Publications/Working papers

Publications/Working Papers

▶ Publications

1. 1. "Optimal Asset Allocation of Pension Funds with a Portfolio Constraint Change (투자비중 제약 조건 변화에 따른 연기금의 자산배분)" (with Jongho Park)

Korean Journal of Financial Studies, Vol 53, Issue 5, 2024, 489-524.

1. 2. "American Put Options with Regime-Switching Volatility" (with Hyeng Keun Koo)

Journal of Derivatives and Quantitative Studies, Vol 32, Issue 2, 2024, 86-115.

1. 3. "The Effect of Regime-Switching Transaction Costs and Cash Dividends on Liquidity Premia" (with Jiwon Chae, and Taeyoon Kim)

International Review of Financial Analysis, Vol 93, May 2024

1. 4. "Goal-Based Asset Allocation with Transaction Costs and Position Limits (거래비용과 투자비중제약을 고려한 목표기반 자산배분)" (with Doyeon Kim)

금융정보연구, Vol 13, Issue 1, 2024년 2월, 1-24.

1. 5. "Analytic Approach for Models of Optimal Retirement with Disability Risk" (with Seyoung Park and Jiwon Chae)

Mathematical Social Sciences, Vol 126, 2023, 68-75.

1. 6. "Stock Prices, Changes in Liquidity, and Liquidity Premia" (with Hyun-Tak Lee and Bong-Soo Lee)                                                      

Finance Research Letters, Vol 48, 2022

1. 7. "Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models"(with Hyun-Tak Lee and Kyeong Tae Kim)                                                                                                                                                                                                    

European Financial Management, Vol 28, Issue 1, 2022, 208-232

1. 8. "Ambiguity Premium and Transaction Costs" (with Taeyoon Kim, Seungkyu Lee, and Seyoung Park)                                                          

Economics Letters, Vol 207, Oct. 2021

1. 9. "Convertible Bond Valuation with Regime Switching" (with Byung-June Kim)                                                                                                     

Chaos, Solitons and Fractals, Vol 150, Sep. 2021

1. 10. "Value-at-Risk 제약 하에서의 연기금의 자산배분" (채지원)                                                                                                                                         

한국증권학회지, Vol 50, Issue 1, Feb. 2021, 113-134

1. 11.  "Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models" (with Hyun-Tak Lee and Kyeong Tae Kim)

Online published, European Financial Management, 2021

1. 12. "Annuitization and Asset Allocation with Borrowing Constraint" (with Jin-Gi Kim and Seyoung Park)

Operations Research Letters, Vol 48, Issue 5, Sep. 2020, 549-551.

1. 13. "Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk" (with Seyoung Park and Huainan Zhao)

Insurance: Mathematics and Economics,Vol 94, Sep. 2020, 25-39.

1. 14. "의료 블록체인 비즈니스 활용 장벽 연구" (서웅기, 박준성, 김태윤, 곽지영, 한성호, 장혜지, 채지원, 고영인, 김진기 공저)

대한산업공학회지, 제45권, 제6호, 2019년 12월, 521-528.

1. 15. "Optimal Consumption and Investment with Insurer Default Risk" (with Hyeng Keun Koo and Seyoung Park)

Insurance: Mathematics and Economics, Vol 88, Sep. 2019, 44-56.

1. 16. "DNS 모형을 통한 금리 충격 시나리오 산출 및 분석 방안" (태현욱, 김병준, 노건엽, 박경국 공저)

보험금융연구, 제30권, 제2호, 2019년 6월, 3-53. 

1. 17. "주택연금을 고려한 개인의 생애주기 자산배분 연구" (김진기, 이상구, 안세륭 공저)

보험학회지, 제118집, 2019년 4월, 1-29. 

1. 18. "Option Pricing with Regime Switching: Integrations over Simplexes Method" (with Hyeon-Wuk Tae)

Finance Research Letters, Vol24, 2018, 301-312.

1. 19. "국민연금기금의 국내 주식시장에 대한 영향력을 고려한 최적 투자 전략" (강민정, 김병준 공저)

한국증권학회지, 제46권, 제5호, 2017년 12월, 1033-1060. 

