Bong-Gyu Jang

Pohang University of Science and Technology (POSTECH)

Professor

77 Cheongam-ro

Pohang

Korea, Republic of (South Korea)

  • Pohang University of Science and Technology (POSTECH)

SCHOLARLY PAPERS

40

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4,569

TOTAL CITATIONS
Rank 39,444

SSRN RANKINGS

Top 39,444

in Total Papers Citations

18

Scholarly Papers (40)

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1.

Short-Term Market Changes and Market Making with Inventory

Number of pages: 12 Posted: 25 Jul 2020
Jin Gi Kim, Sam Beatson, Bong-Gyu Jang, Ho-Seok Lee and Seyoung Park
Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering, affiliation not provided to SSRN, Pohang University of Science and Technology (POSTECH), Kwangwoon University - Department of Mathematics and Nottingham University Business School
Downloads 976 (48,703)

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Market Maker, Regime Switching, Inventory Management, Intraday Trade, Market Micro-Structure

2.

Liquidity Premia and Transactions Costs

AFA 2006 Boston Meetings Paper
Number of pages: 58 Posted: 18 Mar 2005
Hong Liu, Bong-Gyu Jang, Hyeng Keun Koo and Mark Loewenstein
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 633 (86,227)
Citation 10

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

3.

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 497 (116,629)
Citation 4

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

4.

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 College London, Korea Advanced Institute of Science and Technology (KAIST), Department of Fintech, SKK Business School, Sungkyunkwan University and Pohang University of Science and Technology (POSTECH)
Downloads 290 (213,557)
Citation 1

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

5.

Forecasting Realized Volatility of the Oil Future Prices Via Machine Learning

Downloads 245 (253,338)

Forecasting Realized Volatility of the Oil Future Prices Via Machine Learning

Number of pages: 30 Posted: 24 Nov 2020 Last Revised: 03 Aug 2021
Byung-June Kim, Taeyoon Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 199 (307,634)

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volatility forecasting, oil future, machine learning, forecasting model

Forecasting Realized Volatility of the Oil Future Prices Via Machine Learning

Number of pages: 38 Posted: 28 Jun 2023 Last Revised: 13 Dec 2024
Taeyoon Kim, Byung-June Kim, Myung Jun Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 46 (825,493)

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volatility forecasting, oil future, machine learning, forecasting model

6.

Semicovariances and Machine Learning Methods in Oil and Gold Futures Markets

Number of pages: 28 Posted: 24 Mar 2021
Taeyoon Kim, Byung-June Kim, Bong-Gyu Jang and Kyeong Tae Kim
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and POSTECH
Downloads 237 (261,656)

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Realized Volatility, Forecasting, Machine Learning, Semicovariance decomposition

7.

Stock Prices, Changes in Liquidity, and Liquidity Premia

Number of pages: 50 Posted: 06 Mar 2014 Last Revised: 26 Jul 2018
Bong-Gyu Jang, Bong‐Soo Lee and Hyun-Tak Lee
Pohang University of Science and Technology (POSTECH), Florida State University and Korea Asset Management Corporation
Downloads 209 (294,837)

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Asset pricing; Present value; VAR; Liquidity; Liquidity premium; Impulse response functions

8.

Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models

Number of pages: 45 Posted: 03 Feb 2016 Last Revised: 29 Jun 2020
Hyun-Tak Lee, Kyeong Tae Kim and Bong-Gyu Jang
Korea Asset Management Corporation, POSTECH and Pohang University of Science and Technology (POSTECH)
Downloads 196 (313,030)
Citation 1

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reinsurance; portfolio selection; partial information; information quality; risk- adjusted premium.

9.

Convertible Bond Valuation with Regime Switching

Number of pages: 24 Posted: 12 Jun 2020 Last Revised: 12 Apr 2021
Byung-June Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 166 (363,064)

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Option pricing, Convertible bond, Regime switching, Exchange option

10.

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) - Department of Industrial and Management Engineering and Department of Fintech, SKK Business School, Sungkyunkwan University
Downloads 131 (440,241)

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

11.

