금융공학전공 교수 목록

구성원
교수진
금융공학전공

교수정보의 상세 화면-2019
이름 구형건 학력 전공 금융공학전공(과)
정보	연구실 : 다525 연구실번호 : 2706 이메일 : hkoo@ajou.ac.kr 연구관심분야 : 투자론, 수리재무, 금융의 역사 홈페이지1 : https://sites.google.com/ajou.ac.kr/hkoo/
학력
경력	John M. Olin School of Business, Washington University in St. Louis, 재무학 조교수, 1992-1996 포항공과대학교, 조교수, 부교수 (경영학, 수학) 1996-1999 아주대학교 경영대학 1999-현재 KAIST 겸임교수, 고등과학원( KIAS) 초빙연구원 역임
연구분야	최적소비투자이론 금융의 역사
논문 및 연구활동	연구활동(주요논문) [논문] 신용현, 전준기, 구형건, Portfolio selection with consumption ratcheting , JOURNAL OF ECONOMIC DYNAMICS AND CONTROL , pp.153 -182 (Jun, 2018) [논문] Zhou Yang, 구형건, Optimal Consumption and Portfolio Selection with Early Retirement Option , MATHEMATICS OF OPERATIONS RESEARCH , pp.1 -26 (Jun, 2018) [논문] 구형건, 안세륭, 최경진, A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation , JOURNAL OF BANKING & FINANCE , Vol.55 , pp.9 -22 (Mar, 2015) [논문] 구형건, Abel Cadenillas, Alain Bensoussan, Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function , MATHEMATICS OF OPERATIONS RESEARCH , pp.1 -13 (Mar, 2015) [논문] 구형건, Hong Liu, Mark Loewenstein, 장봉규, Liquidity Premia and Transaction Costs , Journal of Finance , Vol.62 , No.5 , pp.2329 -2366 (Oct, 2007) 국제학술논문지 [논문] 전준기 , 구형건, A MODEL OF RETIREMENT ANDCONSUMPTION-PORTFOLIO CHOICE , Bulletin of the Korean Mathematical Society , Vol.60 , No.4 , pp.1101 -1129 (Aug, 2023) [논문] 안상진, 구형건, 안세륭, 정재웅, An analysis of the evolution of global financialnetwork of the coordinated portfolio investmentsurvey , INTERNATIONAL REVIEW OF FINANCE , pp.1 -23 (Dec, 2022) [논문] 구형건, 전준기, Kyunghyun Park, Optimal finite horizon contract with limited commitment , MATHEMATICS AND FINANCIAL ECONOMICS , pp.267 -315 (Apr, 2022) [논문] Kyoung Jin Choi, 전준기, 구형건, Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude , JOURNAL OF ECONOMIC THEORY , pp.105380 -105380 (Mar, 2022) [논문] 구형건, 노금환, 신용현, Optimal consumption/investment and retirement with necessities and luxuries , MATHEMATICAL METHODS OF OPERATIONS RESEARCH , pp.281 -317 (Oct, 2021) [논문] 구형건, 전준기, 박경현, Finite horizon portfolio selection with durable goods , MATHEMATICAL SOCIAL SCIENCES , pp.55 -67 (Mar, 2021) [논문] Zhou Yang, 신용현, 전준기, 구형건, An Integral Equation Representation for Optimal Retirement Strategies in Portfolio Selection Problem , COMPUTATIONAL ECONOMICS , pp.885 -914 (Jan, 2021) [논문] 배세융, 구형건, 박경현, 전준기, Social insurance for the elderly , ECONOMIC MODELLING , Vol.91 , pp.274 -299 (Aug, 2020) [논문] Zhou Yang, 신용현, 구형건, Optimal Retirement in a General Market Environment , APPLIED MATHEMATICS AND OPTIMIZATION , pp.1 -48 (Mar, 2020) [논문] 배세융, 전준기, 구형건, Continuous-Time Portfolio Selection: A Cursory Survey , frontiers in Applied Mathematics and Statistics , pp.1 -9 (Feb, 2020) [논문] 구형건, 장봉규, 박세영, Optimal consumption and investment with insurer default risk , INSURANCE: MATHEMATICS AND ECONOMICS , pp.44 -56 (Apr, 2019) [논문] 구형건, 전준기, 신용현, Ratcheting