Profile

Bong-Gyu Jang 사진
Profile.
Name Bong-Gyu Jang
Organization Dept of Industrial & Management Enginrg
Telephone 279-2372
E-mail BONGGYUJANG@POSTECH.AC.KR
Homepage http://bgjang.postech.ac.kr

Education

  • 2000~2004 한국과학기술원 (졸업-수학)
  • 1997~2000 서울대학교 (졸업-수학)
  • 1993~1997 서울대학교 (졸업-수학교육)

Career

  • 2006~2008 : 금융감독원 총괄조정국 복합금융감독실
  • 2004~2006 : 한국과학기술원 금융공학연구센터

Profession

  • 금융공학
  • 투자론
  • 금융위험관리
  • 금융수학

Journal Papers

International

  • Retirement with Risk Aversion Change and Borrowing Constraints, Finance Research Letters, , 16, 112-124 (2016)
  • Asset Demands and Consumption with Longevity Risk (accepted), Economic Theory, , , - (2016)
  • Net Contribution, Liquidity, and Optimal Pension Management, Journal of Risk and Insurance, , , - (2016)
  • Unemployment Risks and Optimal Retirement in an Incomplete Market, Operations Research, , , - (2016)
  • Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint (accepted), Finance Research Letters, , , - (2016)
  • Robust Consumption and Portfolio Rules with Time-Varying Model Confidence (accepted), Finance Research Letters, , , - (2016)
  • Business Cycle and Credit Risk Modeling with Jump Risks, Journal of Empirical Finance, , 39, 15-36 (2016)
  • Psychological barriers and option pricing, Journal of Futures Markets, , 35, 52-74 (2015)
  • Optimal Reinsurance and Asset Allocation under Regime Switching, JOURNAL OF BANKING & FINANCE, , 56, 37-47 (2015)
  • Retirement with Risk Aversion Change and Borrowing Constraints, Finance Research Letter, , , - (2015)
  • Asset Demands and Consumption with Longevity Risk (Accepted), Economic Theory, , , - (2015)
  • Net Contribution, Liquidity, and Optimal Pension Management, Journal of Risk and Insurance, , , - (2015)
  • Optimal retirement strategy with a negative wealth constraint, Operations Research Letters, , 42, 208-212 (2014)
  • Optimal Retirement with Unemployment Risks, JOURNAL OF BANKING & FINANCE, , 37, 3585-3604 (2013)
  • A Simple Iterative Method for the Valuation of American Options, QUANTITATIVE FINANCE, , 13, - (2013)
  • Psychological barriers and option pricing, Journal of Futures Markets, , , - (2013)
  • An analytic valuation method for multivariate contingent claims with regime-switching volatilities, OPERATIONS RESEARCH LETTERS, , 39, 180-187 (2011)
  • Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks, JOURNAL OF BANKING & FINANCE, , 34, 2132-2145 (2010)
  • Valuing qualitative options with stochastic volatility, QUANTITATIVE FINANCE, , 9, 819-825 (2009)
  • A new interpolatory type quadrature rule for weighted Cauchy principal value integrals, JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS, , 10, 271-281 (2008)
  • A REFLECTED DIFFUSION PROCESS IN A REGIME-SWITCHING ENVIRONMENT, OPERATIONS RESEARCH LETTERS, , 36, 177-183 (2008)
  • A first-passage-time model under regime-switching market environment, JOURNAL OF BANKING & FINANCE, , 32, 2617-2627 (2008)
  • Optimal portfolio selection with transaction costs when an illiquid asset pays cash dividends, JOURNAL OF THE KOREAN MATHEMATICAL SOCIETY, , 44, 139-150 (2007)
  • An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes, APPLIED MATHEMATICS AND COMPUTATION, , 191, 239-252 (2007)
  • LIQUIDITY PREMIA AND TRANSACTION COSTS, JOURNAL OF FINANCE, , 62, 2329-2366 (2007)

