Jung-Soon Hyun

Education

Ph.D., University of Rochester, 1997 Mathematical Physics, Mathematical Finance

Career

Professional Experiences

• Research Fellow, Financial Engineering Research Center (2000-2004)
• Post Doc, Kyungbook National University (1999-2000)
• Post Doc, Seoul National University (1997-1998)

Publications & Research

Recent Publications

International Journal

• "Exponential Decay for Barrier Potentials", Journal of Mathematical Analysis and Applications, 1998
• "What is the Correct Meaning of Implied Volatility?", Finance Research Letters, Vol. 4, No. 3, 2007, with I. Kim and G. Park
• "Interest Rate Parity and Currency Option Price", Journal of International Finance and Economics, Vol. 8, No. 4, 2008, with J. Ha and B. Rhee
• "Bank Capital Regulation and Credit Supply", Journal of Banking and Finance, Vol. 35, No. 2, 2011, with B. Rhee

*Domestic Journal *

• "Comparison Theorem for the Gap between the Lowest Two Eigenvalues for Barrier Potentials", Bulletin of Korean Mathematical Society, Vol.37 No.1, 2000
• "Hardy's Inequality Related to a Bernoulli Equations", Bulletin of Korean Mathematical Society, 2002, with S. Kim
• "Estimation of Korea's Term Structure of Interest Rates using the Heath-Jarrow-Morton Model", Economic Papers, 2003, with B. Rhee
• "On the Completeness of Korean Stock Index Options Market", Korean journal of Futures and options, 2004, with B. Rhee
• "An empirical Analysis on Trading Strategy of KTB and KTF Using the Two Factors CIR Term Structure Model", Korean journal of Futures and options, 2005, with T Kim and Y. Lee
• "Term Structure Movements with Regime Switching", Journal of Economic Studies, 2005.
• "Two Approaches of Stochastic Interest Rate Option Price Model", Journal of Korean mathematical Society, 2006, with Y. Kim
• "The Information Effects of the BIS Ratio and the Portfolio Risk on Stock Returns of Banks ", Journal of Economic Studies, Vol. 29, No. 3, 2011, with B. Rhee

Research Areas

• Mathematical Finance
• Risk Management
• Derivatives Valuation