with a bliss level of consumption , OPTIMIZATION LETTERS , pp.1 -22 (Aug, 2018) [논문] 신용현, 전준기, 구형건, Portfolio selection with consumption ratcheting , JOURNAL OF ECONOMIC DYNAMICS AND CONTROL , pp.153 -182 (Jun, 2018) [논문] Zhou Yang, 구형건, Optimal Consumption and Portfolio Selection with Early Retirement Option , MATHEMATICS OF OPERATIONS RESEARCH , pp.1 -26 (Jun, 2018) [논문] 구정림, 구형건, 구병림, 안세륭, 신용현, Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint , STOCHASTIC ANALYSIS AND APPLICATIONS , Vol.34 , No.1 , pp.165 -177 (Jan, 2016) [논문] 구형건, Shanjian Tang, Zhou Yang, A Dynkin Game under Knightian Uncertainty , DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS , Vol.35 , No.11 , pp.5467 -5498 (Nov, 2015) [논문] 구형건, 이유나, 장봉규, Asset demands and consumption with longevity risk , ECONOMIC THEORY , pp.1 -48 (Oct, 2015) [논문] 심규철, 구형건, Optimal Consumption and Investment with a Wealth-Dependent Time-Varying Investment Opportunity , ANNALS OF ECONOMICS AND FINANCE , Vol.16 , No.1 , pp.19 -42 (May, 2015) [논문] 구형건, Abel Cadenillas, Alain Bensoussan, Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function , MATHEMATICS OF OPERATIONS RESEARCH , pp.1 -13 (Mar, 2015) [논문] 구형건, 안세륭, 최경진, A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation , JOURNAL OF BANKING & FINANCE , Vol.55 , pp.9 -22 (Mar, 2015) [논문] 김용식, 구형건, 배형옥, Option pricing and Greeks via a moving least square meshfree method , QUANTITATIVE FINANCE , pp.1 -12 (Nov, 2013) [논문] 현종석, 구병림, 구정림, 구형건, A generalization of Dybvig's result on portfolio selection with intolerance for decline in consumption , ECONOMICS LETTERS , No.117 , pp.646 -649 (Aug, 2012) [논문] Shanjian Tang, 구형건, Wei Zhong, OPTIMAL SWITCHING OF ONE-DIMENSIONAL REFLECTED BSDES AND ASSOCIATED MULTIDIMENSIONAL BSDES WITH OBLIQUE REFLECTION , SIAM JOURNAL ON CONTROL AND OPTIMIZATION , Vol.49 , No.6 , pp.2279 -2317 (Nov, 2011) [논문] 심규철, 구형건, The Crisis and Financial Engineering , Risk and Decision Analysis , pp.161 -170 (Aug, 2011) [논문] 배형옥, 안세륭, 이기정, 구형건, A SURVEY ON AMERICAN OPTIONS: OLD APPROACHES AND NEW TRENDS , BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY , pp.791 -812 (Jul, 2011) [논문] 구형건, 심규철, 성재영, Optimal Multi-Agent Performance Measures for Team Contracts , Mathematical Finance , Vol.18 , No.4 , pp.649 -667 (Oct, 2008) [논문] 구형건, 심규철, 성재영, Optimal Multi-agent performance Measures for Team Contracts , Mathematical Finance , Vol.18 , No.4 , pp.649 -667 (Oct, 2008) [논문] 구형건, Hong Liu, Mark Loewenstein, 장봉규, Liquidity Premia and Transaction Costs , Journal of Finance , Vol.62 , No.5 , pp.2329 -2366 (Oct, 2007) [논문] 장봉규, 구형건, 최우진, An algorithm for Optimal Portfolio Selection Problem with Transaction Costs and random lifetimes , Applied Mathematics and Computation , Vol.191 , No.1 , pp.239 -252 (Jul, 2007) [논문] 구형건, 최경진, A preference change and discretionary stopping in a consumption and