papers
Submitted papers, then published papers by year.
Submitted
PG-DPO
- PG-DPOBreaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice under revision in Mathematical Finance
- PG-DPORec-ve-ing the Ki--s in D--ay C-nt-ol: A Str-ct-re-Aw-re O-timal Con--ol So-ve- wit- Pon-ry-gin -roj-ction submitted
- PG-DPORec-ve-ing No-Tr-de Re-i-ns: Pont--a-in-Gui--d Po--cy Proj--tion f-r Tr--action-C-st -ont-ol submitted
Others
- MarketGANs: Multivariate Financial Time-Series Data Augmentation Using Generative Adversarial Networks under revision in Financial Innovation
- Bounded Rationality, Reinforcement Learning, and Market Efficiency invited for resubmission at Management Science
- Neural Policy Iteration for Dynamic Portfolio Choice with Control-Dependent Diffusion submitted
- Decision-Focused Conditional Beta Learning for Cost-Aware Portfolio Optimization submitted
Published
2026
- ICMLPG-DPOBeyond the Bellman Recursion: A Pontryagin-Guided Framework for Non-Exponential Discounting accepted
- PLOSEquity Premium Forecasting with Reliability-Screened Forward-Looking Signals
- AIMSDeepONet-Based Surrogate Modeling for Bond Option Pricing
- Comp. Econ.Learning Distributions for Continuous-Time Financial Models
2025
- FRLLSTM-based Dynamic Correlation Forecasting with Economic Conditions
- CAMWAImproved Accuracy of an Analytical Approximation for Option Pricing under Stochastic Volatility Models using Deep Learning Techniques
- Comp. Econ.Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models
- IJCMDeep Learning of Optimal Exercise Boundaries for American Options
- JIMOPG-DPOPontryagin-Guided Direct Policy Optimization for Continuous-Time Portfolio Problem
- NHMReliable Option Pricing through Deep Learning: An Anomaly Score-Based Approach
- NHMDual-Uncertainty Modeling in Financial Time-Series via VMD-LSTM with Concrete Dropout and VMD-WGAN
- CICFBounded Rationality, Reinforcement Learning, and Market Efficiency conference
- KJFSAI Bringing Dynamic Portfolio Choice into Reality insight report
2024
- ORLTighter ‘Uniform Bounds for Black-Scholes Implied Volatility’ and the Applications to Root-Finding
- KSIAMAccelerating SDE Simulation through Learning of Stochastic Dynamics
- FMAPG-DPOContinuous-Time Portfolio Optimization via Model-based Reinforcement Learning conference
2023
- JJIAMVariable Annuity with a Surrender Option under Multi-Scale Stochastic Volatility
- ACDMAnalytical Pricing of Exchange Option with Default Risk under a Stochastic Volatility Model
- JKDASRandom Augmentation Technique for Mitigating Overfitting in Neural Networks for Financial Time Series Forecasting
2022
- KBSExtensive Networks Would Eliminate the Demand for Pricing Formulas
- ASCPricing Path-Dependent Exotic Options with Flow-Based Generative Networks
- ESWALarge Scale Online Learning of Implied Volatilities
- JRFMNewton-Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities
2021
- JFMConsistent and Efficient Pricing of SPX Options and VIX Options under Multi-Scale Stochastic Volatilities
- CSFAsymptotic Expansion Approach to the Valuation of Vulnerable Option under a Multiscale Stochastic Volatility Model
- EAMJPricing of Vulnerable Power Exchange Option under the Hybrid Model
- EAMJSimplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model
2020
- Physica AMeasuring Systematic Risk with Neural Network Factor Model
- Comp. Econ.Static Hedges of Barrier Options under Fast Mean-Reverting Stochastic Volatility
- Comp. Econ.An Analytic Approximation for the Valuation of American Option in Two Regimes
2019
- ESWAPricing Options with Exponential Levy Neural Network
- QFA Reduced PDE Method for European Option Pricing under Multi-Scale, Multi-Factor Stochastic Volatility
- ECECSRBarrier Option Pricing with Heavy-Tailed Distribution
2018
- MAFEA Scaled Version of the Double-Mean-Reverting Model for VIX Derivatives
Refereeing service
2026
MethodsX · Mathematical Reviews · Korean Association of Financial Engineering · AIMS Mathematics · Scientific Reports · Finance Research Letters · Communications in Statistics · Asia-Pacific Financial Markets · Journal of Computational and Applied Mathematics · Mathematical Control and Related Fields · Engineering Analysis with Boundary Elements · Neural Information Processing Systems (NeurIPS) · Discover Artificial Intelligence
2025
Computational Economics · Applied Numerical Mathematics · Finance Research Letters · Journal of Computational and Applied Mathematics · Journal of Derivatives · International Journal of Computer Mathematics · AIMS Mathematics · Journal of Futures Markets · Discover Artificial Intelligence · Journal of Forecasting · Asia-Pacific Financial Markets · Decision Analytics Journal · Mathematics and Computers in Simulation · Communications in Statistics · International Review of Financial Analysis
2024
Applied Numerical Mathematics · Journal of Computational and Applied Mathematics · Computational Economics · Journal of the Korean Statistical Society
2023
Computational Economics · Expert Systems With Applications · Journal of Computational and Applied Mathematics
2022
Computational and Applied Mathematics · Applied Economics Letters · Journal of Computational and Applied Mathematics · Quantitative Finance and Economics · Expert Systems With Applications
2021
Expert Systems With Applications · Journal of Futures Markets · Chaos, Solitons & Fractals
2020
Expert Systems With Applications