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) - Department of Industrial and Management Engineering and Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering
Downloads 130 (442,962)

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

12.

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) - Department of Industrial and Management Engineering
Downloads 129 (445,642)
Citation 2

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

13.

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), Korea Asset Management Corporation and Nottingham University Business School
Downloads 126 (453,759)

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

14.

Old-Age Inequality with Longevity Extension from Preventive Healthcare

Number of pages: 59 Posted: 23 Jul 2020 Last Revised: 16 Oct 2020
Byung-June Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 105 (520,199)

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Inequality, Preventive healthcare, Portfolio selection, Longevity, Elasticity of intertemporal substitution

15.

Market Capitalization, Corporate Payouts, and Expected Returns

Number of pages: 53 Posted: 19 Mar 2018 Last Revised: 17 Jun 2018
Bong-Gyu Jang, Bong-Soo Lee and Hyun-Tak Lee
Pohang University of Science and Technology (POSTECH), Florida State University and Korea Asset Management Corporation
Downloads 102 (530,907)

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Asset Pricing; VAR; Impulse Response Function; Variance Decomposition

16.

Herding in Cryptocurrency Market and Covid-19: Spillover Effects and Fundamental Information

Number of pages: 16 Posted: 20 Mar 2024
Daeyoung Jeon, Changeun Kim, Jongho Park and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering, Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 98 (545,626)

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Herding Behavior, Structural Break, Asymmetric Herding, Spurious/Intentional Herding, Cryptocurrency Market

17.

Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends

Number of pages: 36 Posted: 24 Oct 2022 Last Revised: 13 Mar 2023
Jiwon Chae, Bong-Gyu Jang and Taeyoon Kim
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 92 (568,081)

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Liquidity Premium, Portfolio Choice, Transaction Cost, Dividend, Regime Switch

18.

Liability-Driven Investment under Inflation Risk

Downloads 75 (639,809)

Liability-Driven Investment under Inflation Risk

Number of pages: 22 Posted: 17 Jun 2024
Bong-Gyu Jang, Hyeontae Jo and Myung Jun Kim
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 54 (768,529)

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Asset Allocation, Liability-driven Investment, Pension Fund, Inflation Risk

Liability-Driven Investment Under Inflation Risk

Number of pages: 21 Posted: 22 Jul 2024
Bong-Gyu Jang, Hyeontae Jo and Myung Jun Kim
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 21 (1,066,751)

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Asset allocation, Liability-driven Investment, Pension Fund, Inflation Risk

19.

Analytic Approach for Models of Optimal Retirement with Disability Risk

Number of pages: 23 Posted: 14 May 2023 Last Revised: 16 May 2023
Jiwon Chae, Bong-Gyu Jang and Seyoung Park
Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering, Pohang University of Science and Technology (POSTECH) and Nottingham University Business School
Downloads 66 (683,876)

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Retirement, Disability Risk, Total Wealth, Optimal Consumption and Portfolio

20.

Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends

Downloads 37 (875,555)

Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends

Number of pages: 37 Posted: 09 Mar 2023
Jiwon Chae, Bong-Gyu Jang and Taeyoon Kim
Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering, Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 20 (1,079,108)

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liquidity premium, Portfolio Choice, Transaction Cost, Dividend, Regime Switch

Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends

Number of pages: 38 Posted: 29 Jun 2023
Jiwon Chae, Bong-Gyu Jang and Taeyoon Kim
Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering, Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 17 (1,116,903)

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liquidity premium, Portfolio Choice, Transaction Cost, Dividend, Regime Switch

21.

Asset Returns and Regime-Switching Consumption-Wealth Ratio

Number of pages: 14 Posted: 17 Sep 2024
Qi Li, Di Luo, Seyoung Park, Huainan Zhao and Bong-Gyu Jang
Pusan National University, University of Dundee School of Business, Nottingham University Business School, Loughborough University - School of Business and Economics and Pohang University of Science and Technology (POSTECH)
Downloads 15 (1,105,851)

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Consumption-Wealth Ratio, Regime Switching, Asset Pricing, Regime-Switching Risk Premium

22.

