Jaehyuk Choi

Peking University HSBC Business School

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 13,709

in Total Papers Downloads

5,033

SSRN CITATIONS
Rank 36,718

SSRN RANKINGS

Top 36,718

in Total Papers Citations

17

CROSSREF CITATIONS

4

Scholarly Papers (14)

1.

Numerical Approximation of the Implied Volatility under Arithmetic Brownian Motion

Applied Mathematical Finance, Vol. 16, No. 3, 2009
Number of pages: 8 Posted: 04 Jun 2007 Last Revised: 16 Nov 2016
Jaehyuk Choi, Kwangmoon Kim and Minsuk Kwak
Peking University HSBC Business School, Korea Advanced Institute of Science and Technology (KAIST) and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 1,596 (15,706)
Citation 2

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implied volatility, arithmetic Brownian motion, ABM, Bachelier, rational approximation, closed form approximation

2.

BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness

Journal of Futures Markets, 40(1):23-43, 2020
Number of pages: 35 Posted: 09 Apr 2019 Last Revised: 08 Dec 2019
University of Sussex Business School, Peking University HSBC Business School, Sungkyunkwan University - SKK Business School and Peking University - HSBC Business School
Downloads 1,385 (19,476)
Citation 11

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bitcoin, BitMEX, market efficiency, price discovery, spillover

3.

Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options

Journal of Futures Markets, 38(6):627-644, 2018
Number of pages: 25 Posted: 08 Feb 2017 Last Revised: 02 Jun 2018
Jaehyuk Choi
Peking University HSBC Business School
Downloads 515 (75,531)
Citation 2

Abstract:

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Multi-Asset Black-Scholes-Merton, Spread Option, Basket Option, Asian Option, Curse of Dimensionality

4.

Price Discovery and Microstructure in Ether Spot and Derivative Markets

International Review of Financial Analysis, 71, 101506, 2020
Number of pages: 26 Posted: 16 Jan 2020 Last Revised: 04 Jun 2020
University of Sussex Business School, Peking University HSBC Business School, University of Sussex Business School and Peking University - HSBC Business School
Downloads 408 (99,564)

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BitMEX, Cryptocurrency, Ethereum, Futures, Perpetual Swaps

5.

A Black-Scholes User's Guide to the Bachelier Model

Journal of Futures Markets, 42(5):959-980, 2022
Number of pages: 30 Posted: 19 Apr 2021 Last Revised: 05 May 2022
Peking University HSBC Business School, Department of Mathematics, Hankuk University of Foreign Studies, Singapore Management University - Lee Kong Chian School of Business and Bank of Communications Co. Ltd.
Downloads 407 (99,847)

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Bachelier model, Black-Scholes model, Displaced diffusion model, Normal model

6.

Fast Swaption Pricing in Gaussian Term Structure Model

Mathematical Finance, 26(4): 962-982, 2016
Number of pages: 17 Posted: 05 Mar 2013 Last Revised: 23 Sep 2018
Jaehyuk Choi and SungChan Shin
Peking University HSBC Business School and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 207 (200,652)

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Gaussian term structure model, volatility surface calibration, fast swaption pricing, swaption analytics

7.

Hyperbolic Normal Stochastic Volatility Model

Journal of Futures Markets, 39(2):186-204, 2019
Number of pages: 26 Posted: 23 Jan 2018 Last Revised: 25 Jun 2019
Jaehyuk Choi, Chenru Liu and Byoung Ki Seo
Peking University HSBC Business School, Peking University - HSBC Business School and Ulsan National Institute of Science and Technology
Downloads 124 (306,244)
Citation 4

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Stochastic Volatility, SABR Model, Bougerol's Identity, Johnson's SU Distribution

8.

Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options

Number of pages: 31 Posted: 28 Oct 2018 Last Revised: 10 Sep 2020
Jeechul Woo, Chenru Liu and Jaehyuk Choi
University of Illinois Urbana-Champaign, Peking University - HSBC Business School and Peking University HSBC Business School
Downloads 86 (390,389)
Citation 1

Abstract:

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American option, Least square Monte Carlo, Longstaff-Schwartz algorithm, Look-ahead bias, Leave-one-out-cross-validation

9.

The Financial Value of the Within-Government Political Network: Evidence From Chinese Municipal Corporate Bonds

Finance Research Letters, Forthcoming
Number of pages: 13 Posted: 27 Jan 2021 Last Revised: 05 Feb 2022
Jaehyuk Choi, Lei Lu, Heungju Park and Sungbin Sohn
Peking University HSBC Business School, Peking University - HSBC School of Business, Sungkyunkwan University - SKK Business School and Peking University - HSBC Business School
Downloads 74 (425,486)

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Political Network, Guanxi, Local Government Financing Vehicles, Municipal Corporate Bonds, Credit Risk

10.

Yield Spread Selection in Predicting Recession Probabilities: A Machine Learning Approach

Number of pages: 20 Posted: 27 Jan 2021 Last Revised: 07 Jan 2022
Jaehyuk Choi, Desheng Ge, Kyu H. Kang and Sungbin Sohn
Peking University HSBC Business School, Peking University - HSBC School of Business, Korea University and Peking University - HSBC Business School
Downloads 73 (428,632)

Abstract:

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Yield curve, estimation risk, density forecasting, machine learning

11.

The Equivalent Constant-Elasticity-of-Variance (CEV) Volatility of the Stochastic-Alpha-Beta-Rho (SABR) Model

Journal of Economic Dynamics and Control, Vol. 128, 104143, 2021
Number of pages: 33 Posted: 19 Dec 2019 Last Revised: 08 Jun 2021
Jaehyuk Choi and Lixin Wu
Peking University HSBC Business School and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 71 (435,143)
Citation 2

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Stochastic Volatility, SABR Model, CEV Model

12.

Inverse Gaussian Quadrature and Finite Normal-Mixture Approximation of the Generalized Hyperbolic Distribution

Journal of Computational and Applied Mathematics, 388:113302, 2021
Number of pages: 19 Posted: 25 Oct 2018 Last Revised: 06 Feb 2022
Jaehyuk Choi, Yeda Du and Qingshuo Song
Peking University HSBC Business School, Peking University HSBC Business School and City University of Hong Kong (CityU)
Downloads 34 (593,373)

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Generalized Hyperbolic Distribution, Inverse Gaussian Distribution, Normal Variance-Mean Mixture, Numerical Quadrature

13.

A Note on the Option Price and 'Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics'

Quantitative Finance, 21(7):1083-1086, 2021
Number of pages: 6 Posted: 29 Dec 2020 Last Revised: 08 Jun 2021
Jaehyuk Choi and Lixin Wu
Peking University HSBC Business School and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 28 (629,518)

Abstract:

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Stochastic Volatility, SABR Model, CEV Model, Gauss-Hermite Quadrature

14.

Improved Iterative Methods for Solving Risk Parity Portfolio

Journal of Derivatives and Quantitative Studies, 30(2):114-124, 2022
Number of pages: 13 Posted: 06 Apr 2022 Last Revised: 05 May 2022
Jaehyuk Choi and Rong Chen
Peking University HSBC Business School and Peking University HSBC Business School
Downloads 25 (649,767)

Abstract:

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risk parity, equal risk contribution, cyclical coordinate descent, Newton method