Ji Hee Yoon

University College London - Department of Economics

Drayton House, 30 Gordon Street

30 Gordon Street

London, WC1H 0AX

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS

664

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

A Lattice Method for Lookback Options with Regime-Switching Volatility

Number of pages: 27 Posted: 15 Dec 2009 Last Revised: 15 Jan 2012
University College London - Department of Economics, Korea Advanced Institute of Science and Technology (KAIST), The University of Suwon - Department of Economics and Finance and Pohang University of Science and Technology (POSTECH)
Downloads 237 (138,772)
Citation 1

Abstract:

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lookback option, Markov chain, regime switch, lattice method, binomial tree, stochastic volatility

2.

Privacy in Markets

Number of pages: 42 Posted: 17 Nov 2017
Mariann Ollar, Marzena J. Rostek and Ji Hee Yoon
University of Groningen, University of Wisconsin - Madison and University College London - Department of Economics
Downloads 200 (163,126)

Abstract:

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Noncompetitive markets, Market design, Uniform-price auction, Privacy, Transparency, Contingent variables, Divisible goods, Dark pools

3.

A Non-Standard Construction of Multi-Dimensional Brownian Motions and Option Pricing

Number of pages: 14 Posted: 05 Nov 2010
Hyeng Keun Koo and Ji Hee Yoon
Ajou University and University College London - Department of Economics
Downloads 85 (314,705)

Abstract:

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nonstandard analysis, multi-dimensional Brownian motion, option pricing, exchange option

4.

Dynamic Imperfectly Competitive Markets with Private Information

Number of pages: 48 Posted: 20 Mar 2019 Last Revised: 11 Dec 2019
Marzena J. Rostek and Ji Hee Yoon
University of Wisconsin - Madison and University College London - Department of Economics
Downloads 81 (324,065)
Citation 7

Abstract:

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Imperfectly competitive markets, Uniform-price auction, Divisible goods, Transparency, Contingent variables

5.

The More Illiquid, The More Expensive: A Search-Based Explanation of the Illiquidity Premium

Number of pages: 53 Posted: 18 Feb 2020 Last Revised: 19 Mar 2020
University of Illinois at Urbana-Champaign - Department of Finance, Swedish House of Finance, Aalto University - Department of Finance and University College London - Department of Economics
Downloads 47 (425,734)

Abstract:

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OTC market, Liquidity, Flight-from-liquidity, Limits-to-arbitrage, Price pressure, Fire sale

6.

Exchange Design and Efficiency

Number of pages: 49
Marzena J. Rostek and Ji Hee Yoon
University of Wisconsin - Madison and University College London - Department of Economics
Downloads 14

Abstract:

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Imperfectly competitive market, Trading technology, Market design, Innovation, Decentralized market, Liquidity, Price impact, Uniform-price auction, Efficiency

7.

Business Cycle and Credit Risk Modeling with Jump Risks

Journal of Empirical Finance, Forthcoming
Posted: 25 Feb 2013 Last Revised: 13 Aug 2016
Bong-Gyu Jang, Yuna Rhee and Ji Hee Yoon
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and University College London - Department of Economics

Abstract:

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credit risk, business cycle, jump risk, credit model, structural model, credit default swap

8.

An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities

Opertations Research Letters, Vol. 39, Issue 3, 2011
Posted: 25 Mar 2009 Last Revised: 22 Aug 2011
Bong-Gyu Jang, Kum-Hwan Roh and Ji Hee Yoon
Pohang University of Science and Technology (POSTECH), Korea Advanced Institute of Science and Technology (KAIST), Department of Mathematical Science and University College London - Department of Economics

Abstract:

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Multivariate Contingent Claim, Drivative Pricing, Regime Switch, Business Cycle, Stochastic Volaltility

9.

Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks

Journal of Banking and Finance, Vol. 34, No. 9, 2010
Posted: 30 Oct 2008 Last Revised: 22 Oct 2010
Bong-Gyu Jang and Ji Hee Yoon
Pohang University of Science and Technology (POSTECH) and University College London - Department of Economics

Abstract:

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range note, structured note, hybrid note, affine term structure, jump diffusion, equilibrium model