Bong-Gyu Jang

Pohang University of Science and Technology (POSTECH)

Professor

77 Cheongam-ro

Pohang

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

27

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Top 22,643

in Total Papers Downloads

2,137

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (27)

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 583 (46,671)
Citation 6

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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 429 (68,466)
Citation 4

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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 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 233 (134,185)
Citation 1

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

4.

Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk

Number of pages: 49 Posted: 02 May 2014 Last Revised: 26 May 2019
Bong-Gyu Jang, Seyoung Park and Huainan Zhao
Pohang University of Science and Technology (POSTECH), Loughborough University - School of Business and Economics and Loughborough University - School of Business and Economics
Downloads 146 (204,298)

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

5.

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 Risk Management Institute (RMI), National University of Singapore (NUS)
Downloads 130 (224,175)

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

6.

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 126 (229,609)

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

7.

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 112 (250,392)
Citation 1

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

8.

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 Loughborough University - School of Business and Economics
Downloads 99 (272,724)

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

9.

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 94 (281,990)

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

10.

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), Risk Management Institute (RMI), National University of Singapore (NUS) and Loughborough University - School of Business and Economics
Downloads 78 (316,481)

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

11.

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

Number of pages: 42 Posted: 03 Feb 2016 Last Revised: 03 Jun 2018
Bong-Gyu Jang, Kyeong Tae Kim and Hyun-Tak Lee
Pohang University of Science and Technology (POSTECH), POSTECH and Risk Management Institute (RMI), National University of Singapore (NUS)
Downloads 60 (364,581)

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Information quality; Mark-to-market strategy; Optimal reinsurance; Optimal portfolio; Partial information

12.

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 Risk Management Institute (RMI), National University of Singapore (NUS)
Downloads 47 (407,181)

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Asset Pricing; VAR; Impulse Response Function; Variance Decomposition

13.

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) - Dept. of Industrial and Management Engineering

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option pricing, regime switching, simplex approach, commodity

14.

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 Loughborough University - School of Business and Economics

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

15.

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

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
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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

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

17.

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

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

18.

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 Loughborough University - School of Business and Economics

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

19.

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

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

20.

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), Loughborough University - School of Business and Economics and Pohang University of Science and Technology (POSTECH)

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

21.

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

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 College London - Department of Economics

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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 College London - Department of Economics

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

24.

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 Loughborough University - School of Business and Economics

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

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

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

26.

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

27.

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