Bitcoin Price Direction Forecasting and Market Variables

Number of pages: 40 Last Revised: 13 Dec 2024
Taegyum Kim, Hyeontae Jo, Woohyuk Choi and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)
Downloads 14

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Bitcoin, Cryptocurrency, Deep learning, Direction forecasting, Investment strategy, Explainable AI

23.

Internet Appendix to `Forecasting Realized Volatility of the Oil Future Prices via Machine Learning'

Posted: 20 Nov 2020 Last Revised: 03 Aug 2021
Byung-June Kim, Taeyoon Kim and Bong-Gyu Jang
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH)

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oil future, oil pricing, machine learning, forecasting model

24.

Option Pricing with Regime Switching: Integrations over Simplexes Method

Finance Research Letters, Forthcoming
Posted: 29 Nov 2015 Last Revised: 16 Oct 2017
Bong-Gyu Jang and Hyeon-Wuk Tae
Pohang University of Science and Technology (POSTECH) and Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering

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option pricing, regime switching, simplex approach, commodity

25.

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 Nottingham University Business School

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

26.

Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk

Insurance: Mathematics and Economics, Forthcoming
Posted: 02 May 2014 Last Revised: 09 Jun 2020
Bong-Gyu Jang, Seyoung Park and Huainan Zhao
Pohang University of Science and Technology (POSTECH), Nottingham University Business School and Loughborough University - School of Business and Economics

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optimal retirement, forced unemployment risk, borrowing constraints, dynamic programming

27.

Ambiguity Premium and Transaction Costs

Economics Letters, Forthcoming
Posted: 10 Mar 2014 Last Revised: 20 Jul 2021
Bong-Gyu Jang, Taeyoon Kim, Seungkyu Lee and Seyoung Park
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering and Nottingham University Business School

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optimal investment, ambiguity aversion, transaction costs, ambiguity premium

28.

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

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

29.

Net Contribution, Liquidity, and Optimal Pension Management

Jounal of Risk and Insurance, Forthcoming
Posted: 25 Aug 2013 Last Revised: 13 Oct 2020
Changhui Choi, Bong-Gyu Jang, Changki Kim, Sang-youn Roh and Sang-youn Roh
Korea Insurance Research Institute, Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS) and KBIZ, Investment Management DivisionKorea Federation of SMEs, Investment Management Division

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

30.

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

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

31.

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 at Dallas - Naveen Jindal School of Management, Pohang University of Science and Technology (POSTECH) and Nottingham University Business School

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

32.

Psychological Barriers and Option Pricing

Journal of Futures Markets, Forthcoming
Posted: 23 Jul 2012 Last Revised: 24 Oct 2013
Bong-Gyu Jang, Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong-Hoon Shin
Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS), POSTECH, Pohang University of Science and Technology (POSTECH) - Department of Industrial and Management Engineering and Korea University

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

33.

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), Nottingham University Business School and Pohang University of Science and Technology (POSTECH)

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

34.

Asset Demands and Consumption with Longevity Risk

Economic Theory, Forthcoming
Posted: 11 Nov 2010 Last Revised: 24 Aug 2017
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)

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

35.

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

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

36.

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

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

37.

Optimal Consumption and Investment with Insurer Default Risk

Insurance: Mathematics and Economics, Forthcoming
Posted: 14 Jul 2008 Last Revised: 12 May 2019
Bong-Gyu Jang, Hyeng Keun Koo and Seyoung Park
Pohang University of Science and Technology (POSTECH), Ajou University and Nottingham University Business School

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optimal consumption, optimal investment, insurer default risk, annuity demand

38.

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

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

39.

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
College of Business, Korea Advanced Institute of Science and Technology (KAIST), Pohang University of Science and Technology (POSTECH) and Korea Advanced Institute of Science and Technology (KAIST) - Department of Management Science

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

40.

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

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