Lab directory
Ji-Hun Yoon
Ji-Hun Yoon
Pusan National University · Mathematics
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Professor
Prof. 윤지훈
Professor's page · publicationsAbout
금융수학(financial mathematics)을 중심으로 확률론과 확률·편미분방정식을 연구한다. 옵션 가격결정 등 금융 파생상품의 수리모델을 다루며 금융수학 연구실(fmath613)을 운영한다. 연세대학교 수학과에서 학사·석사·박사 학위를 받았다.
Research keywords
Financial MathematicsStochastic Differential Equation
Selected publications
- Analytic approximations for pricing perpetual American strangle options under constant elasticity of variance model with stochastic volatilityJournal of Computational and Applied Mathematics · 2026
- Improved accuracy of an analytical approximation for option pricing under stochastic volatility models using deep learning techniquesComputers & Mathematics with Applications · 2025
- Pricing of timer volatility-barrier options under Heston's stochastic volatility modelJournal of Computational and Applied Mathematics · 2025
- Pricing for perpetual American strangle options under stochastic volatility with fast mean reversionMathematics and Computers in Simulation · 2025
- Valuing of timer path-dependent optionsMathematics and Computers in Simulation · 2024
- Pricing external barrier options under a stochastic volatility modelJournal of Computational and Applied Mathematics · 2021
Other labs in this department
- Sang Youl Lee
매듭이론
- Sangil Kim
역문제, 자료동화, 해양/대기수치모델링, 과학계산, 수치해석
- Youngrock Kim
Yeongrak Kim
대수기하학
- Yoosik Kim
사교위상수학 (Symplectic Topology)
- Jun Kyo Kim
Jun-Kyo Kim
Number Theory
- Sanghyuk Moon
Sang-Hyuck Moon
편미분방정식