1. 20. "한국형 자동이체식 주택저당증권에 대한 가치평가모형 개발" (태현욱, 서웅기, 김준석, 노종혁, 안세륭 공저)

선물연구, 제25권, 제3호, 2017년 8월, 305-337 

1. 21. "서울 아파트 매매가의 영구적, 일시적 요인 분석" (김진기, 이현탁 공저)

부동산학연구, 제23집, 제1호, 2017년 3월, 19-37. 

1. 22. "Net Contribution, Liquidity, and Optimal Pension Management" (with Changhui Choi, Changki Kim, and Sang-youn Roh)

Journal of Risk and Insurance, Vol 83, Issue 4, 2016, 913-948.

1. 23. "Business Cycle and Credit Risk Modeling with Jump Risks" (with Yuna Rhee and Ji Hee Yoon)

Journal of Empirical Finance, Vol 39 (Part A), 2016, 15-36. 

1. 24. "Robust Consumption and Portfolio Rules with Time-Varying Model Confidence" (with Seungkyu Lee and Byung Hwa Lim)

Finance Research Letters, Vol 18, Aug. 2016, 342-352.

1. 25. "Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint" (with Seyoung Park)

Finance Research Letters, Vol 18, Aug. 2016, 158-176.

1. 26. "Asset Demands and Consumption with Longevity Risk" (with Hyeng Keun Koo and Yuna Rhee)

Economic Theory, Vol 62, Issue 3, 2016, 587-633.

1. 27. "Unemployment Risks and Optimal Retirement in an Incomplete Market" (with Alain Bensoussan and Seyoung Park)

Operations Research, Vol 64, Issue 4, 2016, 1015-1032. 

1. 28. "보험부채 공정가치 평가목적 할인율에 관한 연구" (노건엽, 태현욱 공저)

보험학회지, 제107집, 2016년 7월, 75-108. 

1. 29. "서울아파트시장에서 영구적•일시적 가격충격의 시간에 따른 변화 분석" (김은영, 이현탁 공저)

금융공학연구, 제15권, 제2호, 2016년 6월, 1-28. 

1. 30. "인구변화를 고려한 자동차요율 최적화" (최창희 공저)

보험금융연구, 제27권, 제2호, 2016년 5월, 81-109. 

1. 31. "Retirement with Risk Aversion Change and Borrowing Constraints" (with Hoseok Lee)

Finance Research Letters, Vol 16, Feb. 2016, 112-124.

1. 32. "금리기간구조 변화와 한국 금리연계 파생결합상품 투자자 보호에 대한 소고" (태현욱, 임상규 공저)

한국증권학회지, 제44권, 제5호, 2015년 12월, 947-995. 

1. 33. "Optimal Reinsurance and Asset Allocation under Regime Switching" (with Kyeong Tae Kim)

Journal of Banking & Finance, Vol 56, 2015, 37-47.

1. 34. "Psychological Barriers and Option Pricing" (with Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong-Hoon Shin)

Journal of Futures Markets, Vol 35, Issue 1, 2015, 52-74. 

1. 35. "경기주기와 베이지안 학습기법을 고려한 개인의 자산관리 연구" (박세영, 이현탁, 이유나 공저)

한국경영과학회지, Vol 39, No 2, 2014, 49-66.

1. 36. "Optimal Retirement Strategy with a Negative Wealth Constraint" (with Seyoung Park)

Operations Research Letters, Vol 42, Issue 3, 2014, 208-212. 

1. 37. "When Do the Unemplyed Jump in the Workforce?" (with Hyun Tak Lee and Seyoung Park)

Management Science & Financial Engineering, Vol 19, No 2, 2013, 43-47. 

1. 38. "Optimal Retirement with Unemployment Risks" (with Seyoung Park and Yuna Rhee)

Journal of Banking & Finance, Vol 37, Issue 9, 2013, 3585-3604. 

1. 39. "A Simple Iterative Method for the Valuation of American Options" (with In Joon Kim and Kyeong Tae Kim)

Quantitative Finance, Vol 13, Issue 6, 2013, 885-895.

