Hyejin
Ku
Associate Professor
Department of Mathematics and Statistics
York University
Research Interests:
Mathematical Finance and Applied Probability;
My research concerns developing the mathematical models and theory for financial applications and applying the results to financial markets. The topics include pricing and hedging derivative securities, measures of risk, and risk management.
Publications:
“Static Hedging of Chained-Type Barrier Options” with D. Jun, Submitted
“Discrete Time Hedging with Liquidity Risk” with K. Lee and H. Zhu, Finance Research Letters, To appear (2012, .pdf)
“Digital Barrier Option Contract with Exponential Random Time” with D. Jun, IMA J. Appl. Math., To appear (2012)
“Pricing Chained Options with Curved Barriers” with D. Jun, Mathematical Finance, To appear (2011, .pdf)
“Cross a Barrier to Reach Barrier Options” with D. Jun, J. Math. Anal. Appl. 389, 968-978 (2011, .pdf)
"Randomized Stopping Times and Coherent Multiperiod Risk Measures”, Stochastics 83, 223-231 (2010, .pdf)
"Coherent Multiperiod Risk
Adjusted Values and Bellman's Princicples" with P. Artzner, F. Delbaen,
J.M. Eber, and D. Heath, Annals of Operations Research 152 (2007) 5-22 (.pdf)
"Consistency among Trading Desks" with D. Heath, Finance and Stochastics 10 (2006) 331-340 (.pdf)
"Liquidity Risk with Coherent Risk Measures" Applied Mathematical Finance 13 (2006) 131-141 (.pdf)
"Pareto Equilibria with Coherent Measures of Risk" with D. Heath, Mathematical Finance 14 (2004) 163-172 (.pdf)
"Valuation and Hedging of Options with General Payoff under Transaction Costs" with H.I. Choi and D. Heath, J. Korean Math Soc. 41 (2004) 513-533 (.pdf)
“Multiperiod Risk and Coherent Multiperiod Risk Measurement” with P. Artzner, F. Delbaen, J.M. Eber, and D. Heath, Working Paper (2003, .pdf)
"The Consistency of Two Markets" with D. Heath, (2002, .pdf)
"Coherent Multiperiod Risk Measurement" with P. Artzner, F. Delbaen, J.M. Eber, and D. Heath, Working Paper (2002, .pdf)
"Valuation and Hedging of Options in the Markets with Daily Price Limit" with J. Ban and H.I. Choi, Applied Mathematical Finance 7 (2000), 61–74 (.pdf)
"Option Valuation and Hedging for the
Stochastic Volatility Model: New Iterative
"Existence of Solutions for p-Laplacian Type Equations" with J. Kim, J. Korean Math Soc. 33 (1996) 291–307
Teaching:
· (Winter 12) MATH 4431/6604 Probability
Models