Domestic Journal Papers

  • 보험부채 공정가치 평가목적 할인율에 관한 연구, 보험학회지, , , - (2017)
  • 서울 아파트 매매가의 영구적·일시적 요인 분석, 부동산학연구, , 23, 19-37 (2017)
  • 인구변화를 고려한 자동차요율 최적화, 보험금융연구, , , - (2016)
  • 서울아파트시장에서 영구적·일시적 가격충격의 시간에 따른 변화 분석, 금융공학연구, , 15, 1-27 (2016)
  • 금리기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고, 한국증권학회지, , 44, 947-995 (2015)
  • Portfolio Management with the Business Cycle and Bayesian Learning, 한국경영과학회지, , 39, - (2014)
  • An Iterative Method for American Put Option Pricing under a CEV Model, 대한산업공학회지, , 38, - (2012)
  • 마코프 국면전환을 고려한 이자율 기간구조 연구, 대한산업공학회지, , 36, 203-211 (2010)
  • Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, 선물연구, , 17, 51-75 (2009)
  • IDENTIFYING THE FACTORS THAT AFFECT INTEREST RATE SWAP SPREADS: EVIDENCE FROM KOREA, 산업경제연구, , 20, 1105-1129 (2007)

General Journal Papers

  • When do the Unemployed Jump in the Workforce, Management Science & Financial Engineering, , 19, - (2013)
  • Stoch Returns and Market Making with Inventory, Management Science & Financial Engineering, , , - (2012)
  • The Behavior of the Term Structure of Interest Rates with the Markov Regime Switching Models, 대한산업공학회지, , 38, 203-211 (2010)
  • TRANSACTION COSTS AND ASSET VALUATION, REVIEW OF ACCOUNTING AND FINANCE, , 3, 99-111 (2004)

Conference Proceedings

  • A First-Passage -Time Model Under Regime-Switching Market Environment, , 0, 0, 771-806 (2008)
  • Liquidity Premia and Transaction Costs, Social Science Research Network, 0, 0, - (2007)
  • Valuing Qualitative Options with Stochastic Volatility, 재무관련 5개학회 공동학술연구발표회 논문집, 0, 0, - (0000)
  • A First-Passage -Time Model Under Regime-Switching Market Environment, 한국증권학회 발표논문집, 0, 0, - (0000)

