Hyejin Ku     

                                             


Professor
Department of Mathematics and Statistics
York University



·         Office: N517 Ross Bldg.

·         Phone: (416) 736-5250 ext.66091

·         Fax: (416) 736-5757

·         Email: hku@mathstat.yorku.ca





Research Interests:


Mathematical Finance and Stochastic Analysis;

My research concerns developing the mathematical models and theory for financial applications, and applying the results to financial markets. This is an interesting research area with fascinating and challenging research problems, and uses a wide variety of knowledge and techniques from probability, stochastic processes, functional analysis, numerical analysis, Monte Carlo, stochastic control and partial differential equations. The topics include development of derivatives valuation models, analysis of financial market, portfolio management and risk evaluation, and stochastic modeling. Recently, research projects on Liquidity risk, Price impact, Optimal execution strategies, Derivatives pricing, Filtering, Information asymmetry, High frequency trading and Machine learning have been completed or are ongoing.

 

Short Bio

 



Publications:

 

“Option Pricing for a Large Trader under Price Impact and Liquidity Costs” with H. Zhang, Journal of Mathematical Analysis and Applications, To appear (2017, .pdf)

“Portfolio Optimization for a Large Investor under Partial Information and Price Impact” with Z. Eksi, Math Meth Oper Res, Forthcoming (2017, .pdf)

“Option Valuation with Liquidity Risk and Jumps” with H. Zhang, Appl. Econ. Lett., To appear (2017, .pdf)

Closed-form Solutions for Options with Random Initiation under Asset Price Monitoring” with D. Jun, Finance Research Letters 20, pp.68-74 (2017, .pdf)

“Option Replication in Discrete Time with the Cost of Illiquidity” with Y. Sorokin, Communications in Mathematical Sciences 14, No.7, pp. 1947-1962  (2016, .pdf)

“Local Volatility Model with Stochastic Interest Rates” with B. Hu, P. Wu, H. Zhu, Under Revision (2016)

“Static Hedging of Chained-Type Barrier Options” with D. Jun, North American Journal of Economics and Finance 33, pp.317-327 (2015, .pdf)

“Analytic Solutions for American Barrier Options with Two Barriers” with D. Jun, Journal of Mathematical Analysis and Applications 422, pp. 408-422 (2015, .pdf)

“Valuation of Claims with Price Impact Functions and Liquidity Costs” with H. Zhang, The Isaac Newton Institute, University of Cambridge (2014)

“A Study on Exotic Derivatives with Barriers: An Introduction to Chained Options” with D. Jun (2014)

“Pricing Chained Options with Curved Barriers” with D. Jun, Mathematical Finance 23, No. 4, pp.763-776 (2013, .pdf)

“Digital Barrier Option Contract with Exponential Random Time” with D. Jun, IMA Journal of Applied Mathematics 78, pp.1147-1155 (2013, .pdf)

“Valuation of American Partial Barrier Options” with D. Jun, Review of Derivatives Research 16, No.2, pp 167-191 (2013, .pdf)

“Discrete Time Hedging with Liquidity Risk” with K. Lee and H. Zhu, Finance Research Letters 9, pp.135-143 (2012, .pdf)

“Financial Contracts Linked with Barrier Options of Exponential Monitoring” with D. Jun (2012)

“Cross a Barrier to Reach Barrier Options” with D. Jun, Journal of Mathematical Analysis and Applications 389, pp.968-978 (2012, .pdf)

“Randomized Stopping Times and Coherent Multiperiod Risk Measures”, Stochastics 83, pp.223-231 (2010, .pdf)

“Coherent Multiperiod Risk Adjusted Values and Bellman's Principles” with P. Artzner, F. Delbaen, J.M. Eber, and D. Heath, Annals of Operations Research 152, pp.5-22 (2007, .pdf)

“Consistency among Trading Desks” with D. Heath, Finance and Stochastics 10, pp.331-340 (2006, .pdf)

“Liquidity Risk with Coherent Risk Measures” Applied Mathematical Finance 13, pp.131-141 (2006, .pdf)

“Measurement of Financial Risk”, Proceedings of the UKC (US-Korea Conference) on Science and Technology, New York (2006)

“Pareto Equilibria with Coherent Measures of Risk” with D. Heath, Mathematical Finance 14, pp.163-172 (2004, .pdf)

“Valuation and Hedging of Options with General Payoff under Transaction Costs” with H.I. Choi and D. Heath, J. Korean Math Soc. 41, pp.513-533 (2004, .pdf)

Multiperiod Risk and Coherent Multiperiod Risk Measurement” with P. Artzner, F. Delbaen, J.M. Eber, and D. Heath, ETH-Zurich (2003, .pdf)

“Coherent Multiperiod Risk Measurement” with P. Artzner, F. Delbaen, J.M. Eber, and D. Heath, ETH-Zurich (2002, .pdf)

“The Consistency of Two Markets” with D. Heath, Carnegie Mellon University (2002)

“Valuation and Hedging of Options in the Markets with Daily Price Limit” with J. Ban and H.I. Choi, Applied Mathematical Finance 7, pp.61–74 (2000, .pdf)

“Option Valuation and Hedging for the Stochastic Volatility Model: New Iterative PDE Method” with H.I. Choi, (1998, .pdf)

“Existence of Solutions for p-Laplacian Type Equations” with J. Kim, J. Korean Math Soc. 33 (1996) pp.291–307

 


 

PhD/PDF supervision:

 

· Kaiyan Lin (PhD), in progress

· Richard Le (PhD), in progress

· Morgans Wang (PhD), in progress, cosupervision

· Bing Hu (PhD), in progress, cosupervision

· Hai Zhang (PhD), Completed in 2017, now a manager of Model Validation at Scotiabank

· Yegor Sorokin (PhD), Completed in 2014, now a manager of Capital Markets Risk Management at CIBC

· Doobae Jun (PDF), Completed in 2012, now an associate professor at Gyeongsang National University

 



FE (Financial Engineering) Diploma program at
York:

 

The Financial Engineering Diploma is a collaborative program established in 1998 in cooperation with the Schulich School of Business. The Graduate Diploma in Financial Engineering is a concurrent program offered to MBA students in the Schulich School of Business and to MA students in the Department of Mathematics and Statistics.

 

Students who obtain the Graduate Diploma in Financial Engineering concurrently with an MA in Mathematics and Statistics get the best from both worlds: rigorous training in Mathematics offered by the Department of Mathematics and Statistics coupled with several specialized courses in Mathematical Finance offered by the Schulich School of Business. This unique combination opens doors to many exciting careers in the Financial Industry all over the world.

 



Teaching:

 

(Winter 2016)

· MATH 6910 Stochastic Calculus in Finance

 

(Fall 2015)

· MATH 1581 Business Mathematics I

· MATH 1550 Mathematics with Management Applications

 

(Winter 2014)

· MATH 6910 Stochastic Calculus in Finance

· MATH 2581 Business Mathematics II

 

(Winter 2013)

· MATH 4430 / 6602 Stochastic Processes