윤지훈 사진
윤지훈
영문이름
Yoon, Ji-Hun
직위(직급)
부교수
전화번호
051-510-2207
팩스번호
051-581-1458
이메일
yssci99@pusan.ac.kr
사이트
http://fmath613.pusan.ac.kr
연구분야
Financial Mathematics, Stochastic Differential Equation
연구실
607-613

학력 (Education)

2005.09 - 2013.08 : 연세대학교 수학과 박사
2003.03 - 2005.08 : 연세대학교 수학과 석사 
1999.03 - 2003.02 : 연세대학교 수학과 학사


경력 (Experience)

2020.09 - 2021.08 : 연세대학교 수학과 연구교수

2019.03 - 현재 : 부산대학교 수학과 부교수

2018.09 - 2020.08 : 부산대학교 수학과장

2015.03 - 2019.02 : 부산대학교 수학과 조교수
2013.11 - 2015.02 : 서울대학교 수리과학부 BK21 연구원(Post-Doc)
2011.06 - 2014.08 : 연세대학교 수학과 시간강사
2012.03 - 2012.08 : 덕성여자대학교 수학과 시간강사
2007.04 - 2009.06 : 해군사관학교 교수부 이학처 조교수
2006.07 - 2007.04 : 해군사관학교 교수부 이학처 교관


대표논문 (Selected Publications)

국외학술지 논문

(S)SCI(E)

[27]김동현,윤지훈, "Explicit pricing formulas for vulnerable path-dependent options with early counterparty credit risk", JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS /ISSN = 0916-7005, Vol.40 Issue.2 pp.985 - 1013, KINOKUNIYA CO LTD (2023/05)

[26]김동현,윤지훈, "Analytic Method for Pricing Vulnerable External Barrier Options",COMPUTATIONAL ECONOMICS /ISSN = 0927-7099, Vol.61 Issue.4 pp.1561 - 1591, SPRINGER(2023/04)

[25]김동현,우준희,윤지훈, "Pricing American lookback options under a stochastic volatility model", 대한수학회보(Bulletin of the Korean Mathematical Society) /ISSN = 1015-8634, Vol.60 Issue.2 pp.361 - 388, 대한수학회(2023/03)

[24]김탁원,이기암,윤지훈, "New approach and analysis of the generalized constant elasticity of variance model", APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY /ISSN = 1524-1904,Vol.39 Issue.1 pp.1 - 155, JOHN WILEY & SONS LTD (2023/02)

[23]윤지훈,최선용,벵소테아라,김정훈, "A Mellin Transform Approach to the Pricing of Options with Default Risk", COMPUTATIONAL ECONOMICS /ISSN = 0927-7099, Vol.59 Issue.3 pp.1113 - 1134, SPRINGER (2022/03)

[22]윤지훈,김동현,김건우, "Pricing of vulnerable exchange options with early counterparty credit risk", NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE /ISSN = 1062-9408, Vol.59, ELSEVIER SCIENCE INC (2022/01) 

[21]D. Kim, J.-H. Yoon(Corresponding Author) and C.-R. Park (2021/10)

"Pricing external barrier options under a stochastic volatility model", Journal of Computational and Applied Mathematics, Volume 394, 1 October 2021, 113555.

[20]S.-Y. Choi, J. H. Kim and J.-H. Yoon(Corresponding Author) (2021/06) “Foreign exchange rate volatility smiles and smirks”, Applied Stochastic Model in Business and Industry, Volume 37, Issue 3, Pages 628-660.

[19]D. Kim, S.-Y. Choi and J.-H. Yoon(Corresponding Author) (2021/05) "Pricing of vulnerable options under hybrid stochastic and local volatility", CHAOS SOLITONS & FRACTALS, Volume 146, Article ID 110846.

[18]S.-Y Choi, S. Veng, J. H. Kim and J.-H. Yoon(Corresponding Author) (2021) "A Mellin Transform Approach to the Pricing of Options with Default Risk", Computational Economics (2021/04)

[17]김동현,윤지훈,김건우, "Closed-form pricing formula for foreign equity option with credit risk", ADVANCES IN DIFFERENTIAL EQUATIONS /ISSN = 1079-9389, Vol.332, pp.1-17 (2021/07) (KHAYYAM PUBL CO INC)

[16]윤지훈,최선용, "Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities", MATHEMATICAL PROBLEMS IN ENGINEERING /ISSN = 1024-123X, Vol.97630, pp.1-20 (2020/03) (HINDAWI PUBLISHING CORPORATION)