portfolio selection problem , Mathematical Methods of Operations Research , Vol.61 , No.3 , pp.419 -435 (Aug, 2005) [논문] 구형건, 장봉규, 최우진, Transaction Costs and Asset Valuation , Review of Accounting and Finance , Vol.3 , No.4 , pp.99 -111 (May, 2004) [논문] 구형건, Thaleia Zariphopoulo, 심규철, 최성섭, A Wealth Dependent Investment Opportunity Set:Its Effect on Optimal Consumption and Portfolio Decisions , Annals of Economics and Finance , Vol.4 , No.2 , pp.427 -469 (Nov, 2003) [논문] 구형건, Youn-Suk Kim, Restructuring R&D: The Case of Korea , Human Systems Management , Vol.20 , No.1 , pp.63 -68 (Mar, 2001) [논문] 구형건, Youn-Suk Kim, The IMF Policy and Its Effects on Korean Chaebols , Review of Asian and Pacific Studies , No.21 , pp.1 -4 (Jan, 2001) [논문] 구형건, Consumption and Portfolio Selection with labor Income: A Discrete-time Approach , Mathematical Methods of Operations Research , Vol.50 , No.2 , pp.219 -243 (Oct, 1999) [논문] 구형건, 김연석, Asia's contagious financial crisis and its impact on Korea , Journal of Asian Economics , Vol.1999 , No.10 , pp.111 -121 (Oct, 1999) 국내학술논문지 [논문] 안상진, 구형건, 안세륭, 정재웅, 부산의 금융중심지 성장 방안에 대한 역사적 고찰 , 경영연구 , Vol.37 , No.4 , pp.127 -141 (Dec, 2022) [논문] 정승원, 안상진, 안세륭, 구형건, Epstein-Zin 효용함수를 이용한 자산배분전략과 수렴성 , 경영과학 , Vol.39 , No.3 , pp.1 -14 (Sep, 2022) [논문] 정승원, 구형건, 안상진, 안세륭, OPTIMAL PORTFOLIO CHOICE IN A BINOMIAL-TREEAND ITS CONVERGENCE , East Asian Mathematical Journal , Vol.3 , pp.277 -292 (May, 2022) [논문] 안상진, 전준기 , 구형건, 노동기회의 옵션 가치와 최적 은퇴 결정: 이항 모형을 이용한 접근법 , 경영과학 , pp.39 -48 (Dec, 2021) [논문] 김하영, 구형건, 임준범, 정계은, 유재인, Application of multifactor model to stock market index prediction using multi-task deep learning , 재무관리연구 , Vol.35 , No.4 , pp.143 -165 (Nov, 2018) [논문] 구형건, 배세융, 심규철, 국면전환 환경에서의 퇴직계획 및 자산선택 , 경영과학 , pp.79 -95 (Dec, 2017) [논문] 구형건, 박정숙, 정재웅, 제도, 규범 그리고 반복되는 금융위기: 신제도주의 관점에서 본 금융위기의 기원 , 경영사학 , No.1 , pp.111 -136 (Mar, 2015) [논문] 구본천, 구형건, 정재웅, 박정숙, 효용함수에 굴절이 있는 경우의 최적 포트폴리오 선택 , 금융공학연구(金融工學硏究) , Vol.13 , No.4 , pp.1 -19 (Dec, 2014) [논문] 구형건, 오주연, 현종석, 우리나라 이자율 차익거래 유인과 주식시장 변동성의 연관성에 관한 연구: 2007-2008년 세계 금융 위기를 전후하여 , 금융공학연구(金融工學硏究) , Vol.13 , No.3 , pp.1 -25 (Sep, 2014) [논문] 구형건, 안세륭, Optimal Consumption and Slutsky Equation with Epstein-Zin Type Preference , Journal of the Korean Society for Industrial and Applied Mathematics , Vol.16 , No.2 , pp.107 -124 (May, 2012) [논문] 윤병섭, 구형건, 이기환, 벤처캐피탈회사 유형별 조기업적과시효과 분석 , 대한경영학회지 , Vol.18 , No.5 , pp.1993 -2026 (Oct, 2005) [논문] 구형건, 김영권, 최성섭, 장부가치와 주당 이익을 이용한 선형회귀모형과 신경망모형의 주가예측 , 재무관리연구 , Vol.17 , No.1 , pp.161 -180 (Jun, 2000) [논문] 구형건, Youn-Suk Kim, The Korean Crisis-A Year After , Korea Observer , Vol.30 , No.3 , pp.397 -410 (Sep, 1999) 국제학술발표 [학술회의] 구형건, 전준기, 최경진, Asset Pricing with Consumption Frictions , Asia-Pacific Association of Derivatives (Jul, 2021) [학술회의] 구형건, 전준기, 최경진, Consumption Heterogeneity, Business Cycle, and Asset Pricing , China