학술지 논문

• (2025)  LSTM-based dynamic correlation forecasting with economic conditions.  FINANCE RESEARCH LETTERS.  86, 
• (2025)  PONTRYAGIN-GUIDED DIRECT POLICY OPTIMIZATION FOR CONTINUOUS-TIME PORTFOLIO PROBLEM.  JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION.  21,  9
• (2025)  Improved Accuracy of an Analytical Approximation for Option Pricing under Stochastic Volatility Models using Deep Learning Techniques, Donghyun Kim*, Jeonggyu Huh*, Ji-Hun Yoon, Computers and Mathematics with Applications.  COMPUTERS & MATHEMATICS WITH APPLICATIONS.  187, 
• (2025)  Reliable option pricing through deep learning: An anomaly score-based approach.  NETWORKS AND HETEROGENEOUS MEDIA.  20,  3
• (2024)  ACCELERATING SDE SIMULATION THROUGH LEARNING OF STOCHASTIC DYNAMICS.  Journal of the Korean Society for Industrial and Applied Mathematics.  28,  4
• (2024)  Deep Learning of Optimal Exercise Boundaries for American Options.  INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS. 
• (2024)  Tighter ‘uniform bounds for Black–Scholes implied volatility’ and the applications to root-finding.  OPERATIONS RESEARCH LETTERS.  57, 
• (2024)  Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models.  COMPUTATIONAL ECONOMICS. 
• (2023)  Random Augmentation Technique for Mitigating Overfitting in Neural Networks for Financial Time Series Forecasting.  Journal of The Korean Data Analysis Society.  25,  5
• (2023)  An analytical approach to the pricing of an exchange option with default risk under a stochastic volatility model.  ADVANCES IN CONTINUOUS AND DISCRETE MODELS.  37, 
• (2022)  Newton–Raphson Emulation Network for Highly Efficient Computation of Numerous Implied Volatilities.  Journal of Risk and Financial Management.  15,  12
• (2022)  PRICING OF VULNERABLE POWER EXCHANGE OPTION UNDER THE HYBRID MODEL.  East Asian Mathematical Journal.  37,  5
• (2022)  Large-scale online learning of implied volatilities.  EXPERT SYSTEMS WITH APPLICATIONS.  203, 
• (2022)  Pricing path-dependent exotic options with flow-based generative networks.  APPLIED SOFT COMPUTING.  124, 
• (2022)  Variable Annuity with a Surrender Option under Multi-Scale Stochastic Volatility.  JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS.  40, 
• (2022)  Extensive networks would eliminate the demand for pricing formulas.  KNOWLEDGE-BASED SYSTEMS.  237, 
• (2021)  Asymptotic Expansion Approach to the Valuation of Vulnerable Option under a Multiscale Stochastic Volatility Model.  CHAOS SOLITONS & FRACTALS.  144, 
• (2021)  Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model.  East Asian Mathematical Journal.  37,  1
• (2021)  Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility.  JOURNAL OF FUTURES MARKETS.  41,  5
• (2020)  Measuring systematic risk with neural network factor model.  PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS.  542,