Researcher Page

사진

Choe, Geon Ho (최건호) C-1999-2011

Department
Department of Mathematical Sciences(수리과학과)
Website
http://shannon.kaist.ac.kr/HomePage
Research Area
financial mathematics, dynamical systems and ordinary differential equations, classical/real analysis

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1

Pricing contingent convertible bonds: An analytical approach based on two-dimensional stochastic processes

Choe, Geon Horesearcher; Jang, Hyun Jin; Na, Young Hoon, STATISTICS & PROBABILITY LETTERS, v.148, pp.43 - 53, 2019-05

2

Numerical computation of hitting time distributions of increasing Levy processes

Choe, Geon Horesearcher; Lee, Dong Min, STATISTICS & PROBABILITY LETTERS, v.119, pp.289 - 294, 2016-12

3

Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation

Park, Minseok; Lee, Kyungsub; Choe, Geon Horesearcher, EAST ASIAN JOURNAL ON APPLIED MATHEMATICS, v.6, no.3, pp.314 - 336, 2016-08

4

A new variance reduction method for option pricing based on sampling the vertices of a simplex

Park, Jong Jun; Choe, Geon Horesearcher, QUANTITATIVE FINANCE, v.16, no.8, pp.1165 - 1173, 2016-08

5

A factor contagion model for portfolio credit derivatives

Choe, Geon Horesearcher; Jang, Hyun Jin; Kwon, Soon Won, QUANTITATIVE FINANCE, v.15, no.9, pp.1571 - 1582, 2015-09

6

HIGH MOMENT VARIATIONS AND THEIR APPLICATION

Choe, Geon Horesearcher; Lee, Kyung Sub, JOURNAL OF FUTURES MARKETS, v.34, no.11, pp.1040 - 1061, 2014-11

7

Conditional correlation in asset return and GARCH intensity model

Choe, Geon Horesearcher; Lee, Kyung Sub, ASTA-ADVANCES IN STATISTICAL ANALYSIS, v.98, no.3, pp.197 - 224, 2014-07

8

Probability of multiple crossings and pricing of double barrier options

Choe, Geon Horesearcher; Koo, Ki Hwan, NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.29, no.Special SI, pp.156 - 184, 2014-07

9

The large homogeneous portfolio approximation with a two-factor Gaussian copula and random recovery rate

Choe, Geon Horesearcher; Kwon, Soon Won, JOURNAL OF CREDIT RISK, v.10, no.3, pp.137 - 158, 2014

10

Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas

Choe, Geon Horesearcher; Jang, Hyun Jin, INSURANCE MATHEMATICS ECONOMICS, v.48, no.2, pp.205 - 213, 2011-03

11

The kth default time distribution and basket default swap pricing

Choe, Geon Horesearcher; Jang, Hyun Jin, QUANTITATIVE FINANCE, v.11, pp.1793 - 1801, 2011

12

High precision numerical estimation of the largest Lyapunov exponent

Kim, Bong Jo; Choe, Geon Horesearcher, COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, v.15, no.5, pp.1378 - 1384, 2010-05

13

Tests of randomness by the gamblers ruin algorithm

Kim, Chihurn; Choe, Geon Horesearcher; Kim, Dong Han, APPLIED MATHEMATICS AND COMPUTATION, v.199, no.1, pp.195 - 210, 2008-05

14

Mod 2 normal numbers and skew products

Choe, Geon Horesearcher; Hamachi, T; Nakada, H, STUDIA MATHEMATICA, v.165, no.1, pp.53 - 60, 2004

15

The Khintchine constants for generalized continued fractions

Choe, Geon Horesearcher; Kim, C, APPLIED MATHEMATICS AND COMPUTATION, v.144, pp.397 - 411, 2003-12

16

A universal law of logarithm of the recurrence time

Choe, Geon Horesearcher, NONLINEARITY, v.16, pp.883 - 896, 2003-05

17

Recurrence of transformations with absolutely continuous invariant measures

Choe, Geon Horesearcher, APPLIED MATHEMATICS AND COMPUTATION, v.129, no.2-3, pp.501 - 516, 2002-07

18

The first return time test of pseudorandom numbers

Choe, Geon Horesearcher; Kim, DH, JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, v.143, no.2, pp.263 - 274, 2002-06

19

Recurrence speed of multiples of an irrational number

Choe, Geon Horesearcher; Seo, BK, PROCEEDINGS OF THE JAPAN ACADEMY SERIES A-MATHEMATICAL SCIENCES, v.77, no.7, pp.134 - 137, 2001-09

20

Ergodicity and random walks on a compact group

최건호researcher, JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS, v.5, no.1, pp.25 - 33, 2001-01

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