Hyejin Ku

York University

Author Statistics

Papers

Citation

H-Index

i-10 index

Research Trends

Author Order

Document Type

Co-Authors

Doobae Jun

Gyeongsang National University

Ra’id S. Awadallah

Johns Hopkins University Applied Physics Laboratory

David Heath

Oxford Brookes University

Mingfu Wang

Shenzhen University

N.E. Woods

Johns Hopkins University Applied Physics Laboratory

Richard H. Le

University College London

Thomas D. Taylor

University of Connecticut

Jean‐Marc Eber

Hai Zhang

University of Strathclyde

K. Nandakumar

Louisiana State University

Cooperative Institutions

Johns Hopkins University Applied Physics Laboratory

Johns Hopkins University

York University

Sungkyunkwan University

Stanford University

Cornell University

Goddard Space Flight Center

Seoul National University

Korea University

University of Delaware

Author Statistics

Papers

Citation

H-Index

i-10 index

Research Field

Cross a barrier to reach barrier options

Journal of Mathematical Analysis and Applications (2011)

Doobae Jun Hyejin Ku

Barrier option

Reflection

10.1016/j.jmaa.2011.12.038

Cite

Citations (15)

Randomized stopping times and coherent multiperiod risk measures

Stochastics (2010)

Hyejin Ku

In this paper, we derive new expectation representations of coherent multiperiod risk measures. A special feature of our representation is that it requires the use of randomized stopping times (introduced by Baxter and Chacon). Additionally, the results provide some insight into multiperiod risk measurement.

Representation

Feature (linguistics)

10.1080/17442508.2010.523467

Cite

Citations (0)

Competition and Career Advancement: The Hidden Costs of Paid Leave

RePEc: Research Papers in Economics (2020)

Julian Johnsen Hyejin Ku Kjell G. Salvanes

Source

Cite

Citations (0)

Effect of spatial resolution on hydrograph at various scales

Hyejin Ku So Kazama Masaki Sawamoto

Cite

Citations (0)

Option replication in discrete time with the cost of illiquidity

Communications in Mathematical Sciences (2016)

Yegor Sorokin Hyejin Ku

We introduce a model of liquidity risk through a stochastic supply curve for price taking traders.The supply curve gives the actual execution cost investors face in trading assets.We use the solutions to the modified Black-Scholes type PDE and obtain the delta-hedging strategies.We then show the replicating portfolio including liquidity costs converges to the payoff of the option.We demonstrate the replication error of discrete-time trading strategy decreases with inhomogeneous rebalancing times, and investigate an optimal positioning of them.

Replication

10.4310/cms.2016.v14.n7.a8

Cite

Citations (3)

Pareto Equilibria with coherent measures of risk

Mathematical Finance (2004)

David Heath Hyejin Ku

In this paper, we provide a definition of Pareto equilibrium in terms of risk measures, and present necessary and sufficient conditions for equilibrium in a market with finitely many traders (whom we call “banks”) who trade with each other in a financial market. Each bank has a preference relation on random payoffs which is monotonic, complete, transitive, convex, and continuous; we show that this, together with the current position of the bank, leads to a family of valuation measures for the bank. We show that a market is in Pareto equilibrium if and only if there exists a (possibly signed) measure that, for each bank, agrees with a positive convex combination of all valuation measures used by that bank on securities traded by that bank.

Position (finance)

Time consistency

10.1111/j.0960-1627.2004.00187.x

Cite

Citations (108)

Use of a Distance Measure for the Comparison of Unit Hydrographs: Application to the Stream Gauge Network Optimization

Journal of Hydrologic Engineering (2011)

Chulsang Yoo Hyejin Ku Keewook Kim

This paper reports a case study aimed at optimizing the stream gauge network of the Hantan River Basin in Korea. The dimensionless synthetic unit hydrographs at all potential stream gauge locations were derived and compared by using the distance measure of entropy theory. Based on cluster analysis of the transinformations among stream gauge stations, the entire basin could be divided into four regions with similar subbasin responses. One stream gauge per region would be sufficient to measure the basin response to rainfall input. The optimal set of stream gauges was also derived by applying the concept of maximum total information, where a total of seven stream gauges was found to be needed for the entire Hantan River Basin. However, both applications produced very similar shapes of subbasin clustering over the Hantan River Basin. In particular, most subbasins along the main stream were included in the same group in both cases. Most subbasins in a specific tributary were also found to be included in the same cluster.

10.1061/(asce)he.1943-5584.0000393

Cite

Citations (11)

Portfolio optimization for a large investor under partial information and price impact

Mathematical Methods of Operations Research (2017)

Zehra Eksi Hyejin Ku

Utility maximization problem

Stochastic control

Maximization

Complete information

10.1007/s00186-017-0589-x

Cite

Citations (10)

PRICING CHAINED OPTIONS WITH CURVED BARRIERS

Mathematical Finance (2012)

Doobae Jun Hyejin Ku

This paper studies barrier options which are chained together, each with payoff contingent on curved barriers. When the underlying asset price hits a primary curved barrier, a secondary barrier option is given to a primary barrier option holder. Then if the asset price hits another curved barrier, a third barrier option is given, and so on. We provide explicit price formulas for these options when two or more barrier options with exponential barriers are chained together. We then extend the results to the options with general curved barriers.

Barrier option

Exotic option

Stochastic game

10.1111/j.1467-9965.2011.00513.x

Cite

Citations (12)

A PSEUDO-SPECTRAL METHOD FOR SOLUTION OF THE THREEDIMENSIONAL INCOMPRESSIBLE NAVIER–STOKES EQUATIONS

Hyejin Ku Richard S. Hirsh Thomas D. Taylor

Pressure-correction method

Incompressible Flow

Source

Cite

Citations (2)