1. 40. "수치적 반복 수렴 방법을 이용한 CEV 모형에서의 아메리칸 풋 옵션 가격 결정" (이승규, 김인준 공저)

대한산업공학회지, 제38권, 제4호, 2012년 12월, 244-248. 

1. 41. "Stock Returns and Market Making with Inventory" (with Seyoung Park)

Management Science & Financial Engineering, Vol 18, No 2, 2012, 1-4. 

1. 42. "An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities" (with Kum-Hwan Roh and Ji Hee Yoon)

Operations Research Letters, Vol 39, Issue 3, 2011, 180-187. 

1. 43. "마코프 국면전환을 고려한 이자율 기간구조 연구" (이유나, 박세영, 최종오 공저)

대한산업공학회지, 제36권, 제3호, 2010, 203-211. 

1. 44. "Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks" (with Ji Hee Yoon)

Journal of Banking & Finance, Vol 34, Issue 9, 2010, 2132-2145. 

1. 45. "Valuing Qualitative Options with Stochastic Volatility" (with Kum-Whan Roh)

Quantitative Finance, Vol 9, Issue 7, 2009, 819-825. 

1. 46. "일반상품 가격을 어떻게 모형화 할 것인가?: 국내 파생결합증권(DLS)의 가치평가" (임상규, 이호석 공저)

선물연구, 제17권, 제1호, 2009, 51-75. 

1. 47. "A First-Passage-Time Model under Regime-Switching Market Environment" (with Mi Ae Kim and Ho-Seok Lee)

Journal of Banking & Finance, Vol 32, Issue 12, 2008, 2617-2627. 

1. 48. "A Reflected Diffusion Process in a Regime-Switching Environment" (with Gyoocheol Shim)

Operations Research Letters, Vol 36, Issue 2, 2008, 177-183. 

1. 49. "Liquidity Premia and Transaction Costs" (with Hyeng Keun Koo,  Hong Liu and Mark Loewenstein)

Journal of Finance, Vol 62, No 5, 2007, 2329-2366.

1. 50. "An Algorithm for Optimal Portfolio Selection Problem with Transaction Costs and Random Lifetimes" (with U Jin Choi and Hyeng Keun Koo)

Applied Mathematics and Computation, Vol 191, No 1, 2007, 239-252. 

1. 51. "Optimal Portfolio Selection with Transaction Costs When an Illiquid Asset Pays Cash Dividends"

Journal of Korean Mathematical Society, Vol 44, No 1, 2007, 139-150. 

1. 52. "한국시장에서의 이자율 스왑 스프레드 결정 요인 연구" (임상규 공저)

산업경제연구, 제20권, 제3호, 2007, 1105-1129.

1. 53. "Transaction Costs and Asset Valuation" (with Hyeng Keun Koo and U Jin Choi)

Review of Accounting and Finance, Vol 3, No 4, 2004, 99-111. 

▶ Working papers

1. "Temporary Layoffs, Reentry and Optimal Retirement" (with Shan Huang, and Seyoung Park) 

2. "Liability-Driven Investment under Inflation Risk" (with Hyeontae Jo and Myung Jun Kim)

3. "Old-Age Inequality with Longevity Extension from Preventive Healthcare" (with Hyeontae Jo, Byung-June Kim, and Taeyoon Kim)

4. "Liquidation Shocks and Transaction Costs" (with Hyeng Keun Koo and Seungkyu Lee)

5. "Does It Pay to Go Outside Your Comfort Zone?" (with Phillip H. Dybvig and Hyeng Keun Koo)

6. "Short-Term Market Changes and Market Making with Inventory" (with Jin-Gi Kim, Sam Beatson, Hoseok Lee, and Seyoung Park) 

7. "Market Capitalization, Corporate Payouts, and Expected Returns" (with Bong-Soo Lee and Hyun-Tak Lee)

8. "Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk" (with Hyun-Tak Lee and Seyoung Park)

9. "How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints" (with Taeyong Kim, Seungkyu Lee and Hyeon-Wuk Tae) 

10. "Forecasting Uncertainty of the Oil Future Prices via Machine Learning" (with with Byung-June Kim and Taeyoon Kim), under revision for the 3rd round review (Journal of Futures Markets).