International Conference in Finance (CICF2021) (Jul, 2021) [학술회의] 구형건, 전준기, 최경진, An Intertemporal Preference with Risk and Loss Aversion , Quantitative Method in Finance (Dec, 2019) [학술회의] 구형건, 전준기, 최경진, Consumption Ratcheting and Loss Aversion 2 , Tianfu International Conference on Financial Mathematics (Jul, 2019) [학술회의] 구형건, 전준기, 최경진, Consumption Ratcheting, Loss Aversion and Long-term Asset Management , The 3rd KAFE-JAFEE International Conference on Finanical Engineering (Jul, 2019) [학술회의] 구형건, 전준기, 최경진, Consumption Ratcheting and Loss Aversion 1 , China International Conference in Finance (Jul, 2019) [학술회의] 구형건, 전준기, 최경진, Costs of Adjustment, Loss Aversion, and Risk Management for Long-Term Investors , The 7th Asian Quantitative Finance Conference (Jul, 2019) [학술회의] 구형건, 유재인, 임병화, 최경진, Limited Commitment, Business Cycle, and Portfolio Selection 2 , North American Summer Meeting of the Econometric Society (Jun, 2019) [학술회의] 구형건, 전준기, 최경진, Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting , North American Summer Meeting of the Econometric Socity (Jun, 2019) [학술회의] 구형건, 유재인, 임병화, 최경진, Limited Commitment, Business Cycle, and Portfolio Selection 1 , The 4th PKU-NUS Annual International Conference on Quantitative Finance and Economics (May, 2019) [학술회의] 구형건, Asset Management and Continuous-Time Portfolio Selection Models , Quantitative Methods in Finance (Dec, 2018) [학술회의] 구형건, Long-term Asset Management and Duesenberry's Theory of Consumption , The 6th Asian Quantitative Finance Conference (Nov, 2018) [학술회의] 구형건, Porfolio Selection with Upward and Downward Ratcheting of Consumption , JAFEE 2018 하계대회 (Aug, 2018) [학술회의] 구형건, Optimal Stopping Problems in the Context of Consumption and Portfolio Selection , International Conference on Mathematical Finance & Symposium on the Role of Mathematical Finance on Fintech Business (Aug, 2018) [학술회의] 구형건, Zhou Yang, 신용현, Optimal Retirement, Consumption, Portfolio Decisions Decision in a General Non-Markovian Market Environment , 10th World Congress of the Bachelier Finance Society (Jul, 2018) [학술회의] 구형건, Limited Commitment: Consumption/Portfolio Selection and Contracing , INFORMS Annual Meeting (Oct, 2017) [학술회의] 구형건, Optimal Contracting and Optimal Consumption/Portfolio Selection with Limited Commitment , The Fifth Asian Quantitative Finance Conference (Apr, 2017) [학술회의] 구형건, Zhou Yang, Optimal Consumption and Portfolio Selection with Early Retirement , Winter Workshop on Operations Research, Finance and Mathematics, 2017 (Feb, 2017) [학술회의] 구형건, Optimal Stopping Problems in Political Economy , 2016 International Conference on Global System Risk in Food, Climate Change and Finance , pp.1 -36 (Oct, 2016) [학술회의] 구형건, 유재인, 임병화, 최경진, Endogenous Credit Constraints and Household Porfolio Choices , Japanese Association of Financial Econometrics and Engineering (Aug, 2016) [학술회의] 구형건, Real Options