Bong-Gyu Jang

Pohang University of Science and Technology (POSTECH)

Professor

77 Cheongam-ro

Pohang

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

26

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CITATIONS
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61

Scholarly Papers (26)

1.

Liquidity Premia and Transactions Costs

AFA 2006 Boston Meetings Paper
Number of pages: 58 Posted: 18 Mar 2005
Washington University in St. Louis - Olin Business School, Pohang University of Science and Technology (POSTECH), Ajou University - Department of Business Administration and University of Maryland - Robert H. Smith School of Business
Downloads 549 (37,112)
Citation 30

Abstract:

Liquidity, Liquidity risk, Investment, Consumption, Equity-Premium Puzzle

2.

American Put Options with Regime-Switching Volatility

Number of pages: 35 Posted: 18 Nov 2005
Bong-Gyu Jang and Hyeng Keun Koo
Pohang University of Science and Technology (POSTECH) and Ajou University - Department of Business Administration
Downloads 372 (56,644)
Citation 1

Abstract:

American option, American contingent claim, regime switch, stochastic volatility

3.

A Lattice Method for Lookback Options with Regime-Switching Volatility

Number of pages: 27 Posted: 15 Dec 2009 Last Revised: 15 Jan 2012
Ji Hee Yoon, U. Jin Choi, Byung Hwa Lim and Bong-Gyu Jang
University of Wisconsin - Madison, 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 197 (113,822)

Abstract:

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

4.

Portfolio and Annuity Demand with Insurer Default Risk

Number of pages: 60 Posted: 14 Jul 2008 Last Revised: 09 Sep 2016
Bong-Gyu Jang, Hyeng Keun Koo and Seyoung Park
Pohang University of Science and Technology (POSTECH), Ajou University and National University of Singapore (NUS) - Risk Management Institute
Downloads 167 (119,309)

Abstract:

default risk, annuity, annuity puzzle, retiree, optimal portfolio

5.

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 of Wisconsin - Madison

Abstract:

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

6.

Asset Demands and Consumption with Longevity Risk

Economic Theory, Forthcoming
Posted: 11 Nov 2010 Last Revised: 06 Oct 2015
Bong-Gyu Jang, Hyeng Keun Koo and Yuna Rhee
Pohang University of Science and Technology (POSTECH), Ajou University and Pohang University of Science and Technology (POSTECH)

Abstract:

longevity risk, asset demand, consumption, life insurance, annuity

7.

Unemployment Risks and Optimal Retirement in an Incomplete Market

Operations Research, Forthcoming
Posted: 20 Jan 2013 Last Revised: 06 Mar 2016
Alain Bensoussan, Bong-Gyu Jang and Seyoung Park
University of Texas, Dallas Director, International Center for Decision and Risk Analysis (ICDRiA), Pohang University of Science and Technology (POSTECH) and National University of Singapore (NUS) - Risk Management Institute

Abstract:

unemployment risk, optimal retirement, optimal investment, portfolio theory, dynamic programming, convex duality

8.

Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint

Finance Research Letters, Forthcoming
Posted: 10 May 2014 Last Revised: 08 Apr 2016
Bong-Gyu Jang and Seyoung Park
Pohang University of Science and Technology (POSTECH) and National University of Singapore (NUS) - Risk Management Institute

Abstract:

ambiguity aversion, optimal portfolio, value at risk, expected shortfall, fund management

9.

Robust Consumption and Portfolio Rules with Time-Varying Model Confidence

Finance Research Letters, Forthcoming
Number of pages: 31 Posted: 18 Jul 2012 Last Revised: 06 Jun 2016
Bong-Gyu Jang, Seungkyu Lee and Byung Hwa Lim
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and The University of Suwon - Department of Economics and Finance
Downloads 82 (200,458)

Abstract:

robust portfolio, optimal consumption, optimal investment, entropy, robust control

10.

Liquidity-Adjusted Dividend-Ratio Model with VAR Approach

Number of pages: 44 Posted: 06 Mar 2014 Last Revised: 20 Apr 2015
Bong-Gyu Jang, Bong‐Soo Lee and Hyun-Tak Lee
Pohang University of Science and Technology (POSTECH), Florida State University and Pohang University of Science and Technology (POSTECH)
Downloads 69 (238,310)

Abstract:

Price Dividend Ratio, Asset Pricing, Expected Return, Liquidity, VAR

11.

Liquidation Shocks and Transaction Costs

Number of pages: 34 Posted: 14 Feb 2015
Bong-Gyu Jang, Hyeng Keun Koo and Seungkyu Lee
Pohang University of Science and Technology (POSTECH), Ajou University - Department of Business Administration and Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering
Downloads 50 (233,265)

Abstract:

recursive utility, transaction cost, elasticity of intertemporal substitution, wealth shock, liquidation shock

12.

Liquidity Premia, Transaction Costs, and Model Misspecification

Number of pages: 43 Posted: 10 Mar 2014 Last Revised: 11 Jun 2015
Bong-Gyu Jang, Seungkyu Lee and Seyoung Park
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and National University of Singapore (NUS) - Risk Management Institute
Downloads 45 (261,197)
Citation 30

Abstract:

liquidity, robust portfolio, ambiguitiy, fund manager, transaction cost

13.