[15]윤지훈,전준기,최선용, "Analytic valuation of European continuous-installment barrier options", JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS /ISSN = 0377-0427, Vol.363, pp.392-412 (2020/01) (ELSEVIER SCIENCE BV)

[14]윤지훈,벵소테아라,최선용, "Multifactor Heston's stochastic volatility model for European option pricing", APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY /ISSN = 1524-1904, Vol.35, Issue.5, pp.1202-1227 (2019/09) (JOHN WILEY & SONS LTD)

[13]윤지훈,최선용,전준기, "Pricing of Fixed-Strike Lookback Options on Assets with Default Risk", MATHEMATICAL PROBLEMS IN ENGINEERING /ISSN = 1024-123X, Vol.2019, pp.8412698-10 (2019/01) (HINDAWI PUBLISHING CORPORATION)

[12]윤지훈,벵소테아라, "ASYMPTOTIC ANALYSIS FOR PORTFOLIO OPTIMIZATION PROBLEM UNDER AN EXTENDED HESTON'S STOCHASTIC VOLATILITY MODEL", DYNAMIC SYSTEMS AND APPLICATIONS /ISSN = 1056-2176, Vol.27, Issue.2, pp.331-352 (2018/06) (DYNAMIC PUBLISHERS)

[11]윤지훈,전준기,박창래, "The pricing of dynamic fund protection with default risk", JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS /ISSN = 0377-0427, Vol.333, pp.116-130 (2018/05) (ELSEVIER SCIENCE BV)

[10]윤지훈,전준기, "An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model", JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS /ISSN = 0022-247X, Vol.449, Issue.1, pp.207-227 (2017/05) (ACADEMIC PRESS INC ELSEVIER SCIENCE)

[9]윤지훈,전준기,강명주, "Pricing vulnerable path-dependent options using integral transforms", JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS /ISSN = 0377-0427, Vol.313, pp.259-272 (2017/03) (ELSEVIER SCIENCE BV)

[8]윤지훈,김정훈,최선용,한영철, "Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model", STOCHASTICS AND DYNAMICS /ISSN = 0219-4937, Vol.17, Issue.1, pp.175003-175003 (2017/02) (WORLD SCIENTIFIC PUBL CO PTE LTD)

[7]윤지훈,최선용,김정훈, "The Heston model with stochastic elasticity of variance", APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY /ISSN = 1524-1904, Vol.32, Issue.6, pp.804-824 (2016/12) (JOHN WILEY & SONS LTD)

[6]윤지훈,전준기, "PRICING EXTERNAL-CHAINED BARRIER OPTIONS WITH EXPONENTIAL BARRIERS", 대한수학회보(Bulletin of the Korean Mathematical Society) /ISSN = 1015-8634, Vol.53, Issue.5, pp.1497-1530 (2016/09) (대한수학회)

[5]윤지훈,박창래, "Pricing turbo warrants under stochastic elasticity of variance", CHAOS SOLITONS & FRACTALS /ISSN = 0960-0779, Vol.88, Issue.Special SI, pp.107-118 (2016/07) (PERGAMON-ELSEVIER SCIENCE LTD)

[4]윤지훈,전준기,강명주, "Valuing vulnerable geometric Asian options", COMPUTERS & MATHEMATICS WITH APPLICATIONS /ISSN = 0898-1221, Vol.71, Issue.2, pp.676-691 (2016/01) (PERGAMON-ELSEVIER SCIENCE LTD)

[3]윤지훈,이정우,김정훈, "Stochastic elasticity of variance with stochastic interest rates", Journal of the Korean Statistical Society /ISSN = 1226-3192, Vol.44, Issue.4, pp.555-564 (2015/12) (한국통계학회)

[2]윤지훈,김정훈,이정우,최선용, "On the stochastic elasticity of variance diffusions", ECONOMIC MODELLING /ISSN = 0264-9993, Vol.51, pp.263-268 (2015/12) (ELSEVIER SCIENCE BV)

[1]윤지훈,김정훈,조진남, "Singularity of scattering and Dirichlet-to-Neumann operator symbols in elliptic wave propagation models", IMA JOURNAL OF APPLIED MATHEMATICS /ISSN = 0272-4960, Vol.80, pp.651-675 (2015/06) (OXFORD UNIV PRESS)

SCOPUS

[3]M. Ha, Q. L, D. Kim and J.-H. Yoon (2021) "THE PRICING OF VULNERABLE POWER OPTIONS WITH DOUBLE MELLIN TRANSFORMS" J. Appl. Math. & Informatics Vol. 39(2021/09), No. 5 - 6, pp. 677 - 688.