in Political Economy , Asian Quantitative Finance Conference (Feb, 2016) [학술회의] 최경진, 유재인, 구형건, 임병화, Endogenous Credit Constraints and Household Portfolio Choices , Financial Management Association Annual Meeting (Oct, 2014) [학술회의] 최경진, 유재인, 구형건, 임병화, Can the Endogenous Credit Constraint Explain the Heterogeneous Investment Behavior? , 2014 Asian Meeting of Econometric Society (Jun, 2014) [학술회의] 조중리, Shanjian Tang, 구형건, Optimal Consumption and Investment When Wealth Enters Utility Directly , Asian Meeting of the Econometric Society (Aug, 2013) [학술회의] Kyoung Jin Choi, 구형건, 임병화, A Continuous-time Consumption and Investment Problem Under Endogenous liquidity Constraints , Asian Meeting of the Econometric Society (Aug, 2013) [학술회의] 구형건, Phi Dybvig, 장봉규, A Utility Model of learning How to Consume Effectively , Asian Meeting of the Econometric Society (Aug, 2013) [학술회의] 구형건, 구병림, 구정림, A Friedman-Savage Consumer Almost Gambles: Consumption and Portfolio Selection with Non-concave Utility , The 7th Bachelier Colloquium (Jan, 2013) [학술회의] Abel Cadenillas, 구형건, 성재영, Alain Bensoussan, An Equilibrium Loan Contract Under Moral Hazard in Continuous-time , The First Asian Quantitative Finance Conference (Jan, 2013) [학술회의] 구형건, 구병림, 구정림, A Friedman-Savage Consumer Almost Gambles: Consumption and Portfolio Selection with Non-concave Utility , World Finance and Banking Symposium (Dec, 2012) [학술회의] Abel Cadenillas, Alain Bensoussan, 구형건, 성재영, An Equilibrium Loan Contract Under Moral Hazard in Continuous-time , Analysis and Control of Stochastic Paritial Differential Equations (Dec, 2012) [학술회의] 구형건, 독고윤, 심규철, Consumption-Investment Decisions with a Self-Financing Constraint: Are Entrepreneurs Risk-Loving? , 2012 Ajou International Workshop in Financial Economics and Mathematics (Jul, 2012) [학술회의] 구병림, 구형건, 구정림, Friedman-Savage Revisited: Implications for Intertemporal Consumption and Portfolio Selection , 2012 SAET Conference (Jul, 2012) [학술회의] 구형건, Shanjian Tang, 심규철, 신용현, A Dynkin Game with a Recursive Objective Function given by a Backward Stochastic Differential Equation and Its Associated Nonlinear Backward Stochastic Partial Differential Inequality , 2012 AMS Conference in Tampa (Mar, 2012) [학술회의] 김용식, 구형건, 배형옥, An Option Pricing Method by Using Meshfree Approximation , 대한금융공학회 (Dec, 2010) [학술회의] 구형건, 현종석, Optimal Hedging under Kightian Uncertainty , International Research Forum , pp.1 -12 (Dec, 2010) [학술회의] 구형건, 성재영, 심규철, Hierarchical Contract and Collusion , SAET 2010 , pp.1 -15 (Aug, 2010) [학술회의] 구형건, 임병화, Risk-averse market makers and excess volatilitiy , 10th SAET Conference 2010 , pp.1 -26 (Aug, 2010) [학술회의] 구형건, Economics and Mathematics for Financial Engineering: Overview and Future Direction , AJOU Conference on Control Theory, Financial Mathematics and Financial Engineering , pp.1 -18 (Jul, 2010) [학술회의] 심규철, 구형건, 성재영, Hierarchical