← All authors Hyejin Ku University College London (from arXiv:2405.05220, 2024) · ORCID · OpenAlex
25 papers in scope · 24 published · 1 on the econ.EM arXiv · 223 citations · h-index 9 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jonathan Roth Alyssa Bilinski John Poe Clément de Chaisemartin Xavier D’Haultfœuille Pedro H. C. Sant’Anna Brantly Callaway Guido W. Imbens Sarah Abraham Xavier Jaravel Susan Athey Kirill Borusyak Matthew D. Webb Liyang Sun Jann Spiess Victor Chernozhukov John Gardner Clément Bosquet Thomas Renault Antonin Bergeaud Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 25)
Predictive Analytics for Navigation Data Using Sequence-Based Clustering and Absorbing Markov Chains
published 2026 · INFORMS Journal on Data Science
with Sungjune Park, Richard H. Le
working paper 2024 · arXiv · 1 citations
Reducing systemic risk in a multi-layer network using reinforcement learning
published 2022 · Physica A Statistical Mechanics and its Applications · 5 citations
with Richard H. Le
A Valuation Formula for Chained Options with n ‐Barriers
published 2022 · Journal of Mathematics · 3 citations
with Won Choi, Doobae Jun
A comparative analysis of housing prices in different cities using the Black–Scholes and Jump Diffusion models
published 2021 · Finance research letters · 3 citations
with Sebeom Oh, Doobae Jun
Utilizing historical data for corporate credit rating assessment
published 2020 · Expert Systems with Applications · 64 citations
with Mingfu Wang
Sequence-based clustering applied to long-term credit risk assessment
published 2020 · Expert Systems with Applications · 7 citations
with Richard H. Le, Doobae Jun
Option pricing for a large trader with price impact and liquidity costs
published 2017 · Journal of Mathematical Analysis and Applications · 19 citations
with Hai Zhang
Option valuation with liquidity risk and jumps
published 2017 · Applied Economics Letters · 2 citations
with Hai Zhang
Portfolio optimization for a large investor under partial information and price impact
published 2017 · Mathematical Methods of Operations Research · 11 citations
with Zehra Eksi
Closed-form solutions for options with random initiation under asset price monitoring
published 2016 · Finance research letters
with Doobae Jun
Option replication in discrete time with the cost of illiquidity
published 2016 · Communications in Mathematical Sciences · 3 citations
with Yegor Sorokin
Static hedging of chained-type barrier options
published 2015 · The North American Journal of Economics and Finance · 2 citations
with Doobae Jun
Analytic solution for American barrier options with two barriers
published 2014 · Journal of Mathematical Analysis and Applications · 11 citations
with Doobae Jun
Valuation of American partial barrier options
published 2012 · Review of Derivatives Research · 9 citations
with Doobae Jun
Digital barrier option contract with exponential random time
published 2012 · IMA Journal of Applied Mathematics · 7 citations
with Daniel Jun
Discrete time hedging with liquidity risk
published 2012 · Finance research letters · 13 citations
with Kiseop Lee, Huaiping Zhu
PRICING CHAINED OPTIONS WITH CURVED BARRIERS
published 2012 · Mathematical Finance · 12 citations
with Doobae Jun
Cross a barrier to reach barrier options
published 2011 · Journal of Mathematical Analysis and Applications · 15 citations
with Doobae Jun
Randomized stopping times and coherent multiperiod risk measures
published 2010 · Stochastics
Consistency among trading desks
published 2006 · Finance and Stochastics · 4 citations
with David Heath
Liquidity Risk with Coherent Risk Measures
published 2006 · Applied Mathematical Finance · 8 citations
VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS
published 2004 · Journal of the Korean Mathematical Society · 15 citations
with Hyeong-In Choi, David Heath
Pareto Equilibria with coherent measures of risk
published 2004 · Mathematical Finance · 6 citations
with David Heath
Valuation of European options in the market with daily price limit
published 2000 · Applied Mathematical Finance · 3 citations
with Junhwa Ban, Hyeong In Choi
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