[2]D. Lee, D. Kim and J.-H. Yoon(Corresponding Author) (2021) "PREDICTION OF U.S. GOLD FUTURES PRICES USING WAVELET ANALYSIS; A STUDY ON DEEP LEARNING MODELS" J. Appl. Math. & Informatics Vol. 39 (2021/01), No. 1 - 2, pp. 239 - 249.

[1]윤지훈,전준기, "Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images", Communications of the Korean Mathematical Society /ISSN = 1225-1763, Vol.33, Issue.1, pp.345-360 (2018/01) (대한수학회)

학진등재

[1]Mijin Ha, Donghyun Kim, and Ji-Hun Yoon, PRICING VULNERABLE POWER OPTION UNDER A CEV DIFFUSION, East Asian Math. J. Vol. 37 (2021/09), No. 5, pp. 553-566.

그 외

[1]Q. L and J.-H. Yoon(Corresponding Author) (2021/03) "OPTIMUM RETIREMENT PROBLEM INTEGRATED WITH THE OPTIMUM CONSUMPTION AND PORTFOLIO" J. Appl. & Pure Math. Vol. 3 (2021/03), No. 1 - 2, pp. 1 - 17.

  

국내학술지 논문

학진등재

[10]하미진,김동현,윤지훈, "The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model", Journal of Applied Mathematics and Informatics /ISSN = 2734-1194, Vol.41 Issue.1 pp.33 - 50 (2023/01) (Korean Society for Computational and Applied Mathematics)

[9]하미진,김동현,안세륭,윤지훈, "THE VALUATION OF TIMER POWER OPTIONS WITH STOCHASTIC VOLATILITY", JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS /ISSN = 1226-9433, Vol.26 Issue.4 pp.296 - 309 (2022/12) (한국산업응용수학회(구-한국산업정보응용수학회))

[8]하미진,김동현,윤지훈, "The pricing of vulnerable power options with double Mellin transforms",Journal of Applied Mathematics and Informatics /ISSN = 2734-1194, Vol.39 Issue.5 pp.677 - 688 (2021/29) (Korean Society for Computational and Applied Mathematics)

[7]하미진,김동현,윤지훈, "Pricing Vulnerable Power Option under a CEV Diffusion", East Asian Mathematical Journal /ISSN = 1226-6973, Vol.37 Issue.5 pp.553 - 566 (2021/09) (Executive Board of the Pusan Kyongnam Branch ofthe Korean MathematicalSociety)

[6]안세륭,윤지훈,송완영, "A PREPAYMENT-RISK-NEUTRAL PRICING MODEL FOR MORTGAGE-BACKED SECURITIES", 강원경기수학회지, Vol.29, Issue.2, pp.409-424 (2021/06) (강원경기수학회)

[5]김동현,윤지훈,이동희, "Forecasting gold futures prices considering the benchmark interest rates", 충청수학회지 /ISSN = 1226-3524, Vol.34, Issue.2, pp.157-168 (2021/05) (충청수학회)

[4]우준희,김동현,윤지훈, "THE PRICING OF VULNERABLE OPTIONS UNDER A CONSTANT ELASTICITY OF VARIANCE MODEL", 충청수학회지 /ISSN = 1226-3524, Vol.33, Issue.2, pp.181-195 (2020/05) (충청수학회)

[3]김소연,윤지훈, "An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms", East Asian Mathematical Journal /ISSN = 1226-6973, Vol.34, Issue.3, pp.239-248 (2018/05) (Executive Board of the Pusan Kyongnam Branch ofthe Korean MathematicalSociety)

[2]윤지훈,전준기, "A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH", East Asian mathematical journal(. Pusan Kyongnam Mathematical Journal) /ISSN = 1226-6973, Vol.32, Issue.3, pp.301-310 (2016/05) (영남수학회(Executive Board of the Pusan Kyongnam Branch of the Korean Mathematical Society))

[1]윤지훈,김정훈,김미현, "OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES", JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS /ISSN = 1226-9433, Vol.19, Issue.4, pp.417-428 (2015/12) (한국산업응용수학회(-한국산업정보응용수학회))


● 대학원생(Graduate student)

○석사 졸업생

구영호, 노태민(2018년 2월)

이서빈(2019년 2월)

장은지, 최다솜(2019년 8월)

박상균, 송재학, 장윤종(2020년 2월)

리치(2021년 2월)

우준희(2021년 8월)

하미진(2022년 2월)


○석사 수료생

정은미, 김지영, 김예은, 이동희

○박사 졸업생

벵 소테아라 (2018년 8월)

이승헌 (2023년 8월)


○박사 수료생

뉴키 필립