Contract and Collusion , 2009 Joint Meeting of KMS and AMS (Dec, 2009) [학술회의] 구형건, Default Risk of Life Annuity and the Annuity Puzzle , 학술지 없음 (Jul, 2009) [학술회의] 구형건, 임병화, Oligopolistic market making and price volatility , Economic Theory (Jun, 2009) [학술회의] 구형건, 성재영, 심규철, Hierarchical Contract, Firm Size, and Pay Sensitivity , Econometrica , Vol.1 , No.1 , pp.1 -50 (Jul, 2008) [학술회의] 구형건, 성재영, 심규철, Hierarchical Contract, Firm Size, and Pay Sensitivity , pp.1 -57 (Jul, 2007) [학술회의] 구형건, 성재영, 심규철, Optimal multi-agent performance measures for team contracts , Economic Theory , pp.1 -21 (Jun, 2007) [학술회의] 구형건, Hong Liu, Mark Loewenstein, 장봉규, Liquidity Premia and Transactions Costs , Annual Meeting of the American Finance Association , Vol.2006 , No.1 , pp.115 -115 (Jan, 2006) [학술회의] 구형건, 심규철, 최성섭, An Analytic Solution to the HJB equation arising from an Consumption and Investment Problem with Labor Income , International Workshop on Mathematical and Quantitative Finance , Vol.1 , No.1 , pp.1 -6 (Jul, 2001) [학술회의] 구형건, Youn-Suk Kim, Evaluation of Korean Corporate Research and Development after the IMF Crisis , ASSA , Vol.2000 , pp.1 -10 (Jan, 2000) [학술회의] 구형건, Brian Pang, Recovering Dynamics of Interest Rate Process Implied by Market Prices , Computational and Quantitative Finance 99 , Vol.2 , pp.1 -16 (Sep, 1999) 국내학술발표 [학술회의] 김하영, 유재인, 구형건, 머신러닝을 이용한 S&P500 지수 평균 수익률 예측에 대한 연구 , 한국금융공학회 하반기 정기학술대회 (Dec, 2016) [학술회의] 심규철, 구형건, Optimal Consumption and Investment with a Wealth-Dependent Time-Varying Investment Opportunity , 2014년도 한국재무관리학회 추계 정기학술연구발표회 (Nov, 2014) [학술회의] 김용식, 구형건, 조중리, A PERFORMANCE ANALYSIS OF THE OPERATOR SPLITTING METHOD ON OPTION PRICING , 2012 재무관리학회 추계 정기학술발표회 (Nov, 2012) [학술회의] 구형건, 송수영, A Historical Perspective 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Optimal Retirement Time and Consumption/Investment in Anticipation of a Better Investment Opportunity , 2009 Annual Meeting (Nov, 2009) [학술회의] 심규철, 구형건, 성재영, Hierarchical Contract and Collusion , 2009 추계 정기학술연구발표회 (Nov, 2009) [학술회의] 심규철, 구형건, 성재영, Hierarchical Contract and Collusion , 2009 경영관련학회 하계통합학술대회 (Aug, 2009) [학술회의] 구형건, 최경진, A New Investment Opportunity: Implications for Optimal Consumption and Portfolio Decisions , 재무관련 5개학회 춘계학술대회 , Vol.1 , No.1 , pp.369 -395 (May, 2003) [학술회의] 이기환, 구형건, 윤병섭, 벤처캐피탈회사의 유형별 조기업적 과시효과 분석 , 재무관련 5개학회 춘계학술대회 , Vol.1 , No.3 , pp.1569 -1605 (May, 2003) [학술회의] 구형건, 장봉규, Liquidity Premia in Finite Horizons , 재무관련 5개학회 춘계학술대회 , Vol.1 , No.1 , pp.353 -368 (May, 2003) [학술회의] 구형건, 장봉규, 최우진, Portfolio Selection with Linear Transaction Costs , 추계학술연구발표회 , Vol.1 , No.1 , pp.21 -30 (Nov, 2002) [학술회의] 구형건, 곽도영, 최경진, Optimal Retirement in Optimal Portfolio Selection Problem with Recursive Utilities , 추계학술연구발표회 , Vol.1 , No.1 , pp.1 -20 (Nov, 2002) [학술회의] 구형건, 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