Invited Talk or Presentations

  • Mark-to-Market Reinsurance and Portfolio Selection: Implications for Information Quality, ., 0, 0, - (2017)
  • 국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략, ., 0, 0, - (2017)
  • How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints?, ., 0, 0, - (2017)
  • How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints?, ., 0, 0, - (2017)
  • 국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략, ., 0, 0, - (2016)
  • 한국형 자동이체식 주택저당증권 가치평가 모형, ., 0, 0, - (2016)
  • Market Prices, Corporate Payouts, and Expected Returns, ., 0, 0, - (2016)
  • 국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략, ., 0, 0, - (2016)
  • 한국형 자동이체식 주택저당증권 가치평가 모형, ., 0, 0, - (2016)
  • 보험부채 공정가치 평가목적 할인율에 관한 연구, ., 0, 0, - (2016)
  • How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints?, ., 0, 0, - (2016)
  • 보험부채 공정가치 평가목적 할인율에 관한 연구, ., 0, 0, - (2016)
  • Unemployment Risks and Optimal Retirement in an Incomplete Market, ., 0, 0, - (2016)
  • Liquidity Premia, Transaction Costs, and Model Misspecification, ., 0, 0, - (2015)
  • A Unified Framework for Option Pricing with Regime Switching: A Simplex Approach, ., 0, 0, - (2015)
  • 서울아파트시장에서 영구적 충격과 일시적 충격의 상대적 중요성에 대한 시간에 따른 변화 분석, ., 0, 0, - (2015)
  • How Annuity Demand is Affected by Insurer Default Risk, ., 0, 0, - (2015)
  • Consumption, Retirement, and Asset Allocation with Unemployment Risks and Borrowing Constraints, ., 0, 0, - (2015)
  • Robust Consumption and Portfolio Rules with Time-Varying Model Confidence, ., 0, 0, - (2015)
  • Optimal Reinsurance and Portfolio Selection with Time-Varying Expected Returns, ., 0, 0, - (2015)
  • Liquidation Shocks and Transaction Costs, ., 0, 0, - (2015)
  • Liquidation Shocks and Transaction Costs, ., 0, 0, - (2015)
  • Liquidation Shocks and Transaction Costs, ., 0, 0, - (2015)
  • Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk, ., 0, 0, - (2015)
  • Total Payout-Ratio Model with VAR Approach, ., 0, 0, - (2015)
  • 금리기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고, ., 0, 0, - (2015)
  • Optimal Reinsurance and Asset Allocation with Regime Switching, ., 0, 0, - (2015)
  • Unemployment Risks and Private Unemployment Insurance, ., 0, 0, - (2014)
  • Liquidity-Adjusted Price-Dividend Ratios and Expected Returns, ., 0, 0, - (2014)
  • 실업위험과 합리적 은퇴설계, ., 0, 0, - (2014)
  • Stochastic Differential Utility and Transaction Costs, ., 0, 0, - (2014)
  • Liquidity Crashes and Robust Portfolio Management, ., 0, 0, - (2014)
  • Liquidity-Adjusted Price-Dividend Ratios and Expected Returns, ., 0, 0, - (2014)
  • A Utility Model of Learning How to Consume, ., 0, 0, - (2014)
  • Robust Portfolio Management with Risk Limits, ., 0, 0, - (2014)
  • Net Contribution, Liquidity, and Optimal Pension Management, ., 0, 0, - (2014)
  • 금리기간구조 변화와 국내 금리연계 파생결합상품 투자자 보호에 대한 소고, ., 0, 0, - (2014)
  • Robust Portfolio Management with Risk Limits, ., 0, 0, - (2014)
  • Liquidity-Adjusted Price-Dividend Ratios and Expected Returns, ., 0, 0, - (2014)
  • Utility Model of Learning How to Consume, ., 0, 0, - (2013)
  • Stochastic Differential Utility and Transaction Costs, ., 0, 0, - (2013)
  • Business Cycle and Commodity Futures, ., 0, 0, - (2013)
  • Utility Model of Learning How to Consume, ., 0, 0, - (2013)
  • Liquidity Crashes and Robust Portfolio Management, ., 0, 0, - (2013)
  • 경기주기와 베이지안 학습 기법을 고려한 개인의 자산관리 연구, ., 0, 0, - (2013)
  • Business Cycles and Optimal Reinsurance, ., 0, 0, - (2013)
  • Unemployment Risks and Optimal Retirement in an Incomplete Market, ., 0, 0, - (2013)
  • Liquidity Crashes and Robust Portfolio Management, ., 0, 0, - (2013)
  • Net Contribution, Liquidity, and Optimal Pension Management, ., 0, 0, - (2013)
  • Unemployment Risks and Optimal Retirement in an Incomplete Market, ., 0, 0, - (2013)
  • Utility of Learning How to Consume Effectively, ., 0, 0, - (2013)
  • A Business cycle and Credit Risk Modeling with Jump Risks, ., 0, 0, - (2012)
  • A Business Cycle and Credit Risk Modeling with Jump Risks, ., 0, 0, - (2012)
  • Psychological Barriers and Option Pricing, ., 0, 0, - (2012)
  • Psychological Barriers and Option Pricing, ., 0, 0, - (2012)