11. "Calibrating High-dimensional Parameters in Interest Rate Models: Application to the Korean Insurance Capital Standard" (with Seung Min Baik and Changhui Choi), under 2nd round review (Journal of Derivatives and Quantitative Studies).

12. "A Lattice Method for Lookback Options with Regime-Switching Volatility" (with Ji Hee Yoon, U Jin Choi and Byung Hwa Lim)

13. "Asset Returns and Regime-Switching Consumption-Wealth Ratio“ (with Qi Li, Di Luo, Seyoung Park, Huainan Zhao), submitted. (Operations Research Letters).

14. "Herding in Cryptocurrency Market and Covid-19: Spillover Effects and Fundamental Information" (with Daeyoung Jeon, Changeun Kim, and Jongho Park)

15. "Optimal Reinsurance and Asset Allocation with Correlation Risks" (with  Alain Bensoussan,Jin-Gi Kim, and Suengkyu Lee) 

16. "A Consensus-Bottleneck Asset Pricing Model" (with  Younwoo Jeong, and Changeun Kim) 

▶ Patent

• [국내출원] "토큰증권 기반 부동산 프로젝트파이낸싱 자금조달 및 유동화 플랫폼(Security Token based Real Estate Project Financing and Securitization Platform)", 출원번호: 10-2023-0115623 (장봉규, 안영주, 박종호, 박용헌), 2023-08-31.

• [국내출원] "토큰증권 기반의 부동산 디지털 증권 거래 및 임대 계약 중개 플랫폼(Security Token based Real Estate Digital Securities Trading and Rental Contract Broker Platform)",  출원번호: 10-2023-0115610 (장봉규, 안영주, 전대영, 김창은), 2023-08-31.

• [국내출원] "블록체인 기반 온라인 전자 상거래 플랫폼에서의 환불 보험 및 보험금 산출 모델(Blockchain based refund insurance and insurance calculation model in e-commerce platform)", 출원번호: 10-2023-0001094 (장봉규, 김민주, 조현태, 안영주), 2023-01-04.

• [국내출원] "블록체인 기반 보험 플랫폼 서비스 시스템 및 방법(Blockchain based insurance platform service system and method)”, 출원번호: 10-2021-0046364 (김도연, 김명준, 김창헌, 조성진, 장봉규), 대한민국, 2021.04.09.

• [국내출원] “점프 모델을 활용한 비즈니스 모델의 가치 평가 방법 및 이의 장치(Method and Apparatus of Valuation of Business Model”, 출원번호: 10-2020-0068765    (김도연, 김명준, 김창헌, 장봉규), 대한민국, 2020.06.08.

• [국내등록] “블록체인에 기반한 콘텐츠의 번역 지원 시스템, 방법 및 컴퓨터로 독출가능한 기록 매체(System, Method of Supporting Translation of Content Based on Blockchain, and Computer Readable Medium)”, 등록번호: 10-20926030000 (한성호, 장봉규, 정다운, 장혜지, 김병준, 채지원, 고영인, 곽지영), 대한민국, 2020.03.18.

• [국내출원] “블록체인에 기반한 콘텐츠의 번역 지원 시스템, 방법 및 컴퓨터로 독출가능한 기록 매체(System, Method of Supporting Translation of Content Based on Blockchain, and Computer Readable Medium)”, 출원번호: 10-2019-0077136 (한성호, 장봉규, 정다운, 장혜지, 김병준, 채지원, 고영인, 곽지영), 대한민국, 2019.06.27.

• [국내출원] “블록체인에 기반한 자동차 보험금 자동 지급 시스템, 방법 및 컴퓨터로 독출 가능한 기록 매체(System and Method of Automatic Payment of Insurance Being Based on Blockchain, and Computer Readable Medium)”, 출원번호: 10-2019-0041523 (한성호, 곽지영, 장봉규, 장혜지, 정동영, 채지원, 박준성, 김진기, 서웅기, 김태윤, 고영인, 김병준), 대한민국, 2019.04.09.