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Recent Research

HOMEResearch Recent Research

<Graduate Student>

  • Numerical schemes on multidimensional option pricing problems
  • Hedging problem under ambiguity
  • Survey on trader’s decision making for under ambiguity
  • General equilibrium
  • Finite Difference Method on small computational domain
  • Numerical method using exit probaility for exotic options
  • General equilibrium using Groebner Basis
  • Empirical Model of KOSPI200 Futures market
  • Skewness of KOSPI200 Options market

<Co-work with foreign scholar>

  • Financial mathematics and methodology
  • Asset pricing under asymmetric information
  • Risk management
  • Credit Risk

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