  • Psychological Barriers and Option Pricing, ., 0, 0, - (2012)
  • Optimal Retirement and Unemployment Risks, ., 0, 0, - (2012)
  • Short Term Market Changes and Market Making with Inventory, ., 0, 0, - (2012)
  • Robust Consumption and Portfolio Rules with a New State Variable, ., 0, 0, - (2011)
  • Robust Consumption and Portfolio Rules with a New State Variable, ., 0, 0, - (2011)
  • Robust Consumption and Portfolio Rules with a New State Variable, ., 0, 0, - (2011)
  • Optimal Retirement with Unemployment Risks and Market Completion, ., 0, 0, - (2011)
  • Optimal Retirement with Unemployment Risks and Market Completion, ., 0, 0, - (2011)
  • Optimal Retirement with Unemployment Risks and Market Completion, ., 0, 0, - (2011)
  • European Option Pricing with an Irreversible Self-Exciting Regime-Switching Model, ., 0, 0, - (2011)
  • Optimal Retirement with Unemployment Risk, ., 0, 0, - (2010)
  • A Simple Iterative Method for the Valuation of American Options, ., 0, 0, - (2010)
  • A Lattice Method for Lookback Options with Regime-Switching Volatilities, ., 0, 0, - (2010)
  • American Options: A Simple Approach, ., 0, 0, - (2010)
  • A Simple Iterative Method for the Valuation of American Options, ., 0, 0, - (2010)
  • Robust Portfolio Rules with a New State Variable, ., 0, 0, - (2010)
  • The Behavior of the term structure of Interest Rates with the Markov Regime Switching Models, ., 0, 0, - (2010)
  • Asset Demand and Consumption with Longevity Risk, ., 0, 0, - (2010)
  • An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities, ., 0, 0, - (2009)
  • Optimal Consumption and Investment and a Robust Control Problem, ., 0, 0, - (2009)
  • An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities, ., 0, 0, - (2009)
  • A New Lattice Method for Lookback Options with Regime-Switching Volatility, ., 0, 0, - (2009)
  • A Closed-Form Pricing Formula for Multivariate Contingent Claims with Stochastic Volatility, ., 0, 0, - (2009)
  • Default Risk of Life Annuity and the Annuity Puzzle, ., 0, 0, - (2009)
  • Default Risk and Life Annuity and the Annuity Puzzle, ., 0, 0, - (2009)
  • Optimal Consumption and Investment and a Robust Control Problem, ., 0, 0, - (2009)
  • The Valuation of Range Notes under Affine Term Structure Models, , 0, 0, - (2008)
  • Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, , 0, 0, - (2008)
  • The Valuation of Range Notes under Affine Term Structure Models, , 0, 0, - (2008)
  • Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, , 0, 0, - (2008)
  • The Valuation of Range Notes under Affine Term Structure Models, , 0, 0, - (2008)
  • A First-Passage -Time Model Under Regime-Switching Market Environment, , 0, 0, - (2008)
  • Valuing Qualitative Options with Stochastic Volatility, , 0, 0, - (2007)
  • Valuing Options on Two Assets under Regime Switching Environment, , 0, 0, - (2006)
  • Liquidity Premia and Transactions Costs, , 0, 0, - (2006)
  • Alternative Numerical Method to Value American Option : An Iteration Method, , 0, 0, - (2005)
  • American Put Options with Regime-Switching Volatility, , 0, 0, - (2005)
  • A Method of Ordering Scattered Points With a Good Reason in, , 0, 0, - (2005)
  • Portfolio Selection with Transaction Costs in a Dividend-Paying Asset, , 0, 0, - (2004)
  • A Natural Points Ordering Method for Arbitrarily Scattered Points, , 0, 0, - (2004)
  • On the Pricing of American Puts for KOSPI 200 Index Using Carr's Method, , 0, 0, - (2004)
  • Liquidity Premia in Finite Horizons, , 0, 0, - (2003)
  • Portfolio Selection with Linear Transaction Costs, , 0, 0, - (2002)
  • A First-Passage -Time Model Under Regime-Switching Market Environment, 2008 EASIAM annual Meetings, 0, 0, - (0000)
  • Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, 2008 대한금융공학회 추계 정기학술대회, 0, 0, - (0000)
  • Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities, 2008 한국재무학회 추계 정기학술대회, 0, 0, - (0000)
  • The Valuation of Range Notes under Affine Term Structure Models, 2008 대한금융공학회 추계 정기학술대회, 0, 0, - (0000)
  • The Valuation of Range Notes under Affine Term Structure Models, 2008 한국경영과학회 추계 정기학술대회, 0, 0, - (0000)
  • The Valuation of Range Notes under Affine Term Structure Models, 2008 한국재무학회 추계 정기학술대회, 0, 0, - (0000)

