quant, Samsung Securities
수상/학회/외부활동
- Subject Editor of the Journal of International Financial Markets, Institutions & Money since
- The 5th Best Paper Awards in Derivatives by Korea Exchange (KRX)(2015.06)
- Editorial Advisory Board of the Global Commodities Applied Research Digest, J.P. Morgan Center for Commodities (JPMCC) at the University of Colorado Denver Business School
- Editorial Advisory Board of the Commodity Insight Digest by Bayes Business School at City, University of London
위험분석연구실
Risk Analysis Lab
Risk Analysis Lab. focuses on a financial risk assessment based on quantitative methodologies for optimal decision making by financial institutions and regulators. We study how to quantify and forecast the risk embedded in financial markets based on empirical and statistical analyses and we are interested in exploring a cutting-edge methodology for its application. We ultimately aim to provide a better solution against unexpected shocks for financial industry.
Risk Analysis Lab. focuses on a financial risk assessment based on quantitative methodologies for optimal decision making by financial institutions and regulators. We study how to quantify and forecast the risk embedded in financial markets based on empirical and statistical analyses and we are interested in exploring a cutting-edge methodology for its application. We ultimately aim to provide a better solution against unexpected shocks for financial industry.
연구분야
Stochastic Control Problems, Asset Pricing and Risk Management
Stochastic Control Problems, Asset Pricing and Risk Management
연구 희망분야
Reinforcement Learning for Stochastic Control Problems, AI-Driven Methods for Asset Pricing and Risk Management
Reinforcement Learning for Stochastic Control Problems, AI-Driven Methods for Asset Pricing and Risk Management
연구주제
Financial Risk Management
Market Microstructure
Financial Derivatives Pricing
Stochastic Modeling in Finance
Machine Learning in Finance
Financial Risk Management
Market Microstructure
Financial Derivatives Pricing
Stochastic Modeling in Finance
Machine Learning in Finance
국가연구개발사업 기술 분류체계
국가과학기술표준분류
SC. 경제/경영 > SC13. 재무관리 > SC1303. 투자/위험관리
논문
1. Optimal investment, heterogeneous consumption and best time for retirement. 2024, Operations Research, 72(2), 832-847. (with Z.Q. Xu and H. Zheng)
2. Optimal market-making strategies under synchronised order arrivals with deep neural networks. 2021, Journal of Economic Dynamics and Control, 125(4), 104098. (with S.E. Choi, K. Lee, and H. Zheng)
3. Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. 2020, Journal of Futures Markets, 40(2), 247-275. (with K. Lee and K. Lee)