Consumption, Retirement, and Asset Allocation with Unemployment Risks and Borrowing Constraints

Number of pages: 64 Posted: 02 May 2014 Last Revised: 30 Mar 2017
Bong-Gyu Jang and Seyoung Park
Pohang University of Science and Technology (POSTECH) and National University of Singapore (NUS) - Risk Management Institute
Downloads 43 (220,438)

Abstract:

optimal consumption, risky investment, retirement, unemployment risks, borrowing constraints

14.

Entrepreneurial Business Plan Under Undiversifiable Idiosyncratic Risk

Number of pages: 52 Posted: 20 Apr 2015
Bong-Gyu Jang, Hyun-Tak Lee and Seyoung Park
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and National University of Singapore (NUS) - Risk Management Institute
Downloads 19 (300,011)

Abstract:

optimal consumption, optimal portfolio, entrepreneurial business, idiosyncratic risk, risky business

15.

How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints

Number of pages: 28 Posted: 19 Sep 2015 Last Revised: 11 Apr 2016
Bong-Gyu Jang, Taeyong Kim, Seungkyu Lee and Hyeon-Wuk Tae
Pohang University of Science and Technology (POSTECH), Morningstar Associates Korea, Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering
Downloads 16 (265,262)

Abstract:

asset allocation, portfolio selection, consumption, subsistence level, portfolio constraint, defined contribution

16.

Mark-to-Market Reinsurance and Portfolio Selection: Implications for Information Quality

Number of pages: 40 Posted: 03 Feb 2016
Bong-Gyu Jang, Kyeong Tae Kim and Hyun-Tak Lee
Pohang University of Science and Technology (POSTECH), POSTECH and Pohang University of Science and Technology (POSTECH)
Downloads 0 (363,651)

Abstract:

reinsurance, insurance company, asset allocation, learning, information quality

17.

A Unified Framework for Option Pricing with Regime Switching

Number of pages: 31 Posted: 29 Nov 2015 Last Revised: 08 Sep 2016
Bong-Gyu Jang and Hyeon-Wuk Tae
Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering
Downloads 0 (297,455)

Abstract:

option pricing, regime switching, simplex approach, commodity

18.

Optimal Reinsurance and Asset Allocation under Regime Switching

Journal of Banking and Finance, Forthcoming
Posted: 16 Sep 2013 Last Revised: 23 Mar 2015
Bong-Gyu Jang and Kyeong Tae Kim
Pohang University of Science and Technology (POSTECH) and POSTECH

Abstract:

reinsurance, asset allocation, portfolio theory, insurance company, business cycle, insurance claim, regime switch

Net Contribution, Liquidity, and Optimal Pension Management

Journal of Risk and Insurance, Vol. 83, Issue 4, pp. 913-948, 2016
Number of pages: 36 Posted: 11 Nov 2016
Korea Insurance Research Institute, Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS) and National Pension Research Institute
Downloads 0
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Abstract:

Net Contribution, Liquidity, and Optimal Pension Management

Jounal of Risk and Insurance, Forthcoming
Posted: 25 Aug 2013 Last Revised: 25 Nov 2015
Korea Insurance Research Institute, Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS) and National Pension Service, NPRI

Abstract:

transaction cost, asset allocation, pension management, net contribution, liquidity

20.

Psychological Barriers and Option Pricing

Journal of Futures Markets, Forthcoming
Posted: 23 Jul 2012 Last Revised: 24 Oct 2013
Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS), POSTECH, Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and Korea University

Abstract:

psychological barrier, option pricing, complete market, threshold model, regime switch, delta hedge

21.

Optimal Retirement with Unemployment Risks

Journal of Banking and Finance, Vol 37, Issue 9
Posted: 20 Aug 2011 Last Revised: 22 Jul 2013
Bong-Gyu Jang, Seyoung Park and Yuna Rhee
Pohang University of Science and Technology (POSTECH), National University of Singapore (NUS) - Risk Management Institute and Pohang University of Science and Technology (POSTECH)

Abstract:

unemployment risk, involuntary retirement, optimal retirement, moderate equity holdings, retirement consumption puzzle

22.

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 of Wisconsin - Madison

Abstract:

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

23.

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 of Wisconsin - Madison

Abstract:

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

24.

A First-Passage-Time Model Under Regime-Switching Market Environment

Journal of Banking and Finance, Vol. 32, No. 12, 2008
Posted: 27 Nov 2007 Last Revised: 22 Oct 2010
Mi Ae KIM, Bong-Gyu Jang and Ho-Seok Lee
KAIST Business School, Pohang University of Science and Technology (POSTECH) and Korea Advanced Institute of Science and Technology (KAIST) - Department of Management Science

Abstract:

first passage time model, regime switching, credit default swap, business cycle, default correlation

25.

Valuing Qualitative Options With Stochastic Volatility

Quantitative Finance, Vol 9, Issue 7, 2009
Posted: 27 Nov 2007 Last Revised: 22 Oct 2010
Bong-Gyu Jang and Kum-Hwan Roh
Pohang University of Science and Technology (POSTECH) and Korea Advanced Institute of Science and Technology (KAIST), Department of Mathematical Science

Abstract:

qualitative option, stochastic volatility, regime-switching volatility, option valuation, Markov chain

26.

A Simple Iterative Method for the Valuation of American Options

Forthcoming, Quantitative Finance
Posted: 28 Apr 2006 Last Revised: 22 May 2012
In Joon Kim, Bong-Gyu Jang and Kyeong Tae Kim
Yonsei University - School of Business, Pohang University of Science and Technology (POSTECH) and POSTECH

Abstract:

American option, iteration, exercise boundary, early exercise premium, numerical method