Books

Research Activities

  • REGIME-SWITCHING MODEL AND ITS APPLICATIONS, 포항공과대학교 (2008-2009)
  • REGIME-SWITCHING MODEL AND ITS APPLICATIONS, 포항공과대학교 (2009-2010)
  • ELS가 현물 시장에 미치는 영향(학부생연구프로그램), 포항공과대학교 (2009-2010)
  • VALIDATION OF THE MARKET RISK SYSTEM, 주식회사 피스트글로벌 (2010-2010)
  • FINANCIAL RISK MANAGEMENT USING A MARKOV REGIME-SWITCHING MODEL, 재단법인한국연구재단 (2010-2011)
  • (학생)인건비풀링과제, 포항공대산학협력단 (2010-2020)
  • KIKO 상품 가치평가를 통한 KIKO 사태의 쟁점 분석 (학부생-정도욱), 포항공과대학교 (2010-2010)
  • 국면전환모형 하에서 점프위험과 상관부도위험을 고려한 신용위험 관리, 포항공대산학협력단 (2011-2012)
  • FINANCIAL RISK MANAGEMENT USING A MARKOV REGIME-SWITCHING MODEL, 재단법인한국연구재단 (2011-2012)
  • 자체연구개발과제, 포항공대산학협력단 (2011-2016)
  • 4.5445_1차년도 이월과제, 재단법인한국연구재단 (2011-2012)
  • FINANCIAL RISK MANAGEMENT USING A MARKOV REGIME-SWITCHING MODEL, 재단법인한국연구재단 (2012-2013)
  • 학부생연구프로그램-이준호,유성민(수학)-외환파생산품의 가치와 금융모험 위험, 포항공과대학교 (2012-2012)
  • 학부생연구프로그램-오창협(산경)-금융위기와 국내외 은행의 금리조작 의혹, 포항공과대학교 (2012-2012)
  • 4.7178_2차년도 이월과제, 재단법인한국연구재단 (2012-2013)
  • DEVELOPMENT OF ENTERPRISE RISK MANAGEMENT MODEL FOR INSURANCE COMPANY, 재단법인한국연구재단 (2012-2013)
  • 학부학생연구프로그램, 포항공과대학교 (2013-2013)
  • DEVELOPMENT OF ENTERPRISE RISK MANAGEMENT MODEL FOR INSURANCE COMPANY, 재단법인한국연구재단 (2013-2014)
  • 4.8810_1단계 1차년도 이월과제, 재단법인한국연구재단 (2013-2014)
  • OPTIMAL ASSET MANAGEMENT UTILIZING STOCHASTIC DIFFERENTIAL EQUATIONS FOR AN AGING SOCIETY, 재단법인한국연구재단 (2013-2014)
  • ., 재단법인한국연구재단 (2014-2015)
  • Development of Integrated Risk Management Financial System for Welfare Society, 재단법인한국연구재단 (2014-2017)
  • ., 재단법인한국연구재단 (2014-2015)
  • (오승환_수학과)비트코인의 통화 대체 가능성에 대한 고찰(학과), 포항공과대학교 (2014-2015)
  • (오승환_수학과)비트코인의 통화 대체 가능성에 대한 고찰(대학), 포항공과대학교 (2014-2015)
  • OPTIMAL ASSET MANAGEMENT UTILIZING STOCHASTIC DIFFERENTIAL EQUATIONS FOR AN AGING SOCIETY, 재단법인한국연구재단 (2014-2015)
  • 자체연구개발과제[2015년 신설], 포항공과대학교 (2015-2040)
  • ., 재단법인한국연구재단 (2015-2016)
  • 4.11491_이월과제, 재단법인한국연구재단 (2015-2016)
  • ., 재단법인한국연구재단 (2015-2016)
  • 4.11682 이월과제, 재단법인한국연구재단 (2015-2016)
  • 금융및위험관리연구센터 부서연구관리비, 포항공대산학협력단 (2016-2017)
  • ., 재단법인한국연구재단 (2016-2017)
  • ., 재단법인한국연구재단 (2016-2017)
  • 4.12640/12860_이월과제, 재단법인한국연구재단 (2016-2017)
  • ., 재단법인한국연구재단 (2017-2018)

IP